Advanced Basel III Masterclass

This day provides a structured understanding of the evolution from Basel I to Basel III and the rationale behind regulatory reforms. Participants examine the three-pillar framework and lessons from the global financial crisis, leading into the Basel III final reforms and governance implications. The topics covered will include:

• Rationale and objectives of Basel I, II, and III across the regulatory cycle
• The three-pillar structure: Minimum requirements, supervisory review, and market discipline
• Key shortcomings of pre-crisis frameworks and lessons learned from the global financial crisis
• Basel III enhancements: Capital quality, buffers, and risk coverage
• Final reforms of Basel III (“Basel III endgame”) and implementation timelines
• Interaction of Basel standards with regional regimes (e.g EU, UK, US) and roles of boards, senior management, and risk functions in implementation

This day focuses on regulatory capital structure, leverage ratio mechanics, and RWA methodologies across major risk types. Participants analyze how capital buffers, exposure measures, and internal models influence balance sheet strategy. The topics covered will include:

• Definition of regulatory capital, capital tiers, and buffer requirements
• Minimum capital ratios, combined buffer requirements, and implications of breaching buffers
• Leverage ratio objectives, exposure measures, and leverage constraints
• Methodologies for calculating credit risk–weighted assets (RWAs) under standardized and internal ratings-based approaches
• Market risk frameworks and trading vs banking book
• Operational risk approaches and counterparty credit risk reforms (CVA, output floors)

This day examines liquidity risk management under LCR and NSFR frameworks and their interaction with capital and leverage constraints. Participants explore stress scenarios, funding strategies, and supervisory liquidity expectations. The topics covered will include:

• Liquidity Coverage Ratio (LCR), including high-quality liquid assets and 30-day net outflows
• Net Stable Funding Ratio (NSFR), available and required stable funding
• Interactions between LCR, NSFR, capital and leverage on balance sheet management
• Liquidity risk drivers, stress scenarios, and the importance of contingency funding plans
• Structural funding strategies, influenced by NSFR and leverage ratio constraints
• Emerging supervisory themes on liquidity risk, intraday liquidity, and funding concentrations    

This day integrates capital and liquidity planning with supervisory expectations under SREP. Participants connect stress testing results to governance, buffers, and business planning processes. The topics covered will include:

• Purpose, regulatory expectations, and governance of ICAAP and ILAAP
• Risk identification, quantification, and aggregation for capital and liquidity planning
• Design of stress testing frameworks, scenarios, and severity calibration, linking results to capital buffers, management actions, and risk appetite
• SREP, Pillar 2 capital guidance, and supervisory responses to weaknesses
• Integration of ICAAP/ILAAP into business planning, budgeting, and limit frameworks
• Documentation, data, and model expectations from supervisors in ICAAP/ILAAP reviews

This final day translates regulatory requirements into internal governance, pricing, treasury, and supervisory dialogue practices. Participants review practical implementation challenges and lessons learned from Basel projects. The topics covered will include:

• Translating Basel requirements into internal policies, limits and governance frameworks
• Practical challenges in RWA production, data quality, and model use/restrictions under final reforms
• Aligning product pricing, performance measurement and capital allocation
• Embedding LCR, NSFR and leverage constraints into treasury and ALM decision‑making
• Building effective ICAAP/ILAAP narratives and quantitative support for supervisory dialogue
• Lessons learned from recent supervisory findings and Basel implementation projects