Basel III for Central Banks, Financial Regulators & Auditors


Many classes sell-out; we suggest registering at least two weeks in advance to ensure your seat.

Hours9:00 am – 5:00 pm; Registration/Breakfast: 8:30 am; Dress Code: Business Casual

CPE Credits: 14

Prerequisites: None
Method: Group Live

In the last few years, there has been a tremendous amount of media coverage on how Basel III will impact banks globally. Yet, an equal amount of attention should be given to how Basel III impacts the role of central bankers, bank regulators, financial regulators, and internal and external auditors. All of these professionals have to be up-to-date on the changing nature of Basel III so that they can effectively supervise, examine, and audit banks that are required to implement Basel III. This course is designed for professionals who want to increase their understanding of Basel III and its influence on their day-to-day professional roles.

This two-day course is interactive and is comprised of a lecture, case studies, and relevant articles to supplement discussion of recent developments in operational risk management.

Course Objectives

At the end of this course, participants should be able to:

  • Review key elements in Basel II which remain in Basel III
  • Define capital and new buffers in Basel III
  • Discuss best practices for internal and external auditors and examiners who audit or supervise banks
  • Evaluate typical internal models used by banks in measuring credit and market risks
  • Identify key challenges in monitoring banks’ liquidity

Module I — Overview of Basel II

  • Discuss definition of capital under Basel II
  • Distinguish between three pillars of Basel II
  • Differentiate between three methodologies to measure credit risk in Pillar I
  • Highlight some of Basel II’s shortcomings

Module II — What is Capital under Basel III?

  • Discuss new components of capital in Basel III 
    • Tier I, Tier II and relevant deductions
  • Identify changes in treatment of minority interests
  • Describe AOCI filer and its new treatment
  • Discuss requirements for new buffers
    • Capital conservation
    • Leverage
    • Liquidity
    • G-SIB surcharge
  • Evaluate how prompt corrective thresholds will work

Module III — Auditing and Examining Internal Credit and Market Risk Models

  • Discuss best practices to audit and examine banks’ internal models
    • Credit risk models- Black-Scholes Merton, Risk migration frameworks, CVaR
    • Market risk models – VaR and Expected Shortfall frameworks
  • Identify relationship between models and Basel III formulae
  • Evaluate banks’ practices in input selection, model creation and validation, and how banks use models
  • Describe what auditors and internal controls personnel should be looking for in auditing and examining internal models

Module IV — Monitoring Liquidity Standards

  • Discuss what constitutes high quality liquid assets
  • Enumerate best practices for examiners and auditors in monitoring how banks create  liquidity stress scenarios
  • Evaluate metrics to monitor banks’ liquidity
    • Contractual maturity mismatch;
    • Concentration of funding;
    • Available unencumbered assets
    • By significant currency; and
    • Market-related monitoring tools

Module V — New Basel Committee Guidelines

  • Describe new guidelines and consultative documents released in 2013
    • Leverage, RWAs, treatment of trading book, investments in equity, and CCPs
  • Explain how those proposals will impact large, internationally active banks and how they should be audited and examined

Summary Conclusion and Question and Answer Session

US $1695.00

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