This two-day training course purports to review the main features of consecrated market risk management modelling and point to the shortcomings that have triggered the BCBS´s overarching review of the methodology, the risk measure employed and of the processes. A special emphasis will be placed on the measurement of risk in banking books and on regulatory capital consequences arising from the new regulatory regime expected to commence in 2018 (IRRBB) and 2019 (FRTB). The course will discuss via case studies the impact that the new regime will have on product and business profitability and will shed new lights on how commercial banks can enhance net interest income in the future while complying with the ever stringent regulatory demands.
Who is this course for?
Market Risk Managers
Capital Markets and Trading Managers
Management Accountants/ Product Controllers
Capital Management Professionals