Enterprise Risk Management, Basel III/IV, Capital
Adequacy and Stress Testing for Banks

Enterprise Risk Management Frameworks and Banking Risk Governance
Module 1: Introduction to Enterprise Risk Management in Banking
• Understanding enterprise risk management (ERM) and its importance in banking.
• The changing banking risk landscape and emerging financial threats.
• Key principles of integrated risk management.
• Risk identification, assessment, measurement, monitoring and mitigation.
• The relationship between risk management, profitability and financial stability.

Module 2: Types of Risks in Banking Institutions
• Credit risk and borrower default.
• Market risk, including interest rate, foreign exchange and equity price risks.
• Liquidity and funding risk.
• Operational risk, including process failures, fraud and technology disruptions.
• Interest rate risk in the banking book (IRRBB).
• Reputational, strategic, compliance and concentration risks.
• Interconnected risks and their impact on institutional performance.

Module 3: Risk Governance and Internal Control Frameworks
• Roles of the board, senior management and risk committees.
• The three lines model for effective risk governance.
• Developing risk policies and risk appetite statements.
• Risk tolerance limits and escalation procedures.
• Establishing a risk-aware organisational culture.
• Integrating risk management into strategic planning and decision-making.

Basel III/IV Framework, Regulatory Capital and Capital Adequacy
Module 1: Overview of the Basel Regulatory Framework
• Introduction to the Basel Committee on Banking Supervision.
• Evolution from Basel I and Basel II to Basel III.
• Key objectives and principles of Basel III reforms.
• Overview of the final Basel III reforms, often referred to as Basel IV in the banking industry.
• Implementation differences across jurisdictions.
• The relationship between international standards and national banking regulations.

Module 2: Regulatory Capital Requirements
• Components of regulatory capital: Common Equity Tier 1 (CET1), Additional Tier 1 (AT1) and Tier 2 capital.
• Minimum capital requirements and applicable capital buffers.
• Capital conservation buffer and countercyclical capital buffer.
• Leverage ratio and its significance in limiting excessive balance-sheet expansion.
• Capital requirements for systemically important banks, where applicable.
• Pillar 1 minimum capital requirements, Pillar 2 supervisory review and Pillar 3 disclosures.

Module 3: Risk-Weighted Assets and Capital Adequacy Assessment
• Understanding risk-weighted assets (RWA).
• Credit risk capital requirements and risk-weighting approaches.
• Market risk and operational risk capital frameworks.
• Overview of the Basel III output floor and its implications.
• Calculating capital adequacy ratios.
• Assessing capital shortfalls and determining capital needs.
• Regulatory capital reporting and disclosure requirements.

Credit, Market, Liquidity and Operational Risk Management
Module 1: Credit Risk Assessment and Management
• Credit risk identification and measurement.
• Borrower creditworthiness and counterparty risk assessment.
• Loan portfolio concentration and sector exposure analysis.
• Credit risk mitigation through collateral and guarantees.
• Expected credit losses and their relationship to capital planning.
• Monitoring non-performing loans and emerging credit risks.

Module 2: Market Risk and Interest Rate Risk Management
• Identifying market risk exposures in banking portfolios.
• Foreign exchange and interest rate risk measurement.
• Value at Risk (VaR) and its limitations.
• Sensitivity analysis and market risk scenario modelling.
• Interest rate risk in the banking book (IRRBB).
• Managing changes in net interest income and economic value of equity.

Module 3: Liquidity and Funding Risk Management
• Liquidity risk identification and measurement.
• Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR).
• Cash-flow forecasting and funding gap analysis.
• Contingency funding plans.
• Deposit concentration and funding stability.
• Managing liquidity pressures during financial market disruptions.

Module 4: Operational Risk and Business Resilience
• Identifying operational risk events and control weaknesses.
• Operational loss data and risk indicators.
• Fraud, cyber incidents, outsourcing and third-party risks.
• Business continuity and operational resilience.
• Integrating operational risk into enterprise-wide risk reporting.

Stress Testing, Scenario Analysis and Financial Resilience
Module 1: Principles of Banking Stress Testing
• Purpose and importance of stress testing.
• Regulatory and internal stress testing requirements.
• Types of stress tests: sensitivity analysis, scenario analysis and reverse stress testing.
• Designing effective stress testing frameworks.
• Selecting risk factors, assumptions and stress scenarios.
• Data quality, model assumptions and limitations.

Module 2: Macroeconomic and Financial Stress Scenarios
• Economic recession and declining economic growth.
• Rising interest rates and inflation.
• Exchange rate depreciation and foreign currency exposures.
• Increased loan defaults and deterioration in asset quality.
• Deposit withdrawals and liquidity shortages.
• Market volatility and funding market disruptions.
• Combined macroeconomic and institution-specific stress scenarios.

Module 3: Assessing Stress Impacts on Capital and Liquidity
• Evaluating the impact of credit losses on capital ratios.
• Forecasting stressed earnings and profitability.
• Assessing changes in risk-weighted assets.
• Estimating liquidity outflows and funding requirements.
• Evaluating the interaction between solvency and liquidity risks.
• Assessing capital buffer adequacy under stressed conditions.

Module 4: Reverse Stress Testing and Contingency Planning
• Identifying scenarios that could threaten institutional viability.
• Establishing capital and liquidity trigger points.
• Developing recovery and contingency funding plans.
• Defining management actions under severe stress.
• Communicating stress testing results to senior management and regulators.

Capital Planning, Risk Reporting and Integrated Risk Management
Module 1: Capital Planning and Internal Capital Adequacy Assessment
• Developing a capital management framework.
• Linking capital planning with business strategy and risk appetite.
• Introduction to the Internal Capital Adequacy Assessment Process (ICAAP).
• Forecasting capital requirements and future capital needs.
• Assessing capital adequacy under normal and stressed conditions.
• Dividend decisions, capital buffers and capital conservation strategies.

Module 2: Risk Monitoring, Reporting and Early Warning Systems
• Developing key risk indicators (KRIs) and key performance indicators (KPIs).
• Establishing risk limits, thresholds and escalation mechanisms.
• Preparing risk dashboards for senior management and board committees.
• Regulatory reporting and capital adequacy disclosures.
• Monitoring risk concentrations and emerging vulnerabilities.
• Improving data governance and risk reporting accuracy.

Module 3: Regulatory Compliance and Supervisory Engagement
• Preparing for supervisory reviews and regulatory examinations.
• Addressing regulatory findings and remediation requirements.
• Strengthening internal controls and independent risk assurance.
• Understanding Pillar 2 supervisory expectations and Pillar 3 disclosures.
• Managing regulatory changes and jurisdiction-specific implementation requirements.
• Aligning risk governance with applicable central bank regulations.

Module 4: Building an Integrated Banking Risk Management Strategy
• Integrating credit, market, liquidity and operational risk management.
• Embedding risk considerations into strategic and financial decisions.
• Strengthening collaboration between risk, finance, treasury and business units.
• Improving risk culture and management accountability.
• Developing a continuous risk monitoring and improvement framework.