Market Risk and FRTB Implementation Masterclass
FRTB implementation with the capital consequences in view — P&L attribution, non-modellable risk factors, data challenges and the technology to carry the transition.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
FRTB rewrites trading-book capital, and implementation decisions — not just models — determine what it costs. This masterclass works through budgeting, planning and managing the FRTB implementation process: optimising capital impact from the P&L attribution test, minimising the impact of non-modellable risk factors, handling the default risk charge, and creating solutions for capital cliffs and capital floors. Participants walk through the capital impact of typical trade types and model portfolios, review implementation so far alongside the 2019 revisions and the IBOR transition, and confront the data challenges and the role technology plays in the transition — with model risk management under FRTB throughout.
What you will do
Who attends
- FRTB implementation teams
- Market risk and traded risk professionals
- Capital management teams
- Quantitative analytics
Programme agenda
Built for the decisions no textbook prepares you for
I.The FRTB landscape
- Reviewing the implementation of FRTB so far
- Assessing the 2019 revisions
- IBOR transition and FRTB
II.Capital mechanics
- The P&L attribution test and its capital impact
- Capital cliffs and capital floors
- Default risk charge
III.Risk factors and data
- Modellable and non-modellable risk factors
- Minimising the impact of NMRFs
- Addressing the data challenges of FRTB
IV.Models and technology
- Model risk management under FRTB
- Capital impact of typical trade types and model portfolios
- The role of technology in the FRTB transition
Frequently asked
What is FRTB, and why does implementation matter so much?
The Fundamental Review of the Trading Book rewrites trading-book capital — and implementation decisions, not just models, determine what it costs. The masterclass works through budgeting, planning and managing the implementation process: optimising capital impact from the P&L attribution test, minimising non-modellable risk factors, handling the default risk charge, and creating solutions for capital cliffs and capital floors.
Does the course cover data and technology challenges?
Yes — participants confront the data challenges of FRTB and the role technology plays in the transition, with model risk management under FRTB running throughout. The programme also reviews implementation so far, the 2019 revisions and the interaction with the IBOR transition, and walks through the capital impact of typical trade types and model portfolios.
Who should attend, and in which languages is it run?
FRTB implementation teams, market risk and traded risk professionals, capital management teams and quantitative analytics. BIZENIUS delivers the masterclass in English and French, with in-house editions tailored on request; sessions run on a rolling calendar and fees are provided on enquiry.
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In their words
Knowledge transfer, emphasised throughout
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