Risk Management Academy (on-site training)

Content presented in English and taught in Portuguese

The main objective of this Academy is to offer participants a comprehensive perspective on the role of the risk management function (RMF), considering applicable regulatory requirements and key supervisory expectations, particularly in terms of (i) internal governance (EBA/GL/2021/05 and Banco de Portugal Notice Nº. 3/2020) requirements, (ii) general approaches to banking risk management, and (iii) a set of methodologies, techniques, and processes to support the management and measurement of financial and non-financial risk categories.

During the course, all relevant topics will be intensively covered and, when considered appropriate, explored in personalized practical cases. The main concepts, principles, processes and risk management tools will be adequately covered, allowing participants to acquire fundamental knowledge for carrying out functions related to risk management and control.

The course is suitable for a broader audience who wish to gain a better understanding of risk management processes within a bank and how banks are regulated. It assumes a basic understanding of accounting, financial products and banking functions, being particularly relevant as a new joiners foundational training.

Understand the regulatory and supervisory contexts in relation to the risk management function and banks’ internal control system
Learn about key concept, principles, processes and tools dedicated to risk management
Identify the key banking risks categories and understand their relative importance
Understand the regulation aimed at controlling risk in banks and how it has evolved
Learn about the qualitative and quantitative tools for measuring and managing financial and non-financial risks in banks
Understand the different methodologies used for regulatory and economic capital as well as liquidity measurement in banks
Learn from the main challenges faced and the key market trends in the risk management space

Program

1. Organizational framework (1h)

Positioning in the context of the three lines of defence
Mandate, role in risk strategy and decision, as well as core responsibilities
Independence of the RMF function (positioning, remuneration, expertise, and reporting lines)
Positioning of the RMF within a banking group
Interaction with Senior management, Management body, and delegated Committees as well as with the other risk internal control functions
The role of the Head of RMF

2. Risk culture and conduct (30m)

Key features and dimensions under analysis
Regular assessment process

3. Risk management cycle (30m)

Strategic risk management processes
Risk taxonomy
Identification and assessment of material risks
Risk appetite statement, key metrics and limits
Risk policies structure

4. Overview of the three Basel Pillars (30m)

Minimum capital requirements for Pillar 1 risks
Supervisory Review Process
Market discipline

5. The SREP (1h)

Background and purpose
Four dimensions under assessment
Risk assessment process
2023 key SREP results

6. ICAAP (2h)

Regulatory framework
ICAAP purpose, building blocks and the normative Vs. economic perspectives
ECB Report on banks‘ ICAAP practices
Risk quantification of material risks
Internal capital definition
Stress testing
Capital contingency plan
Main challenges and trends

7. Recovery plan (1h)

Regulatory framework
Purpose, principles, scope of application and report structure
Internal governance framework
Recovery plan indicators
Recovery measures: impact analysis, viability, and implementation calendar
Communication plan
Implementation of a recovery plan

1. Capital requirements under Basel IV (3h30)

Credit risk: SA and IRB
Counterparty credit risk
Market risk under FRTB
CVA
Operational risk
Output floor

2. Own funds definition (30m)

Components and eligibility criteria
Limits and deductions

3. Minimum capital ratios (30m)

CRR minimum levels
Combined buffers
Systemic buffers
P2R, P2G, TSCR and OCR

4. Securitization framework (30m)

Key definitions and requirements
STS securitizations (traditional Vs. synthetic)
Conditions for significant risk transfer and implicit support
RWA calculation rules

5. Large exposures (30m)

Key concepts and limits to large exposures
Exemptions and calculation rules

6. Leverage regime (30m)

Leverage ratio
Components and calculation rules

7. Prudential reporting and disclosure (30m)

COREP and FINREP templates: key dimensions and content
Disclosure requirements, scope, frequency, and templates

8. MREL (30m)

Regulatory background
Calculation formulae and eligible liabilities
Composition and minimum levels
Integration of MREL in resolution framework

1. Regulatory developments regarding credit risk (15m)

2. Credit risk lifecycle and credit risk management core processes (30m)

3. The revision of credit risk core concepts (1h30m)

Definition of default, Stage 3 exposure and NPE
Client in financial difficulties and forborne exposure
Group of connected clients
Segmentation: leveraged finance, IPRE, specialized lending, green lending, etc.

