risk-asean-basel

8-9 May 2018, Jakarta, Indonesia

DAY 1 | DAY 2

DAY ONE -- 8 May 2018

08:00

Registration

09:00

An introduction to Basel I,II and III

  • Capital Resources and Requirements
  • Basel I Overview
  • Basel II - Pillar 1, Pillar 2 and Pillar 3
  • The ICAAP and its requirements
  • Weaknesses of Basel II
  • Basel III - new capital and liquidity standards and buffers

Aziz Durrani, Senior Financial Sector Specialist, Financial Stability and Supervision, SEACEN CENTRE

10:30

Morning Break

11:00

Managing and pricing the balance sheet in the new regulatory regime

  • How to generate the right liabilities for the different types of assets
  • How to align internal and regulatory metrics
  • What do we need to consider while pricing
  • How to calculate the regulatory costs
  • Why should we consider these regulatory costs

Nabil Rahman, Executive Director, Head Liquidity Management (East), Asset and Liability Management (ALM), STANDARD CHARTERED

12:15

Net Stable Funding Ratios (NSFRs)

  • Basel III - Net Stable Funding Ratio (NSFR) 
  • Purpose and overview
  • Liabilities: Available Stable Funding (ASF) drivers
  • Assets: Required Stable Funding (RSF) drivers
  • NSFR case study
  • NSFR industry concerns

Nabil Rahman, Executive Director, Head Liquidity Management (East), Asset and Liability Management (ALM), STANDARD CHARTERED

13:30

Lunch

14:30

Counter-party credit risk

  • Standardised Approach for Counterparty Credit Risk (SA-CCR)
  • Internal Model Method (IMM)
  • Treatment of trades with Central Counterparties (CCP)
  • Adjustments for Credit, Debit, Funding and Prudent Valuation 
  • Trade examples of counterparty credit risk

Douglas Bongartz-Renaud, Former Global Head of Currency Derivatives and Global Head of Rate Derivatives and Structured Product, ABN AMRO

15:45

Basel capital and liquidity rules

  • Overview of Basel III
  • Objectives of the introduction & changes in capital rules
    • The 2 tier approach to Capital i.e.
    • Liquidity Coverage Ratio (LCR)
    • Net Stable Funding Ratio (NSFR)
    • Capital conservation buffer (CCB)
    • Countercyclical capital buffers (CCyB)
  • Why does Basel III require high levels of core equity tier 1 capital?
  • How do these capital rules help reduce risk?
  • How can banks overcome CCyB constraints on growth?
  • Calculating Countercyclical capital buffers (CCyB)
  • The role of Contingent Convertible Capital Instruments (CoCos) in banks liability and regulatory capital management
  • Liquidity Monitoring tools
    • Contractual maturity mismatches
    • Concentration of funding
    • Available unencumbered assets
    • LCR by significant currency
    • Market-related monitoring tools
  • Transitional arrangements
  • Conclusion
  • Q&A

Mike Duncan, Independent Consultant

17:00

End of Day 1

DAY 1 | DAY 2

DAY TWO - 9 May 2018

08:00

Registration

09:30

Leverage ratio (LR)

  • Overview of Basel III
  • What is the Leverage Ratio?
  • Basic principles and calculations
  • Exposure Measure
    • On-balance sheet exposures
    • Off-balance sheet exposures (OBS)
    • Derivatives exposures
    • Securities Financing Transactions (SFT) Exposures
  • Leverage Ratio standard disclosure
  • How does Leverage Ratio interplay with LCR and NSFR?
  • Conclusion
  • Q&A

Mike Duncan, Independent Consultant

10:45

Morning Break

11:15

Liquidity risk

  • The treatment of liquidity risk
  • Stress testing, contingency planning, risk tolerance and liquidity pricing
  • Liquidity Coverage Ratio (LCR): calculation principles and disclosure
  • LCR assumes that deposits and funding by retail and smaller business customers are stable - does this result in an overestimation of liquidity?
  • Net Stable Funding Ratio (NSFR): calculation principles and disclosure

Douglas Bongartz-Renaud, Former Global Head of Currency Derivatives and Global Head of Rate Derivatives and Structured Product, ABN AMRO

12:15

Review of credit risk and calibration of the new capital floor

  • Proposed revisions to the Standardised Approach for Credit Risks (SA-CR)
  • Proposed design of a Floor Framework based on Standardised Approaches (SA-Floors)
  • Future of Internal Model Approaches under a SA-Floors regime
  • Internal rating based models (IRB) and Risk-weighted Assets (RWAs) 
  • Implications of revised rules for banks and the financial industry in the region

Pardi Sudradjat, Independent Commissioner, RABOBANK INDONESIA

13:30

Lunch

14:30

Interest Rate Risk in the Banking Book (IRRBB)

  • Nature of IRRBB and typical metrics employed
    • Definition of interest rate risk and its various forms
    • Simple gap and value metrics
    • Simple income metrics
    • Use of derivatives to hedge and manage IRRBB
    • The role of the treasury function
  • The regulatory landscape and Industry responses to IRRBB
  • Impact of IRRBB on banks with both banking and trading books
  • Interaction of IRRBB regulation with the
    • Fundamental Review (FRTB)
    • The banking and trading book boundary
  • Funding and liquidity implications
  • Residual Risk

Douglas Bongartz-Renaud, Former Global Head of Currency Derivatives and Global Head of Rate Derivatives and Structured Product, ABN AMRO

15:45

Risk modelling, stress testing and scenario analysis

  • Capture of systemic risk/tail events in stress testing and risk modeling
  • VaR shortcomings: the normality assumption
  • Systemic risk capture in banks' risk models
  • Stressed value at risk (S-VaR)
  • Credit Valuation Adjustment (CVA)
  • Wrong-way risk
  • Establishing a strong stress testing programme
  • Principles for sound stress testing practices and supervision
  • Use of stress testing and integration in risk governance
  • Scenario selection

Pardi Sudradjat, Independent Commissioner, RABOBANK INDONESIA

17:00

End of Day 2