Reviewing the ability of firms to move forward with uncertainty surrounding timelines whilst remaining adaptable and agile

Reviewing the ability of firms to move forward with uncertainty surrounding timelines whilst remaining adaptable and agile

By Dionisis Gonos, Market Risk Quantitative Analytics Director, Barclays

Could you please tell the risk insights readers a little bit about yourself, your experience and what your current professional focus is?

I have been working in the Market Risk Methodologies and Analytics area since the beginning of my career in Credit Suisse and later HBOS, before Barclays. I have gone through an Internal Model Approval process with HBOS for the newly implemented model there, while I have been in continuous contact with the regulators over this time as part of the models support and maintenance.

Apart from leading the methodology side if the team currently, I am also overseeing the development of the FRTB architecture to ensure the maintenance of flexibility and the satisfaction and exceedence of internal and external requirements.

What, for you, are the benefits of attending a conference like the FRTB Forum and what can attendees expect to learn from your session?

Catch up with my colleagues in the industry and exchange experiences and approaches as well as understand their expectations from the FRTB regulation.

What challenges are there surrounding technology capabilities and how does this affect FRTB?

A number of challenges: number of calculations, amount of data to be transferred and stored, understanding and communication of reported numbers, identifying drivers and explaining behaviour. Also gap from current capabilities.

What are your thoughts on aligning Basel and Europe?

There is a great need for alignment of the implementation and final requirements across the regulators to ensure a level playing field and avoid further Implementation complications for multinational players.

How can firms best prepare for tests and parallel runs in the current timeframe?

Difficult as a huge development is needed in order to be able to fully test the currently unknown aspects, NMRF and PLA. Hard to commit to this development effort, which is absolutely FRTB specific, given uncertainty of timelines and regulation itself. A bit of a chicken and egg situation.

What key point would you like to put across to the audience?

The lack of a realistic and enforceable time frame to implementation means resource and budget commitments are often postponed, making a realistic timetable unfeasible. At the same time some of the requirement and uncertainties in the regulation mean that the project specific and costly parts are the ones further delayed.

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