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Brussels, 18 September 2014London, 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.
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 approachesIII. 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 modelsIV. Expected regulatory developments re FRTB [0.5 hour]