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Provided by: FitchTraining Basel II Calculating Credit RWA in the Banking Trading Book by AlgorithmicsAccounting and Finance |
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Training
Provided by FitchTraining
A three-day workshop for regulatory and economic capital modelling, validation and reporting professionals to calculate and validate Pillar 1 Credit RWA results. The workshop imparts the validation and analytic skills needed to assess the results of Credit RWA exposure level results across both banking book and trading book exposures and by Standardised and IRB approaches.
Related Awards, Degrees or Certifications: Earn CPD credits
We are an accredited training provider with a number of institutions including:
ACCA
NASBA
Securi
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Basel II Calculating Credit RWA in the Banking Trading Book by Algorithmics
Course Objectives
Specifically participants will be equipped to:
Calculate Standardised and IRB Credit RWA across the banking and trading books
Calculate the effects of CRM and optimally allocate them
Explain how RW, PD, LGD, EAD, Correlation and Effective Maturity are derived and their impact to Credit RWA
Calculate Counterparty Credit Risk exposures for OTC and SFT transactions
Generate retail pools from transaction level data and calculated securitized and non-securitized exposures accordingly
Explain the reporting requirement differences across major regulators and their aggregation requirements.
Target Audience
Those responsible for (a) Regulatory or Economic Capital Reporting, validation, analysis or management (b) financial reporting, regulatory supervision or project management of risk-based projects (c) credit risk or market risk with CCR exposure measurement methodologies and modeling (d) credit and IT advisory services, enterprise wide risk management oversight or IT managers tasked with data warehouse or similar supporting IT infrastructure management.
Participants should have an understanding of basic banking book and trading book products and services.
Participants seeking a strategic overview of regulatory and economic capital with an emphasis on Basel II implementation best practices, should also take the Basel II: Best Practices for Pillar 1, 2 & 3 Implementation.
NB: Due to the highly project and team oriented nature of the content, private, client-site sessions can be arrange for a more customised approach specific to your organisations requirement.
Content
This course covers the key aspects of Credit RWA calculations under current Pillar 1 approaches by combining (a) Regulatory and Economic Capital Management theory, (b) Calculation and analysis of Credit RWA risk components i. e. PD, LGD, EAD etcetera, and (c) Calculation of primary credit exposure level RWA outputs such as Gross EAD, Gross RWA, etcetera. The workshop is taught through a combination of lectures, exercises, and transaction analysis with heavy emphasis of practical calculations using excel. A laptop with a recent version of Excel is very strongly recommended and can be provided to you upon request.
OVERVIEW OF BASEL II:
Comparing Basel I to Basel II, moving from regulation to supervision
Global implementations, an update of current industry progress
National Discretion - Home versus Host reporting.
PILLAR 1 - OVERVIEW:
Defining risk from the perspective of the bank and its stakeholders
Exposure and asset classification in terms of calculation requirements
Overview of risks, RWA Approaches and measurement requirements.
PROBABILITY OF DEFAULT - RISK RATING THE BORROWER:
Retail PD modelling, an overview of techniques and pooling requirements
Wholesale PD modelling, an overview of Score Cards, Fundamental and asset Volatility Approaches
An analysis of Substitution versus Double Default.
LOSS GIVEN DEFAULT - RISK RATING THE FACILITY:
Silos, Decision Tress and other LGD model Approaches - using recovery rates to model LGD
Estimating Down Turn LGDs and ELGD (US requirement only)
EL, UL and LGD and their relation to measurement for defaulted exposures.
EFFECTIVE MATURITY (AND OTHER MATURITY EFFECTS):
Regulatory Default, RTTM and Effective Maturity - differences in approach
OTTM, Maturity Adjustments and Haircut effects.
EXPOSURE AT DEFAULT:
Banking Book versus Trading Book EAD Estimation, defining PFE and its role in determining EAD
Specific Provisions, General Loan Losses, Expected and Unexpected Losses - balancing the equations.
