Quantitative Risk Management Under Basel III & Basel IV

In-house Training (2 days)

Pelatihan "Quantitative Risk Management Under Basel III and Basel IV" sangat sesuai bagi profesional yang ingin mendapatkan pemahaman tentang kerangka manajemen risiko perbankan yang mengacu pada aturan terbaru yaitu Basel III dan revisinya yang dikenal dengan Basel IV. Melalui pelatihan ini, peserta diharapkan mendapatkan pengetahuan lebih mendalam dari pemodelan terbaru yang digunakan untuk perhitungan risiko pasar & likuiditas, risiko kredit dan risiko operasional seperti Fundamental Review of the Trading Book (FRTB) dan Credit Valuation Adjustments (CVA) yang dilengkapi dengan contoh-contoh praktis untuk memudahkan pemahaman. Selain itu, pada pelatihan juga dibahas mengenai metodologi stress testing terhadap empat risiko utama dan berbagai pemodelan risiko serta penggunakan machine learning pada manajamen risiko yang dilengkapi dengan contoh pemodelan real menggunakan program R dan Python dalam bentuk web app & mobile app.

Adapun topik bahasan meliputi:

Introduction: Why banking regulations needed, Basel Committee on Banking Supervision, Basel I, Basel II, Basel III & Basel IV, Basel IV Changes, The 3 pillars approach, Own Funds: Common Equity Tier 1 (CET1), Additional Tier 1 (AT1), Tier 2, Risk-weighted assets and regulatory capital, Countercyclical Capital Buffer, Banks' impact & capital floors, Systemically Important Financial Institutions, Minimum Requirement and Eligible Liabilities, Total Loss-Absorbing Capacity (TLAC)

Market Risk: Fundamental Review of the Trading Book, Revised Boundary of Trading Book, Revised Standardized, Sensitivities-Based Approach, Risk Classes and Risk Factors, Risk Factor Sensitivities, Weighting and Aggregation, Default-risk Charges, JtD-Risk and Residual, Internal Models Based on ES, P&L Attribution Test and & Backtesting, Modellable Risk Factors (MRFs), n-Modellable Risk Factors (NMRFs), Case Study: Capital Charge & Modelling

Credit Risk - SA & IRB Approach: RWAs for Sovereign, PSE & Banks, ECRA, SCRA & ECAI, RWAs for Corporate, RRE & Retail, RWAs for OBS, Defaulted & Ccy Mismatch, Credit Risk Mitigation (CRM) Techniques, Standardised to F-IRB and A-IRB, Understanding PD, LGD and EAD, Expected Credit Loss (ECL) & UL, ECL Basel vs IFRS 9 (PSAK 71), Credit Risk Prediction with Machine Learning, Sovereign, Banks and Corporate exposures, Retail and Equity Exposures, Parameter Floors, Securitisation Framework, SEC-IRBA, SEC-ERBA, SEC-SA, Case Study: Capital Charge & Modelling

Counterparty Credit Risk (CCR) & CVA Risk: OTC derivatives & Counterparty Credit Risk, Standardised approach for CCR (SA-CCR), Replacement Cost & PFE, Estimae PFE Using Monte Carlo Simulation, Wrong-Way Risk & CVA, Basic (BA-CVA) & Standardised (SA-CVA), Case Study: Capital Charge & Modelling

Operational Risk: Revised Standardised Approach, Business Indicator (BI), ILDC, SC and FC, Business Indicator Component & ILM, Operational Risk with Machine Learning, Case Study: Capital Charge & Modelling

Pillar 2 and Pillar 3: Liquidity, Insolvency & Over-Indebtedness, Leverage and Liquidity Ratios, Liquidity coverage ratio (LCR), Net stable funding ratio (NSFR), Basel's ALMT & EBA's ALMM, IRRBB &, Credit Concentration Risk, Economic Capital, ICAAP/ILAAP and SREP, Stress Testing Motivation & Modelling, Sensitivity & Scenario-based Stress Testing, Reverse Stress Testing, Backtesting, Disclosure (Quarterly, SA & Annually)