Latest Developments in Risk Management, Basel III & Capital Adequacy for Banks
SIDC CPE - accredited: 10 CPE Points
Date: 23rd February 2017 Venue: InterContinental, Kuala Lumpur
Conference Guide

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Developments in the Basel global bank capital and regulatory framework are significant and ongoing, and are focusing on the overhaul of the standardized approaches for a multitude of risk exposure capital requirements. Other initiatives include the ongoing evolution of the Basel III framework, with specific focus on the Basel Committee on Banking Supervision’s restructuring of the standardized approaches for calculation of regulatory capital requirements. The 2016 finalization of the Basel Fundamental Review of the Trading Book change processes has culminated in a new market risk capital framework (effective 2019) with the issuance of the new Basel Revised Market Capital requirements.

These and other developments are covered in detail in this timely, one day seminar delivered by leading risk management experts. Also covered in detail will be the impact, scope and requirements of the Basel Pillar 2 ICAAP (Internal Capital Adequacy Assessment Process) as well as BCBS 239 Basel lll reporting requirements – which some observers have described as a very significant regulatory burden for Asian banks.

KEY LEARNING OUTCOMES

  • Identifying key timelines, initiatives, objectives and outcomes of the Basel Committee for Banking Supervision (‘BCBS’) reformed framework for financial institutions
  • Analysing ‘BCBS 239’, Basel lll reporting requirements under Basel
  • Understanding comparisons between the Basel II and Basel III bank balance sheet restrictions
  • Examining the practicalities of the Internal Capital Adequacy Assessment Process (ICAAP) for financial institutions and the additional Pillar 2 Internal Liquidity Adequacy Assessment (‘ILAAP’) requirements
  • Identifying the new Basel lll: Interest Rate Risk Banking Book (IRBBB) Standards, and the revisions of Credit, Operational and Counterparty risk exposure measurement and capital requirements
  • Examining the emphasis on stress testing of risks for financial institutions under Basel lll, Pillars 1 and 2 requirements

 

Agenda

   
9:00 Introduction & Welcome
9:15 – 10:30 Session 1: Undertaking an Overview of the Basel lll Developments since 2009 and Understanding How Financial Institutions are Impacted
  • Examining Basel lll reforms as a significant shift from a principles-based to a rules-based framework and its expansion from the Trading Book focus of Basel ll into traditional bank Banking Book activities
  • Identifying key timelines, objectives and outcomes of the Basel initiative and framework
  • Assessing Basel III and its impact on different types of banks: international, Asian-based, GCC-based institutions
  • Implications of Basel III capital, leverage and liquidity ratios on bank balance sheet structures
  • Undertaking a comparative analysis of the Basel II and Basel III bank balance sheet restrictions and economics
  • Assessing the likely structure, direction and requirements for post Basel lll developments
Douglas Bongartz Renaud — Former Global Head of Currency Derivatives and Global Head of Rate Derivatives and Structured Products, ABN AMRO
10:30 – 11:00 Coffee
11:00 – 13:00 Session 2: Examining Major Recent Changes under Basel lll on Financial Institutions -
  • Overview of requirements on counterparty credit risk capital, central clearing (2014) and initial margining of non-cleared OTC transactions (2016)
  • Analysing recently revised Market Risk Capital requirements stemming from completion of the Fundamental Review of the Trading Book process (January 2016)
  • Examining the final decisions on Interest Rate Risk Banking Book (IRBBB) capital revisions (April 2016)
  • Assessing the current status of the two significant remaining changes under the consultation process:
    • Revisions of Credit Risk Capital requirements - new standardized and revised Internal Ratings based approaches, the Basel advanced model-based method for calculating credit risk regulatory capital
    • Complete revision of Operational Risk Capital requirements
Douglas Bongartz Renaud — Former Global Head of Currency Derivatives and Global Head of Rate Derivatives and Structured Products, ABN AMRO
13:00 – 14:00 Lunch
14:00 – 15:30 Session 3: Examining the Practical Impact of Basel lll on Asian Banks and Successfully Incorporating the Internal Capital Adequacy Assessment Process (ICAAP)
  • Analyzing the impact of Basel lll on the Pillar 2 Internal Capital Adequacy Assessment Process (ICAAP) for financial institutions
  • BCBS 239 Basel lll reporting requirements under Basel lll - the real regulatory burden for Asian banks
  • Overview of the forthcoming Basel lll, Pillar 2 Internal Liquidity Adequacy Assessment Process requirements (ILAAP)
Eckart Koerner — Executive Director, PwC
15:30 – 16:00 Coffee
16:00 – 17:00 Session 4: Analysing the Impact of Stress Tests for Financial Institutions in Malaysia
  • Overview of Stress Testing requirements under the Basel lll framework
  • Overview of Bank Negara Malaysia ‘Stress Testing Concept Paper’ (14 October 2016)
  • Analysing the increasing role of stress testing in financial institution risk management and regulatory capital requirements
  • What stress tests for financial institutions cover and what they don’t: limitations to the tests and potential shortcomings in the process
  • Preparing for and undertaking stress tests for financial institutions: determining relevant and sufficiently conservative stress scenarios across different financial institution risk classes
  • The role of ‘reverse stress testing’
  • Examining the relevance of stress tests to banks in the Asian market and assessing results and implications

Douglas Bongartz Renaud — Former Global Head of Currency Derivatives and Global Head of Rate Derivatives and Structured Products, ABN AMRO

17:00 Coffee and Networking

 

 

 

 


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