The Fundamentals of Basel IV

Training Description

The Fundamentals of Basel IV

The training course "The Fundamentals of Basel IV" aims to provide an in-depth understanding of regulatory developments and their impact on counterparty risk management.

Designed for risk managers, analysts, and compliance professionals, this training covers essential topics:

• Evolution from Basel III to Basel IV: New challenges and impacts for financial institutions
• Counterparty risk measurement: Advanced approaches to Exposure at Default (EAD) calculation and SA-CCR
• CVA management: Credit Valuation Adjustment and new regulatory methods
• Integration of the FRTB framework: Capital requirements and internal model approach

Training Objectives

• Understand the evolution and objectives of the Basel IV agreements
• Master the calculations of exposure at default and capital requirements
• Apply new standards for counterparty risk and CVA
• Integrate the FRTB approach and its implications for trading portfolios
• Anticipate future trends, including ESG integration and emerging technologies

Target Audience

• Counterparty risk managers
• Traders and derivative product sales professionals
• Regulatory compliance officers
• Quantitative analysts (Quants)
• Auditors and consultants in banking regulation

Training Duration

• 2 days (14 hours)

Training Program

The 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, strengthened capital
• Specific impacts for counterparty desks

II. Key Measures for Counterparty Risk under Basel IV

• Exposure at Default (EAD): Advanced calculation methodologies under Basel IV
• Standardized Approach for Counterparty Credit Risk (SA-CCR)
• Expected Positive Exposure (EPE) and Potential Future Exposure (PFE)

Practical Case:

Calculating the EAD of a derivatives portfolio under SA-CCR.

III. Managing CVA Risk under Basel IV

• Understanding Credit Valuation Adjustment (CVA) and its challenges in the new regulatory framework
• Calculation methods: Basic Approach (BA-CVA) vs Standardized Approach (SA-CVA)
• Integrating CVA into proactive counterparty management

Practical Case:

Evaluating CVA under different methodologies (Excel, Python)

IV. Integration of the FRTB Framework

• Overview of changes introduced by FRTB
• Calculating capital requirements: Standardized Approach and Internal Model Approach
• Implications for derivatives and structured transactions

Practical Case:

Assessing capital requirements under the FRTB framework for a sample portfolio

V. Advanced Counterparty Risk Management

• Identifying and managing Wrong-Way Risk (WWR)
• Advanced stress testing and regulatory scenarios under Basel IV
• Innovative approaches: Integrating ESG and Blockchain technology into risk management

Practical Case:

Simulating 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
• Perspectives on future developments in banking regulation

Practical Case:

Exploring blockchain applications in collateral management