Programme

Programme

Programme

Day 1

08:30

Registration 

09:00

Looking ahead into Basel III

  • Overview of the Basel III requirements
  • Large Exposure - Highlight
  • Large Exposure - Economic Interdependence

Brian Yiu, Partner, PwC

10:00

Loss-absorbing capacity (LAC) 

  • Minimum LAC requirements 
  • Capital and LAC 
    • Internal LAC requirement 
    • External LAC requirement 
  • Impact of LAC on the balance sheet 
  • LAC rules on local banks that are headquartered in other jurisdictions
  • Timeline for meeting LAC requirements

Samir Jamal, Head of ERM Review Function, STANDARD CHARTERED BANK

11:00

Morning coffee break 

11:30

Recovery and resolution planning for banks

  • What is recovery planning?
  • What is resolution?
  • EU approach
  • HK approach
  • How do foreign bank branches in HK implement the HK recovery and resolution question?

Bram van den Bergh, Head of Asset & Liability Management - Asia Pacific, NATIXIS

12:30

Lunch 

13:30

High quality liquid assets (HQLA) under LCR

  • What counts as HQLA and what are the operational requirements
  • Taking a closer look at HQLA sources
  • HQLA under the LCR framework
  • Run off assumptions for deposits and secured financing
  • Optimising relationships and gaining business value in the Basel III environment

Samir Jamal, Head of ERM Review Function, STANDARD CHARTERED BANK

15:00

Afternoon coffee break 

15:30

HQLA Management in Practice

  • Assessment of sources of liquidity risk
  • Creating an Internal Liquidity Adequacy Assessment Process (ILAAP)
  • Net Stable Funding Ratio (NSFR)
  • Consideration of other areas impacting assessment of liquidity risks

Samir Jamal, Head of ERM Review Function, STANDARD CHARTERED BANK

 

17:00

End of day 1 


Day 2

08:30

Registration 

09:00

Evolution of Basel Capital Standards from Basel I to Basel IV

  • Fundamental building blocks of Basel IV
  • Implementation timeline of Basel IV
  • Overview of risk-based and non-risk based measures in Basel IV construct
  • Overview of Impact of Basel IV capital measures on the industry
  • Overview of disclosure requirements

Vishal Kapoor, Executive Director, Functional Audit Head for Risk and Group Finance, DBS BANK

10:30

Morning coffee break

11:00

Credit Risk RWA optimisation in the context of IRB and Standardised Approach

  • BCBS internal model suitability and parameterisation changes
  • Differences in using SA to calculate the remaining IRB exposures
  • Illustrative examples on RWA variability
  • Materiality assessment on process, systems, models and RWA engine updates to build internal models and adopt IRB
  • Contention on the aggregate IRB output floor and future outlook on IRB

Samir Jamal, Head of ERM Review Function, STANDARD CHARTERED BANK; Former Senior Manager, BANK OF ENGLAND

12:30

Lunch

13:30

Case Study: Interplay of LCR, NSFR, RWA and LR

  • Intended and unintended consequences of LCR, NSFR, RWA and LR
  • Understand impact on different banking business models
  • Case studies: ALCO management of investment bank vs universal bank balance sheets

Puay Tin Teo, Executive Director CIB Structural Initiatives, STANDARD CHARTERED BANK

15:00

Afternoon coffee break 

15:30

NSFR Practical Application

  • Calculation methodology: Liabilities and equity, required funding to fund assets
  • Extended stress scenario
  • NSFR funding : Funding stability considerations, ASF categories, RSF
  • NSFR challenges : Short term compliance cost
  • Distinction between NSFR and MSFR in applications
  • Effect on long term lending
  • Arbitrage

Vishal Kapoor, Executive Director, Functional Audit Head for Risk and Group Finance, DBS BANK

17:00

End of training course