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New FRTB Standardised Approach: Introduction, Motivation & Worked Examples

Target Audience

This seminar aims at risk managers with an at least basic knowledge in market risk. An in-depth knowledge of market risk modelling techniques and a strong quantitative background, however, are not required.

Learning Target

Participants of this seminar will gain a solid understanding of the main building blocks of the new FRTB standardised approach and their political motivation and will develop the ability to apply this new standardised approach to simple hypothetical portfolios in Excel.

Contents

  • Political motivation of the Fundamental Review of the Trading Book (FRTB)
  • Overview of the major building blocks of the FRTB
  • Status quo of the FRTB application in Europe
  • In-depth introduction of the FRTB Standardised Approach
  • Application of the FRTB
  • Standardised Approach to several hypothetical portfolios: Interactive discussion of worked examples

Methodology

Interactive seminar, discussions, moderation

Duration

1 day

Customised Programmes

Everything we offer in our range of open seminars can be packaged and delivered as tailormade in-house training programmes for companies and organisations. We will be happy to advise you and create an individual offer on request.

Events

Price advantage of 10% from the 2nd participant per company and seminar date.

Functional Questions

Organisational Questions