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FRTB – Fundamental Review of Trading Book

FRTB – Fundamental Review of the Trading Book

The seminar FRTB – Fundamental Review of Trading Book is organized as an open seminar for employees from different institutions and also as an in-house seminar organized for employees of clients with tailor made requirements.

Objectives of the seminar

Participants of this seminar will learn about changes in the approach for the calculation of capital requirements for market risk. These amendments have been approved by BCBS and are reflected in the draft CRR amendment. During the seminar, the standardized approach for the calculation of capital requirements based on methods “Sensitivity-based method”, “Default risk charge” and “Residual risk add-on” will be discussed. In addition, the seminar focuses on the internal model for the calculation of capital requirements based on the “Expected shortfall” concept. The final part of the seminar is devoted to selected requirements from the draft CRR amendment.

For whom it is intended

The seminar is designed for analysts and market risk managers, internal auditors and compliance specialists.

 

Seminar content

  1. Introduction to FRTB
  2. FRTB according to BCBS – concept summary
  3. New standardized approach to market risk
  4. Internal market risk model
  5. Draft of the FRTB amendment (BCBS)
  6. Implementation of FRTB in EU
Currently no open seminar is organized. If you are interested in this topic please contact us and we will be delighted to prepare an in-house seminar for you.