Issued in January 2016 by the Basel Committee on Banking Supervision, the Fundamental Review of the Trading Book (FRTB) has a significant impact on banks globally. The changes presented in this document cover from the definition of the trading book and trading desks, to risk measurement and capitalisation, and the supervision of internal risk models.

This course explores the new capital calculations, with practical examples of the new standard capital calculations as well as rules and principles behind internal models. The programme develops a set of tools which are applied cumulatively in a sequence of workshops to demonstrate various aspects of these new capital calculations. Concepts are then extended to investigate internal models, expected shortfall and the treatment of credit risk within the FRTB.

Given the wide scope of the FRTB, we also explore the impact of the new standards on the banking industry. This includes the implications of the new capital regime on various business lines and how banks are likely to divide their businesses into trading desks. Under the FRTB there will be a greater onus on banks to have better risk management and control procedures. Practical guidelines are given for implementing these new procedures and the impact they will have on business strategy and risk management.