Market Risk in the Trading Book

October 23, 2017, New York City  Seminar Location

Many classes sell-out; we suggest registering at least two weeks in advance to ensure your seat.

Hours9:00 am – 5:00 pm; Registration/Breakfast: 8:30 am; Dress Code: Business Casual

CPE Credits: 7
Level: Beginner/Intermediate

Prerequisites: None
Method: Group Live

On January 2016, the Basel Committee on Banking Supervision, substantially revised existing minimum capital requirements for market risk in the global Basel regulatory framework, including amendments made after the June 2006 publication of Basel II: International Convergence of Capital Measurement and Capital Standards. These new requirements will significantly influence the composition of internationally active bank’s securities and derivatives portfolios for years to come.  This interactive course will include articles and cases to spur discussion. 

Course Objectives

At the end of this course, participants should be able to:

  • Define market risk
  • Highlight challenges with measuring market risk
  • Enumerate and describe new Basel market risk requirements

Module I         Overview of Market Risk Measurement Before 2016

  • Define and identify market risk
  • Describe market risk measurement under Basel II and Basel II.5
  • Highlight shortcomings with market risk measurements and capital requirements

Module II       Revised Standardized Approach Requirements

  • Enumerate requirements for
    • Sensitivities based method
      • Interest rate risk, correlations, treatment of securitizations
    • Default risk charge
    • Residual risk add-on
  • Discuss boundaries between moving securities and derivatives between banking and trading books

Module III      Revised Internal Models Approach Requirements

  • Identify necessary qualitative standards
  • Evaluate new quantitative requirements for models
    • Value at Risk (VaR)
    • Expected shortfall
      • Calibration, attribution, & stresstesting
    • Derivatives in models
  • Discuss supervisory requirements to evaluate internal models

Module IV      New Requirements Influence on Banks’ Trading Strategies

  • Enumerate and describe effect of new market risk rules on
    • Senior Management and Risk Managers
    • Traders
    • Auditors
    • IT

Concluding Remarks and Recommendation of Additional Resources

US $995.00

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