G0000G IBM Algorithmics Regulatory Capital Modeling in Algo OneOvernet Education
Il centro presenta a continuazione il programma pensato per migliorare le tue competenze e permetterti di realizzare gli obiettivi stabiliti. Nel corso della formazione si alterneranno differenti moduli che ti permetteranno di acquisire le conoscenze sulle differenti tematiche proposte. Inscriviti per poter accedere alle seguenti materie.
The three-day course is delivered through a number of media, including product demonstrations, instructor-led exercises, self-paced hands-on practice, and case studies.
- Introduction and course agenda
- Review of framework and required input data
- Navigation and set-up in the calculation engine
- Modeling of a position in RiskWatch (CRC Calculation Engine) for Basel 2 compliance.
- Cross-References and Linkages between Counterparties, Exposures, Mitigants, Facilities
- Regulatory Parameters
- Results for the various approaches B2 STD, B2 FIRB, B2 AIRB
- Determining calculation procedures for RWA and EAD.
- Modeling of various instruments in CRC Calculation engine (Banking Book)
- Valuation in multiple approaches
- Modeling of Various Instruments/Transactions in RiskWatch (CRC Calculation Engine) - cont
- Trading book (OTC Derivatives, Repos)
- Credit Risk Mitigation
- Mitigation in Basel accord
- Modeling mitigants in CRC calculation engine
- Mitigation modes
- Stress Testing in RiskWatch (CRC Calculation Engine)
- Pillar 2 Functionality in CRC
- Basel 3 Extension in CRC
- Datamart in CRC
- Retail pooling
- Regulatory and Management Reports
- Editing management reports in ARA
- Regulatory Reports validation and querying
Each participant will have a station set up with operating systems and software needed for the exercises.