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Event Details
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  •   Training  
  • This event has been completed
    VaR and Alternative Metrics: Risk Models, Regulation and Governance
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  • February 24, 2014 - February 25, 2014
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  • The Kingsley Hotel
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  •   London, United Kingdom
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  • Introduction  
  • This two-day event will comprehensively cover the objectives, theoretical justifications, and practical implications of the soon-to-be-finalised Fundamental Review of the Trading Book. After a process that has taken many years and much consultation, the Basel Committee is expected to publish final rules soon, giving detailed implementation guidelines in regard to a new approaches to the calculation and management of market risk capital in the trading book.

    Course Highlights:

    Led by experienced chairmen with long history of market expertise
    Members of the BCBS Trading Book Group will present on and discuss the Fundamental Review
    Three panel discussions allow for dynamic and open discussion in a closed-door setting (Chatham House)
    Discuss the increasing importance of risk governance and communication within banking institutions
    Heavy focus on practical modelling techniques, with new methods driven by regulation and innovation
    VaR and Expected Shortfall weighed up against one another in light of regulatory drive to ES

    Learning Outcomes:

    At the end of this seminar, attendees will have new or increased appreciation of:

    The objectives and implications of the finalised Fundamental Review of the Trading Book
    The expectations on risk professionals from the regulators in the next 2 - 5 years
    How approving risk models at the desk level will help banks avoid weaknesses in modelling
    The risk and trading implications of moving the boundary between banking and trading book products
    How communicating risk, and improving governance throughout an institution can influence strategy
    How the new standard market risk capital model has been modified to closer resemble internal models
    The changes to the options available to banks developing internal market risk capital frameworks
    How first order hedging, credit and market illiquidity recognition has been built into modelling
    The capital "cliff effect" of one desk reverting from an internal to a standardised model
    How Expected Shortfall differs to VaR, how to use it, and why regulators see ES as preferable
    In role of internal audit, model risk and model validation processes in maintaining strong market risk analytics 
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  •   Useful Links  
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  • Reference link 1 
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  •  About Organiser
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  • Incisive Media 
  • E: matthew.king@incisivemedia.com
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