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Bank Liquidity Modeling & Basel III – a 2 Day Master Class

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Friday, June 16, 2017 7:00AM / Wall Street Prep & Co

Wall Street Prep & Co announces a 2 Day Master Class titled Bank Liquidity Modeling & Basel III. The course agenda for the programme is as detailed below:

Course Agenda:
Day 1:
Global Liquidity Standards
·         Introduction of global minimum liquidity standards

·         The Liquidity Coverage Ratio (LCR) that makes banks more resilient to potential short-term

·         disruptions in their access to funding

·         Stock of high-quality liquid assets

·         Total net cash outflows

·         The Net Stable Funding Ratio (NSFR) that addresses longer-term structural liquidity

·         mismatches in banks' balance sheets

·         Available stable funding (ASF)

·         Required stable funding (RSF)

·         Contractual maturity mismatch


·         Concentration of funding

·         Available unencumbered assets

·         LCR by significant currency

·         Market-related monitoring tools

·        Transitional arrangements

Capital Conservation
·         Distribution policies that are inconsistent with sound capital conservation principles

·        Supervisors enforce capital conservation discipline

Leverage Ratio
·         Strong Tier 1 risk based ratios with high levels of on and off balance sheet leverage

·         Simple, non-risk-based leverage ratio

·         Introducing additional safeguards against model risk and measurement error

·        Calculation of the leverage ratio

Countercyclical Capital Buffer
·         Pro-cyclical or Countercyclical?

·         The new countercyclical capital buffer

·         Home / Host Challenges

·        Guidance for national authorities operating the countercyclical capital buffer

Principles underpinning the role of Judgments
·         Principle 1: (Objectives)

·         Principle 2: (Common reference guide)

·         Principle 3: (Risk of misleading signals)


·         Principle 4: (Prompt release)

·         Principle 5: (Other macro-prudential tools)

·         Jurisdictional reciprocity

·         Frequency of buffer decisions and communications

·         Treatment of surplus when buffer returns to zero

·         Interaction with Pillar 1 and 2 

Day 2:
Systemically Important Financial Institutions (SIFIs)
·         SIFIs and G-SIFIs

·         Improvements to resolution regimes

·         Additional loss absorption capacity

·         More intensive supervisory oversight

·         Stronger robustness standards

·         Peer review

·         Developments at the national and regional level

·         The Financial Stability Oversight Council (FSOC)

·         The European Systemic Risk Board (ESRB)

·        Strengthening SIFI supervision

Systemically Important Markets and Infrastructures (SIMIs)
·         The Basel Committee and Financial Stability Board endorse central clearing and trade reporting on OTC derivatives

·        Derivative counterparty credit exposures to central counterparty clearing houses (CCPs)

Risk Modeling, Stress Testing and Scenario Analysis
·         Capture of systemic risk/tail events in stress testing and risk modeling

·         VaR shortcomings: the normality assumption

·         Need for a strong stress testing program

·        Systemic risk capture in banks' risk models

Pillar 2 Amendments: Stress testing
·         “Principles for sound stress testing practices and supervision”

·         Use of stress testing and integration in risk governance

·         Stress testing methodologies

·         Scenario selection

·         Principles for sound stress testing practices and supervision

·         Firm-wide stress testing

·         15 stress testing principles for banks

·        6 stress testing principles for supervisors

Recognizing the risk-mitigating impact of insurance in operational risk modeling
·         Insurance industry supervision

·         Banking supervisors' assessment processes

·         Approval of insurance contracts

·         Revoking approval for recognizing insurance mitigation in capital

·         Maximum 20% operational risk capital charge reduction

·         Modeling methodology

·         Traditional and proposed insurance policies

·         Criteria for recognizing insurance mitigation

·         Partial insurance modeling

Basel III for international financial organizations
·         The Dodd-Frank Act in the USA and the Basel III framework

·         The Capital Requirements Directives (II, III, IV) of the European Union and the Basel III framework

The Impact of Basel III
·         Investment Banking, Corporate Banking, Retail Banking

·      Investment banks are primarily affected, particularly in trading and securitization businesses

·         The new capital rules have a substantial impact on profitability

·         Banks with insurance subsidiaries

·         Minority investments after Basel III

·         Interaction between Solvency II and Basel III

·         Regulatory Arbitrage after Basel III

·         Examples and Case Studies

Who Should Attend
·     Liquidity Risk Managers, ALM Managers, Risk Managers, Balance Sheet Managers, Chief Risk Officers, Treasurers, Auditors, Bank Examiners 

Course Fee: USD 1299

Schedule: June 28 - 29, 2017 & July 5 - 6, 2017

Place & Timings: Lagos, Nigeria& 08:30AM to 04:30PM 

For further details you can contact Allen vide +38682880230 or
allen@wallstreetprep.co

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