FRTB, Stress Testing & IRRBB

25 - 27 Nov 2019

Course Overview

The participants will get to know the main principles and challenges of the new FRTB and IRRBB/CSRBB regulations, and of stress testing. The role and supervisory expectations of a stress testing programme in general, and in relation to the new regulatory requirements, will be explained. Main changes relative to the old regulation will be highlighted. Important background of risk and accounting concepts will be provided. During the course the instructor will walk with the participants through the relevant Basel documents. (d457, d424, d368 and d450). At the end of each day there will be a review of the covered material, allowing participants to ask questions and raise points for further investigation as time permits.

Who should attend?
  • Risk modellers
  • Risk managers
  • Regulatory compliance officers
  • Capital managers
Benefits of attending this workshop:
  • Learn the rules and requirements of the new FRTB and IRRBB regulations
  • Understand the principles behind the new regulations and the impact of the main changes
  • Be able to improve internal risk management and control based on an expected shortfall measure and a more effective top-down risk allocation
  • Be able to develop a stress testing framework for forward looking and vulnerability oriented risk management
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