Pelatihan ini sangat sesuai bagi profesional yang ingin mendapatkan pemahaman tentang peraturan perhitungan modal baru untuk risiko pasar yang dikenal dengan Fundamental Review of the Trading Book (FRTB) yang direvisi pada awal 2019 ini. Melalui pelatihan ini, peserta diharapkan mendapatkan pengetahuan lebih mendalam dari pemodelan terbaru yang digunakan untuk perhitungan risiko pasar sesuai dengan regulasi FRTB yang dilengkapi dengan contoh-contoh pemodelan real menggunakan program R dalam bentuk web app & mobile app untuk memudahkan pemahaman. Dengan FRTB akan ada tanggung jawab yang lebih besar pada bank untuk memiliki manajemen risiko dan prosedur kontrol yang lebih baik. Pedoman praktis diberikan untuk menerapkan prosedur baru ini dan dampaknya pada strategi bisnis dan manajemen risiko.

Adapun topik bahasan meliputi:

Introduction: Why banking regulations needed, Basel Committee on Banking Supervision, Market Risk Amendment Basel I, Standardized Approach & IMA Basel II, Standardized Approach & IMA Basel 2.5, Basel III, FRTB Basel IV - Jan 2016 & Jan 2019, Standardized Approach FRTB, Simplified Standardized Approach FRTB, Internal Models Approach FRTB

Market Risk Management: Definition of Market Risk, The importance of market risk, Differentiate market risk from other risks, The organization of market risk management, Defining a trading book, Separation banking book and trading book, Trading desk as a unit of regulatory approval, Defining trading desks, Impact division into trading desks on capital

Financial Markets: Over-the-Counter Markets, Money Markets, Bond Markets & FX Market, Derivatives Market, Forwards, Swaps, Options: Vanilla & Exotic Options, Credit Derivatives

General Interest Rate Risk (GIRR): Yield to maturity as an internal rate of return, Spot rate, zero rate, par curve & zero curve, The process of bootstrapping, LIBOR vs OIS, Implied forward rates, Normal, flat and inverted yield curves, Mean reversion

The Standardized Approach to Market Risk: Key features of the standardized approach, Sensitivities-Based Method, Risk Classes and Risk Factors, Sensitivities, Weighting and Aggregation, Delta, Vega & Curvature Risk, Default-risk Capital Requirement (DRC), Jump-to-Default Risk (JtD-Risk), Residual Risk Add-ons (RRAO), Case Study: Capital Charge under SA

Simplified Standardized Approach: Criteria for using a simplified approach, Specific risk for interest rates, Calculating general market risk, Measuring FX risk, Simplified approach and options, Case Study: Capital Charge under SSA

Expected Shortfall (ES) & IMA: Value-at-Risk (VaR) vs Expected Shortfall, Variance Covariance / Analytical ES Model, Volatility, EWMA, GARCH(1,1), Risk Factor Mapping, Central Limit Theorem (CLT), Non-normality of financial markets, Historical Simulation ES model, Monte Carlo Simulation ES model, Modellable Risk Factors (MRFs), Risk Factor Eligibility Test (RFET), IMA to default risk charge, Adjusting for Different Liquidity, Aggregating, Non-Modellable Risk Factors (NMRFs), Model validation standards, P&L Attribution Test, Backtesting of internal models, Supervisory Approvals, Case Study: Capital Charge & Modelling

Challenges of the FRTB: Criticisms of FRTB, Issues need to be considered, Market risk disclosure, Implementation challenges of the FRTB, Impact Assessment