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Basel II Implementation and RWA CalculationApproaches Fulfilling Pillar 1, 2 and 3 Requirements.

OverviewBasel II seeks to redress the limitations of the prior Basel I accord by implementing a

models based approach to Credit and Operational Risk measurement and expanding on

Market Risk measurement approaches. Participants seeking an in-depth course coveringfrom start to finish Basel II implementation requirements and with a heavy emphasis on

detailed calculations will be well served by this course. The course contains multiple

excel based hands-on practical examples and case studies covering all RWA calculationapproaches, Optimization of both Undrawn (Facility level) and CRM Allocations as well

as the new EEPE and Alpha calculations and a brief overview of Operational Risk

Approaches and AMA methodology. By the end of this course, participants will be

experts in the practical implementation of the new Basel II accord and well versed in the

RWA approaches required. Further, participants will also get a feel for the datarequirements needed to achieve RWA results as well as the reporting requirements that

such measures are required to meet.

Agenda

Day 1

Overview of Basel II

History of BIS, BCBS and Regulatory Capital

Comparing Basel I to Basel II

Global implementations, an update

National Discretions and Home Host implications Reporting Results Defining What the Supervisors Want

Pillar 1 Overview

Defining Capital Risk Based approaches

Defining Risk from the perspective of the Bank

Exposure and Asset Classification

Overview of Risks and RWA ApproachesDay 2

Pillar 1 Risk Components

Probability of Default Risk Rating the Borrower

Retail Wholesale

Score Cards, Fundamental and Asset VolatilityApproaches

Point in Time versus Through the Cycle

Substitution vs. Double Default

Loss Given Default Risk Rating the Facility

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Silos, Decision Tress and Model Approaches

Estimating Down Turn LGDs

EL, UL and LGD Defaulted Exposures

Double Recovery Effects?

Effective Maturity (and other maturity effects)

Regulatory Default, RTTM and Effective Maturity OTTM, Maturity Adjustments and Haircuts

Exposure at Default

Banking Book vs. Trading Book EAD Estimation

Specific Provisions, General Loan Losses, Expectedand Unexpected Losses balancing the equations

Correlation

ASRF considerations and implications for EconomicCapital differences

Risk Weights

Basel I and the Standardized Approach Obligor, Guarantor and Asset Risk Weights

Pass Due ObligationsDay 3

Facility Undrawn Allocation and Optimization

Overview and Methodology Facility Structuring

Undrawn Allocation based on:

Available

Utilized

Lowest CCF

Highest CCF

Other Optimization Options

Credit Risk Mitigation

Mitigant Classification and Eligibility

Basel I, Standardized Simple, Standardized Comprehensiveand IRB Approaches

Calculating Haircuts and Adjustments

Banking Book Exposures

Wholesale

Corporate SME

Specialized Lending Leasing and Corporate Purchased Receivables

Retail Types and Pooling CriteriaDay 4

Securitization

Sellers Interest

Investors Interest

Retained Portion

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Gain on Sale

Credit Enhancements

Credit Derivatives and Government Guarantees

Market Risk and Counterparty Credit Risk

Market Risk and CCR Defined - OTC and SFT Exposures

Simple Approaches for OTC Exposure Calculations Simple Approaches for SFT Exposure Calculations

Advanced Approaches VaR, EEPE, and AlphaDay 5

Operational Risk

Basic Indicator and Standardized Approaches

AMA Approach Methodology

Reporting Requirements, a Comparison of FSA, CEBS, OSFI andFED

Pillar 2 Overview

Why Pillar 2? Stress Testing and Scenario Analysis

Scenario Analysis A Structured Approach

Reconciliation and Economic Capital Relaxing the ASRFAssumptions

ICAAP Methodology

Reporting Requirements for Pillar 2 Results

Pillar 3 Overview

Why Pillar 3?

Market Disclosure Methodology

Implementing the Basel II Accord Best Practices

Q&A and Wrap-up