Exam ACCA

ICAAP, Basel and Liquidity Risk

Analytics & Modeling
By Peaks2Tails
5 (5866)

~75 Hours | Hindi

Description

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
Stress testing for Credit risk
Stress testing for Market risk
Stress testing for Credit Risk
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) 
 Preparing Traditional Gap analysis report
Behavioural analysis for CASA, Term deposits renewals and withdrawals, Prepayments on loans etc
Understanding IRRBB - NII and EVE analysis (Repricing risk, Yield curve risk, Basis Risk, Options Risk)
IRRBB stress
 2. Concentration Risk 
 PRA and Spanish guidelines
HHI and GA approach
 3. Building Scorecards
 Reputational Risk
Strategic Risk
Cyber Risk
Compliance Risk
Model Risk
 4. Climate Risk 



Pillar 1 Minimum Capital Requirements
01
Credit Risk capital using Standardised Approach, FIRB, AIRB
Market risk capital using Standardised duration approach and internal models and basic idea of FRTB
Operational Risk Capital Charge using BIA, SA, AMA and SMA
Basel III to Basel IV reforms
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


Other Info

  • Duration : ~75 Hours
  • Language : Hindi
  • ₹ 40000

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