Basel III Credit and Market Risk Management Training Course

Course overview

Banks must translate credit exposures, trading positions and counterparty relationships into risk measures that withstand regulatory scrutiny and support sound capital decisions. That requires more than knowing Basel terminology: risk professionals need to trace a portfolio from source data through probability of default, loss given default, exposure at default, risk-weighted assets and stressed market-risk measures. This course addresses the practical challenge of applying Basel III requirements consistently across credit, market and counterparty credit risk functions while explaining results clearly to senior management, finance teams and regulators.

Participants examine the Basel III capital framework, credit risk standardised and internal-ratings-based approaches, expected credit loss concepts, counterparty credit risk, credit valuation adjustment and market risk under the Fundamental Review of the Trading Book. They calculate risk-weighted assets, capital ratios, value at risk, expected shortfall and stressed risk measures using worked portfolio data. The programme also covers model governance, back-testing, stress testing, risk data aggregation and the controls needed to produce reliable regulatory risk reporting.

Instruction combines expert-led technical sessions with spreadsheet-based calculations, regulatory case studies and team workshops. Participants work through a simulated bank portfolio, identify data and model weaknesses, calculate key Basel III metrics and prepare a risk-capital briefing for a management risk committee. They leave with a completed Basel III credit and market risk workbook, a risk reporting template and an action plan for applying the methods to their own institution.

The course is designed for intermediate banking, treasury, risk, finance and audit professionals who already work with lending, trading, capital or regulatory reporting data and need an integrated view of how Basel III risk requirements affect decisions.

Course objectives

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

• Calculate credit risk-weighted assets using Basel III standardised approach risk weights and credit risk mitigation rules
• Interpret probability of default, loss given default and exposure at default inputs for internal-ratings-based credit risk measurement
• Assess expected credit loss staging and its relationship to regulatory capital and provisioning decisions
• Measure market risk using value at risk, expected shortfall and stressed expected shortfall techniques
• Apply Fundamental Review of the Trading Book trading-book boundary, desk eligibility and modellability requirements
• Calculate counterparty credit risk exposure using the Standardised Approach for Counterparty Credit Risk and identify credit valuation adjustment drivers
• Design stress-testing scenarios that connect portfolio losses, capital ratios and management actions
• Produce a Basel III risk-capital briefing supported by reconciled calculations, governance evidence and escalation recommendations

Benefits of attending

Target competencies

Who should attend

• Credit Risk Managers — who need to translate portfolio credit quality into capital and provisioning decisions
• Market Risk Analysts — who measure trading-book exposures and must apply FRTB risk metrics
• Regulatory Reporting Specialists — who prepare or validate Basel III capital, RWA and disclosure submissions
• Treasury and Capital Management Professionals — who forecast capital adequacy under changing risk exposures
• Internal Auditors and Risk Assurance Managers — who test the controls, data lineage and governance behind risk calculations
• Finance Business Partners in Banks — who reconcile impairment, capital and risk performance for senior management

Requirements and prerequisites

Participants should understand core banking products, including corporate loans, retail lending, bonds, derivatives and trading positions, and should be comfortable with percentage calculations, discounted cash flows and basic financial statements. Prior exposure to credit risk concepts such as default, collateral and credit ratings, plus basic market risk concepts such as interest rates and foreign exchange, is expected. Participants should be able to use Microsoft Excel for formulas, tables and charts. Prior Basel III implementation experience, programming knowledge, advanced statistics and access to a live risk system are not required; calculation templates and course data are provided.

Training methodology

The instructor uses Basel III rule extracts, worked banking portfolios and guided Excel models to connect regulatory requirements with daily risk work. Short technical briefings are followed by calculations of RWA, expected loss, SA-CCR exposure, value at risk and expected shortfall. Teams review a simulated bank’s credit file, trading inventory and risk report, then challenge assumptions as a risk committee would. Daily debriefs focus on calculation controls, interpretation and escalation. On the final day, each participant completes an application plan and presents a concise risk-capital briefing.

Course outline

Day 1: Basel III capital architecture and credit risk foundations

• Basel III capital structure: CET1, Additional Tier 1 and Tier 2
• Minimum capital ratios, capital conservation buffer and leverage ratio
• Credit risk exposure classes and standardised approach risk weights
• External credit assessments and unrated counterparty treatment
• On-balance-sheet and off-balance-sheet credit conversion factors
• Credit risk mitigation through collateral, guarantees and netting
• Risk-weighted asset reconciliation and capital ratio reporting

Workshop: Participants calculate standardised credit RWA and capital requirements for a mixed corporate, retail and sovereign lending portfolio.

Day 2: Internal credit risk measurement and impairment links

• Probability of default estimation and rating-grade calibration
• Loss given default modelling, collateral values and downturn assumptions
• Exposure at default estimation for revolving and committed facilities
• Internal-ratings-based credit RWA parameter relationships
• Expected loss, unexpected loss and regulatory capital comparison
• IFRS 9 expected credit loss staging and forward-looking scenarios
• Credit portfolio concentration, migration and default stress testing

Workshop: Participants build a credit risk parameter sheet, calculate expected loss and RWA, and identify the portfolio segments driving capital consumption.

Day 3: Market risk and the Fundamental Review of the Trading Book

• Trading-book and banking-book boundary rules
• Market risk factors across rates, FX, equity, commodity and credit spread positions
• Value at risk calculation using historical simulation
• Expected shortfall and tail-loss measurement
• Stressed expected shortfall and liquidity horizon adjustments
• FRTB standardised approach sensitivities-based method
• Back-testing, profit-and-loss attribution and desk model eligibility

Workshop: Participants analyse a trading portfolio, calculate historical VaR and expected shortfall, and compare model-based results with a sensitivities-based capital charge.

Day 4: Counterparty credit risk, CVA and integrated stress testing

• Counterparty credit risk exposure profiles for derivatives and securities financing transactions
• Replacement cost and potential future exposure under SA-CCR
• Margin agreements, collateral haircuts and netting-set recognition
• Credit valuation adjustment risk and CVA capital drivers
• Wrong-way risk and concentrated counterparty exposures
• Integrated credit and market stress scenario design
• Capital planning impacts of stressed RWA, losses and buffer depletion

Workshop: Participants calculate SA-CCR exposure for a derivatives netting set and develop a stress scenario showing its impact on counterparty risk and capital.

Day 5: Governance, reporting and management decision-making

• Risk data aggregation principles under BCBS 239
• Model governance, validation evidence and independent challenge
• Data lineage from source systems to regulatory risk reports
• RWA reconciliations between risk, finance and regulatory reporting
• Risk appetite metrics, limits and breach escalation
• Pillar 3 disclosure considerations for credit and market risk
• Risk committee reporting and capital management actions

Workshop: Participants prepare and present a Basel III risk-capital briefing that identifies RWA movements, market-risk exposures, control gaps and recommended management actions.

Tools & standards covered

Microsoft Excel, Basel III framework, Fundamental Review of the Trading Book, BCBS 239

A typical training day

Live online deliveries follow the same structure in the East Africa Time zone, with shorter screen blocks and longer breaks.

What the fee includes

How you can take this course

Certification

Participants who complete the full five days receive the Skillset Development Certificate of Completion, stating the course title, course code, dates and delivery format — suitable for professional-development records and employer reimbursement.

Frequently asked questions