ΠΕΡΙΓΡΑΦΗ

All European banks including Cyprus banks are required to comply with the prudential rules set by the Capital Requirements Regulation (EU Regulation No. 575/2013 on prudential requirements for credit institutions), as this may be subsequently amended or replaced. The amendments that have been proposed by the European Commission through the CRR III proposal, which will be the focus of this training, introduce changes to the CRR rules which, once implemented, will be binding for all European banks. These changes affect the methodologies that banks are required to apply in order to derive their Capital Adequacy Ratio. Therefore, these changes are important for Banks, which have to be ready to implement them when they enter into force on 1 of January 2025.

A KPMG Director from our Risk Consulting Department and her assistant, possessing solid experience in their fields both hands-on and via trainings, will provide insights into the evolution of the rules set by the Capital Requirements Regulation, as amended and currently in force, through the introduction of the CRR III which is planned to take place on 1 of January 2025. It should be noted that the training will be enriched with practical, hands-on examples, in order to make the concepts easier for comprehension.

CPD

This seminar may contribute to Continuing Professional Development requirements. At the end of the seminar participants will be given a certificate of attendance confirming the total number of training hours (6 CPD).

ΣΚΟΠΟΣ ΣΕΜΙΝΑΡΙΟΥ

By the completion of this training, participants will be in a position to:

• describe the key changes introduced by the CRR III
• state the differentiating factors between the External Credit Risk Assessment Approach (“ECRA”) and the Standardised Credit Risk Assessment Approach (“SCRA”) for Credit Risk exposures
• name the new CRR III methodologies 
• execute the CRR III methodologies for deriving the minimum capital requirements for Credit, Market and Operational Risk
• explain to their colleagues and other stakeholders the key amendments to the current CRR framework
• justify the reasons for the changes brought by the CRR III
• juxtapose the Standardised Approach currently used for Credit Risk exposures to the ECRA and SCRA that will apply under the new rules
• defend the introduction of the Output Floor for banks relying on internal models for capital requirement calculations
• rationalise the replacement of all current methodologies for deriving the Operational Risk capital requirements by the new Standardised approach. 

ΣΕ ΠΟΙΟΥΣ ΑΠΕΥΘΥΝΕΤΑΙ

This training is addressed to officers serving in a number of functions within banks, including Directors, General Managers, CEOs, CFOs, Heads of Risk Management Functions, Credit Risk Officers, Market and Liquidity Risk Officers, Operational Risk Officers, Accounting and Finance Control Officers, Heads of Compliance Functions and Compliance Officers, Heads of Internal Audit Functions and Internal Audit Officers, officers involved in Regulatory Reporting, officers involved in Treasury/Proprietary Trading Functions, Information Systems Officers and other relevant professionals.

ΠΕΡΙΣΣΟΤΕΡΕΣ ΠΛΗΡΟΦΟΡΙΕΣ

Agenda

1. Introduction (30 min)

• Objectives of the training
• Key learning outcomes
• Drivers and purpose of the revisions to the Basel III framework
• Summary of key changes in the Basel III framework

2. Credit Risk (3 hrs & 30 min)

• Revisions to the Standardised Approach for Credit Risk
        - Selected asset classes and exposures
• New Standardised Approach for Counterparty Credit Risk
• Credit Valuation Adjustment (“CVA”) Risk
• Credit Risk Mitigation
• Numerical examples on the practical application of the key Credit Risk rules

3. Market Risk: Fundamental Review of the Trading Book (“FRTB”) (45 min)

• FRTB purpose and main provisions
• Main industry concerns       

4. Operational Risk (30 min)

• New Standardised Approach for Operational Risk
• Numerical examples on the practical application of the new standardised approach for Operational Risk

5. Output Floor (15 min)

• Meaning and purpose
• Transitional provisions

6. Other Topics (30 min)

• Large Exposures
• Leverage Ratio
• Disclosures

Trainers

Artemis Hadjivarnava
Principal, Capital Adequacy Lead, Risk Consulting, KPMG in Cyprus

Artemis is a Principal in the Risk Consulting department of KPMG in Cyprus, with more than 14 years of experience in the financial services advisory field. She is heading the Capital Adequacy consulting team and has extensive experience in the implementation of various assurance and advisory engagements in relation to Capital Adequacy (Basel III & IV, CRR/CRD, IFR/IFD) calculations and Impact Studies, capital adequacy seminars, Consolidated Supervision, ICAAPs, Pillar 3 Disclosures, Operational Risk Management Frameworks, Client Assets, Internal Controls and overall regulatory compliance, in banks and investment firms.

Artemis has participated in numerous Basel II & III (Pillar 1) projects with several banks and investment firms in Cyprus and is currently assisting such organisations to quantify and understand the impact of the amended CRR rules (for banks) and the new IFR/IFD prudential rules (for investment firms) on their capital requirements and their overall regulatory obligations. Furthermore, she has participated in the implementation of a Basel III Pillar 1 calculations engine in two of the largest local banking institutions, performed Capital Efficiency exercises and delivered educational, hands-on seminars on Capital Adequacy regulatory provisions to banks and investment firms.

In 2015, she was certified by the HRDA as a “Trainer of Vocational Training”.

Savvas Savva    
Assistant Manager, Risk Consulting department, KPMG in Cyprus

Savvas is an Assistant Manager in the Risk Consulting department of KPMG in Cyprus, with more than five years of experience in the financial services advisory field. He is working in the Capital Adequacy consulting team and has extensive experience in the implementation of various assurance and advisory engagements in relation to Capital Adequacy (Basel III, IFR) calculations and Impact Studies, capital adequacy seminars, ICAAPs under CRR and ICARAs under IFR, Pillar 3 Disclosures, and overall regulatory compliance in banks and investment firms.

Savvas has participated in numerous Basel III (Pillar 1) projects with several banks and investment firms in Cyprus and is currently assisting such organisations to quantify and understand the impact of the amended CRR rules (for banks) and the recently applied IFR/IFD prudential rules (for investment firms) on their capital requirements and their overall regulatory obligations. Furthermore, he has participated in the implementation of a semi-automated IFR/IFD Pillar 1 calculations file in numerous investment firms, performed Capital Efficiency exercises and delivered educational, hands-on seminars on Capital Adequacy regulatory provisions to investment firms.