Credit Risk Under Basel Ii, Iii And Iv Accords

An Analysis of Basel II, Basel III, and Basel IV: Credit Risk

What you'll learn

The concepts of credit risk under Basel II, III, and IV accords/frameworks and elaborate on the changes introduced by each framework.

Critical Analysis of the Basel Accords: Necessity, Advantages, and Shortcomings

The key financial regulations around Basel Capital Adequacy requirements

The key attributes/parameters used in deriving Risk-Weighted Assets (RWA) for credit risk.

High-level analysis of the key changes introduced in Basel IV to Risk-Weighted Asset calculation for Credit Risk

Requirements

There are no prerequisites or requirements to take this course.

Description

This intensive program delves into the essential aspects of managing credit risk within Basel II, III, and IV frameworks. Designed for beginners and professionals seeking more profound expertise, this course equips you with the knowledge and skills to navigate the complexities of bank capital adequacy regulations.Key Focus:Mastering the Fundamentals: Gain a thorough understanding of the Basel Accords' evolution, purpose, and impact on the global financial system.Demystifying Capital Calculations: Explore the various capital types (CET1, Tier 1, Tier 2), their calculation methods, and their influence on risk-weighted assets.Navigating Risk Weighting: Unravel the risk weighting system, its application in determining capital requirements, and its role in mitigating credit risk exposure.Basel III in Depth: Analyze the core Basel III standards, including the CET1 ratio, CAR, and Leverage Ratio, and their practical implications for capital adequacy.Embracing Basel IV: Compare and contrast the new Basel IV standards with Basel III, focusing on critical changes and their impact on credit risk management practices.Learning Outcomes:Confidently explain the Basel framework and its objectives for ensuring financial stability.Differentiate between capital types and calculate capital requirements under each Basel Accord.Apply risk weighting strategies to assess exposure and determine capital needs accurately.Appreciate the significance of Basel regulations in safeguarding banks and depositors.Develop practical skills for effective credit risk management within the regulatory landscape.No prior knowledge of Basel regulations is required!Assessment:Your understanding will be continuously evaluated through interactive quizzes and a comprehensive final exam.By completing this program, you'll gain the confidence and expertise to manage credit risk effectively within the evolving Basel framework.

Overview

Section 1: Basel II Framework

Lecture 1 Introducing Basel II

Lecture 2 Highlights of the Basel II Framework

Lecture 3 Basel II: The Three Pillars

Lecture 4 Introducing Pillar I

Lecture 5 A High-Level Summary of the Basel II Framework

Section 2: Basel II Credit Risk

Lecture 6 What is Regulatory Capital?

Lecture 7 Risk Weighted Asset & Capital Ratio

Lecture 8 What is Credit Risk?

Lecture 9 Basel II: Standardized Approach

Lecture 10 Exposure to Sovereigns

Lecture 11 Exposure to Public Sector Entities

Lecture 12 Exposure to Multilateral Development Bank

Lecture 13 Exposure to Banks

Lecture 14 Exposure to Corporates

Lecture 15 Retail Exposures

Lecture 16 Residential & Commercial Mortgage Exposures

Lecture 17 Past Due Exposures

Lecture 18 High Risk Exposures & Equity Exposures

Lecture 19 Original Exposure Calculation

Lecture 20 Exposure Value Calculation

Lecture 21 Credit Risk Mitigation

Section 3: Basel II: Standardized Approach Examples

Lecture 22 Basel II: Standardized Approach Examples

Section 4: Basel II Internal Ratings Based Approach

Lecture 23 Internal Ratings Based Approach

Lecture 24 Asset Classes and Risk Components

Lecture 25 Basel II IRBF – Asset Class

Lecture 26 BASEL II IRBF: Probability of Default

Lecture 27 BASEL II IRBF: LGD & Maturity

Lecture 28 Basel II IRBF – EAD Calculation

Lecture 29 Key Input Fields for EAD Calculation

Lecture 30 Basel II – Calculation of Risk Weight & RWA under the Basel II IRBF

Lecture 31 Basel II IRBF – Mitigant

Section 5: Basel II IRBF: Example Exercises

Lecture 32 Basel II IRBF: Example Exercises

Section 6: Basel II Advanced Internal Ratings Based Approach

Lecture 33 Basel II IRBA – Asset Class

Lecture 34 Basel II IRBA – Probability of Default

Lecture 35 Basel II IRBA – Loss GIven Default (Distinct)

Lecture 36 Basel II IRBA – Maturity

Lecture 37 Basel II IRBA – EAD Calculation

Lecture 38 Calculation of Risk Weight for Wholesale Exposures under IRBA

Lecture 39 Calculation of Risk Weight for Retail Exposure under the IRBA

Lecture 40 Key Input Fields for EAD Calculation under the IRBA

Lecture 0 Basel II IRBA – Expected Loss Calculation

Lecture 0 Basel II IRBA – Exposures in Default

Lecture 0 Basel II IRBA – Mitigation

Lecture 0 Introduction to Basel III

Lecture 0 Highlights of Basel III

Lecture 0 Basel III Capital Composition

Lecture 0 Basel III – Mandatory Capital Conservation Buffer

Lecture 0 Discretionary Countercyclical Capital Buffer

Lecture 0 Capital for Global Systematically Important Banks (GSIBs)

Lecture 0 Introduction to Basel IV

Section 7: Basel IV Credit Risk

Lecture 0 Basel IV – Credit Risk Standardised Approach

Lecture 0 Basel IV – Exposure to Sovereigns, PSEs and MDBs.

Lecture 0 Basel IV – Exposure to Banks

Lecture 41 Basel IV – Exposure to Covered Bonds

Lecture 0 Basel IV – Exposure to Corporates

Lecture 42 Basel IV – Specialized Lending Exposures

Lecture 0 Basel IV STD: Subordinated Debt, Equity, and Other Capital Instruments

Lecture 43 Basel IV – Exposure to Retail

Lecture 44 Basel IV – Exposures secured by Residential Real Estate

Lecture 45 Basel IV – Exposures Secured by Commercial Real Estate

Lecture 0 Basel IV – Land Acquisition, Development and Construction Exposures

Lecture 46 Basel IV – Currency Mismatch Multiplier

Lecture 47 Basel IV – Internal Ratings Based Approach

Lecture 48 Basel IV IRB – PD & LGD Parameter Floors

Lecture 49 Basel IV IRB – Other Changes

Anyone interested in learning more about regulatory reporting or building a career in financial services,Analysts,Risk Managers,Investors,Regulators,Internal Auditors