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.

• 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