CORRELATION:
Measuring the SME effect and Retail considerations
ASRF considerations and implications for Economic Capital differences
Moving beyond Basel II, a focus on correlation.
RISK WEIGHTS:
Differences between Basel I and the Standardised Approach - focus on corporate exposures and national discretions
Generating the right RW - Obligor, Guarantor and Asset Risk Weights and the effect of Past Due exposures.
FACILITY - UNDRAWN ALLOCATION AND OPTIMISATION:
Overview and Methodology - Capturing the nominal Facility structure
Undrawn Allocation, calculations under the, Available, Utilized, Lowest CCF and Highest CCF approaches.
CREDIT RISK MITIGATION:
Classifying and applying eligible mitigants across Standardised and IRB approaches
Calculating the effects of CRM under Basel I, Standardised Simple, Standardised Comprehensive and IRB Approaches
Calculating regulatory haircuts and applying adjustments to EAD, PD and LGD estimates.
BANKING BOOK EXPOSURES - RWA EXPOSURE LEVEL CALCULATIONS:
Credit RWA calculations for Sovereign, Bank, Corporate, Corporate SME, Specialized Lending, Leasing and Corporate Purchased Receivables
Credit RWA calculations for Mortgage, Revolving, Other, Retail SME, Retail Purchased Receivables, Account and Pool level.
SECURITIZATION EXPOSURES - RWA EXPOSURE LEVEL CALCULATIONS:
Overview of securitization, understanding RMBS, ABS, CDO s, and CDS
Calculating Credit RWA under multiple approaches
Understanding Credit Derivatives and Government Guarantees.
TRADING BOOK - MEASURING EAD UNDER COUNTERPARTY CREDIT RISK:
Overview of CCR
Simple Approaches for OTC Exposure Calculations and Supervisory Beta
Simple Approaches for SFT Exposure Calculations
Advanced Approaches - measuring PFE under the IMM approaches.
REPORTING REQUIREMENTS:
A comparison of FSA, CEBS, OSFI and FED reporting requirements
Understanding the reporting requirements
Aggregating exposures to meet reporting requirements.
Specifically participants will be equipped to:
Calculate Standardised and IRB Credit RWA across the banking and trading books
Calculate the effects of CRM and optimally allocate them
Explain how RW, PD, LGD, EAD, Correlation and Effective Maturity are derived and their impact to Credit RWA
Calculate Counterparty Credit Risk exposures for OTC and SFT transactions
Generate retail pools from transaction level data and calculated securitized and non-securitized exposures accordingly
Explain the reporting requirement differences across major regulators and their aggregation requirements.
Target Audience
Those responsible for (a) Regulatory or Economic Capital Reporting, validation, analysis or management (b) financial reporting, regulatory supervision or project management of risk-based projects (c) credit risk or market risk with CCR exposure measurement methodologies and modeling (d) credit and IT advisory services, enterprise wide risk management oversight or IT managers tasked with data warehouse or similar supporting IT infrastructure management.
Participants should have an understanding of basic banking book and trading book products and services.
Participants seeking a strategic overview of regulatory and economic capital with an emphasis on Basel II implementation best practices, should also take the Basel II: Best Practices for Pillar 1, 2 & 3 Implementation.
NB: Due to the highly project and team oriented nature of the content, private, client-site sessions can be arrange for a more customised approach specific to your organisations requirement.
Content
This course covers the key aspects of Credit RWA calculations under current Pillar 1 approaches by combining (a) Regulatory and Economic Capital Management theory, (b) Calculation and analysis of Credit RWA risk components i. e. PD, LGD, EAD etcetera, and (c) Calculation of primary credit exposure level RWA outputs such as Gross EAD, Gross RWA, etcetera. The workshop is taught through a combination of lectures, exercises, and transaction analysis with heavy emphasis of practical calculations using excel. A laptop with a recent version of Excel is very strongly recommended and can be provided to you upon request.
