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AF-006

Basel III, Risk Assessment and Stress Testing

Intensive 5-day course · English, Arabic & European languages

Banking professionals, auditors, and treasury staff who need a working command of Basel III will find this five-day course covers the framework's capital requirements, internal risk assessment under the ICAAP process, and the theory and practice of stress testing in depth.

Classroom

Public courses in our cities

  • 19–23 Oct 2026Barcelona£3,080 + VAT
  • 19–23 Oct 2026Dubai£4,200 + VAT
  • 2–6 Nov 2026Paris£3,600 + VAT
  • 16–20 Nov 2026Riyadh£4,200 + VAT
  • 7–11 Dec 2026Doha£4,200 + VAT
  • 21–25 Dec 2026Frankfurt£2,600 + VAT
Show 24 more dates
  • 4–8 Jan 2027Sarajevo£3,400 + VAT
  • 18–22 Jan 2027Istanbul£2,280 + VAT
  • 1–5 Feb 2027Dubai£4,200 + VAT
  • 15–19 Feb 2027Vienna£3,400 + VAT
  • 1–5 Mar 2027Riyadh£4,200 + VAT
  • 15–19 Mar 2027Barcelona£3,080 + VAT
  • 5–9 Apr 2027Paris£3,600 + VAT
  • 19–23 Apr 2027Doha£4,200 + VAT
  • 3–7 May 2027Geneva£4,200 + VAT
  • 17–21 May 2027Frankfurt£2,600 + VAT
  • 7–11 Jun 2027Abu Dhabi£4,200 + VAT
  • 21–25 Jun 2027Istanbul£2,280 + VAT
  • 5–9 Jul 2027Cairo£2,280 + VAT
  • 19–23 Jul 2027Vienna£3,400 + VAT
  • 2–6 Aug 2027Jeddah£4,200 + VAT
  • 16–20 Aug 2027Barcelona£3,080 + VAT
  • 6–10 Sep 2027Paris£3,600 + VAT
  • 20–24 Sep 2027Singapore£4,200 + VAT
  • 4–8 Oct 2027Muscat£3,080 + VAT
  • 18–22 Oct 2027Frankfurt£2,600 + VAT
  • 1–5 Nov 2027Casablanca£2,280 + VAT
  • 15–19 Nov 2027Istanbul£2,280 + VAT
  • 6–10 Dec 2027Manama£3,080 + VAT
  • 20–24 Dec 2027Vienna£3,400 + VAT

Group discount: 2 delegates 20% · 3 delegates 35% · 5 or more delegates 50%

Can't make these dates? We can run this course for your team on dates that suit you. Ask for custom dates · In-house options

Online (live)

With a trainer, on dates to suit your team

This course can be taught live online by a trainer, in English, Arabic or any European language, for one person or a whole team.

£1,850 + VAT

Group discount: 2 delegates 20% · 3 delegates 35% · 5 or more delegates 50%

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Course overview

Since the 2008 financial crisis, regulators have placed growing weight on banks' ability to test themselves against adverse scenarios. Basel III sets the capital and liquidity rules that frame that process, but the detail behind those rules is dense: what counts as qualifying capital, how market and operational risk are treated, and how a bank should model the scenarios that could threaten its survival. This course works through all of it at an intermediate level.

Stress testing sits at the centre of the five days. Delegates examine why regulators focus on it so heavily, how historical and hypothetical scenarios are constructed, and where standard modelling approaches can fail. The course also covers the specific concentrations of credit and funding risk that are not captured under Pillar One, and how the Pillar II ICAAP framework addresses them.

Counter-party credit risk, Credit Value Adjustment, and the Liquidity Coverage Ratio are analysed in detail, as is the business model impact of Basel III on bank balance sheets: the hoarding of high-quality liquid assets, the role of CoCo bonds in Tier 1 capital, and the pressures from TLAC requirements on G-SIBs. The final module addresses the monitoring and reporting systems banks need to stay compliant, including dashboard design for credit, market and operational risk KRIs.

