The Riskworx Academy recently completed a bespoke 4-day Market Risk workshop for the global markets risk managers of a large Tier 1 Pan African Bank headquartered in South Africa.

The online training, delivered by Dr. Gary Van Vuuren, involved a deep dive into the complexities of how the regulatory market risk framework will be changing in the near future under Basel IV.

The workshop kicked off by exploring how regulatory market risk capital have been computed in the past under the different versions of Basel to allow for a full picture view of this dynamic field.

Dr Van Vuuren brought his considerable experience and insight to the table by highlighting the impact of the trading book boundary on positions affected by the following trading risks:

Interest rate risk, credit spread risk, FX risk, equity risk, commodity risk, basis risk, market risk premia and the Greeks

A practical component of the training involved an investigation of portfolio VaR using Excel. The computation of volatilities, variances and covariances for different asset classes were illustrated.

A study of the regulatory impact under Basel IV followed with the transitions to expected shortfall as a risk metric. The impact of risk sensitivities on both the standardised and internal model approaches to FRTB were illustrated. The calibration to stressed conditions of ES were highlighted before concluding with practical illustrations of the calculation of the bottom-up approach of a FRTB risk capital calculation under both the standardised and internal model approaches. These worked examples covered a number of different asset classes and highlighted the actual calculation of the aggregated risk capital charges.

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