Fundamental Review of the

Trading Book

TRAINING SCHEDULE

Dubai, 5 - 8 February 2018

Available as an in-house training

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

  • Market Risk Practitioners

  • Risk Officers

  • Regulatory Reporting Teams

  • Auditors assessing market risk function

KEY LEARNING POINTS

  • How to establish definitions

  • Methods for reviewing policy

  • Restrictions on moving instruments between books

  • Treatment of internal risk transfers

  • Treatment of counterparty risk on the trading book

  • How to limit impact of FRTB

  • 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

 

  • Basel 1 to 4 timeline for bankers

  • Establish trading book definitions

  • Methods for reviewing Market Risk policy

  • New instrument restrictions

  • Trading intent & eligibility assessment

  • Understand how to treat internal risk transfer

  • Complete roadmap & gap study for FRTB

  • Structure trading book to limit FRTB downside

SESSION 2

Inner Calculations

 

  • Standardised approach with examples

  • Sensitivity method stepped through

  • Delta Vega & Curvative calculations explained

  • How to develop correlation examples

  • Aggregation techniques & charges

  • Default Risk Charge explained

  • Residual Risk Charge Methods & Add-ons

  • Complete working example with FX and Commodities Trades

SESSION 3

-Market Risk Activity Centre

 

  • P&L Attribution Test

  • Backtesting Framework with scenarios

  • Sample Changes to Market Risk Reports

  • How to develop ES liquidity horizons

  • Treatment for illiquid positions

  • How to develop prudent valuation adjustments

  • Types of minimum systems controls required

  • 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

 

CHAT WITH YOUR ADVISOR:

                ALBERTO OSMAN               

Head of Professional Development Advisor

OR  LEAVE US A MESSAGE:

© Causal Capital Pte Ltd 2019 All rights reserved.