VaR and Alternative Metrics: Risk Models, Regulation and Governance 2014

Topics

• The expectations on risk professionals from the regulators in the next 2 - 5 years
• The objectives and implications of the finalised Fundamental Review of the Trading Book
• The risk and trading implications of moving the boundary between banking and trading book products
• How approving risk models at the desk level will help banks avoid weaknesses in modelling
• How the new standard market risk capital model has been modified to closer resemble internal models
• How communicating risk, and improving governance throughout an institution can influence strategy
• How first order hedging, credit and market illiquidity recognition has been built into modelling
• The changes to the options available to banks developing internal market risk capital frameworks
• How Expected Shortfall differs to VaR, how to use it, and why regulators see ES as preferable
• The capital "cliff effect" of one desk reverting from an internal to a standardised model
• In role of internal audit, model risk and model validation processes in maintaining strong market risk analytics

Who should Attend

• Market Risk Modelling
• Market Risk Analytics
• Market Risk Manager
• Market Risk Methodology
• Market Risk IT
• Market Risk Policy
• Trading Book Capital Management
• Market Risk Capital
• Quantitative Analytics
• Risk Capital Manager
• Regulatory Liaison
• Senior Risk Manager
• Regulatory Risk Manager
• Head of Prudential Risk
• Risk Governance
• Risk and Compliance
• Derivatives Risk Manager
• Internal Audit Manager
• Market and Credit Risk Manager
• Traded Market Risk