Course description
FRTB Demystified
The Fundamental Review of the Trading Book (FRTB) represents a major overhaul to the BIS regulations defining how much capital banks need to cover their market risk exposure.
The changes don’t just affect banks – the impact of FRTB will filter through to all users of financial products offered or traded by banks – in other words, to everyone.
ACF Academy’s intensive two-day FRTB Demystified course provides a unique insight into the detailed workings of the FRTB, and navigates participants through the alphabet-soup of concepts from A-IRB to VaR and VM.
Tracing the evolution of market-risk measurement from the 1996 Market Risk Amendment through to the implementation of the FRTB starting in 2023, the program provides an in-depth examination of the detailed workings of both the Standardized Approach and the Internal Models Approach, and gives participants the opportunity to explore the practical implementation of each method through extensive hands-on workshops and case studies.
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Upcoming start dates
Who should attend?
Who Should Attend
Anyone who needs to understand the latest techniques in quantifying market risk and determining how much capital is required under the latest Basel rules.
Prerequisites
Participants should be familiar with the principles and pricing of traded securities and standardized derivatives.
Costs
- London: £2,150 (plus VAT)
- New York: $2,650
- Virtual: £1,975 (plus VAT)
Certification / Credits
CPD: 14 hours
Learning Outcomes
By attending this course, you will:
- Investigate the sources of market risk
- Review the history of market risk regulations
- Explore the major changes introduced by the FRTB
- Understand the distinction between the Trading Book and the Banking Book
- Appreciate the importance of the trading desk
- Examine how the Standardized Approach works
- See where the Simplified SA can be used
- Analyze where and how the Internal Models Approach can be used
- Review the Value-at-Risk methodology – its strengths and weaknesses
- Analyze the concept of Expected Shortfall and how it compares to VaR
- Discuss model validation and non-modellable risk
- Calculate how much capital a bank needs under the IMA
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ACF Academy
ACF Consultants are a global leader in providing practical and effective training for financial professionals. Leading banks, companies and financial institutions from all over the world partner with us to develop their people to achieve their goals. They trust our...