Mar 27 – 29 2023
(Lagos/Abuja Time Zones)

Experience the highly-interactive expert-led social learning through Virtual Classroom via Risktech & Advisory Limited.

All our 2023 Live, Virtual and Face-to-Face Classroom events feature shared (or discrete) live chat between delegates and the expert, participate in topical surveys, polling questions, group exercises and case studies for a tried -and- true engaging and gratifying learning experience.

Need to bring this course in-house and/or at your location anywhere worldwide for any sized group or 1:1 tutorial? Simply contact us for a prompt and courteous reply offering significant cost savings and dates to meet your specific requirements.

Session 1: Introduction & Course Objectives

Session 2: The Essence of Risk Management

Session 3: The Basel Framework

Session 4: Risk-Based Capital Management – An Overview

Session 5: Risk-Adjusted Performance Measurement (RAPM)

Session 6: The Internal Capital Adequacy Assessment Process (ICAAP)

Session 7: Enterprise Risk Management (ERM)

Session 8: Principal Risk Categories and their Economic Capital Treatment

Session 9: Liquidity Risk

Session 10: Corporate Risk Management and Governance

Session 11: Risk Appetite

Session 12: Stress Testing and Scenario Analysis

Session 13: Business Risk 

Session 14: Inter-Risk Diversification

Session 15: A Look into the Future

Session 16: Pulling It All Together 

As banks strive for value creation in a highly competitive environment, they inevitably create risks. The greatest threat to a financial institution is when such risks are not properly identified, measured, or managed. In these circumstances, the result is invariably unexpected losses which, as the financial crisis has demonstrated, can threaten the existence of banks of all sizes.

The regulatory response to recent events is contained in Basel III which sets out to make capital requirements more risk-sensitive, enhance risk coverage and strengthen the loss absorbency of available capital. It introduces the concept of building capital buffers during good times so that banks are better positioned to absorb the losses that occur during periods of stress. Basel III further introduces new liquidity management standards. Notwithstanding Basel III, banks must continue to focus their internal risk management programmes, among other things, on finding an expression of their true economic exposure to risk in the form of economic capital.

Risk, finance, project, audit, and compliance staff and management involved in developing or reviewing approaches to risk and capital management or implementing Basel III.

Introduction & Course Objectives 

• Course objectives 

The Essence of Risk Management 

• Confidence intervals and loss distributions 
• The DNA of risk management 

Case study: analysing threats of unexpected losses leading to capital erosion 

The Basel Framework 

• Why regulatory capital? 

• The evolving Basel Accords – an overview of Basel I, II, & III 
• Basel III in more detail: 

• • Point of non-viability and the new capital ratios 
  • Common equity and regulatory adjustments 
  • Capital conservation and countercyclical buffers 

• • Leverage ratio 
  • Liquidity coverage and net stable funding ratios 
  • Counterparty credit risk 
  • Basel III timeline – phase-in arrangements 

Risk Based Capital Management – An Overview 

• The evolving risk landscape and its impact on capital 
• The different forms of capital and their interrelationship – book, economic and regulatory 
• Key elements of available capital – Tiers 1, 2 & 3 
• Capital hybrids – an example 

• A best practice capital management framework 

Case Study: understanding and analysing the origins of systemic risk 

Risk Adjusted Performance Measurement (RAPM) 

• Best practice management of financial resources: 

• Activity Based Costing (ABC) 
• Funds Transfer Pricing (FTP) 

• Risk Based Capital (RBC) 

• Using RAPM for decision support and management reporting 
• Risk Adjusted Return on Capital (RAROC) 
• Implementation issues and transitional arrangements 

Case Study: migrating to a risk based (RAPM) performance management system 

The Internal Capital Adequacy Assessment Process (ICAAP) 

• The ICAAP purpose and key features 
• The core principles of a best practice ICAAP 

• Supervisory guidance and framework 
• The supervisory review and evaluation process (SREP) 
• A summary capital position 
• Reconciling book, economic and regulatory capital 

Case Study: reviewing and critiquing sample ICAAPs 

Enterprise Risk Management (ERM) 

• What is ERM and why is it important? 
• The benefits of effective ERM 

• The importance of Enterprise Risk Management (ERM) 
• Understanding the key elements of an effective risk management programme  
• Roles and responsibilities within ERM 

Case Study: preparing ERM risk diagnostics and reporting to management 

Principal Risk Categories and their Economic Capital Treatment 

• Credit Risk 
  • The standardised and internal ratings based approaches 

• • Economic capital based decision making 
  • Model risk and potential impact 

• Market Risk 
  • Trading book risk management overview 

• • Trading vs. banking book 
  • Value-at-Risk (VaR) – its uses and limitations 

• Interest Rate Risk in the Banking Book (IRRBB) 
  • Banking book risk management overview 

• • The effect of yield curves – funding gap and simulation analysis 

•  Operational Risk 
  • Basic, standardised and advanced approaches 
  • Risk quantification under Basel II and its limitations 

• • Op risk management tools & techniques 
  • Loss event data 

Case Study: assessing the effectiveness of risk management tools & techniques 

Liquidity Risk 

• The Basel III liquidity risk rules 
• BCBS sound practices 

• The liquidity coverage and net stable funding ratios 
• Monitoring tools and techniques 

Corporate Risk Management and Governance 

• Corporate governance structures 

• BCBS sound practices 
• Three lines of defence 

Risk Appetite 

• Definition and key concerns 

• Constructing a loss sensitivity matrix 
• The risk appetite setting process and overview 

Case study: reviewing and critiquing actual statements of risk appetite from the industry and recommending improvements 

Stress Testing and Scenario Analysis 

• BCBS sound principles 
• A stress testing framework 
• Management interventions and their impact 
• Stress testing shock waves 

Business Risk 

• What is business risk? 
• Earnings volatility model and method of calculation 

Inter-Risk Diversification 

• What is inter-risk diversification? 
• Calculating and allocating diversification benefits 

 A Look into the Future 

• Convergence of risk and accounting systems – can it be done? 
• Basel III – status of implementation in the industry and emerging issues 
• Regulatory reform and the role of the Financial Stability Board (FSB) 
• Analysis of regulatory reform and the impact on banks and the likely response 
• Recent Basel papers – a directional change in thinking? 

Pulling It All Together 

• Constructing the ICAAP – an approach 
• What content and how much detail 
• The challenge process and ensuring acceptance 

Case study: constructing a threats/mitigation heat map 

This course examines the latest tools, techniques and best practices surrounding economic capital calculation and risk-based capital management and how to structure an Internal Capital Adequacy Assessment Process (ICAAP) that maximizes its inherent motivational incentives. It considers the Basel accords, with particular focus on Basel III, and examines the composition and interrelationship between the various types of capital – available (book), regulatory and economic – and explores frameworks for their effective management.

Highly interactive expert-led intensive presentation, Q&A, group real-time in-depth case studies, audit writing programmes, regulation and discussion supported by key principles and theory. The virtual learning platform uses safe, industry preferred encrypted Cisco WebEx to optimize live face-to-face visual interaction, discrete chat, for polling and quizzes. (An invitation via email with access link is included for all participants.)