Basel IV (Basel III Revised)

This is an advanced course that looks at the impact and implications of the revised Basel III regulations that have come into force. It is essential for Financial Managers in Banks, Investment Analysts and Regulators to understand the impact on capital requirements and Banks’ pricing mechanisms as well as the health of the Bank’s balance sheet.

• Day 1
  • Introdution 
    • Rationale and objectives of the Basel IV revisions.
    • Overview- the realignment of Basel II-III’s Approaches
    • Current status- Basel II and III: Fast track introduction refresher          
  • Basel IV
    • Revision of the Standardised Approach for Credit Risk:
    • The Standardised Approach (SA) is the new Risk-Weighted Assets output floor for the IRB 
    • Approaches.
    • The Basel I rules are replaced with the new Standardised Approach rules.
    • IRB banks must also use the Standardised Approach to calculate Risk Weighted Assets.
    • Calculation of the new floor. 
    • A more risk sensitive and granular approach
    • New regime and risk weights for exposures to banks, rated and unrated.
    • New regime and risk weights for exposures to corporates, rated and unrated.
    • New specific risk weight for SME’s
    • New stand-alone treatment for Object Finance, Commodities Finance and Project Finance.
  • Exercises-Case studies
    • Application of the new rules to transactions across the various asset classes: Corporates,
    • Banks, Residential and Commercial real estate, retail etc.
    • Calculation of Risk Weighted Assets, capital and returns based on the new rules. 
• Day 2 
  • Revision of the Foundation IRB Approach for Credit Risk
    • New PD floors-Corporate
    • New supervisory LGD for non-financial corporates
    • New collateral haircuts and LGD parameters. 
  • Revision of the Advanced IRB Approach for Credit Risk 
    • Withdrawal of the Advanced Approach for the:
      • Exposures to banks
      • Exposures to large and mid-sized corporates
      • The Foundation Approach replaces the Advanced Approach 
  • New input floors
    • PD floors-Corporate -retail
    • LGD floors-secured and unsecured
    • EAD floor 
  • Exercises-Case studies 
    • Application of the new rules to transactions across the various asset classes: Corporates, Banks, Residential and Commercial real estate, retail etc. 
    • Calculation of Risk Weighted Assets, capital and returns based on the new rules
  • Leverage Ratio Framework 
  • Operational Risk Framework