One-Day Training Course: Fundamental Review of the Trading Book (“FRTB”), including Review of Key Market Risk Concepts

Brussels, 18 September 2014
London, 22 September 2014

Avantage Reply organises a one-day training course on "Fundamental Review of the Trading Book (“FRTB”), including Review of Key Market Risk Concepts".

The Basel Committee on Banking Supervision (the “Committee”) noted that the financial crisis exposed material weaknesses in the overall design of the framework for capitalising trading activities. As an important response to the crisis, the Committee introduced a set of revisions to the market risk framework (part of the “Basel 2.5” package of reforms). At the time (2009), the Committee recognised that the Basel 2.5 revisions did not fully address the shortcomings of the framework. In response, the Committee has since initiated a fundamental review of the trading book regime.

This one-day training course will review the proposals set out by the Committee, including a review of the key Market Risk metrics used within the existing and future Market Risk framework. This section will be covered by Prof. Georges Hübner.

Course Agenda

I. Introduction to the Global and European Regulatory Landscape [0.5 hour]

II. Overall revisions to the Market Risk framework [2 hours]
     II.1. The trading book/banking book boundary
     II.2. Treatment of credit
     II.3. Factoring in market liquidity
     II.4. Choice of market risk metric and calibration to stress conditions
     II.5. Treatment of hedging and diversification
     II.6. Relationship between the standardised and internal model-based approaches

III. Key market risk notions and techniques [4 hours]
     III.1. Coherent risk measures and expected shortfall
     III.2. Risk factor selection and portfolio mapping procedures
     III.3. Credit risk assessment
     III.4. Liquidity risk horizon and liquidation risk metrics
     III.5. Key features of standardised models

IV. Expected regulatory developments re FRTB [0.5 hour]

Presenters:

• Prof. Georges Hübner:Full Professor of Finance with over 20 years research and practice, Founder of risk management software company, Gambit.
  Extensive experience in executive teaching for CAIA, GARP associations as well as in leading business schools.
  MSc and PhD from INSEAD.
• Freddie Gielen:Partner with over 20 years’ experience and Head of Avantage Reply’s Regulatory Practice.
  Led large regulatory change and interpretation projects with BNP Paribas, BNY Mellon, KBC, Marex Spectron, Morgan Stanley, RBS, State Street,…
  Graduate degrees from HEC and London School of Economics.
• Scott Warner:Senior Manager with over 20 years’ experience and Senior Member of Avantage Reply’s Regulatory Practice.
  Led large regulatory change and interpretation projects with ABN AMRO, BNY Mellon, ICE Clear, Morgan Stanley, RBS, State Street,…
  Graduate degrees from MIT and University of Chicago.

Course details:

Registration and further details:

Please contact to register for course and for further details.