4. NPE management (1h)

Regulatory context
Internal governance and strategy
NPE management tools
Collaterals management
Disclosure requirements
Backstop calculation

5. Loan origination and monitoring (2h)

Background: application scope, proportionality, and structure
Internal governance dedicated to LOM
Credit origination
Pricing
Immovable and movable properties
Credit monitoring
Main challenges posed to the adoption of EBA/GL/2020/06

6. IFRS 9 impairment framework (1h45m)

Key components: expected credit loss (ECL) based, lifetime perspective, forward looking (FwL) dimensions and exposures staging
Collective impairment: risk parameters, FwL dimension and ECL calculation
Individual impairment analysis: quantification of recoverable value, collaterals management, and gone Vs. going concern

1. Interest rate risk (IRRBB) and Credit spread risk (CSRBB) (3h)

Revised regulatory context
Definition of IRRBB and different sub-types
ALM Management: balance sheet management, FTP, and pricing and profitability models . IRRBB measurement: EVE and NII
CSRBB quantification
Scenarios used for risk assessment and SOT
Coverage and management strategies
Regulatory reporting

2. Liquidity risk (1h30)

Regulatory context
Liquidity Coverage Ratio (LCR)
Net Stable Funding Ratio (NSFR)
Additional Liquidity Monitoring Metrics (ALMM)

3. ILAAP (1h30)

Regulatory framework
ILAAP purpose and core components
ECB Report on banks‘ ILAAP practices
Funding and liquidity risk management model
Fundings strategy
Liquidity reserves and collateral management
Intra-daily liquidity risk management
Stress testing
Liquidity contingency plan
Main challenges and trends

4. Market risk (1h)

Regulatory context and key concepts
Boundary between banking and trading book
Core risk management principles and governance arrangements
Fundamental review of the trading book
The use of internal models

1. Basics of operational risk (30m)

Key concepts and definitions
Principles, sources of risk and operational risk categories
Regulatory background
The evolution towards non-financial risks

2. Operational risk management framework (1h30)

Internal governance and key responsibilities
Risk identification and assessment
Risk monitoring and mitigation
Risk quantification

3. From operational risk to operational resilience (3h)

Business continuity and interdependencies mapping
Third-party dependence
Incident management
ICT risks (including cybersecurity and IT security)
DORA
Cyber resilience stress test
Main challenges

4. Data governance & data quality management (2h)

Background, BCBS 239 principles and high-level requirements
Overarching governance and architecture
Risk data aggregation capabilities
Risk reporting practices
ECB’s RDARR Guide
Main challenges and hot topics

1. EBA working plan for 2025 and ECB supervisory priorities for 2025-27 (30m)

2. Model risk management (1h)

Key concepts, context & trends, risk vision, framework and regulatory issues
Model inventory, life cycle and workflow solution
Identifying, measuring and managing model uncertainties
Model risk identification and assessment
Model risk reporting
Implementation of an MRM framework

3. ESG risks (3h)

Clarify the need for an ESG perspective
Regulatory context
From the ESG risks materiality assessment to quantification and capital planning
From targets definition to a climate transition plan
Integration of ESG in credit risk
The role of RMF regarding ESG risks
Implications in terms of strategy and business opportunities
ESG risks reporting and disclosure

4. AI within the risk management framework (1h30)

AI Act’s risk management
Key concepts
Risk assessment and categorization
Use of AI in risk management

5. The future of the RMF function: priorities of action, strategy, and tooling (30m)

6. Closing cocktail

Trainers

Ana Doroana
Partner
PwC Portugal

Fernando Vasconcelos
Partner
PwC Portugal

Luís Filipe Barbosa
Partner
PwC Portugal

Nuno Filipe Cordeiro
Partner
PwC Portugal

Marcelo Ferreira Rodrigues
Partner
PwC Portugal

Location

Lisbon

Dates

18 & 19 March ’25
09 & 10 April ‘25
28 & 30 April'25

Duration

42 hours | 09h30 - 17h30

Price

2.950,00 € (plus VAT)
Includes materials, PwC certificate and closing cocktail

Discounts

20% on the 3th registration onwards

Registration

Registration form

Participants will be challenged to test the knowledge acquired, by completing quizzes and practical cases, allowing the consolidation of learning!

Access our brochure here

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Contacte-nos

Hugo Miguel Dias

Assurance and PwC´s Academy Partner, PwC Portugal

Catarina João Morgado

Director, PwC Portugal

Assurance Advisory Tax Indústrias Sala de imprensa Carreiras PwC em Portugal Contacte-nos

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