Fundamental Review of the Trading Book by Christian Schmaltz

Fundamental Review of the Trading Book by Christian Schmaltz

Online Course Running Time: 15 Hours

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.

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.

Lecture 1: 

Running Time: 3 Hours 8 Minutes

Topic: Overview, FRTB Building Blocks, Computation requirements

Lecture 2: 

Running Time: 3 Hours 22 Minutes

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

Lecture 3: 

Running Time: 3 Hours 14 Minutes

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

Lecture 4: 

Running Time: 2 Hours 58 Minutes

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

Lecture 5: 

Running Time: 3 Hours 19 Minutes

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

CPD Certification

You will be able to receive 45 CPD points (15 hours of structured CPD and 30 hours of self-directed 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.

Lecture 1: 

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

Lecture 2: 

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

Lecture 3: 

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

Lecture 4: 

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

Lecture 5: 

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

 

£299.00