Fundamental Review of the
Trading Book
OVERVIEW
The Fundamental Review of the Trading Book (FRTB) is a challenging exercise which is causing a lot of bankers to regulatory stress, this masterclass not only demystifies FRTB, it does a huge deep dive on the Market Risk infrastructure required to
make it happen.
COURSE DURATION
3 Day Masterclass
WHO SHOULD ATTEND
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Market Risk Practitioners
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Risk Officers
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Regulatory Reporting Teams
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Auditors assessing market risk function
KEY LEARNING POINTS
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How to establish definitions
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Methods for reviewing policy
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Restrictions on moving instruments between books
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Treatment of internal risk transfers
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Treatment of counterparty risk on the trading book
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How to limit impact of FRTB
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How to structure trades that are capital efficient
This program is worth 21 CPE credits by field of study:
Auditing:
Finance:
Statistics:
Business Mgmnt & Org:
Mathematics:
6 CPE credits
6 CPE credits
4 CPE credits
3 CPE credits
2 CPE credits
This course is certified by:
*LSBF certification is only applicable when both Part I & Part II modules are completed.
AGENDA
SESSION 1
- Winning FRTB Roadmap
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Basel 1 to 4 timeline for bankers
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Establish trading book definitions
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Methods for reviewing Market Risk policy
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New instrument restrictions
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Trading intent & eligibility assessment
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Understand how to treat internal risk transfer
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Complete roadmap & gap study for FRTB
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Structure trading book to limit FRTB downside
SESSION 2
- Inner Calculations
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Standardised approach with examples
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Sensitivity method stepped through
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Delta Vega & Curvative calculations explained
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How to develop correlation examples
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Aggregation techniques & charges
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Default Risk Charge explained
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Residual Risk Charge Methods & Add-ons
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Complete working example with FX and Commodities Trades
SESSION 3
-Market Risk Activity Centre
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P&L Attribution Test
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Backtesting Framework with scenarios
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Sample Changes to Market Risk Reports
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How to develop ES liquidity horizons
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Treatment for illiquid positions
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How to develop prudent valuation adjustments
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Types of minimum systems controls required
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How to manage external validation
INDUSTRY EXPERT
Mr. Rahul Sil
Mr Sil is a British quantitative risk manager who has risk managed linear and non-linear products across both Markets and Treasury functions. He has a proven track record in identifying, quantifying monitoring and mitigating complex Market and Counterparty Credit risks.
Rahul has a deep understanding of Market and Liquidity risks in Asia, involvement in stress testing and also developing hedging strategies for FI, FX/FX options, Prime Services, Equity Derivatives, Precious Metals and Group Treasury businesses for large and small Asia companies.
Detailed experience in financial and structured trade modelling • Deep understanding of trading environment front to back • Gobal leader in Market Risk for Exotic & Non-Linear Products • Extensive exposure to emerging markets • Build models and risk framework from the ground up • Front Office Risk Management Experience • Trading Policy Capabilities
BROCHURE REQUEST
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