Build It in a Day: FRTB Counterparty Credit Risk 2

Workshop Info

FRTB Counterparty Credit Risk 2
The Standardized Approach for Counterparty Credit Risk (SA-CCR) is a framework introduced as part of Basel III regulations. It models the exposure at default (EAD) of a bank’s counterparty credit risk from derivative contracts, securities financing transactions, and long settlement transactions. In this two-workshop sequence, we will demonstrate the main concepts and demonstrate their calculation step by step in Excel.

September 27 – November 22 , 2024
Time for all workshops: 1:00 pm – 4:00 pm ET

These workshops offer the opportunity to experience risk management processes by building them. Examples include counterparty credit risk estimation, FAMA-French factor models, bank default modeling, risk management infrastructure at a lending company, the Fundamental Review of the Trading Book (FRTB), Comprehensive Capital Assessment and Review (CCAR). These major concepts are as much about their implementation as they are about their theoretical description; and organizations gain competitive advantage by effectively implementing these concepts. As a professional, a first step to adding value to this work at an organization is knowing how to build a simple version in a day.

How To Join a Session

Click on the Join a Session button at 1:00 pm ET on the day of your desired workshop. Each workshop ends at 4:00 pm ET.