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23 - FNB - Finance and Banking


FNB 210 - New Market Risk Framework: Fundamental Review of Trading Book (FRTB)

Code Start Date Duration Venue Fees
FNB 210 08 September 2019 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 06 October 2019 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 03 November 2019 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 01 December 2019 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 12 January 2020 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 09 February 2020 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 08 March 2020 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 05 April 2020 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 31 May 2020 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 28 June 2020 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 19 July 2020 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 23 August 2020 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 20 September 2020 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 18 October 2020 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 15 November 2020 5 Days Istanbul $ 2950 Registration Form Link
FNB 210 13 December 2020 5 Days Istanbul $ 2950 Registration Form Link
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Course Description

The new market risk framework in Basel III is a response to a pre-crisis framework that is now deemed inadequate and weak in many areas. The framework, called Fundamental Review of Market Risk (FRTB), renews almost all of components of market risk regulations. FRTB provides a new definition of boundary, revises standardized approach and internal models approach. The value-at-risk model is replaced with expected shortfall methodology. The course The goal of this course is to understand how changes to market risk regulation under the Fundamental Review of the Trading Book (FRTB) are impacting the trading, liquidity and funding strategies of banks and their market risk appetite.

Course Objectives

  • Providing a comprehensive view of the most important requirements under FRTB
  • Enabling participants to assess the business and financial implications of adopting the new standard
  • Clarifying the criteria set for new boundary for banking book and trading book
  • Understanding the fundamentals of new standardized approach for market risk
  • Identifying important topics of the new internal model approach
  • Assessing the impact of FRTB on business lines
  • Understanding difficulties and challenges of the adoption process of FRTB

Who Should Attend?

  • Managers especially Audit Committee members, CFOs, and CROs
  • Risk management managers
  • Bank Treasury professionals
  • Asset Liability management staff
  • Internal and External Auditors 
  • Consultants

Course Details/Schedule

Day 1

  • Overview of FRTB
  • Background of new standard 
  • New Trading Book – Banking Book Boundary 
  • New Trading Desk Definition and Requirements 
  • Set of Risk Factors
  • Risk management policies for trading book instruments
  • Recognition of internal risk transfers

Day 2

  • Overview of the structure of the standardised approach
  • Sensitivities-based Method
  • Risk types, risk dimensions and risk factors
  • Delta, Vega and Curvature
  • Correlation Scenarios
  • Delta General Interest Rate Risk (GIRR)
  • Delta Credit Spread Risk

Day 3

  • Equity Risk
  • FX Risk
  • Commodity Risk
  • Vega and Curvature risk weights and correlations
  • Default Risk Charge
  • Residual Risk Add-on
  • Capital charge for market risk under Standardized Approach
  •  

Day 4

  • Overview of the new internal model
  • Qualitative and Quantitative standards
  • Expected Shortfall
  • Internal Model Approach Mechanics
  • Non-modellable risk factors
  • Liquidity horizons
  • P&L Test and Backtesting
  • Trading Desk Approval
  • Default Risk 
  • Interaction with the standardised approach methodology
  • Capital charge for market risk under Internal Model Approach

Day 5

  • Model Validation standards
  • Stress testing for IMA
  • External Validation for IMA
  • Possible Calibration of Basel Committee
  • Developing an implementation plan
  • Implentation timeline
  • Gap Analysis
  • Project Plan
  • Challanges and Difficulties