Understanding developments to market risk frameworks in the trading book

London
17 & 18 June 2010

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Reviewing the changes to the Basel ll requirements in the trading book
Defining the regulatory requirements for stress tests
Defining the constant level of risk when modelling incremental risk charge
Identifying those risks in your portfolio that have been missed by a regulatory-driven capital mangement approach
Calculating the stressed market period with the data available
Understanding the simulation of recovery rates and basis risks
Highlighting the limitations of VaR

LONDON 17 & 18 June 2010			VENUE DETAILS	BOOK NOW

Marius Bochniak
Market Risk Controller, HYPOVEREINSBANK, UNICREDIT GROUP

Moises Gerstein
Director - Global Coordinator Credit MarketsQuantitative Analytics, ING BANK

Ahmet Inci
Market Risk Controller, BANK VONTOBEL AG

Christian Meyer
Quantitative Analyst Portfolio Modelling, DZ BANK AG

William Perraudin
Professor of Finance, IMPERIAL COLLEGE BUSINESS SCHOOL, LONDON

Alan Smillie
Senior Vice President, Risk Analytics, CITIGROUP

Marlene Wickenhauser
Market Risk Manager, UNICREDIT BANK AUSTRIA

Cristiano Zazzara
Global Head of Banking Business, RISKMETRICS

Identify the recent Basel ll requirements for the trading book
Understand what the comprehensive risk measure means for the correlation trading book
Discuss the changes to modelling incremental risk charge
Review model risks associated with new risk measures
Understand the components to the stressed VaR requirement
Validation of incremental risk charge and comprehensive risk measure