Basel II University - Online

This is a comprehensive course that covers the requirements for Basel II as per the revised framework 'International Convergence of Capital Measurement and Capital Standards'. It covers in detail the primary components, or pillars, i.e., minimum capital requirements, supervisory review process and market discipline.

This is an asynchronous eLearning course that can be accessed 24/7 from any internet enabled computer.

Available TodayOnlineUSD$400
Instructional Method:
Self-Study
Level: Intermediate
CPE Credits: 126

Credit and risk officers, business analysts working on Basel II, compliance officers, finance and technology officers.
Students will be able to:
  • Understand the requirements of Basel II and its background
  • Specify the data requirements for the key calculations involved in various approaches
  • Perform the basic calculations for both the Standardized and IRB approaches
  • Understand the advanced approaches for credit risk as well as operational risk
  • Identify the specific issues to be addressed under supervisory review process (Pillar 2)
  • Understand the general considerations with regard to disclosure requirements (Pillar 3)
General
  • Basel II - An Overview
  • Basel II - Cross Border Implementation Issues
  • Basel II - Scope of Application

Credit Risk -Standardized Approach

  • Basel II Standardised Approach-Risk Weight Frame Work
  • Basel II Standardised Approach-Credit Risk Mitigation
  • Basel II Standardised Approach- External Credit Assessments
  • Simplified Standardised Approach

Credit Risk – IRB Approach

  • Basel II- Corporate IRB Portfolio
  • Basel II- Corporate IRB Portfolio-Specialized Lending Portfolio
  • Basel II- Sovereign IRB Portfolio
  • Basel II- Bank IRB Portfolio
  • Basel II- Residential Mortgage Exposures
  • Basel II-Qualifying Revolving Retail Exposures
  • Basel II-Other Retail Portfolio
  • Basel II- Equity Exposures Portfolio
  • Basel II-Purchased receivables IRB Portfolio
  • Basel II and IRB -Minimum Requirements
  • Basel II-Treatment of Expected losses

Credit Risk – Securitization

  • Basel II Securitization - Standardised Approach
  • Basel II Securitization - IRB approach
  • Basel II Securitization - Operational requirements
  • Basel II -Supervisory review process

Operational Risk

  • Basic Indicator Approach
  • Standardized Approach
  • Advanced Measurement Approaches
  • Mapping of Business Lines and Loss Event Classification
  • Operational Risk Management-Sound Practices
  • Qualifying Criteria For Operational Risk

Market Risk

  • Market risk-Overview
  • Standardized Approach -Interest Rate Risk
  • Standardized Approach -Equity Position Risk
  • Standardized Approach -Foreign Exchange Risk
  • Standardized Approach -Commodity Risk
  • Standardized Approach -Options Risk
  • Internal Models Approach-Qualitative and Quantitative Standards
  • Internal Models Approach -Specifications to Market Risk Factors
  • Internal Models Approach-Stress Testing

Supervisory Review Process

  • Basel II -Supervisory review process Key Principles (Pillar II)
  • Basel II -Supervisory review process Specific Issues (Pillar II)
  • Basel II -Supervisory review process Interest Rate Risk (Pillar II)

Market Discipline

  • Market discipline-General Considerations (Pillar III)
  • Market discipline-Disclosure requirements (Pillar III)

IRB systems for Corporate Credit

  • Overview
  • Ratings for IRB systems
  • Quantification of IRB Systems-PD
  • Quantification of IRB Systems-LGD
  • Quantification of IRB Systems-EAD and Maturity
  • Data Maintenance Framework
  • Control and Oversight Mechanisms

IRB-Retail

  • Introduction
  • Retail Risk Segmentation systems for IRB
  • Quantification of IRB Systems-PD
  • Quantification of IRB Systems-LGD
  • Quantification of IRB Systems-EAD and Maturity
  • Quantification: Special cases
  • Validation
  • Data Maintenance
  • Control and Oversight Mechanisms

Operational Risk-AMA

  • Operational Risk-Introduction and CG
  • Operational Risk Management Elements
  • Elements of an AMA Framework
  • Risk Quantification and Mitigation
  • Data Maintenance and Testing

JOB AIDS

  • Benchmarking Data
  • Disclosures
  • Global Best Practices
  • Measurement Tools
  • Regulations

Calculators

  • Capital Ratio
  • Basic Indicator Approach
  • Credit Enhancement Level
  • CDD - Comprehensive Basel II Calculator
  • CDD-Retail Exposures
  • Corporate Exposures - IRB Approach
  • Comprehensive Approach
  • Standardized Approach
  • Effective Maturity
  • Currency and Maturity Mismatch
  • Credit Risk-Stadardized Approach
  • Capital Charge For Operational Risk- Alternative Standardized Approach
  • Capital Charge Basic Indicator Approach (ORM)
  • Standardized Approach (ORM)
  • Internal Measurement Approach
  • Maturity Ladder Approach For Commodities Risk
  • Delta-Plus Method For Options
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