| Sn | Topics |
| Building Blocks | |
| 01 | Understanding RWA and capital requirements in bank |
| 02 | ICAAP Walkthrough |
| 03 | Interest rate and Liquidity dynamics |
| 04 | Understanding Banks Balance sheet - Deposits, Loans, Borrowings and Investments |
| 05 | Introduction to Value at Risk |
| 06 | Introduction to Regression and Time Series concepts |
| 07 | Introduction to Simulations |
| 08 | Understanding Bonds duration concept |
ICAAP (Internal Capital Adequacy Assessment Program)
| 01 | Pillar 2 Stress Testing |
| 1. | Stress testing for Credit Risk |
| 2. | Stress testing for Market Risk |
| 3. | Stress testing for Credit Risk |
| 4. | Stess testing for Liquidity Risk |
| Impact of Stress scenarios on CAR and Liquidity ratios | |
| 02 | Risks not captured in PIllar 1 |
| 1. | Interest rate Risk in Banking Book (IRRBB) |
| i. | Preparing Traditional Gap analysis report |
| ii. | Behavioural analysis for CASA, Term deposits renewals and withdrawals, Prepayments on loans etc |
| iii. | Understanding IRRBB - NII and EVE analysis (Repricing risk, Yield curve risk, Basis Risk, Options Risk) |
| iv. | IRRBB Stress |
| 2. | Concentration Risk |
| i. | PRA and Spanish guidelines |
| ii. | HHI and GA approach |
| 3. | Building Scorecards |
| i. | Reputational Risk |
| ii. | Strategic Risk |
| iii. | Cyber Risk |
| iv. | Compliance Risk |
| v. | Model Risk |
| 4. | Climate Risk |
Pillar 1 Minimum Capital Requirements
| 1. | Credit Risk capital using Standardised Approach, FIRB, AIRB |
| 2. | Market risk capital using Standardised duration approach and internal models and basic idea of FRTB |
| 3. | Operational Risk Capital Charge using BIA, SA, AMA and SMA |
| 4. | Basel III to Basel IV reforms |
| 5. | Economic vs Regulatory Capital ( Residual Risk for ICAAP) |
Liquidity Risk Management
| 01 | ALM Evolution and Challenges |
| 02 | Preparing Structural Liquidity Statements and dynamic liquidity statements |
| 03 | Comparing Liquidity Gaps with Limits |
| 04 | Liquidity Coverage ratio |
| 05 | Net Stable Funding ratio |
| 06 | Leverage ratio |
| 07 | Liquidity Risk Stress testing |
| 08 | FTP as a tool for asset liability management |
| 09 | FTP Methods - Single Spilt Pool and Matched Maturity Methods, components of FTP |
| 10 | Liquidity Transfer Pricing |
| 11 | Incorporating FTP into RAROC |
| 12 | ILAAP report |
