Learn how changes to market risk regulation under the Fundamental Review of the Trading Book (FRTB) impact the trading, liquidity and funding strategies of banks and their market risk appetite.

With wide ranging impact including business strategy, modelling approach, operating model and risk infrastructure, banks face major challenges in meeting the new regulatory capital requirements for market risk.

This course aims to provide a conceptual understanding of FRTB along with insights into the practical implications for banks, using spreadsheet based exercises to understand the calculations involved.  Targeted at trading, risk, investment banking and infrastructure professionals, the course will equip participants to:

  • appreciate the key changes to market risk capital requirements to be implemented under FRTB
  • grasp key terminology: standardised approach; expected shortfall; stressed value at risk; non-modellable risks; liquidity horizon; how the default risk charge (DRC) differs from the old incremental risk charge (IRC)
  • assess the challenges for implementing FRTB
  • understand the progress and likely implementation of FRTB in different jurisdictions
  • identify the impact on different clients and business opportunities

Target Audience:

  • Credit and market risk managers
  • Portfolio managers
  • Capital markets professionals
  • Treasury and transaction services specialists
  • Management consultants
  • Quantitative Analysts
  • Internal Auditors
  • FRTB business analysts and project managers
  • Regulators, supervisors and compliance officers

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