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Market Risk Capital - Fundamental review of the Trading Book (FRTB)

 

In this eLearning module on Market Risk Capital - Fundamental review of the Trading Book (FRTB), you will get an overview of the New Basel Framework for calculating the minimum Capital Requirements for Market Risk and learn about how the revised guidelines impact the Standardised Approach and Internal Models Approach.

 

Coverage and structure for eLearning module

 

Topic

Sub-topic

Introduction to FRTB
  • Minimum Capital Requirements for Market Risk
  • New Boundary between Trading Book and Banking Book
  • Definition of Trading Book
  • Standards for Assigning Instruments to Trading Book
  • Instructions to Banks relating to Trading Book
  • Capital Charge for Market Risk

The Standardised Approach (SA)
  • Risk Measures under SA
  • Linear and Non-Linear Risks under Sensitivities-based Method
  • Terms an Definitions under Sensitivities-based Method
  • Risk Buckets for Risk Classes
  • Risk Factors for Risk Classes
  • Correlation Scenarios and Multipliers
  • Calculating Delta and Vega Risk Charges
  • Computing Non-Linear Risk Charge
  • Computing Default Risk Charge
  • Computing Residual Risk Add-On
  • Risk Aggregation under SA

The Internal Models Approach (IMA)
  • Approval Requirements FOR IMA
  • Overview of IMA
  • Modellable and Non-modellable Risk Factors
  • Analyzing Modellable and Non-modellable Risk Factors
  • Expected Shortfall (ES)
  • Liquidity Horizon
  • Stressed Scenarios for ES
  • Calculating ES for Risk Capital
  • Guidelines for computing ES
  • Steps for Calculating Capital Charge for ES
  • Formula for IMCC
  • Default Risk Charge (DRC)
  • Measures for calculating DRC
  • Capital Charge for Stressed Capital Add-on
  • Specifications of Market Risk Factors
  • Model Validation Standards
  • P&L Attribution and Back Testing

 

 

Module Fees: Rs. 2500/-                                  Access period: 3 months                                 Learning time: 3 hours

 

 

Steps to purchase

 

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Detailed steps

Features of eLearning modules:

 

 

Real life case studies

 

Real life case studies built leveraging our expertise in research, ratings & risk solutions

 

Expert Speak

 

Insights incorporated in eLearning, based on 15+ years of classroom training experience

 

Glossary & Resources

 

End to end structure comprising basic definitions to advanced readings

 

Visuals for workflows

 

Use of visuals to show a complex process or workflow

 

Interactive examples

 

Interspersed with practice exercises and interactive examples to help apply concepts

 

Knowledge checks

 

Knowledge checks at the end of each topic to ensure absorption of concepts

 

Animations

 

Animations & Characters to make complex concepts easy to learn

 

Gamification

 

Final assessment questions & gamification at the end of the module to ensure learning objectives are met