- 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.
- 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.