- Develop a general understanding of Expected Shortfall as a measure that is used to set the minimum capital required for trading book risk exposure, under Basel’s revised standards.
- Examine the process of mapping trading positions to risk factors for the purpose of calculating Expected Shortfall (Excel).
- Review Basel’s assignment of liquidity horizons to risk factors
Calculate the Expected Shortfall and resulting capital charge for a hypothetical trading book (Excel).
- Understand the mechanics of using the Indirect Approach when risk factor market data are unavailable.
- Review the interaction between the Internal Models Approach, which includes Expected Shortfall, and the Standardized Approach, in setting minimum capital.
- 45 minutes
- Staff and management in Risk, Finance, Operations, Audit, Risk IT, and Front Office, in financial organizations globally.
Earn verifiable Continuing Education and Professional Development credits with Optimal MRM’s e-Learning program.
Recommended Course Prerequisites:
How long do I have to complete this course?
- You will have access to course content for 270 days from enrollment date and can choose to complete the course at any time during this period.