About the Course

In an increasingly complex financial landscape, banks and financial institutions face heightened regulatory scrutiny and evolving risk challenges. The 2008 global financial crisis underscored the importance of robust risk assessment frameworks and stress testing methodologies to ensure the stability and resilience of financial systems. Since then, regulatory requirements have intensified, necessitating advanced approaches to risk modelling, capital adequacy planning, and liquidity management.

With the introduction of Basel II, Basel III, and the ongoing developments towards Basel IV, financial institutions are required to implement more sophisticated risk management frameworks, incorporating stress testing, scenario analysis, and predictive modelling techniques. The Internal Capital Adequacy Assessment Process (ICAAP) and the Internal Liquidity Adequacy Assessment Process (ILAAP) play crucial roles in determining a bank’s ability to withstand economic downturns and adverse market conditions.

This course is designed to equip risk management professionals with the necessary knowledge and technical skills to apply advanced risk modelling techniques, conduct rigorous stress testing, and align risk assessment strategies with international regulatory frameworks.

Target Participants

This course is ideal for Risk managers and analysts, Banking professionals in treasury and finance, Compliance officers and auditors, Regulators and supervisors, financial analysts and consultants.

What You Will Learn

By the end of this course the participants will be able to:

• Gain a comprehensive understanding of advanced risk modelling techniques
• Develop expertise in stress testing methodologies and regulatory compliance
• Enhance ICAAP and ILAAP implementation skills
• Learn best practices for integrating risk modelling into strategic decision-making
• Be equipped to manage emerging risks in a dynamic financial environment

Course Duration

Classroom-based – 10 Days

Online – 14 Days

Course Outline

Foundations of Advanced Risk Modelling

• Overview of Risk Management in Banking
• Key Risk Types: Credit, Market, Liquidity, and Operational Risk
• Introduction to the Basel Framework (Basel II, III, and Beyond)
• Risk Modelling Techniques: An Overview
• Regulatory Expectations and Supervisory Frameworks

Credit Risk Modelling and Stress Testing

• Credit Risk Measurement Techniques
• Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD)
• Credit Risk Modelling under Basel IRB Approach
• Scenario Analysis and Sensitivity Testing
• Case Study: Credit Risk Modelling and ICAAP Alignment

Market Risk Modelling: Value at Risk (VaR) and Expected Shortfall

• Stress Testing Market Risk Scenarios
• Liquidity Risk Modelling and Metrics
• The Role of ILAAP in Liquidity Risk Management
• Implementing Market and Liquidity Risk Assessments

  Stress Testing Frameworks and ICAAP/ILAAP Integration

• Design and Implementation of Stress Testing Frameworks
• Regulatory Stress Testing vs. Internal Stress Testing
• ICAAP and ILAAP: Regulatory Expectations and Best Practices
• Scenario Selection and Severity Modelling
• Case Study: Stress Testing and ICAAP Implementation

Emerging Risks, Regulatory Trends, and Practical Applications

• Climate Risk and ESG Considerations in Risk Modelling
• Integrating Cyber Risk into Risk Assessment Frameworks
• Future of Basel Regulations: Basel IV and Beyond
• Developing a Bank-wide Risk Assessment and Stress Testing Plan

Training Approach

This course is delivered by our seasoned trainers who have vast experience as expert professionals in their respective fields of practice. The course is taught through a mix of practical activities, presentations, group works and case studies. Training notes and additional reference materials are provided to the participants.

Certification

Upon successful completion of this course, participants will be issued a certificate.

Tailor-Made Course

We can also do this as a tailor-made course to meet organization-wide needs.