What You’ll Learn
- Understand how banking regulation and supervision impact capital management.
- Integrate capital planning into budgeting and risk-adjusted KPIs.
- Calculate and apply cost of capital across business lines.
- Optimize capital deployment and portfolio efficiency.
- Navigate governance frameworks.
- Compare banking market structures and their evolution globally.
- RWA and capital consumption
- The implications of the new Basel regime
- The strategic role of portfolio management
- The practical integration of regulation with business and profitability decisions
Capital & Portfolio Management
Course Schedule and Contents and Case Study
| Week 1
Introduction and Banking Regulatory Framework Introduction – Concept – Scope – Bank profitability Banking Regulatory Framework – Goal of regulation and difference vs supervision – Role of capital and definition – Subordinates – Regulatory Risk Measurement – Credit: Standard vs Internal rating, by assessing o Probability of Default o Loss Given default o Exposure at Default – Regulatory Risk Measurement – Market Regulatory Risk Measurement – Operational – Regulatory ratios: capital, leverage and liquidity – Stress Test o Definition and Structure o Comparison across countries o Reverse stress test – TLAC/MREL Practical Examples – calculating RWA of customers: Internal Rating vs. standard approach Case Study: Impact of IFRS16 and IFRS9 |
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Week 2 Starts with Q&A session from week 1 Banking Supervision & Capital Management Framework SREP – SREP targets – Framework – On – site inspections Case Study: how to successfully manage SREP Capital Management – Part 1: Planning – Framework Goal, boundary conditions – Budget Process – Phases – Capital and funding plan – Economic and banking scenario – Setting capital buffers – Risk appetite Framework – Risk Adjusted Profitability KPIs – Cost of Capital – Links and impacts with other processes Practical Examples: – How to calculate cost of capital – How to calculate risk adjusted profitability |
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Week 3 Starts with Q&A session from week 2 Capital Management Framework – Part 2: portfolio management – Portfolio management: overall framework – Business Actions o stock portfolio: how to manage customer profitability o Loan Pricing : a framework based on risk-adjusted return Focus on securitisation – Goals and Drivers of securitisation – Securitisation Overview and Key Parties – Structuring – Cost vs Benefit analysis – True Sale vs Synthetic securitisations Case Study: evolution of securitization markets – US – EU – China Case Study: How to use AI for customer management
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