VaR and Alternative Metrics: Risk Models, Regulation and Governance

Feb 25, 2014 to Feb 26, 2014

Location Bloomsbury Way, WC1A 2SD
London, UK
Cost £2299
Details The Fundamental Review is introducing a raft of new requirements, ranging from desk level approval of market risk models to the treatment of market illiquidity in the modelling process. Risk has arranged for leading regulators from the Trading Book Group of the Basel Committee on Banking Supervision to participate as speakers and panellists, alongsided established experts in market risk from the industry. This unique mix of speakers, combined with an academic approach that prioritises discussion and debate means this seminar will provide a truly unique forum for attendees to benchmark their progress and learn about the immediate and long-term impact on market risk management and banks' trading strategies.

At the end of this seminar, attendees will have new or increased appreciation of:

The objectives and implications of the finalised Fundamental Review of the Trading Book
The expectations on risk professionals from the regulators in the next 2 - 5 years
How approving risk models at the desk level will help banks avoid weaknesses in modelling
The risk and trading implications of moving the boundary between banking and trading book products
How communicating risk, and improving governance throughout an institution can influence strategy
How the new standard market risk capital model has been modified to closer resemble internal models
The changes to the options available to banks developing internal market risk capital frameworks
How first order hedging, credit and market illiquidity recognition has been built into modelling
The capital "cliff effect" of one desk reverting from an internal to a standardised model
How Expected Shortfall differs to VaR, how to use it, and why regulators see ES as preferable
In role of internal audit, model risk and model validation processes in maintaining strong market risk analytics



Early Booking Rate 1: £1799 + VAT (Before 13 December)
Standard Rate: £2299 + VAT (After 13 December)
Venue The Kingsley Hotel

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