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Frankfurt School of Finance & Management

New Frtb Standardised Approach: Introduction, Motivation and Worked Examples

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Next dates

Oct 28
Frankfurt am Main, Germany
EUR 750 ≈USD 842
EUR 750 per day

Description

Learning Target

Participants of this seminar will gain a solid understanding of the main building blocks of the new FRTB standardised approach and their political motivation and will develop the ability to apply this new standardised approach to simple hypothetical portfolios in Excel.

Contents

  • Political motivation of the Fundamental Review of the Trading Book (FRTB)
  • Overview of the major building blocks of the FRTB
  • Status quo of the FRTB application in Europe
  • In-depth introduction of the FRTB Standardised Approach
  • Application of the FRTB
  • Standardised Approach to several hypothetical portfolios: Interactive discussion of worked examples

Methodology

Interactive seminar, discussions, moderation

Who should attend

This seminar aims at risk managers with an at least basic knowledge in market risk. An in-depth knowledge of market risk modelling techniques and a strong quantitative background, however, are not required.

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Detailed Description
Detailed Description