Fundamental Review Of The Trading Book Modelling (FRTB)

Overview

2 day applied course with comprehensive case studies covering both Standardised Approach (SA) and Internal Models Approach (IMA). This course is for anyone interested in understanding practical examples of how the sensitivities-based method is applied and how internal models for SES and DRC are built.

Learning Objectives

Through comprehensive case studies, learn how to model market risk capital requirements under new standard under both Standardised Approach (SA) and Internal Models Approach (IMA).
Learn how to build IMA components – Monte Carlo and historic simulation of Stressed Expected Shortfall (SES); FRTB-compliant VAR-based internal model for Default Risk Charge (DRC), incorporating default simulation with default correlations between obligors.
Business adaptation strategies used by major trading banks to manage capital requirements under FRTB.
Strategies moving forward, including capital efficiency transactions, to optimise economic value added from trading business under FRTB.