Risk Management Training Programs
The Fundamentals of Basel IV
Réf: FOBIV-225
The Fundamentals of Basel IV: Comprehensive Training
This training provides a structured and in-depth approach to understanding and implementing the Basel IV framework, covering its key components, regulatory requirements, and practical applications in financial institutions.
The program explores the evolution of Basel IV, its objectives, and its impact on capital requirements, risk management, and reporting standards.
Participants will delve into advanced methodologies for calculating Risk-Weighted Assets (RWA), including the Standardised Approach (SA) and Internal Ratings-Based (IRB) approaches, as well as the new Credit Valuation Adjustment (CVA) framework.
The training also addresses the Fundamental Review of the Trading Book (FRTB), focusing on capital requirements for market risk, stress testing, and scenario analysis under the new regulatory framework.
Finally, participants will analyze the implications of Basel IV for counterparty risk management, liquidity ratios (LCR and NSFR), and leverage ratios through practical case studies and real-world examples.
Combining theory and practical applications, this training equips participants with the essential tools to navigate the complexities of Basel IV and ensure compliance in a rapidly evolving regulatory environment.
Who Should Attend?
- Counterparty Risk Managers
- Derivatives Traders and Sales
- Regulatory Compliance Officers
- Quantitative Analysts (Quants)
- Risk Analysts and Auditors
- Financial Consultants specializing in banking regulation
By the End of This Training, Participants Will Be Able To:
- Understand the key concepts and objectives of Basel IV, as well as its evolution from previous agreements.
- Analyze capital requirements, including solvency ratios (CET1, Tier 1, Total Capital) and the calculation of Risk-Weighted Assets (RWA).
- Apply calculation methodologies for credit, market, and operational risks under the new Basel IV standards.
- Evaluate the impact of leverage ratios (Leverage Ratio) and liquidity ratios (LCR and NSFR) on bank balance sheet management.
- Master reporting and transparency requirements (Pillar 3) to ensure regulatory compliance.
- Identify operational and strategic challenges related to the implementation of Basel IV in financial institutions.
- Anticipate future trends, including the integration of ESG criteria and emerging technologies into the regulatory framework.
🎓 IN-PERSON OR ONLINE CLASS
⏳ Duration: 2 days (14 hours)
➕ Remote activity
💰 2250.00 € VAT Exempt (*)
📌 Reference: FOBIV-225
Training Program: Fundamentals of Basel IV
I. Introduction to the Fundamentals of Basel IV
- Regulatory evolution: From Basel III to Basel IV
- Main objectives: Financial stability, improved risk management, capital strengthening
- Specific impacts for counterparty desks
II. Key Measures of Counterparty Risk under Basel IV
- Exposure at Default (EAD): Advanced calculation methodologies under Basel IV
- Standardised Approach to Counterparty Credit Risk (SA-CCR)
- Expected Positive Exposure (EPE) and Potential Future Exposure (PFE)
Practical Case:
Calculate the EAD of a derivatives portfolio under SA-CCR.
III. CVA Risk Management under Basel IV
- Understanding Credit Valuation Adjustment (CVA) and its challenges in the new regulatory framework
- Calculation methods: Basic Approach (BA-CVA) vs Standardised Approach (SA-CVA)
- Integration of CVA into proactive counterparty management
Practical Case:
Evaluation of CVA under different methodologies (Excel, Python)
IV. Integration of the FRTB Framework
Fundamental Review of the Trading Book
- Overview of changes introduced by FRTB
- Calculation of capital requirements: Standardised Approach and Internal Models Approach
- Implications for derivatives and structured operations
Practical Case:
Assessment of capital requirements under the FRTB framework for a sample portfolio
V. Advanced Counterparty Risk Management
- Identification and management of Wrong-Way Risk (WWR)
- Advanced stress testing and regulatory scenarios under Basel IV
- Innovative approaches: ESG integration and Blockchain technology in risk management
Practical Case:
Simulation of a regulatory stress test integrating ESG risk
VI. Future Trends and Regulatory Innovations
- Emerging technologies: Blockchain and Smart Contracts
- Impact of ESG criteria on counterparty risk management
- Forecasts on future developments in banking regulation
Practical Case:
Exploration of blockchain applications in collateral management
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