Hull, Chapter 18: Fundamental Review of the Trading Book is a 22-minute instructional video analyzing the following concepts:
* Describe the proposed changes to the Basel market risk capital calculation and the motivations for these changes, and calculate the market risk capital under this method.
* Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how a bank can calculate its expected shortfall using the various horizons.
* Explain proposed modifications to Basel regulations in the following areas:
* Classification of positions in the trading book compared to the banking book.
* Treatment of credit spread and jump-to-default risk, including the incremental default risk charge