risk-asean-basel

8-9 May 2018, Jakarta, Indonesia

DAY 1 | DAY 2

DAY ONE -- 8 May 2018

08:30

Registration

09:00

Opening address: Basel reform in the making

09:30

Basel III Overview

  • Overall Basel III framework
  • The latest developments in implementation in Asia
  • Regulatory arbitrage after Basel III
  • Common challenges in the implementation of capital and liquidity rules (CGFS)
  • Capital requirements for credit, market and operational risks
  • Basel's implications on bank balance sheets going forward

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

10:30

Morning Coffee Break

11:00

Overview of the Basel capital and liquidity rules

  • Overview of objectives of the introduction and changes in capital rules:
    • The 2-tier approach 
    • Liquidity Coverage Ratio (LCR)
    • Net Stable Funding Ratio (NSFR)
    • Liquidity Maintenance Ratio (LMR) 
    • Capital conservation buffer
    • Countercyclical capital buffers (CCB)
  • Why is Basel III requiring high levels of core equity tier 1 capital?
  • How do these capital rules practically help reduce risk?
  • How can banks overcome CCB's potential constraints on growth? 
  • The role of Contingent Convertible Capital Instruments (CoCos) in banks' liability and regulatory capital management
  • Scenario analysis: Calculating Countercyclical capital buffers (CCB)
  • LCR by significant currenly
  • Market- related monitoring tools
  • Transitional arrangements

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

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

Margin and collateral optimisation strategies

  • The role of capital in bank business model
  • Developing and customizing an overall capital management framework for your bank
  • RWA optimisation: data quality management, risk modeling and calibration, and managing multiple regulatory regimes and requirements
  • Regulatory capital vs. Economic capital
  • Evaluating alternative methods to improve capital efficiency:
    • Shift in product mix
    • Collateral optimisation
    • Scaling back on non-core businesses
    • Outplacement of businesses (asset divestment)
  • Addressing challenges with:
    • comparability of risk-weighted assets 
    • inconsistent use of and disclosure of Pillar 2 assessments
  • Case study: Regulatory Capital calculation - integration of credit and market risk capital
  • Case study: Capital planning and allocation based on long-term, full economic cycle 

17:00

End of Day 1

DAY 1 | DAY 2

DAY TWO - 9 May 2018

08:30

Registration

09:30

Leverage ratio (LR)

  • Basic principles and calculations
  • General measurement principles across various exposure categories
    • On-balance sheet exposures
    • Derivative exposures
  • Securities Financing Transactions (SFT) Exposures
  • Leverage Ratio standard disclosure
  • Strong tier 1 risk based rations with high levels of on and off balance sheet leverage
  • Simple, non-risk based leverage ration
  • Additional safeguards against model risk and measurement error
  • How does LR interplays with LCR and NSFR?

10:45

Morning Coffee 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

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

 

13:30

Lunch

14:00

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

17:00

End of Workshop