Market Risk and FRTB Implementation Masterclass
The new Basel III framework for market risk, also known as the Fundamental Review of the Trading Book or FRTB, represents a pivotal change in the way banks trading businesses will be capitalized, regulated, and managed. As banks intensify their implementation efforts and deepen their knowledge of FRTB, this intensive course will be time for learning the best practices for tackling the myriad of challenges that lie ahead, as well as looming implementation deadlines. As the regulatory deadline for FRTB implementation approaches, the industry conversation has shifted from standardized practice to the many practical challenges that lie ahead. This training course will address in-depth the most pressing implementation challenges and emerging trends in FRTB.
Enroll now and enhance your competence and knowledge.
- Learn how to benchmark FRTB framework against industry standard
- Understand the status of the FRTB implementation process
- Identify key components and drivers for using IMA vs. standardized approach and capital frameworks
Key Features
Details
- Regulatory concerns with Basel 2 and 3
- BCBS timelines/EU timelines – some of the challenges
- Definition of the Trading Book+
- Trading Book instruments: standards and presumptive list
- Risk management Policies, reporting requirements
- Definition of a trading desks
- Impact of model withdrawal for a regulatory desk
- Make use of sub-desk structures
- Optimise allocation of capital across desks
- Restrictions on moving instruments between banking book and trading book
- Internal risk transfer
- Standard Rules
- SBA – sensitivity-based approach
- Major instruments to each component under SA approach
- Capital requirement
- Calculation of Delta Risk buckets, Risk weights and correlations
- Calculation of Vega Risk buckets, Risk weights and correlations
- Calculation of Cur Risk buckets, Risk weights and correlations
- Standard Rules for default risk
- Residual Risk
- Instruments subject to RRAO
- Example of correlation trading portfolio
- Requirements for desks with internal model approval
- Exercise/example calculations
- Capitalisation
- Capitalisation requirements derived from internal models with D436 amendments
- Adding in unapproved desks
- Estimates of capital impact of FRTB on banks
- Capital (output) floor
- Internal Model Approach (IMA)
- General Criteria
- Model Validation Standards
- Regulatory requirements (D352)
- Stress testing
- Expected Shortfall
- Concepts for ES and stress ES
- Liquidity Horizon
- VaR vrs ES
- Back testing VaR
- Actual P+L, Hypothetical P+L and Risk Theoretical P+L
- Exception counting – traffic lights – binomial tests
- Problems with back testing ES and VaR
- P+L Attribution
- Background
- P-Values Example/Exercises: Computing the regulatory P+L attribution tests and p-values
- The Default Risk Charge (DRC)
- DRC compared with the Basel 2.5 IRC model
- A Spreadsheet example/exercise
- Transactional Arrangement
- Banks perspective on FRTB as a whole and Regulatory challenges
- Data challenges under FRTB for Banks worldwide
- RWA comparability exercise
- FRTB implementation timelines
- Full Reval VaR Vrs Historical VaR
- Stress Testing
- BCBS 239 implementation
DAY 1:
Overview
Trading Book/Banking book
DAY 2:
DAY 3:
DAY 4:
DAY 5:
Related topics:
About The Trainer
- Training by a FRTB consultant with over 6 years of experience.
Request more details
Certificate:
Schedules
Build skills with experts anytime, anywhere. Keep up to date with the latest trends in your industry. Explore all of our courses and pick your suitable ones to enroll and start learning!
Date :
Oct 26th - Nov 23rd, 2024
Oct 26th - Nov 23rd, 2024 (Online Live)
Time :
05:30 - 09:30 (America/New_York)
05:30 - 09:30 (America/New_York)
Price :
USD 699
USD 699
Market Risk and FRTB Live Training - Oct Weekend Classes
Market Risk and FRTB Live Training - Oct Weekend Classes
Hurry, Sale ends soon!
If you have any Queries about schedules Ask us here
More than 5 Participants ? Request for Corporate Training
Don't Miss Out On Amazing Benefits!
- Why Pay Higher For your Certification Courses when you can get them at much more competitive prices? Take the lowest-price challenge! Submit your Quote.
- Highest Rated For The Quality Training & Services
- 20000+ Certified Every year Through Meritglobal
- Avail Pay Later, EMI Options, Referral Bonus & More