OVERVIEW OF BASEL II:
Comparing Basel I to Basel II, moving from regulation to supervision
Global implementations, an update of current industry progress
National Discretion - Home versus Host reporting.
PILLAR 1 - OVERVIEW:
Defining risk from the perspective of the bank and its stakeholders
Exposure and asset classification in terms of calculation requirements
Overview of risks, RWA Approaches and measurement requirements.
PROBABILITY OF DEFAULT - RISK RATING THE BORROWER:
Retail PD modelling, an overview of techniques and pooling requirements
Wholesale PD modelling, an overview of Score Cards, Fundamental and asset Volatility Approaches
An analysis of Substitution versus Double Default.
LOSS GIVEN DEFAULT - RISK RATING THE FACILITY:
Silos, Decision Tress and other LGD model Approaches - using recovery rates to model LGD
Estimating Down Turn LGDs and ELGD (US requirement only)
EL, UL and LGD and their relation to measurement for defaulted exposures.
EFFECTIVE MATURITY (AND OTHER MATURITY EFFECTS):
Regulatory Default, RTTM and Effective Maturity - differences in approach
OTTM, Maturity Adjustments and Haircut effects.
EXPOSURE AT DEFAULT:
Banking Book versus Trading Book EAD Estimation, defining PFE and its role in determining EAD
Specific Provisions, General Loan Losses, Expected and Unexpected Losses - balancing the equations.
CORRELATION:
Measuring the SME effect and Retail considerations
ASRF considerations and implications for Economic Capital differences
Moving beyond Basel II, a focus on correlation.
RISK WEIGHTS:
Differences between Basel I and the Standardised Approach - focus on corporate exposures and national discretions
Generating the right RW - Obligor, Guarantor and Asset Risk Weights and the effect of Past Due exposures.
FACILITY - UNDRAWN ALLOCATION AND OPTIMISATION:
Overview and Methodology - Capturing the nominal Facility structure
Undrawn Allocation, calculations under the, Available, Utilized, Lowest CCF and Highest CCF approaches.
CREDIT RISK MITIGATION:
Classifying and applying eligible mitigants across Standardised and IRB approaches
Calculating the effects of CRM under Basel I, Standardised Simple, Standardised Comprehensive and IRB Approaches
Calculating regulatory haircuts and applying adjustments to EAD, PD and LGD estimates.
BANKING BOOK EXPOSURES - RWA EXPOSURE LEVEL CALCULATIONS:
Credit RWA calculations for Sovereign, Bank, Corporate, Corporate SME, Specialized Lending, Leasing and Corporate Purchased Receivables
Credit RWA calculations for Mortgage, Revolving, Other, Retail SME, Retail Purchased Receivables, Account and Pool level.
SECURITIZATION EXPOSURES - RWA EXPOSURE LEVEL CALCULATIONS:
Overview of securitization, understanding RMBS, ABS, CDO s, and CDS
Calculating Credit RWA under multiple approaches
Understanding Credit Derivatives and Government Guarantees.
TRADING BOOK - MEASURING EAD UNDER COUNTERPARTY CREDIT RISK:
Overview of CCR
Simple Approaches for OTC Exposure Calculations and Supervisory Beta
Simple Approaches for SFT Exposure Calculations
Advanced Approaches - measuring PFE under the IMM approaches.
REPORTING REQUIREMENTS:
A comparison of FSA, CEBS, OSFI and FED reporting requirements
Understanding the reporting requirements
Aggregating exposures to meet reporting requirements.
About The Training Provider: FitchTraining
FitchTraining - Fitch Training is a specialist training firm focused on the provision of credit and corporate finance training. Courses are offered in three areas: financial institutions, corporate credit and securitization. Fitch Training is part of Fitch Solutions, a division of the Fitch Group. We also work in partnership with Fitch Solutions to provide quantitative training.
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