New FRTB Standardised Approach: Introduction, Motivation & Worked Examples

Anmeldung

Inhalte

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

Lernziele

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.

Zielgruppe

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.

Methodik

Interactive seminar, discussions, moderation

Dauer

1 Tag

Inhouse-Qualifizierung

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