Fundamental Review of the Trading Book
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Fundamental Review of the Trading Book
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Course Running Time: 15 Hours
£199.00
Professionals – Understand the mechanics and implementation challenges of the new regulatory framework for market risk (Fundamental Review of the Trading Book). Naturally, it targets all those that are new to this topic (traders, risk managers, programmers, consultants) and who need to quickly catch-up with those colleagues that are already experts in FRTB.
Regulators – We pay particular attention to the implementation and its challenges. For regulators to better understand the implementation challenges, the course links conceptual requirements to implementation consequences.
Academics/students – Students can substantially improve their recruiting chances if they are knowledgeable in this important and current topic. Banks are currently looking for talents who want to join banks on their FRTB – journey.
Lecture 1:
Running Time: 3 Hours 8 Minutes
Topic: Overview, FRTB Building Blocks, Computation requirements
Lecture 2:
Running Time: 3 Hours 22 Minutes
Topic: Standardised approach: Interest Rate Risk, Credit Spread Risk, Equity Risk, FX Risk, Commodity Risk, Default Risk Charge, Model Add-On, Prototype
Lecture 3:
Running Time: 3 Hours 14 Minutes
Topic: Internal Model: Expected Shortfall, Mechanics, Non-modellable risk factors
Lecture 4:
Running Time: 2 Hours 58 Minutes
Topic: Internal model: Liquidity horizons, P&L-Test, Prototype
Lecture 5:
Running Time: 3 Hours 19 Minutes
Topic: FRTB-Implementation: Gap analysis, Comprehensive project plan, Effort estimation
CPD Certification
You will be able to receive 45 CPD points (15 hours of structured CPD and 30 hours of self-directed CPD) taking this course.
The CPD Certification Service was established in 1996 as the independent CPD accreditation institution operating across industry sectors to complement the CPD policies of professional and academic bodies. The CPD Certification Service provides recognised independent CPD accreditation compatible with global CPD principles.
Instructor: Christian Schmaltz
Christian Schmaltz: Assistant Professor for Banking, AARHUS UNIVERSITY
Christian holds a position as assistant professor for Finance at Aarhus School of Business (ASB) and is affiliated to the Aspect Advisory Group. Christian earned his PhD with a ‘Quantitative Liquidity Model for Banks’. Subsequently, he worked for risk management consultancies in Germany and United Kingdom. His project experience spans from liquidity to market risk and from individual to group models. Back in academia, his research interest is naturally centred around financial institutions with a focus on their management and regulation. Furthermore, Christian is a successful trainer for risk management covering basic levels up to advanced levels in quantitative methods, regulation and overall bank management.
Prerequisites
There are not academic prerequisites for this course. It would be however helpful, if participants have some knowledge on today’s market risk regulation. Furthermore, participants should know the concept of Value-at-Risk and its current application for risk measurement.
Lecture 1:
Topic: Overview, FRTB Building Blocks, Computation requirements
- Overview:
Framing: Compute market risk RWA under Pillar 1
Motivation: Why a new market risk framework
Components: Trading book boundary, Internal hedges, Regulatory trading desks
In a nutshell: Main changes w.r.t. current framework - FRTB Building Blocks:
Standardised vs. internal model - Computation requirements:
Per desk
Per group - Governance structure: who implements, who maintains, wo reports and who manages?
- Comparison Basel FRTB vs. European (CRR2-)FRTB
Lecture 2:
Topic: Standardised approach: Interest Rate Risk, Credit Spread Risk, Equity Risk, FX Risk, Commodity Risk, Default Risk Charge, Model Add-On, Prototype
- Standardised approach:
- Continuous vs. discontinuous (default) risk
- Delta, Vega, Non-linear risks
- Model tree: Risk type – Bucket – Risk factor
- Input factors:
- Sensitivities
- Repriced option prices
- Regulatory constraints on inputs
- Regulatory shocks and aggregation
- Interest Rate Risk,
- Credit Spread Risk,
- Equity Risk,
- FX Risk,
- Commodity Risk,
- Default Risk Charge,
- Model Add-On
- Prototype to take home
Lecture 3:
Topic: Internal Model: Expected Shortfall, Mechanics, Non-modellable risk factors
- “Toy model” of internal model
- Risk factor definition
- Modellability vs. Non-modellability
- Risk factor monitoring process
- Interaction between Finance, Front Office and Risk
Lecture 4:
Topic: Internal model: Liquidity horizons, P&L-Test, Prototype
- Liquidity horizons
- P&L-Test
- Objective
- Criteria
- Required steps for implementation
- Outlook: potential changes in EU
- Prototype to tale home
Lecture 5:
Topic: FRTB-Implementation: Gap analysis, Comprehensive project plan, Effort estimation
- Gap analysis
- Comprehensiveness: covering the whole FRTB-program (trading book boundary, approved trading desk structure, internal hedges, stress testing, validation)
- Impact study for management decision: standardised approach or internal model?
- Comprehensive project plan:
- Building blocks, challenges, milestones, timelines
- Effort estimation