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NEW Basel IV/ Fundamental Review of the Trading Book BSL019
Location: UK Europe EMEA GCC Time Zones
Duration: 3 days
Programme Director: Risk Reward Faculty
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, train your team or 1:1? Simply contact us for significant cost savings and dates best suited to meet your specific needs.
Agenda Highlights
Session 1: What is Basel IV?
Session 2: Capital under Basel IV
Session 3: Fundamental Review of the Trading Book
Session 4: Overall Revisions to the Market Risk Framework
Session 5: Revised standardised approach
Session 6: Internal transfers between the banking book and the trading book
Session 7: Revised models-based approach
Session 8: Putting this together
Overview
Basel capital calculations are continuing to evolve. As Basel 3 has been amended the revisions are now referred to as Basel 4. These in particular focus on the trading book and the new market risk capital calculations.
This course considers these rules and their application in practice.
Who Should Attend
Staff involved with trading activities within the bank as well as those involved with capital calculation, raising or reporting.
Additional Course Information
What Does It Cover?
Session 1: What is Basel IV?
- How did we get here?
- What are the goals?
- Timetable and delivery
Session 2: Capital under Basel IV
- Basel 3 capital changes
- Basel changes to CET 1 capital and other acceptable capital rules
- New standardized approach for operational risk
Session 3: Fundamental Review of the Trading Book
- Scope
- Definition of the trading book
- Risk management practices for trading book instruments
- Definition of the trading desk
Session 4: Overall Revisions to the Market Risk Framework
- The trading book/banking book boundary
- Treatment of credit
- Treatment of hedging and diversification
- Relationship between the standardised and internal model-based approaches
Session 5: Revised standardised approach
- General features of the revised standardised approach
- Sensitivities-based method definitions
- Treatment of optionality
- Treatment of delta, vega and curvature
- Treatment of indices, index instruments and options
- Treatment of the correlation trading portfolio
- Aggregation of risk charges
- The default risk charge
- The residual risk add-on
- Delta risk weights and correlations
- Delta GIRR
- Delta CST non-securitisations
Session 6: Internal transfers between the banking book and the trading book
- Restrictions on moving between books
- Treatment of internal transfers
- Treatment of counterparty credit risk
Session 7: Revised models-based approach
- The overall approach to internal models-based measurement
- Qualitative and quantitative standards
- Model validation standards
- Incorporating the risk of market illiquidity
- Specification of market risk factors
- Default risk
- Stress testing
- External validation
Session 8: Putting this together
- The Basel 4 project
- Systems issues and constraints
- The impact on the business
- The direction of travel of regulation.
Learning Objectives
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, group real-time in-depth case studies, 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.)
Registration
NEW Basel IV/ Fundamental Review of the Trading Book
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)
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.