BASEL2

General information Code: BASEL Duration: 2 days Present: 10 Maximum Price: 2290 € HT Public concerned Tax inspectors Persons in charge risk management Persons in charge within middleoffice. Persons in charge ALM, finance managers and treasurers Managers (all specialities), managers rate, managers actions, financial analysts Pre-necessary none Means Support of English course French Cours given Objectives To include/understand the stakes of the reform Basle II and its consequences on the trades. To control the three pillars of the new device. To apprehend the various parameters of calculation of the requirements of equities under the credit risk and operational.

Description This seminar was conceived to provide to the participants knowledge and necessary competences to include/understand the lawful requirements of Basle II. The standards Basle II are a device of prudence intended for better apprehending the banking risks and mainly the credit risk. These directives were prepared by the committee of Basle under the aegis of the Bank for International settlements. In an accredited training centre, this course prepares with the examination Basel II (Expert of the standards of Basle II).

Taught modules • Introduction to the reform Basle II • General information and objectives • Three pillars of the reform • Impacts of the reform on the markets of capital • Critics of the new ratio • Allowance of equities - economic approach • Risks of market. Die? nition and measurement of the exposures. Quanti? cation of the risk of market (Been worth At Risk). Treatment of an example • Credit risks. Die? nition and measurement of the exposures. Quanti? cation of the credit risk: approaches by the ratings, approaches by the structural models (KMV), approach by the spreads, CRÉDITMETRICS™, CREDITRISK ™Traitement of an example • Allowance of equities - lawful approach (Basle II) • Approaches used for the credit risk. Analyzes methods standards. Detailed presentation of the two internal approaches: IRB foundation and IRB advanced • Practical methods of the installation of the ratio Mac Donough. Installation of an internal marking system. Die? nition of the defect, PD calculation, LGD and EAD. Adjustment of maturity, factors of reduction of the risk, taken into account of the correlations. Application practises with several types of wallets • Operational risks. Die? nition. Quanti? cation of the operational risks using simple approaches. Use of internal methods for quanti? er operational risks • Differences between the approaches economic and lawful • Comparison of the results of the two approaches for the credit risk • Use of the models in management. On a transaction scale (estimate of the individual risk, dried up? cation interns cost of the risk to the operators). On a wallet scale (optimization of the wallets under angleRendement/Risk) • First comparison: required parameters, methods of calculating, use and results