Online: FRTB Fundamental Review of the Trading Book Course

Online: FRTB Fundamental Review of the Trading Book Course
5 week course starts: Thursday 2nd November 2017

SPECIAL OFFERS: 20% Early Bird Discount Until Friday 29th September 2017.

BOOK NOW

 

 

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How does the Quants Hub work?

The Quants Hub is the online sister company of WBS Training, and works as our online university. Each week the lectures are recorded and stored on the site with the corresponding slides and forum to continue the debate. This will be available for a minimum of 2 years after the course ends. 

Take advantage of the 20% Early Bird Discount Until Friday 29th September 2017 (Regular course fee is £899.00)

Goals: This course is for those who wish to

Professionals - Understand the mechanics and implementation challenges of the new regulatory framework for market risk (Fundamental Review of the Trading Book). Naturally, it targets all those that are new to this topic (traders, risk managers, programmers, consultants) and who need to quickly catch-up with those colleagues that are already experts in FRTB.

Regulators – We pay particular attention to the implementation and its challenges. For regulators to better understand the implementation challenges, the course links conceptual requirements to implementation consequences.

Academics/students – Students can substantially improve their recruiting chances if they are knowledgeable in this important and current topic. Banks are currently looking for talents who want to join banks on their FRTB – journey.

Location and Event Timings

This workshop is available Globally Online.

Start Time: 17.30 - 21.00 GMT

Week 1: Thursday 2nd November
Topic: Overview, FRTB Building Blocks, Computation requirements

Week 2: Thursday 9th November
Topic: Standardised approach: Interest Rate Risk,  Credit Spread Risk, Equity Risk, FX Risk, Commodity Risk, Default Risk Charge, Model Add-On, Prototype

Week 3: Thursday 16th November
Topic: Internal Model: Expected Shortfall, Mechanics, Non-modellable risk factors

Week 4: Thursday 23th November
Topic: Internal model: Liquidity horizons, P&L-Test, Prototype

Week 5: Thursday 30th November
Topic: FRTB-Implementation: Gap analysis, Comprehensive project plan, Effort estimation

CPD Certification

You will be able to receive 17.5 CPD points (17 hours and 30 minutes of structured CPD) taking this course.

The CPD Certification Service was established in 1996 as the independent CPD accreditation institution operating across industry sectors to complement the CPD policies of professional and academic bodies. The CPD Certification Service provides recognised independent CPD accreditation compatible with global CPD principles.

www.cpduk.co.uk

Instructor: Christian Schmaltz

Christian Schmaltz: Assistant Professor for Banking, AARHUS UNIVERSITY

 

Christian holds a position as assistant professor for Finance at Aarhus School of Business (ASB) and is affiliated to the Aspect Advisory Group. Christian earned his PhD with a ‘Quantitative Liquidity Model for Banks’. Subsequently, he worked for risk management consultancies in Germany and United Kingdom. His project experience spans from liquidity to market risk and from individual to group models. Back in academia, his research interest is naturally centred around financial institutions with a focus on their management and regulation. Furthermore, Christian is a successful trainer for risk management covering basic levels up to advanced levels in quantitative methods, regulation and overall bank management.

Prerequisites

There are not academic prerequisites for this course. It would be however helpful, if participants have some knowledge on today’s market risk regulation. Furthermore, participants should know the concept of Value-at-Risk and its current application for risk measurement.

Frequently Asked Questions

Should I attend the programme?

The course is a practitioner-orientated professional course that will enhance the short-term and long-term career prospects of anyone working in (or looking to enter) FRTB.

When will the course commence?

The course starts on Thursday 2nd November 2017.

How long is the course?

The course has five 3.5 hour lecture weeks.

How do I contact the presenter during the course?

Each lecture week will have a corresponding forum to discuss topics with the trainer and fellow students.

What is the fee structure?

There is a 20% Early Bird Discount Until Friday 29th September 2017 (Regular course fee is £899.00)

Where do I attend the course?

The course is available globally online from your home or office.

