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Capital Modelling and Capital Management

Learn the latest strategies and techniques for regulatory and economic capital after the credit crunch

Course Highlights

Learn the latest strategies and techniques for regulatory and economic capital after the credit crunch.

During this highly intensive two-day course you will:

Gain an understanding of the very latest economic & regulatory capital methodologies
Learn about the key practical features of the Basel II proposals, pillars 1,2,3 and the latest developments
Review current liquidity risk regulations and requirements
Learn a wealth of practical strategies and techniques for dealing with market risk
Gain an insight into the future of capital management
Benefit from an in-depth study in the risks beyond capital
Learn cutting-edge techniques for capital structuring and optimising capital level

For details of the course trainer, please download the course brochure

Booking Information

Dates	Prices	Book This Course	Discount
27 - 28 May 2010	£ 1899		-
18 - 19 Nov 2010	£ 1899		-

Course Programme

Overview of Regulatory and Economic Capital

The uses of capital
The cost of capital and return on capital
Economic capital allocation
The evolution of regulatory capital

Risk weighted assets and the 1988 Basel accord
The 1996 market risk amendment and VAR
Basel II
Revisions to the Basel II framework

Key Features of the Basel II Proposals: Credit Risk in Pillar 1

Introduction
Credit risk in loan books
Loan loss provisions and NII
The standardised approach in Basel II
The IRB approach
Qualitative requirements for IRB banks

The Effects of the IRB

Credit risk and competitive effects
Where does the IRB come from: structural models of credit risk
The Gaussian Copula model
The role of correlation in the IRB formula
Procyclicality

Workshop: Anticyclical Provisions and Capital

Key Features of the Basel II Proposals: Credit Risk Mitigation and Counterparty Credit Risk

Collateralised lending
Repo
Wrong way risk
Counterparty risk in derivatives
Stress and back testing of counterparty risk models

Liquidity Risk and Regulation

Solvency risk vs. liquidity risk
The nature of a bank's liquidity risk
Interest rate risk in the banking book
Liquidity risk during the credit crunch
Central Bank policy
The lender of last resort

Workshop: Recent UK liquidity requirements

Market Risk 1

Trading book instruments
Valuation policies and controls on mark to market
Mark to model and model risk

Workshop: Valuation Policy and Model Risk Management

Market Risk 2

Value-at-Risk models
Best practice on internal models
Adjuncts to VAR models: backtesting and stress testing
VAR in a crisis

Workshop: Stressed VAR

The Market Risk of Modern Structured Credit Trading

Specific risk
Basel I arbitrage with securitisation
Regulatory treatment of credit derivatives in the trading book
Negative basis trading
Correlation trading

Workshop: The incremental risk charges

Key Features of the Basel II Proposals: Pillars 2 & 3

Pillar 2: supervision and challenges to supervisors
Pillar 3: disclosure

Workshop: Review of Leading Institutions' Pillar 3 Disclosures

Risks Beyond Capital

The use of internal models for economic capital and best practice in capital modelling
Reputational and strategic risks
Top down and bottom up approaches

Capital Structure and Optimising Capital Levels

Capital instruments
Capital structure and Basel ratios
Optimal capital structure

Workshop: The Diminishing Role of Tier 2

Discussion: The Future of Capital Management