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Fundamental Review of the Trading Book

London Financial Studies
En London (Inglaterra) yNew York (Estados Unidos), Singapore (Singapur)
  • London Financial Studies


In a world as connected as it is, London Financial Studies is a basic tool in our training. Well done LFS.


Información importante


In January 2016, the Basel Committee on Banking Supervision issued a standards document commonly referred to as the Fundamental Review of the Trading Book (FRTB). The changes outlined in this document have a significant impact on banks globally they cover numerous aspects of the trading book, including the definition of the trading book and trading desks, risk measurement and capitalization, and the supervision of internal risk models.

This course explores the new capital calculations, with practical examples of the new standard capital calculations as well as rules and principles behind internal models. The programme develops a set of tools which are applied cumulatively in a sequence of workshops to demonstrate various aspects of these new capital calculations. Concepts are then extended to investigate internal models, expected shortfall and the treatment of credit risk within the FRTB.

Given the wide scope of the FRTB, the course also explores the impact of the new standards on the banking industry. This includes the implications of the new capital regime on various business lines and how banks are likely to divide their businesses into trading desks. Under the FRTB there will be a greater onus on banks to have better risk management and control procedures. Practical guidelines are given for implementing these new procedures and the impact they will have on business strategy and risk management.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Traders and Dealing Room Staff
Risk Managers
Middle Office and Senior Managers
Quantitative Analysts, Financial Engineers and Systems Developers
Structured Products Desks, Product Controllers and Researchers
Loan Portfolio Managers and Fund Managers
Credit Analysts and Credit Risk Managers

Requisitos: Numerate background (intermediate) A good grounding in capital markets products and techniques Microsoft Excel


Dónde se imparte y en qué fechas

Inicio Ubicación
09 marzo 2017
34 Curlew Street, se12nd, London, Inglaterra
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27 marzo 2017
New York
New York, Estados Unidos
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01 diciembre 2016
The Finexis Building, Singapore, Singapur
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Lo mejor In a world as connected as it is, London Financial Studies is a basic tool in our training. Well done LFS.

A mejorar Nothing.

Curso realizado: Marzo 2016 | Recomendarías este centro? Sí.

¿Qué aprendes en este curso?

Risk Assessment
Risk Management
Market Risk
Risk Strategy
Regulation Law
Internal Models
Risk Measure
Trading Book
Fundamental Review of the Trading Book

Programa académico

Day One

Background, Market Risk, VAR and Expected Shortfall
Background to Risk Management and Regulation
  • History of risk management regulation
  • Probability distributions, volatility and correlation
  • VaR as a failed risk measure
  • Difficulties of historic simulation
  • Motivation for new regulation
Trading Book and the Standardized Approach to Market Risk
  • Defining a trading book and a trading desk
  • Separation between banking book and trading book
  • Key features of the standardized approach
  • Defining risk factors
  • Treatment of linear risk and curvature risk
  • Impact of the new standardized approach
Workshop: Example of the new standardized approach

Expected Shortfall and the Internal Model Approach
  • Changes to the regulations on Internal Models
  • Coherent risk measures
  • Expected shortfall (ES) as an alternative risk measure
  • Comparison of ES and VaR
  • Partial ES
  • Aggregation of risk at the firmwide level
Workshop: Comparing VAR and ES

Model Approval and P&L Attribution
  • Model validation standards
  • P&L attribution
  • Specifying risk factors
  • Backtesting of internal models
  • Price verification and valuation adjustments
Day Two

Reducing Capital, Default Risk and Credit Risk
Unmodellable Risks and Reducing Capital
  • FRTB definition of unmodellable risk
  • Calculating capital for unmodellable risk
  • Regulatory stress tests and asset quality reviews
  • Designing bespoke stress scenarios
  • Impact of regulation on capital requirements
  • Identifying trades to reduce ES / VAR
  • Allocating risk and capital to individual trading desks
Default Risk Charge
  • Scope of the default risk charge (DRC)
  • Standardized approach to the default risk charge
  • Applying the concept of jump to default
  • Netting and default risk calculations
  • Internal model approaches to default risk charge
  • Implementing an internal model
Workshop: Example of calculating the DRC

Reviewing the approach to CVA Capital Charges
  • Review of CVA calculations
  • Holding capital against changes in CVA
  • Introducing the two method for calculating CVA capital charge
  • FRTB CVA the standardized approach
  • The internal model approach to CVA capital charge
  • CVA, Debt value adjustment (DVA) and Funding value adjustment (FVA)
Workshop: Simulating the credit exposure of a portfolio of options

Changes To Risk Management Frameworks
  • Linking capital to risk
  • Implementation challenges of the FRTB
  • Changes to future risk management practices
  • Issues not addressed by FRTB
  • Products and businesses impacted by FRTB