Day one will begin with an overview of where US FRTB is at in early 2018 and how this compares with global progress and other regulations. The course continues with reviews of the banking book boundary, the revised standardised approach & the revised internal model approach. Day two will continue with an overview of modellable and non-modellable risk factors. Following this, a discussion on the treatment of credit and a thorough explanation of the P&L attribution test before the course concludes with a discussion on data challenges and desk level approaches. Dmitry Pugachevsky’s presentation will be on day 2 at 12pm.
Treatment of Credit
- securitisation exposures
- Non-securitisation exposures
- Default Risk Charge
- Where it will stand after the final Basel paper?
Dmitry Pugachevsky, Research Director, Quantifi