The Final Rule: Modelling and Validating Market Risk Capitals 2015

Banks are now modelling, validating and reporting a range of market risk measures including; VaR, Stressed VaR, Incremental Risk Charge (IRC), Comprehensive Risk Measure (CRM) and standardised charges for correlation trading and securitised positions.

These models need to be accurately calculated, validated and reported punctually to regulatory bodies for capital management purposes. Moreover, banks need to ensure those responsible for these models are trained to do so effectively.

With this in mind, Risk is delighted to host a comprehensive market risk capital training course which will cover traditional market risk models, the Basel 2.5 package as well as provide an analysis of forthcoming models under the Fundamental Review of the Trading Book.

Course Highlights:
- Basel and Federal Reserve requirements for market risk capital.
- Calculating Regulatory VaR and Stressed VaR.
- Estimating default, migration and recovery risk using the Incremental Risk Charge.
- Using the Comprehensive Risk Measure to calculate risk in correlation trading portfolios.
- Calculating standardized charges for correlation and securitization positions.
- Implementing a stress testing regime for covered positions.
- Conducting internal validation and disseminating regulatory disclosure reports.
- Forthcoming changes under the Fundamental Review of the Trading Book.

Course Tutors:
- Han Zhang, Head of Market Risk Analytics, Wells Fargo.
- Shahed Shafi, Director - Market Risk Manager, Citi.
- Phil Ohana, Director - Market Risk, Societe Generale.
- Victor Makarov, Director – Market and Treasury Risk Advisory, KPMG.
- Shravan Bharathulwar, Business Analyst – Counterparty Credit Risk, Nomura Securities.

Time: 8:30 am - 5:30 pm.

URLs:
Booking: http://atnd.it/29673-0
Website: http://atnd.it/29673-1

Prices:
Early booking till 5 August 2015: USD 2299,
Standard Price aft