How do I access the live global streaming lectures?

The live streaming will be available on Cisco WebEx, you will be given weekly login access details.

What happens if I miss a lecture week?

All the lectures are recorded and are available for you in your Quants Hub course member’s area for the duration of the course.

How do I register to the course?

Register online

Is there academic discount?

Yes academic discount is 50% and is for FULL-TIME academics only, i.e you are a full-time student or Professor. Please do not ask if you neither of these you will be declined.

Email: neil@wbstraining.com Fax: +44 (0) 1273 201360

Week 1: Thursday 2nd November, 17.30 GMT

Topic: Overview, FRTB Building Blocks, Computation requirements

  • Overview:
    Framing: Compute market risk RWA under Pillar 1
    Motivation: Why a  new market risk framework
    Components: Trading book boundary, Internal hedges, Regulatory trading desks
    In a nutshell: Main changes w.r.t. current framework
  • FRTB Building Blocks:
    Standardised vs. internal model
  • Computation requirements:
    Per desk
    Per group
  • Governance structure: who implements, who maintains, wo reports and who manages?
  • Comparison Basel FRTB vs. European (CRR2-)FRTB

Week 2: Thursday 9th November, 17.30 GMT

Topic: Standardised approach: Interest Rate Risk,  Credit Spread Risk, Equity Risk, FX Risk, Commodity Risk, Default Risk Charge, Model Add-On, Prototype

  • Standardised approach:
    • Continuous vs. discontinuous (default) risk
    • Delta, Vega, Non-linear risks
    • Model tree: Risk type – Bucket – Risk factor
  • Input factors:
    • Sensitivities
    • Repriced option prices
    • Regulatory constraints on inputs
    • Regulatory shocks and aggregation
    • Interest Rate Risk, 
    • Credit Spread Risk,
    • Equity Risk,
    • FX Risk,
    • Commodity Risk,
    • Default Risk Charge,
    • Model Add-On
    • Prototype to take home

Week 3: Thursday 16th June, 17.30 GMT

Topic: Internal Model: Expected Shortfall, Mechanics, Non-modellable risk factors

  • “Toy model” of internal model
  • Risk factor definition
  • Modellability vs. Non-modellability
  • Risk factor monitoring process
  • Interaction between Finance, Front Office and Risk

Week 4: Thursday 23rd June, 17.30 GMT

Topic: Internal model: Liquidity horizons, P&L-Test, Prototype

  • Liquidity horizons
  • P&L-Test
    • Objective
    • Criteria
    • Required steps for implementation
    • Outlook: potential changes in EU
  • Prototype to tale home

Week 5: Thursday 30th June, 17.30 GMT

Topic: FRTB-Implementation: Gap analysis, Comprehensive project plan, Effort estimation

  • Gap analysis
    • Comprehensiveness: covering the whole FRTB-program (trading book boundary, approved trading desk structure, internal hedges, stress testing, validation)
  • Impact study for management decision: standardised approach or internal model?
  • Comprehensive project plan:
    • Building blocks, challenges, milestones, timelines
  • Effort estimation

FRTB 2017 Testimonials

Your conference was of great quality with great speaker. The format was particularly interesting allowing significant sharing between members. Some parts did feel like a roundtable.

Marc Jeannin: Phd/Executive Director, Risk Methodology Group, Nomura International plc

“Excellent content, up to date information and insight on regulatory development, a real sense of sharing ideas in order to work towards best practice across the industry. A relaxed atmosphere allowed to be flexible on timings and discuss topic of interest without worrying too much about a fixed schedule”

Manlio Trovato: MD, Head of Quantitative Research | CB Markets, LLOYDS BANK COMMERCIAL BANKING

“This FRTB conference was probably the best I attended during the last few years: a subtle balance between conceptual presentation providing good understanding of the intentions, and pragmatic presentations including hints and solutions to improve readiness for FRTB”.

Gilles Artaud: Deputy Head of Counterparty Credit Risk, Credit Agricole-CIB