• Basel IV – the fundamental review of the trading book
• What are the changes in market risk assessment and reporting from Basel II rules?
• New definitions of “trading book” and “trading desk”
• The impact on banks’ structure and their capital requirements of these new definitions
• Standardised approach
  • practical implementation of the revised Standardised Approach for regulatory market risk capital
  • sensitivity based calculations
    • default risk charge
    • residual risk add-on across asset classes
  • Value at Risk
    • the ongoing relevance of VaR
    • the components of VaR
    • the three VaR approaches
  • Expected shortfall (ES)
    • practical calculation techniques
    • stressed ES
  • Liquidity horizons
  • Non-modellable risk
  • Backtesting
  • P&L attribution testing

 with practical case studies and worked exercises plus in-demand take-away Excel solutions.

Presented by a risk expert, quantitative specialist and banker, yes the rules are important but more so is discovering the impact and the practical, real-life challenges of implementing the new guidance.

At the at the end of the course, delegates will gain knowledge, skills and approaches as to

• The background of the Basel accords – where they arose from and the major changes that have occurred since 1988
• Original market risk rules – why were they considered appropriate, why were they replaced?
• What are the new rules – what are the major differences and similarities?
• Worked examples of how to calculate regulatory market risk capital using the “standardised” and “internal models” approaches for common bank asset classes.

Delegates who complete the course will receive a Certificate with equivalent CPD/CPE credits via email; and for those who require an assessment as a demonstration of competency via training a 20 multiple-choice questions and answers quiz, remotely invigilated with results report and 1 resit, is available at no additional charge when requested at time of reservation.

Highly interactive expert-led intensive presentation, Q&A, using real-time Excel-based spreadsheet examples and case studies (available via email after the course is completed), reference to regulation and discussion supported by key principles and theory.

The virtual learning platform uses safe, industry preferred encrypted Cisco WebEx to optimize live face-to-face visual interaction, discrete chat, for polling and quizzes. (An invitation via email with access link is included for all participants.)