Description
In this market risk course online, we explore Expected Shortfall as a measure used for setting the minimum capital required for trading book risk exposure under Basel’s revised standards. We engage with you in practical exercises in Excel, to calculate Expected Shortfall and the resulting capital charge for a hypothetical trading book.
Who Should Enroll:
This course is ideal for risk managers, financial analysts, regulatory compliance professionals, and anyone interested in understanding the intricacies of Expected Shortfall and its role in setting trading book capital requirements. It is suitable for College and University students who aspire to become risk and finance professionals.
What You Will Gain:
Upon completing this course, you will:
- Acquire a practical understanding of Expected Shortfall and its role in setting minimum capital requirements for trading book risk exposure under Basel’s standards.
- Develop practical skills in mapping trading positions to risk factors for Expected Shortfall calculations using Excel.
- Gain insights into Basel’s assignment of liquidity horizons to risk factors and the regulatory framework that influences these calculations.
- Be proficient in calculating Expected Shortfall and the resulting capital charge for a hypothetical trading book, enhancing your risk assessment capabilities.
Durée :
45 minutes
Access Period:
270 days starting from enrollment date.
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