Fundamental Review of the Trading Book
In January 2019, the Basel Committee on Banking Supervision revised their standards document commonly referred to as the Fundamental Review of the Trading Book (FRTB). The changes outlined in this new document will have a significant impact on banks globally - they cover numerous aspects of the trading book, including the definition of the trading book and trading desks, risk measurement and capitalization, and the supervision of internal risk models.
This course explores the new capital calculations, with practical examples of the new standard capital calculations as well as rules and principles behind internal models. The programme develops a set of tools which are applied cumulatively in a sequence of workshops to demonstrate various aspects of these new capital calculations. Concepts are then extended to investigate internal models, expected shortfall and the treatment of credit risk within the FRTB.
Given the wide scope of the FRTB, the course also explores the impact of the new standards on the banking industry. This includes the implications of the new capital regime on various business lines and how banks are likely to divide their businesses into trading desks. Under the FRTB there will be a greater onus on banks to have better risk management and control procedures. Practical guidelines are given for implementing these new procedures and the impact they will have on business strategy and risk management.
Recommend to a Colleague- Date:
- Please contact us
- Venue:
- Cliftons Singapore - The Finexis Building
- Fee:
This course is also available in London Time Zone and New York Time Zone
This course is FTS-Eligible* and also eligible for CPD hours. GARP & CFA Institute members are eligible for CE/CPD credits. See details
- Traders and Dealing Room Staff
- Risk Managers
- Middle Office and Senior Managers
- Investors
- Quantitative Analysts, Financial Engineers and Systems Developers
- Structured Products Desks, Product Controllers and Researchers
- Loan Portfolio Managers and Fund Managers
- Credit Analysts and Credit Risk Managers
- Understand the new definitions of a trading book and a trading desk. Learn how these new concepts will impact the structure of banks and their capital requirements
- Gain insights into the practical implementation of the new Standard Approach to capital calculation. Understand the impact of the sensitivity based calculations, the default risk charge and the residual risk add-on across asset classes
- Learn how to use expected shortfall as an Internal Risk Model, and the regulatory concepts of a liquidity horizon, non-modellable risk, backtesting and P&L attribution testing
- Understand the role of governance, internal policies and procedures as well as external audit in the new capital regime
- Numerate background (intermediate)
- A good grounding in capital markets products and techniques
- Microsoft Excel
*FTS Eligible
This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is
eligible for FTS claims subject to all eligibility criteria being met. Please note that in no way does
this represent an endorsement of the quality of the training provider and programme. Participants are
advised to assess the suitability of the programme and its relevance to participants' business activities
or job roles. The FTS is available to eligible entities, at a 50% funding level of programme fees subject
to all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme
Directory with the specified validity period. Please refer to www.ibf.org.sg for more information.
Dr Simon Acomb has over 30 years of experience in quantitative finance. He started his career in finance at Barclays deZoete Wedd in 1992 in the Equities Derivatives Group and progressed to run the quantitative research team. This was followed by five years at Commerzbank, where he established a derivatives proprietary trading team and then became head of the equity quantitative research group.
Most recently, Simon has been a managing director at Morgan Stanley as global head of the Equities Analytic Modelling Group. He now works as a consultant and trainer in mathematical finance.
Request a Brochure with full details for Fundamental Review of the Trading Book
06-Mar-2017 - FRTB: Standardising risk - FTSE Global Markets
Background, Market Risk, Trading Books and the Standardized Approach
Background to Risk Management and Regulation
- History of risk management regulation
- Probability distributions, volatility and correlation
- VaR as a failed risk measure
- Motivation for new regulation
Trading Books and Trading Desks
- Defining a trading book and relationship to IFRS 9
- Separation between banking book and trading book
- Trading desk as a unit of regulatory approval
- Defining trading desks
- Impact division into trading desks on capital
Workshop: Allocating positions to trading book / banking book
The Standardized Approach to Market Risk
- Key features of the standardized approach
- Defining risk factors and sensitivities
- Treatment of linear risk and curvature risk
- Impact of the new standardized approach
- Residual Risk Add-ons
Workshop: Example of the new standardized approach - delta and curvature risk
Simplified Standardized Approach
- Review of the criteria for using a simplified approach
- Specific risk for interest rates
- Calculating general market risk
- Treatment for equity risk
- Measuring fx and commodity risk
- Simplified approach and options
Internal Models, Introduction of the Default Risk Charge and Capital Impact
Expected Shortfall and the Internal Model Approach
- Changes to the regulations on Internal Models
- Coherent risk measures
- Expected shortfall (ES) as an alternative risk measure
- Comparison of ES and VaR
- Partial ES
- Regulatory stress tests and asset quality reviews
Workshop: Comparing VAR and ES
Model Approval, P&L Attribution and Non-modellable Risk
- Model validation standards
- P&L attribution
- Backtesting of internal models
- FRTB definition of non-modellable risk
- Calculating capital for non-modellable risk
- Identifying trades to reduce ES
- Allocating risk and capital to individual trading desks
Default Risk Charge
- Scope of the default risk charge (DRC)
- Standardized approach to the default risk charge
- Applying the concept of jump to default
- Netting and default risk calculations
- Internal model approaches to default risk charge
- Implementing an internal model
Workshop: Example of calculating the DRC
Changes To Risk Management Frameworks
- Linking capital to risk
- Implementation challenges of the FRTB
- Changes to future risk management practices
- Issues not addressed by FRTB
- Products and businesses impacted by FRTB
The course was great to provide key challenges and insights for FRTB, including challenges for control functions as Internal Audit. Strongly recommended.
(Senior Manager - Eurobank Ergasias S.A.)
The course is well balanced, despite the complexity of the theme and the remote experience [LFS Live] was very enjoyable.
(Coordinator - Banco Central do Brasil)
Effective coverage of key FRTB rules, understandable also for non-trading professionals; good practical explanations from the trainer.
(Senior Internal Auditor - European Investment Bank)
The course was well designed and had the right amount of information for a 2 days course. The remote experience [LFS Live] was quite good and I never felt I was missing out by not being in the room. Would definitely be doing this again in the future.
(Executive Director - Haitong Bank SA)
The FRTB course explained a wide range of material in a clear manner. The course has greatly expanded my knowledge in the topic.
(Financial Engineer - IBM Algorithmics)
In a world as connected as it is, LFS Live is a great idea today, and probably an essential tool very soon. Well done LFS.
(Market Risk Officer - UBS)
Course Details
This course is also available in London Time Zone and New York Time Zone
- To run this course at your organisation, contact us.
Call now for more information on this course or to book:
Asia Pacific +65 3159 3707
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