Course objectives

By the end of the course, delegates will be able to:

  1. Identify the key elements of the Basel III regulatory framework
  2. Apply the metrics and procedures for assessing credit risk, market risk and operational risk
  3. Explain why stress testing is central to sound risk management
  4. Analyse concentration of credit risk, concentration of funding risk, and systemic liquidity risk
  5. Develop procedures and policies for best-practice stress modelling and associated risk management

Target competencies

  • Regulation compliance
  • Scenario generation
  • Stress testing: methodological issues
  • Best-practice implementation of stress modelling
  • Thought leadership

Who should attend

This course suits:

  • Banking industry professionals
  • Wealth managers
  • Auditors
  • Treasury and product control professionals

Training methodology

  • Sessions combine explanatory slides with detailed examination of Excel models.
  • Case studies are used to ground each topic in realistic banking scenarios.
  • The course runs in an interactive workshop format throughout.

Course modules

  1. Module 1

    Regulatory Bank Capital: Purpose and Composition

    • Financial statement structure for banks: accounting principles
    • Balance sheet composition: asset and liability types
    • Key elements of the P&L statement of income
    • Banking book versus trading book
    • Equity capital of financial institutions
    • Liquidity versus solvency: contrasting issues
    • Going concern and gone concern capital
    • Bail-in capital explained
    • Accounting and regulatory definitions of own funds
    • Prudential filters, revaluation reserves, and AOCI
    • Treatment of goodwill, intangibles and deferred tax assets
    • Securitisations and off-balance-sheet exposures
  2. Module 2

    Qualifying Capital Requirements under Basel III

    • Definitions of regulatory capital: Core Tier 1 and Tier 2
    • Core Tier 1: equity capital and disclosed reserves
    • Supplementary capital: Tier 2 and supervisory discretion
    • Hybrid capital: Contingent Capital Instruments (CoCos)
    • Subordinated debt as bail-in instruments
    • Short-term subordinated debt for market risk (Tier 3)
    • Loss absorbency requirements
    • Deductions from capital: goodwill and subsidiaries
    • Supervisory discretion over cross-holdings in other banks
  3. Module 3

    Basel Treatment of Market Risk

    • Value at Risk (VaR): rationale, theory and calculation methods
    • Limitations of parametric VaR and the question of tail risk
    • Expected Shortfall and the FRTB
    • Risk weightings for market risk
    • Standardised approach
    • Interest rate risk in the trading book and banking book
    • Internal Models Approach (IMA) overview
    • Impact of market risk on trading book instruments
    • Volatility and market stress
    • Incremental Risk Charge
    • Off-balance-sheet items
  4. Module 4

    Operational Risk under Basel

    • Definition of operational risk: how it entered the Basel II framework
    • The life cycle of operational risk
  5. Module 5

    Measurement Approaches Being Phased Out by 2023

    • Basic Indicator approach
    • Standard Approach
    • Advanced Measurement Approaches
    • Revised Standardised Approach replacing the previous three methods
    • Risk weightings under each approach
    • Rogue trading: severity of losses
    • Scenario generation: KRIs and management involvement in adverse modelling
    • Quantifying exposure and severity of outliers and tail risk
    • Loss Distribution Approach (LDA) and Scenario Based Analysis (SBA)
    • Applying VaR techniques to operational risk (Op VaR)
    • Loss identification: measurement, management, monitoring and reporting
    • Integrating operational risk into the organisational risk management framework
  6. Module 6

    Alternatives to External Credit Ratings

    • Developing internal scoring models for corporate loan exposures
    • Developed and emerging economy approaches to credit risk assessment
  7. Module 7

    Credit Concentration Risk and Large Exposures

    • Concentration risk: gaps in the Pillar One approaches
    • Supervisory Review and Evaluation Process (SREP) summary
    • Concentration risk within the Pillar II ICAAP framework
    • Identifying sectoral concentration risk: general principles
    • Quantifying concentration risk in GCC markets
  8. Module 8

    Modelling and Stress Testing

    • Techniques for conducting stress tests
    • Back-testing using historical returns
    • Scenario generation using hypothetical returns
    • Sample sizes and the breadth of conditions they capture
    • Dangers of over-fitting risk management parameters to historical data
    • Modelling methods and contingency scenarios
    • Limitations of the normal distribution in probabilistic modelling
    • Quantifying exposure and severity of outliers and tail risk
    • Stressed Expected Shortfall methods
  9. Module 9

