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Webcast: FRTB - Non-modellable Risk Factors: Stress Scenario Risk Management

Speaker: Dr Simon Acomb

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A course on this topic is available in London, New York, Singapore, Toronto, Hong Kong and Sydney

Webcast Agenda


  • An introduction to the concept of non-modellable risk factors and the role that they play in the internal model approach to market risk capital
  • Discussion of the latest proposal from the Basel Committee on Banking Supervision and how it will change the definition of non-modellable risk
  • A review of the proposal from the European Banking Authority on how to construct stress scenarios to capitalise non-modellable risk
     

Learning Outcomes


  • Understand how the choices made in building an internal model impacts effect the number of non-modellable risk factors, and hence change market risk capital
  • Learn how the latest proposals from the Basel Committee on Banking Supervision will broaden the concept of modellable risk, and how banks can best take advantage of this proposed change
  • Understand the concepts behind the latest proposal from the European Banking Authority on how to calculate the non-modellable risk factor stress scenario risk measure

 


LFS offers the 2-day 'Fundamental Review of the Trading Book' programme with Dr Simon Acomb in London, New York, Toronto, Sydney, Hong Kong and Singapore.

To find out more, click on the link above or contact us at advisor@londonfs.com

Are you interested in running our public courses in-house? Contact our in-house team to discuss further.


Why travel? Many clients are already attending our courses from the convenience of their home or office with LFS's state-of-the-art remote learning platform: LFS Live