Professional Training
5.0 (7 Reviews)

Fundamental Review of the Trading Book

London Financial Studies, In London (+3 locations)
2 days
3,600 GBP excl. VAT
Next course start
5 July, 2024 (+6 start dates)
Course delivery
Classroom, Virtual Classroom
2 days
3,600 GBP excl. VAT
Next course start
5 July, 2024 (+6 start dates)
Course delivery
Classroom, Virtual Classroom
Leave your details so the provider can get in touch

Course description

Fundamental Review of the Trading Book

In January 2019, the Basel Committee on Banking Supervision revised their standards document commonly referred to as the Fundamental Review of the Trading Book (FRTB). The changes outlined in this new document will have a significant impact on banks globally - they cover numerous aspects of the trading book, including the definition of the trading book and trading desks, risk measurement and capitalization, and the supervision of internal risk models.

This course explores the new capital calculations, with practical examples of the new standard capital calculations as well as rules and principles behind internal models. The programme develops a set of tools which are applied cumulatively in a sequence of workshops to demonstrate various aspects of these new capital calculations.  Concepts are then extended to investigate internal models, expected shortfall and the treatment of credit risk within the FRTB.

Given the wide scope of the FRTB, the course also explores the impact of the new standards on the banking industry.  This includes the implications of the new capital regime on various business lines and how banks are likely to divide their businesses into trading desks.  Under the FRTB there will be a greater onus on banks to have better risk management and control procedures.  Practical guidelines are given for implementing these new procedures and the impact they will have on business strategy and risk management.

Upcoming start dates

Choose between 6 start dates

5 July, 2024

  • Classroom
  • London
  • English

5 July, 2024

  • Virtual Classroom
  • Online
  • English

17 October, 2024

  • Classroom
  • London
  • English

17 October, 2024

  • Virtual Classroom
  • Online
  • English

Enquire for more information

  • Classroom
  • New York
  • English

Enquire for more information

  • Classroom
  • Singapore
  • English

Suitability - Who should attend?

This "Fundamental Review of the Trading Book" course has been designed to be of benefit to the following individuals:

  • Traders and Dealing Room Staff
  • Risk Managers
  • Middle Office and Senior Managers
  • Investors
  • Quantitative Analysts, Financial Engineers and Systems Developers
  • Structured Products Desks, Product Controllers and Researchers
  • Loan Portfolio Managers and Fund Managers
  • Credit Analysts and Credit Risk Managers

Course Requirements:

It is assumed that participants have an intermediate numerate background, a good grounding in capital markets products and techniques, and good Microsoft Excel knowledge.

Outcome / Qualification etc.

A certificate for participation will be given at the end of the course.

This course is FTS-Eligible* and also eligible for 16 CPD hours. GARP & CFA Institute members are eligible for 16 CE/CPD credits.

*FTS Eligible
This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is eligible for FTS claims subject to all eligibility criteria being met. Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants' business activities or job roles. The FTS is available to eligible entities, at a 50% funding level of programme fees subject to all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme Directory with the specified validity period. Please refer to IBF website for more information.

Training Course Content

Day One

Background, Market Risk, Trading Books and the Standardized Approach
Background to Risk Management and Regulation

  • History of risk management regulation
  • Probability distributions, volatility and correlation
  • VaR as a failed risk measure
  • Motivation for new regulation

Trading Books and Trading Desks

  • Defining a trading book and relationship to IFRS 9
  • Separation between banking book and trading book
  • Trading desk as a unit of regulatory approval
  • Defining trading desks
  • Impact division into trading desks on capital

Workshop: Allocating positions to trading book / banking book

The Standardized Approach to Market Risk

  • Key features of the standardized approach
  • Defining risk factors and sensitivities
  • Treatment of linear risk and curvature risk
  • Impact of the new standardized approach
  • Residual Risk Add-ons

Workshop: Example of the new standardized approach - delta and curvature risk

Simplified Standardized Approach

  • Review of the criteria for using a simplified approach
  • Specific risk for interest rates
  • Calculating general market risk
  • Treatment for equity risk
  • Measuring fx and commodity risk
  • Simplified approach and options

Day Two

Internal Models, Introduction of the Default Risk Charge and Capital Impact
Expected Shortfall and the Internal Model Approach

  • Changes to the regulations on Internal Models
  • Coherent risk measures
  • Expected shortfall (ES) as an alternative risk measure
  • Comparison of ES and VaR
  • Partial ES
  • Regulatory stress tests and asset quality reviews

Workshop: Comparing VAR and ES

Model Approval, P&L Attribution and Non-modellable Risk

  • Model validation standards
  • P&L attribution
  • Backtesting of internal models
  • FRTB definition of non-modellable risk
  • Calculating capital for non-modellable risk
  • Identifying trades to reduce ES
  • Allocating risk and capital to individual trading desks

Default Risk Charge

  • Scope of the default risk charge (DRC)
  • Standardized approach to the default risk charge
  • Applying the concept of jump to default
  • Netting and default risk calculations
  • Internal model approaches to default risk charge
  • Implementing an internal model

Workshop: Example of calculating the DRC

Changes To Risk Management Frameworks

  • Linking capital to risk
  • Implementation challenges of the FRTB
  • Changes to future risk management practices
  • Issues not addressed by FRTB
  • Products and businesses impacted by FRTB

Course delivery details

Courses are delivered in the London classroom and live online via LFS Live in London, New York, and Singapore time zones.

Please contact LFS for more details.

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Average rating 5

Based on 7 reviews.
Reviews are published according to our review policy.
Write a review!
03 Feb 2022
A Wonderful Course

Wonderful course. It provided an excellent overview and coverage of FRTB concepts and catered to participants with both extensive and limited market risk knowledge.

Senior Manager
26 Mar 2019

The course was great to provide key challenges and insights for FRTB, including challenges for control functions as Internal Audit. Strongly recommended.

23 Oct 2018
Well Balanced

The course is well balanced, despite the complexity of the theme and the remote experience [LFS Live] was very enjoyable.

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34 Curlew Street
SE1 2ND London

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