IBM Algorithmics Modeling for FRTB (v5.1)

This course provides an overview of the revised frramework for market risk capital requirements issued by the Basel Committee (January 2016 publication), commonly referred to as FRTB  (Fundamental Review of the Trading Book). The course focuses on the analytic solution (RiskWatch).

Czas trwania

1 dzień

cena szkolenia netto

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Kod szkolenia

G1103G

Profil uczestnika

This intermediate course is for risk managers, financial engineers, business analysts, project team members for FRTB implementation.

Agenda

1: Unit 1: Overview

  • Regulatory Requirements
  • Functional Architecture
  • Implementation Options

2: Unit 2: Standardized Approach

  • Sensitivities Based Approach (SBA)
  • Standardized Default Risk Charge (SDRC)
  • Residual Risk Add-On (RRAO)

3: Unit 3: Internal Models Approach

  • Expected Shortfall
  • Stressed Expected Shortfall
  • Modelable and non-modelable risk factors

4: Unit 4: Internal Models Approach Default Risk Charge

  • DRC Calculation Setup

Wymagane przygotowanie uczestników

  • IBM Algorithmics Foundations to RiskWatch or
  • IBM Algorithmics Foundations of Risk and Financial Engineering Workbench or
  • IBM Algorithmics Risk and Financial Engineering Workbench Migration
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