Workshop Structure

8 Live 3-hour Online Training Sessions with instruction & interaction from an expert facilitator

The Fundamental Review of the Trading Book (FRTB) overhauls the market risk capital framework to meet the objectives of the Basel Committee’s (Committee) efforts to address shortcomings of the current Basel 2.5 market risk capital framework and reduce variability of market risk weighted assets (RWA) across jurisdictions.

Who should enrol

The negative impact upon capital-markets and investment-banking returns on equity (ROE) for Banks due to the implementation of FRTB is anticipated to be approximately 16% (from current levels of 15,50% to 13,20%, for South African Banks). Beyond the additional surcharge to costs that Banks have had to swallow over the last decade, FRTB final implementation in 2022, promises to be a watershed in the manner in which Banks will need to design and construct their ERM market risk database for both efficiency & supervisory sign-off.

  • CFO's

  • Treasurers

  • Trading Book Capital Management CVA & Risk Capital Managemen

  • Collateral & Liquidity Risk Management Financial managers

  • Balance Sheet Management & Analysts

Key Learning Objectives

At the end of the course delegates will:

  • Understand

    The “Minimum Capital Requirements for Market Risk Standard”, which has recently been finalised by the BI

  • Recognise

    The delineating the Boundary between Bank and Trading books

  • Analyse

    The regulatory perspective and implementation requirements for FRTB

  • Understand

    Amendments to the Default Risk Charge (consistency with IFRS 9 and Expected Credit Loss calculations)

  • Discuss

    Implementing stand-alone trading desk approaches consistent with an ERM-based regulatory capital reporting interface

  • Recognise

    The data and systems architecture design challenges to being FRTB-compliant by January 1 2022

Course curriculum

18hrs of live facilitator led sessions.
6 live sessions held once a week for 3hrs.

    1. About the Live Sessions

    1. What will be covered in live session 1

    1. What will be covered in live session 2

    1. What will be covered in live session 3

    1. What will be covered in live session 4

    1. What will be covered in live session 5

About this course

  • $899.00
  • 9 lessons
  • 16h (6 x 4h) of live facilitator led sessions
  • Supporting workbooks & slides
  • Access replays and course materials for 30 days after last live sessionl

Instructor(s)

Andrew Kinsey

Course Director

Andrew has over 25 years’ experience in financial markets both for international and local (South African) institutions. He was a trader and senior manager in the derivatives and cash-trading environment, and worked as a Derivatives Trader at Nedcor, Standard Bank and Corpcapital Bank, trading foreign exchange, fixed income and equity assets. He was head of the ABN AMRO South Africa Money Market and Foreign Exchange unit. From 2008 to 2014 he was Head of Market and Trading Risk at the Purple Capital Group. This set the basis for the next period as he moved into risk management for hedge funds and in the online trading environment. This allowed him to build on his skills as a market trader to construct risk management systems, which illuminated granular market exposures as well as a communication tool for the business executives. At the same time he began to spend an increasing amount of time training and lecturing both graduates and experienced staff in market products and economics.

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