G0000G IBM Algorithmics Regulatory Capital Modeling in Algo One

Overnet Education
A Segrate

1.650 
+IVA
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Informazione importanti

  • Corso
  • Segrate
  • Durata:
    3 Giorni
Descrizione

A continuazione troverai il programma di questo corso disegnato per migliorare le tue competenze e permetterti di realizzare gli obiettivi stabiliti.
IBM Algo Capital Management, Credit Regulatory Capital (IBM ACCRC) helps banks calculate regulatory capital requirements for credit risk over the entire portfolio and produce comprehensive capital adequacy reports. This three-day course is designed to provide participants with hands-on experience and an in-depth understanding of IBM ACCRC functionality including extensions that enable financial institutions to calculate risk-weighted assets in compliance with Basel II or Basel III requirements (Basel III extension), to optimally allocate mitigants to the exposures in order to minimize the resultant capital requirements (Mitigant Optimization extension), generate comprehensive slice-and-dice reports (Management and Regulatory Reporting extensions). Upon successful completion of the course, the participant will be able to: Explain the individual risk components and how they are derived, as well as any adjustments that may apply;Describe the options and approaches for calculating Exposure at Default (EAD), EL and Risk Weighted Assets (RWA) within the IBM ACCRC calculation engineArticulate the effects of CRM and their adjustments to RWA;Create the data elements (instruments, curves and portfolio hierarchies) required to calculate CRM adjusted RWA for Internal Ratings Based (IRB) Banking Book               Model assets of various types within the calculation engineCreate customized reports in the IBM ACCRC reporting tool

Informazione importanti
Sedi

Dove e quando

Inizio Luogo
Consultare
Segrate
Via Cassanese, 224, Palazzo Mantegna, Scala A, 20090, Milano, Italia
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Programma

Il centro presenta a continuazione il programma pensato per migliorare le tue competenze e permetterti di realizzare gli obiettivi stabiliti. Nel corso della formazione si alterneranno differenti moduli che ti permetteranno di acquisire le conoscenze sulle differenti tematiche proposte. Inscriviti per poter accedere alle seguenti materie.


The three-day course is delivered through a number of media, including product demonstrations, instructor-led exercises, self-paced hands-on practice, and case studies.

  • Introduction and course agenda
  • Review of framework and required input data
  • Navigation and set-up in the calculation engine
  • Modeling of a position in RiskWatch (CRC Calculation Engine) for Basel 2 compliance.
    • Cross-References and Linkages between Counterparties, Exposures, Mitigants, Facilities
    • Regulatory Parameters
    • Results for the various approaches B2 STD, B2 FIRB, B2 AIRB
    • Determining calculation procedures for RWA and EAD.
    • Modeling of various instruments in CRC Calculation engine (Banking Book)
    • Valuation in multiple approaches
  • Modeling of Various Instruments/Transactions in RiskWatch (CRC Calculation Engine) - cont
    • Trading book (OTC Derivatives, Repos)
  • Credit Risk Mitigation
    • Mitigation in Basel accord
    • Modeling mitigants in CRC calculation engine
    • Mitigation modes
  • Stress Testing in RiskWatch (CRC Calculation Engine)
  • Pillar 2 Functionality in CRC
  • Basel 3 Extension in CRC
  • Datamart in CRC
    • Retail pooling
    • Onboarding
  • Regulatory and Management Reports
    • Editing management reports in ARA
    • Regulatory Reports validation and querying

Dotazione:
Each participant will have a station set up with operating systems and software needed for the exercises.


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