    Drivers of Counter-party Risk

    • Separating market risk impact on trading positions from CCR
    • Pricing counter-party risk: spreads and ratings
    • Probability of Default (PD) and Exposure at Default (EAD)
    • Expected Positive Exposure (EPE)
    • Loss Given Default (LGD) and recovery rates
    • Counter-party risk in credit default swaps
    • Counter-party risk in interest rate swaps
    • AIG and mono-line insurance companies in the financial crisis
    • The role of a central clearing house
    • Stress analysis and randomised stress scenarios
    • Market factors driving counter-party credit deterioration
  10. Module 10

    Credit Value Adjustment and Collateral

    • Definition of Credit Value Adjustment (CVA)
    • Credit exposure in relation to market risk impact on derivatives
    • Expected positive exposure and worst-case exposure
    • Collateralisation: ISDA treatment
    • Benefits of effective collateral management
    • Impact of netting on CVA
    • Impact of collateral on CVA
    • Hedging and credit default swaps
    • Eligible hedging instruments
    • Bilateral counter-party risk and collateral
    • Over-collateralised positions and counter-party default risk
  11. Module 11

    Liquidity Coverage Ratio

    • Liquidity Coverage Ratio (LCR) explained
    • Criteria for High Quality Liquid Assets (HQLA)
    • Categories of HQLA: Level 1, 2A and 2B
    • Net Stable Funding Ratio (NSFR)
    • Available stable funding (ASF) versus required stable funding (RSF)
    • Weighting factors for ASF and RSF
  12. Module 12

    Impact of Basel III on the Banking Business Model

    • Basel III LCR impact on balance sheet exposure to non-HQLA assets
    • Hoarding of Level 1 HQLA assets
    • Unintended macro-liquidity consequences of Basel III
    • Linkage between sovereign and domestic banking credit quality
    • Reduced corporate bond inventories held by primary dealers
    • AFS securities unrealised losses deducted from CET1
    • Contingent Capital instruments (CoCos) explained
    • CoCos as contributors to AT1 for capital adequacy
    • History of CoCos and conversion consequences
    • Sovereign wealth fund exposure to CoCos and elevated SWF liquidations
    • Possible suspension or reduction of CoCo coupon payments
    • Collateral netting across CCPs
    • Collateral shortage: implications and effect on bank ROE
    • Impact of TLAC on G-SIB banks
  13. Module 13

    Implementation and Reporting Systems for Basel Compliance

    • Monitoring and reporting mechanisms and how they interface with risk management
    • Avoiding siloed data and reporting
    • Accounting, surveillance, IT systems and data back-up
    • Monitoring controls: quality and integrity of procedures
    • Developing contingency scenarios
    • Role of the Chief Risk Officer
    • Role of the Internal Auditor
    • Developing KRI dashboards for credit, market and operational risk

Certificate

Every delegate who completes the course receives an ARUK Training Certificate of Attendance.

Frequently asked questions

How do I register?

Choose a date and city in the schedule and press Register, or send us an enquiry. Our team confirms your place and sends an invoice.

Are fees shown with VAT?

Fees are shown per delegate and exclude VAT, which is added to the invoice where applicable.

Can this course be delivered for our team only?

Yes. Any ARUK course can be delivered in-house at your premises, in a meeting room we book for you, or 1-to-1.

Is this course available online?

Yes. We run it live online with a trainer, on dates that suit your team, for £1,850 + VAT per delegate.

Is there a group discount?

Yes. 20% for 2 delegates, 35% for 3 delegates and 50% for 5 or more delegates on the same course.

Can the course be delivered in Arabic or another language?

Yes. Our courses can be delivered in English, Arabic or any European language, by a trainer who teaches in that language. Mention your preferred language when you register or enquire.

What certificate will I receive?

An ARUK Training Certificate of Attendance.

Related courses

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Basel III, Risk Assessment and Stress Testing

Key booking terms (read before you register)
  • The full fee is paid in advance, before the course starts.
  • Cancel in writing 30 or more days before the start date (45 for in-house) for a refund. Later than that, the full fee is payable.
  • No refund for non-attendance or partial attendance.
  • Places are for the named delegate only; another person cannot attend instead.
  • Moving to another date or city is only possible if ARUK agrees in writing.
  • Travel, accommodation and visas are your responsibility. A refused visa does not change the cancellation terms.

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Basel III, Risk Assessment and Stress Testing