Build It in a Day: Regulatory Capital Attribution

Workshop Info

Regulatory Capital Attribution
The presentation demonstrates how an incremental VaR-based approach provides a transparent, mathematically consistent way of attributing regulatory capital—enabling risk managers and actuaries to pinpoint which items on the balance sheet drive the highest capital usage and how changes in market factors (like interest rates) affect overall required capital.

February 14 – May 2 , 2025
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.