Thanks . Do you have a working excel on the calculation of Expected Shortfall for a portfolio via IMA Approach of FRTB?
@OptimalMRM3 жыл бұрын
Hi Manish, the course Expected Shortfall (www.optimalmrm.com/product/expected-shortfall-frtb/) includes a downloadable Excel spreadsheet that's shown in the video presentations for calculating ES for a trading portfolio of bonds, swaps, equities, FX, and commodities. The course Market Risk Capital (www.optimalmrm.com/product/market-risk-capital-frtb/) presents the Standardized Approach and the Internal Models Approach (ES and Default Risk Charge). The FRTB Suite (www.optimalmrm.com/product/frtb-suite/) is a discounted course bundle that includes 4 courses (Market Risk Capital, Expected Shortfall, Risk Sensitivities, and Volatility & Correlation).
@menghuancao43892 жыл бұрын
Hi, interested to learn internal model approach for market risk. Which courses would you suggest to purchase?
@OptimalMRM2 жыл бұрын
Hi there, the FRTB suite (www.optimalmrm.com/product/frtb-suite/) covers all of the pieces needed to understand the Standardized Approach and the Internal Models Approach (IMA). The suite includes Risk Sensitivities and Volatility & Correlation courses. The techniques presented in these courses are used to calculate market risk and capital under both FRTB approaches.