Fundamental Review of the Trading Book: Impact and Implementation by Thomas Obitz (Coming soon to The Quants Hub)
⬇️ Why should I choose the cohort version versus the self-paced version of the certificate?
The cohort version of the Climate Risk, Valuation, and Investing Certificate starts on specific dates throughout the year and connects you with a cohort of your peers from around the world who all study together during the same timeframe. Build your network by sharing ideas in facilitated discussion forums and get a sense of community as you learn new topics in the curriculum together. Many people find they are also more motivated to learn with a structured schedule that offers a clear timeline while still having the flexibility to study at their own pace within each of the five courses.
Duration:
📅 Self-Paced: 12+ lecture hours
Format:
💻 Online
📆 Time Commitment:
Recorded lectures accessible any time.
🕛 Self-paced Online:
Students will have the opportunity to apply what they learn in hands-on projects throughout the course.
💳 Cost: £395.00
Summary:
- Recognise where your company is on its FRTB implementation journey
- Manage the impact of FRTB on the capital floor
- Identify key components for capital frameworks and drivers for using the IMA versus the SA
- Understand the relationship between FRTB and International Financial Reporting Standard 9 – known as IFRS 9 – on the banking and trading books
- Develop skills to identify and manage implementation pitfalls
Modules:
- Progress of regulatory implementation of the Fundamental Review of the Trading Book (FRTB) in the context of Basel III
- The impact of FRTB on capital requirements and business models
- The capital framework and the revised standardised approach (SA)
- The FRTB credit valuation adjustment (CVA) framework
- The revised IMA
- Understanding and managing non-modellable risk factors (NMRFs)
- Profit and loss (P&L) attribution tests, desk strategies and capital dynamics
- Model risk management under FRTB
- The trading book/banking book boundary and its impact on business models
- Making FRTB work: target operating model and a system impact and implementation approach
About the programme
Explore the impact and implementation of FRTB within financial institutions from the perspectives of model risk management, capital requirements and data management.
Dedicated sessions will explore key components and considerations of the SA and the sensitivities-based approach, emerging risk factors from the interbank offered rates transition impact, and the IMA and the trading book/ banking book boundary under FRTB, and will support delegates in applying FRTB principles at their own institutions.
Led by FRTB subject matter expert Thomas Obitz.