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Risk Asean FRTB Workshop

25/05/2017 - 26/05/2017
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Bangkok, Thailand

                                        

Murex is pleased to host two training sessions at the FRTB workshop and extend to you a discounted rate for attendance. Register now via the link.  

 

May 25th @ 11.30am
Speaker: Inayathullah HAMANULLA, FRTB solution expert, Murex
Topic: Impacts of Replacing VaR with Expected Shortfall (ES)

  • Comparing VaR and ES measures
  • New Stressed ES measure for IMA, including the Liquidity and Stress Period calibration, and Partial Diversification (rho factor)
  • Risk Factor definition and simulation (Modellable v Non-modellable)
  • Reviewing the extensive data requirements and operational complexities of the ES measure

 

May 26th @ 10.30am
Speaker: Matthieu AVANTHEY, Head of Analytics for APAC, Murex
Topic: Challenges of implementing the sensitivities-based approach (SBA)

  • SBA principles
  • Sensitivities definition
    • Delta
    • Vega
    • Curvature
  • Risk factors definition
    • GIRR
    • CSR (including product classification)
    • Equity
    • Commodity
    • FX
    • Indices and multi-underlying
  • Risk weights and correlations
    • Principles of risk aggregation
    • Risk factors classification challenges
    • Some noteworthy values