Why You Should Attend
The Fundamental Review of the Trading Book (FRTB) will bring about major revisions in the day-to-day and long term projects of market risk management. With two Quantative Impact Studies (QIS) set to run this year, anyone involved in the analytics and modelling side of market risk management will need to assess the impact of the FRTB in order to stay compliant, but also to improve the management of capital and liquidity requirements which has a major impact on trading operations. Where the new delineation of banking book and trading book is redefining the risk metrics of each, liquidity horizons are reassessing the strategies of illiquidity risk management. Moreover, the alignment of internal and standardised models means that the calibration of both approaches needs to be calculated and built into risk model architecture.
Implement a timeline for the FRTB and upcoming QIS
Calibrate and align internal models based and standardised approaches
Uncover the implications of banking-book/trading-book delineation
Calculate the impact of liquidity horizons of market risk management
Determine what the switch from VaR to expected shortfall will mean
+357 22 849 408