Global Markets & Time Zones
CPEs: 24
Instructor: Dr Gary Van Vuuren
Level: Intermediate
Tuition: £2,995.00
Register Now

NEW Basel IV/FRTB The New Rules for Market Risk CPR043

Location: Global Markets & Time Zones

First Date: Jun 3 - 5 2024

Duration: 3 days

Programme Director: Dr Gary van Vuuren

All Dates & Locations
Venue Details

Experience the highly-interactive expert-led social learning through Virtual Classroom via Cisco WebEx from Risk Reward.

All our 2024 Live, on-site and live Virtual Classroom events feature shared (or discrete) live chat between delegates and the expert, participate in topical surveys, polling questions, group exercises and case studies for a tried -and- true engaging and gratifying learning experience.

Need to bring this course in- house to certify an entire department, face to face or 1:1? Simply contact us for significant cost savings and dates to best suit your needs.

""It is a very good course in terms of risk/control framework and with useful information sharing. Very organised and comprehensive.""
Risk Manager, Citibank, Taiwan
Agenda Highlights

Session 1: Basel background – where have we come from?

Session 2: Financial milieu – what shaped the original market risk rules? What were these rules? 

Session 3: The credit crisis – how and why things changed (the need for a different approach to market risk)

Sessions 4 through 6: What are the changes? What are the components of the FRTB – high level overview

Sessions 7 through 10: FRTB components in more detail (different market risk metrics, how are they measured, why are they important, how do they differ from the “old” approach, what are the new liquidity requirements, what are the distinguishing characteristics of the standardised and internal model approaches?

Sessions 10 through 12: Practical implementation of the new rules – worked examples, Excel spreadsheets explained step by step of various FRTB components

""Very well presented seminar! Have already recommended Dr Gary to others as he presented the material in a clear and accessible way with a pleasant manner and was able to easily keep participants' attention.""
Risk Manager, Commercial Bank, Kuwait

In the wake of the 2008 global credit crisis, regulators have stepped up the rules governing banks and bank risks. Almost every month, new ideas emerge – new documents for consideration and approval and new suggestions. All areas of risk are affected and new risks, previously not included in the earlier Basel accords, are now being included.

Market risk constitutes one of the original “Big 3” risks (along with operational and credit risk) and – post the credit crisis – was significantly revamped. After several versions, the fundamental review of the trading book (from which most market risks arises) – the FRTB – was approved and is now being implemented. To be “Basel compliant” banks must adopt and implement the rules of the FRTB by January 2023 (although there are some requirements which have later implementation deadlines).

""Impact? Better knowledge for the importance of the impending rules and the correct monitoring and measuring of interest rate risk.""
Risk Director, European Bank, UK
Who Should Attend

This course is designed for risk managers, quantitative analysts and auditors. Anyone wishing for a background in the regulatory rules and upcoming changes will benefit from the non-quantitative sections.


An understanding of Excel essentials and financial terms will be beneficial. The expert trainer has the advanced maths degrees so you don’t need them – just enough quantitative content to ensure upskilling on the topic and a functional working knowledge as a result of the course.


Additional Course Information

What Does It Cover?
  • 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.

Learning Objectives

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.

Social Learning & Methods

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.)


NEW Basel IV/FRTB The New Rules for Market Risk

Course Fee

Apply 10% discount code RISK10 by December 15, 2023 at check-out

Course Fee (per person):
GBP £2,995.00 (+ UK VAT when applicable)

Number of delegates:

Data Privacy & Update of Contact Details Risk Reward Limited is fully compliant with the Data Protection Act. The information you provide will be safeguarded by Risk Reward Ltd. We do not rent, sell or exchange your details to anyone without your consent. Your details are never given to third parties. If you wish to update your details, please email: with your OLD and NEW details. Please allow 10 days to see the changes take effect. Thank you.

Terms and Conditions: You can cancel at any time. Due to the on-going COVID 19 environment cancellations may be made at any time for either a full refund or a credit towards another event occurring within the following 6 month period. Simply email or telephone the London Client Services team at to advise your preference and we will do our best to accommodate your circumstances. Risk Reward Ltd receives the right to a final decision in the event of a dispute.

All Risk Reward public courses are guaranteed to run although those offered by affiliates are subject to demand
SKU: CPR043 Categories: ,

Quick Contact

    Get in touch and see how Risk Reward can help you

    Our London team are ready to answer questions, provide information & choices to help make your public seminar booking in a prompt, professional & friendly manner.

    Get in touch and see how Risk Reward can help you

    Our London and Miami teams are ready to listen carefully to your needs, take the brief, explore options, offer suggestions and help you in a professional and friendly manner.