Fundamental Review of the Trading Book

This two-day seminar bespoke and intensive seminar is aimed at bank capital professionals. It provides a deep understanding of the mechanics of the market risk standardised approach.

Concepts are mastered through the heavy use of case studies that cover how the calculations are performed in practice. Each case is complemented with the practical challenges that Juan Ramirez has witnessed in his experience in FRTB.​

All participants will receive a copy of Juan Ramirez's book "Basel IV Market Risk Capital - FRTB".

• Bank professionals in FRTB policy and reporting in Finance
• Bank professionals in the regulatory capital in market Risk
• Bank quants developing FRTB framework
• Bank professionals in the capital/market risk internal audit functions
• Trading front-office functions
• Central bank FRTB supervisors
• Consultants

• To provide a hand-on deep knowledge on FRTB standardised approach, the BB/TB boundary and Internal Risk Transfers
• To understand the main issues in implementing the FRTB framework
• To devise opportunities for reduction of FRTB capital requirements

• Numerate background (intermediate)
• A good grounding in capital markets products and techniques
• Microsoft Excel

Introduction

• Approaches to the market risk capital requirements (SA, IMA and simplified SA)
• Positions in scope of market risk capital
• Trading book / banking book boundary
• Internal risk transfers (IRTs)

Overview of the SA approach

• Overview of the SA capital requirement: SbM, RRAO and DRC
• SbM components: Delta, vega and curvature risks

Sensitivities-based Method (SbM) - Case study: GIRR

• Interest rate swap: delta risk calculations. Intra- and cross-bucket aggregations
• Swaption: delta and vega risk calculations. Intra- and cross-bucket aggregations
• Swaption: Curvature risk calculations
• Challenges in practice
• Special topic: Inclusion of linear instruments in the curvature risk

Sensitivities-based Method (SbM) - Case study: FX

• FX forward: delta risk calculations. Intra- and cross-bucket aggregations
• FX option: delta and vega risk calculations, Intra- and cross-bucket aggregations
• FX option: Curvature risk calculations

Sensitivities-based Method (SbM) - Case study: Cross-currency swaps

• Calculation of sensitivities
• GIRR SbM and FX SbM calculations

Sensitivities-based Method (SbM) - Case study: Credit spread risk (CSR) SbM

• Bond: delta risk calculations. Intra- and cross-bucket aggregations
• CDS: delta risk calculations. Intra- and cross-bucket aggregations
• Challenges in practice

Residual risk add-on (RRAO)

• Scope of instruments and calculations mechanics
• Working example
• Challenges in practicee
• Special topic: CMS options

Default Risk Charge

• Scope and calculation mechanics
• Working example: Bond
• Working example: Equity
• Sepcial topics: issue vs. oblifgor credit ratings

Treatment of indices and funds (CIUs)

• Treatment of equity and credit indices
• Capitalisation of CIUs
• Challenges in practice

Advanced topics

• Use of alternative sensitivities
• Other topics