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 Duration 35 hours

Course Outline

Introduction to Risk

  • Defining risk and the rationale for bank management
  • Is risk solely a downside experience?
  • The global dimension of banking and risk
  • An overview of major risk categories in banking
  • Potential consequences of inadequate risk management
  • Risk Appetite
  • Risk Management

Case study

International Risk Regulations

  • The nature of risk-based regulations
  • The connection between risk and capital
  • Understanding capital adequacy
  • Major international regulatory frameworks
    • Basel Accord
    • Sarbanes-Oxley

Case Study

The Basel Accords

  • The evolution of international banking risk regulation
  • Objectives of banking risk oversight
  • The challenge of global regulatory consistency
  • Basel I Accord and the Market Risk Amendment
  • Basel II Accord
  • Capital requirements under Basel II
  • Basel 2.5 and Basel III
    • The leverage ratio
    • Countercyclical capital buffer
    • Systemic interconnectedness

Case study: Capital under Basel III

Market Risk

  • Defining market risk
  • Market activities and the rationale for trading
  • Primary market instruments
    • Cash instruments
    • Derivative instruments
  • Managing market risk
  • Measurement and management of market risk
  • Regulation of market risk
    • Basel II
    • Basel III

Case study: The consequences of mis-managing market risk – JP Morgan

Credit Risk

  • Defining credit risk
  • Credit products in the international market
  • Mitigation and management of credit risk
  • The credit process
  • The credit analysis process
  • Portfolio Management
  • Measurement of credit risk
  • Regulation of credit risk
    • Basel II
    • Basel III

Case study

Operational Risk

  • Defining operational risk and its significance
  • Loss risk: expected versus unexpected
  • Types of operational risk events
  • The three lines of defence
  • Operational risk management
  • Operational risk management frameworks
  • Initial steps in implementation
  • Reporting structures for operational risk management
  • Scope of operational risk management
  • Measuring and assessing operational risk
  • Regulation of operational risk
    • Basel II
    • Basel III

Case study: UBS

Liquidity Risk

  • Defining liquidity risk
  • Forms of liquidity
  • Consequences of poor liquidity management
  • Sources of liquidity
  • Measuring liquidity
  • Stress testing
  • Liquidity management
  • Regulation of liquidity risk
    • Basel II
    • Basel III

Case study:

Asset and Liability Management and Other Risks

  • Defining Asset and Liability Management
  • ALCOs and Treasuries
  • Banking book versus Trading Book
  • Interest rate risk in the banking book
  • Measuring and managing IRRBB
    • Contractual versus behavioral aspects
    • Stress testing
  •  ‘Other’ risks

Case study:

Supervision & Disclosure

  • Understanding supervision and disclosure
  • Cooperation between home and host supervisors
  • The ICAAP
  • Supervision and disclosure under Basel standards
  • Changes introduced by Basel III

Case study:

Defining Enterprise Risk Management

  • What is ERM?
  • The advantages of ERM
  • The ERM process
  • The risk management function
  • Portfolio management
  • New product development
  • Basel Committee guidance
  • Commonly adopted frameworks

Case study

Integrated Risk Management

  • Integrating risks across the bank
  • Risk committees
  • Risk policies
  • Risk identification and assessment
  • Aggregating risk across different types
  • Economic capital
  • Interactions between risk types

Case study

Corporate Governance

  • Defining corporate governance
  • Stakeholders and potential conflicts of interest
  • The benefits of effective corporate governance
  • The development of corporate governance – Cadbury, Walker, and Hicks reports
  • The external perspective on Corporate Governance (rating agencies, regulators)

Case study: Can a bank be “Too big to manage”?

Good Corporate Governance

  • Corporate structures
  • The role of non-executive directors
  • Techniques and strategies
  • Committees and management practices
  • Communication
  • The role of senior management
  • Internal framework of Corporate Governance
  • OECD and Basel guidance

Case study:

Risk Governance

  • Governance of risk management
  • Cultivating a culture of risk awareness
  • Implementing a risk culture
  • Risk management committees
  • Governance, risk, and compliance

Case study:

The Future

  • The new regulatory regime
    • Implications for the banking industry
    • Implications for regulators
  • Priorities in the global banking regulatory agenda
  • Future flashpoints

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