Learning outcomes

Training Description

The Fundamental Review of the Trading Book (FRTB) MasterClass was designed to improve the level of knowledge in the field of FRTB. It will help you to understand fundamental concepts and principles and develop your skills in its efficient implementation in every aspect.

Many issues are still outstanding and further work is being undertaken by BCBS in parallel to the EBA, which has been charged with introducing a number of regulatory technical standards (RTS) to settle outstanding issues for the EU. Implementation of the new rules is due by end 2019 according to the BCBS timetable although regulatory jurisdictions may not keep to this timeframe and the revised CRR proposes a phased introduction. The revised framework does indeed fundamentally overhaul the way banks are required to capitalise market risk on the Trading Book and has implications for the management of risk on the banking book as well. Some of the more significant revisions to the internal model approach (IMA) include a move from ‘VaR + stressed VaR’ to a single stressed expected shortfall measure (ES), with restrictions on diversification benefits and a capital penalty for less liquid risks; the incremental risk charge (IRC) replaced by a version of its simpler predecessor the default risk charge (DRC) but with equity exposures now included; and the abolition of the comprehensive risk measure (CRM). Also the standard rules calculations for market risk have been replaced by a new sensitivity based approach (SBA) combined with a standardised default risk charge. Banks using internal models will also be required to compute the standardised charges, as a benchmark, and the standard rules charge may be used to create a floor to the capital requirements based on internal models. New rules are also proposed to restrict movement of positions and the transfer of risk between the banking book and the trading book.

This course will provide a comprehensive overview of the proposed new market risk regulations and will discuss in detail technical issues that have been debated between regulators and the industry, outstanding issues and challenges banks face. It will also take a look at the draft revised CRD and CRR and discuss divergences between these and the BCBS paper D352.

How you will benefit:

  • Get a clear understanding of the rationale for the regulatory initiatives under FRTB and the implementation challenges
  • Uncover some of the weaknesses in the current proposals and the need for further regulatory change
  • Learn the divergences between BCBS proposals and EU proposed implementation
  • Get know implications of greater model permission uncertainty and ways to minimise uncertainty
  • Understand the capital impacts of the new rules prescribed by regulators
  • Identify ways to optimise allocation of capital across trading desks to mitigate the impact of higher capital requirements

Special features:

  • Best practices
  • Case studies
  • Templates and Step-by-step guides

MasterClass includes:

  • Specific and exceptional educational insights combining modern theories and practical examples
  • Workshop using advanced international experience and knowledge of high-level expert
  • Special materials and templates for future use by the participants in their work

Training Schedule

Day one

  • 08:30 Registration and Welcome Coffee

  • 08:50 Welcome & Introductions

  • 09:05 Overview

  • 09:45 Trading Book/Banking book I.

  • 11:00 Tea, Coffee, Networking

  • 11:20 Trading Book/Banking book II.

  • 12:10 Introduction to Internal Models Approach

  • 13:30 Luncheon & Networking

  • 14:00 Expected Shortfall implementation under
    FRTB I.

  • 15:45 Tea, Coffee, Networking

  • 16:05 Expected Shortfall implementation under
    FRTB II.

  • 17:45 Feedback/ Q&A

  • 18:00 Close of Day

Day two

  • 08:30 Welcome Coffee & Networking

  • 08:45 Introduction of Day 2

  • 08:50 Model Validation Standards

  • 09:20 Back testing VaR

  • 10:00 Problems with back testing ES

  • 11:00 Tea, Coffee, Networking

  • 11:20 P+L Attribution

  • 12:00 IRC/IDRC/CRM

  • 13:00 Luncheon & Networking

  • 14:00 Standard Rules

  • 15:00 Capitalisation

  • 15:45 Tea, Coffee, Networking

  • 16:00 EU Implementation of FRTB

  • 16:45 Workshop Summary / Q&A

  • 17:00 Close of Day

Training Program

Request detailed Agenda - FRTB – Fundamental Review of the Trading Book MasterClass

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Get to know the Expert Trainer

Gary Dunn
Gary DunnManaging Partner
Gary Dunn Consulting Ltd
United Kingdom

Gary Dunn started out life as a statistician at the Bank of England in 1977 and after a 16 year career there ended up as a senior manager within UK foreign currency reserve management with responsibility for interest rate risk. Gary ventured into the private sector where he spent a further 10 years as a proprietary trader. Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at FSA Gary attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures which contributed to a review of the academic literature on market risk measures, the first in a long series of FRTB papers from BCBS and industry. Then as a senior manager at HSBC and subsequently a managing director at Morgan Stanley, Gary has continued to participate in the dialogue between BCBS and industry that has led to the formulation of the final rules set out in D352. Now Gary works as a private consultant but does much of his consultancy work in collaboration with Avantage Reply.

Who should attend?

C-level Executives, Presidents/VPs/EVPs/FVPs/SVPs, Global Heads, Department Heads, Managing Directors, Directors, International/Senior Managers, Managers, Analyst, Officer OF:

  • Asset-Liability Management
  • Balance Sheet Management
  • Capital Management
  • Change Management
  • Credit Risk
  • FRTB program
  • Governance
  • Market Risk Control
  • Market Risk Management
  • Model Validation
  • Quantitative Analytics
  • Quantitative Risk
  • Regulatory Change Management
  • Regulatory Compliance
  • Risk Analytics
  • Risk Capital
  • Risk Management
  • Risk Methodology
  • Stress testing
  • Trading Book

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