Mastering Credit Risk Evaluation, Modelling and Management Course

The key objective of this training course is to empower professionals to—
• develop a thorough understanding and detailed knowledge of Basel III
• train other professionals on important facts and concepts of Basel III
• review existing documentation and processes of one’s organisation to check for adherence to required standards and practices as per Basel III
• help one’s organisation transition smoothly to a state of operations that is completely compliant with all requirements of Basel III
• introduce and implement advanced technological systems to make operations smarter and more accurate to meet the objectives of Basel III, thus contributing to organisational credibility and development
• devise robust stress testing and capital regulation measures to prevent the organisation from facing issues otherwise
• contribute to organisational development and credibility, thereby helping one’s organisation stay competent in the industry
• acquire the skillset and capabilities to assume higher roles and responsibilities concerning Basel III within or outside one’s organisation, thereby promoting one’s growth and development across a wide range of avenues

Course Content
Overview of Basel III
• Definition, history and information asymmetry
• Moral hazard
• Revised disclosure regime
• Disclosure hierarchy
Pillars of Basel III
• Minimum capital requirement
• Supervisory review process
• Market discipline
Principles of Basel III
• Capital requirements
• Leverage ratio
• Liquidity requirements
Benefits of Revised Regulator Framework (Risk-Weighted Asset Calculation)
• Enhancing robustness and risk sensitivity of standardised approaches
• Constraining use of internally modelled approaches
• Complementing risk-weighted capital ratios with the finalised leverage ratio
Drivers of Market Risks
• Commodity prices
• Equity prices
• Interest rates
• Credit spreads
• Foreign exchange
Revised Market Risk Framework
• The boundary of banking and trading book
• Measurement of market risk capital requirements
o Internal model approach
o Standardised approach
• Model testing
Credit Risks
• Definition
• Key elements/framework
o Exposure at default
o Loss given default
o Probability of default
• Approaches
o Standardised approach
o Foundation internal ratings-based approach
o Advanced internal ratings-based approach
• Risk mitigation techniques
o Netting
o Collateral
o Credit derivatives
• Credit valuation adjustments
Operational Risks
• Principles of operational risk management
• Approaches
o Basic indicator approach
o Standardised approach
o Advanced model approach
Liquidity Risks
• Regulatory capital: recapitulation
• Liquidity ratios: rationale, calculation, interpretation
• Liquidity monitoring tools
Capital Management
• Composition of capital
• Capital allocation
• Regulatory versus economic capital
• Capital allocation models
• Risk appetite
• Capital adequacy and capital optimisation
Stress Testing
• Regulatory and managerial principles
• Methodologies
• Reverse stress-testing
• Role in risk governance

METHODOLOGY
The training methodology integrates lectures, interactive discussions, collaborative group exercises, and illustrative examples. Participants will acquire a blend of theoretical insights and hands-on practical experience, emphasizing the application of learned techniques. This approach ensures that attendees return to their professional environments equipped with both the competence and self-assurance to effectively implement the acquired skills in their responsibilities.

DATE:
1ST BATCH: 4th – 7th Mar,2025
2ND BATCH: 8th – 11th July,2025
3RD BATCH: 11th – 14th Nov,2025