Online: Fundamental Review of the Trading Book Course

Week 1: Thursday 1st June
Topic: Overview, FRTB Building Blocks, Computation requirements

Week 2: Thursday 8th June
Topic: Standardised approach: Interest Rate Risk,  Credit Spread Risk, Equity Risk, FX Risk, Commodity Risk, Default Risk Charge, Model Add-On, Prototype

Week 3: Thursday 15th June
Topic: Internal Model: Expected Shortfall, Mechanics, Non-modellable risk factors

Week 4: Thursday 22nd June
Topic: Internal model: Liquidity horizons, P&L-Test, Prototype

Week 5: Thursday 29th June 
Topic: FRTB-Implementation: Gap analysis, Comprehensive project plan, Effort estimation