E-Learning Course: Basel II - University (Library of 39 courses)

Course Content

1. Basel II - Overview
Topics covered include:

The objectives of the" International convergence of capital measurement and capital standards". (Also known as Basel-II)
The substance of minimum capital requirements (Pillar-I)
The role of supervision as an essential complement to minimum capital requirement
The broad qualitative and quantitative disclosures which banks have to disclose under new Basel Capital accord

2. Scope of Application
Topics covered include:

General considerations with regard to disclosure requirements
Scope of application

3. Credit Risk - Standardized Approach
Topics covered include:

Risk components and risk weights for corporate, bank, equity and sovereign exposures
Approaches used to estimate the risk components
Minimum requirements for corporate, bank, equity and sovereign exposures

4. Standardized Approach - Credit Risk Mitigation
Topics covered include:

Techniques that banks use to mitigate credit risk
Treatment of risk mitigation techniques in standardised approach

5. Simplified Standardized Approach
Topics covered include:

Simplified Standardised approach for credit risk
Treatment of credit risk mitigation techniques under simplified standardised approach
Treatment securitization transactions
Simplified Standardised approach for operational risk

6. IRB Approach - Overview
Topics covered include:

The mechanism of IRB approach
Different categories of exposures
Risk components involved
Sub-approaches in IRB approach
The procedure for adopting IRB approach across asset classes
Transition arrangements under the IRB approach

7. IRB Approach - Rules for Exposures
Topics covered include:

Risk weight for corporate exposure
Risk weight for Specialized Lending portfolio
Risk weight for IRB Sovereign portfolio
Risk weight for IRB Bank exposures Portfolio
Risk weight for qualifying revolving retail exposures portfolio
Risk weight for Other Retail exposures Portfolio
Risk weights for equity exposures
Risk weights for Purchased receivables

8. IRB Approach - Minimum Requirements
Topics covered include:

Minimum requirements under each exposures to be eligible for the IRB approach

9. Credit Risk - Securitization Framework
Topics covered include:

IRB approach for securitization exposures
Credit Risk - Securitization framework

10. Operational Risk Measurement Approaches
Topics covered include:

Principles for management and supervision of operational risk
Framework for evaluating operational risk management policies and practices
Role of supervisors and the utility of disclosure
Framework for evaluating operational risk management policies and practices

11. Qualifying Criteria for Operational Risk
Topics covered include:

Qualifying criteria for operational risk measurement approaches

12. Market Risk - Measurement Framework
Topics covered include:

Methods to measure market risk capital
Capital Ratio

13. Market Risk - Standardized Measurement Approach
Topics covered include:

Treatment of Interest rate risk
Treatment of equity position risk
Treatment of Foreign Exchange Risk
Treatment of Commodity Risk
Treatment of options

14. Market Risk - Internal Models Approach
Topics covered include:

'General' and 'Qualitative' requirements banks need to fulfill to be eligible to use the internal models approach
Quantitative standards that banks have to keep in mind for calculating their capital charge
Specification of market risk factor
Back Testing
Stress Testing

15. Key Principles
Topics covered include:

Key principles of Supervisory review process

16. Specific Issues
Topics covered include:

Specific issues to be addressed under supervisory review process
Principles for the management and supervision of Interest Rate risk management

17. Supervisory Review Process for Securitization
Topics covered include:

Significance Of Risk Transfer
Market innovations
Provision Of Implicit Support and the supervisory action
Residual risks
Early amortization
Call Provisions

18. Market Discipline
Topics covered include:

General considerations with regard to disclosure requirements
Scope and applications
Disclosure requirements for various risk exposures

19. An Overview of IRB Systems for Corporate Credit
Topics covered include:

Concepts and requirements for an IRB framework for corporate credit.

20. Ratings for IRB Systems
Topics covered include:

Supervisory guidance on ratings of IRB systems for corporate credit risk

21. Quantification of IRB Systems - PD
Topics covered include:

Supervisory guidance on quantification of probability of default of IRB systems for corporate credit risk.

22. Quantification of IRB Systems - LGD
Topics covered include:

Supervisory guidance on quantification of loss given default of IRB systems for corporate credit risk.

23. Quantification of IRB Systems - EAD and Maturity
Topics covered include:

Supervisory guidance on quantification of exposure at default of IRB systems for corporate credit risk
Supervisory guidance on quantification of maturity of IRB systems for corporate credit risk

24. Data Maintenance Framework
Topics covered include:

Supervisory guidance on data maintenance of IRB systems for corporate credit risk.

25. Control and Oversight Mechanisms
Topics covered include:

Supervisory guidance on Control and Oversight Mechanisms of IRB systems for corporate credit risk.

26. An Overview of IRB Systems for Retail Credit
Topics covered include:

Concepts and requirements for an IRB framework for retail credit.

27. Retail Risk Segmentation Systems for IRB
Topics covered include:

Supervisory guidance on retail risk segmentation.

28. Quantification of IRB Systems - PD
Topics covered include:

Supervisory guidance on quantification of IRB systems Probability of Default.

29. Quantification of IRB Systems - LGD
Topics covered include:

Supervisory guidance on quantification of IRB systems Loss Given Default.

30. Quantification of IRB Systems - EAD and Maturity
Topics covered include:

Supervisory guidance on quantification of IRB systems Exposure at Default.

31. Quantification - Special Cases
Topics covered include:

Supervisory guidance on quantification of special cases and applications.

32. Validation
Topics covered include:

Supervisory guidance on validation of IRB systems for retail credit risk.

33. Data Maintenance Framework
Topics covered include:

Supervisory guidance on data maintenance of IRB systems for retail credit risk.

34. Control and Oversight Mechanisms
Topics covered include:

Supervisory guidance on control and oversight mechanisms of IRB systems for retail credit risk.

35. Operational Risk - AMA and Corporate Governance
Topics covered include:

Supervisory guidance on operational risk to implement Advanced Measurement Approach (AMA) with reference to corporate governance.

36. Operational Risk Management Framework
Topics covered include:

Supervisory guidance on the operational risk management framework for implementing advanced measurement approach.

37. Elements of an AMA Framework
Topics covered include:

Supervisory guidance on the elements of an AMA framework.

38. Risk Quantification and Mitigation
Topics covered include:

Supervisory guidance on risk quantification and mitigation for implementing advanced measurement approach.

39. Data Maintenance and Testing
Topics covered include:

Supervisory guidance on data maintenance and testing requirements for implementing advanced measurement approach.