The Basel Committee for Banking Supervision („BCBS“) has finalized the minimum capital allocation requirements for market risk in trading books of banking institutions. As many international supervisory agencies link their regulatory standards to BCBS, a thorrough understanding of this new and important revision is paramount to achieving favorable capital treatment from local supervisors but also for aligning the risk management practices of individual banks to international best practices.

The key features include among other things  the new definition of the boundaries of what constitute trading books and banking books in financial institutions, the transition to a more conservative metric of measuring risk („expected shortfall“), the new flexible holding period for trading book securities, the new treatment of internal risk transfers and risk mitigation measures, treatment of counterparty risk and CVA, treatment of default risk for both outright securities positions and for securitization positions , all leading to the new standards for back testing, stress testing and new capital requirements.

The workshops will combine the theoretical underpinnings oft he concepts followed by numerical case studies to be solved in groups. Attendees will leave the two days with a hands on experience in the most recent advances in market risk management and capital allocation.

Who should attend

• Market Risk Managers/ Controllers
• Trading Professionals
• Management Accountants
• Financial Accountants
• Capital Management Professionals
• Internal and External Auditors