VaR and Alternative Metrics: Risk Models, Regulation and Governance 2014 2026 2027 (42190)

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

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