Advanced Bank Risk Analysis Solutions
compliance72 hours$800
Advanced Bank Risk Analysis Solutions
Course Modules
Accounting Adjustments
- MIS standard adjustments
- MIS non-standard adjustments
Ratings Revisited
- Creating the BCA
- Ratings and notching against BCA
- Affiliate support
Liquidity Analysis
- Liquid assets » Liquid asset metrics » LCR
- Liquidity and the balance sheet
- Case study
- Funding structure » Issues around funding structure » Funding structure metrics » NSFR
Loan Accounting IFRS 9 (plus CECL depending on region)
- Review of expected credit losses in IFRS 9
- Assessing forward looking expectations
- 12m vs. lifetime ECL – stages 1-3
- Assessing SICR triggers
- Exercise: 12 & lifetime ECLs
Governance, Strategy & Management
- Identifying & assessing strategy and strategic objectives
- How strategy defines risk profiles and risk appetites
- Indicators of governance failures
Market Risk Analysis
- Example: compliance breach, Danske Bank
- Cyber risk
- Case study 8 Operational Risk Impacts
- Reputational consequences
- Operational risk environment
- Trading book size and revenue
- Understanding the boundaries of banking and trading books
- Legal risk around litigation uncertainties and regulatory fines
- Structural FX risks
- Trading book risks: » Value at risk » Market risk RWAs and required capital » Counterparty credit risk
- Banking book risks: » IRRBB » NII variability » Economic value of equity
- Assessing materiality of risks
Capital and Profitability Analysis
- Development of cost income ratios through time
- Case study
- Assessment of income volatility by segment
- Assessing potential constraints of capital to strategic objectives
- Likely changes to capital structure
- CET1 evolution and analysis
- Profitability metrics
- Capital structure and RWAs
- Assessing the appropriateness of capital structure
- Identification of income sources
Asset Quality Analysis
- Credit risk RWAs
- NPL analysis
- Portfolio growth & risks
- Case study
- Assessing levels of ECLs and collateral and implications for coverage ratios
- Cost of risk vs. margins
- IFRS 9 stage analysis
- Assessing concentration levels
Bank Business Models & Risks
- Identification of risks in bank business models
- Bank business models
Basel Framework
- Case study
- Restating the balance sheet in resolution: » Loss rates, gone concern capital & going concern capital » What write-downs are there on the liabilities?
- Available capital: CET1, AT1 and T2 layers
- Purpose of the ORR
- Case study 5 Resolution Framework
- Capital requirements: pillars 1, 2 plus buffer requirements
- CET1 and total capital requirements
- MRELs & TLAC