Fundamental Review of the Trading Book

Assessing FRTB progress, opportunities and constraints ahead of full implementation

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Fundamental Review of the Trading Book

Key Highlights Addressed in 2017

Implementation

Examining the ability to prepare for full implementation in uncertainty

Global Approaches

Understanding variations in global approaches and the possible impacts of an un-level playing field

Standardised Approach

Exploring the capital implications of standardised approach at an individual desk level

Internal Model Approach

Reviewing IMA opportunities and constraints to assess viability and approach

Alignment with other Regulations

Understanding the possible interactions of FRTB with other regulations

P&L Attribution

Examining P&L attribution requirements and maintenance at a desk level

Non-Modellable Risk

Examining definitions of non-modellable risk factors and the impact on data requirements and capital

Data & Systems

Reviewing the FRTB data requirements and the ability to building sufficient systems

Governance & Control

Identifying governance and control processes for FRTB to allow for effective implementation and management

Post Implementation

Discussing potential impacts and consequences post FRTB implementation

Read the latest market risk articles here. These articles feed from our much larger Risk Insights which provide you with thought-leadership, white papers, articles and more across risk and regulation. Subscribe to Risk Insights’s financial risk management blog and get the latest articles straight to your inbox.

RISK WEBINAR

Free Webinar

Assessing the business implications of the Fundamental Review of the Trading Book

With: Ed Duncan, Barclays, Bo Boison, Nordea Bank AB, Britta Achmann, Deutsche Bank

Read more

FEATURED RESOURCES

The challenge of P&L attribution

A presentation by Alan Smillie, Head of Capital & Ratings Methodology at Nomura. Download the PDF here

Effectively understanding if and how to model the un-modellable

Pascal Gibart, Head of Risk Quants at Credit Agricole CIB, releases his PDF guide on NMFR and SES Download the PDF here

Default risk modelling

Mirela Predescu, Deputy Head, Credit and Repo – Market and Counterparty Risk Methods and Analytics at BNP Paribas addresses a default risk model complaint framework Download the PDF here

MARKET RISK INSIGHTS

31st October 2017

Overcoming the key regulatory issues and challenges on FRTB implementation

By Alan Smillie, Head of Capital & Ratings Methodology, Nomura.
16th October 2017

Reviewing FRTB final rule

By Lars Popken, Global Head of Risk Methodology at Deutsche Bank.
10th October 2017

Implementation pitfalls – Case studies and lessons learned

By Stefan Scheutzow, Expert and Market Risk Team Lead and Hendrik Sumpf, Associate Manager from Finbridge.
6th October 2017

FRTB: Incorporating a strong governance and controls process

By Harshal Talati, Head of Market Risk Reporting at the Royal Bank of Scotland.
4th October 2017

Ensuring alignment between FRTB processes and P&L

By Tony Lawson, Director of Strategy at Barclays.
14th September 2017

Supervisory approaches to the review of FRTB implementation

23rd August 2017

Preparing for the increased data requirements for FRTB reporting

21st August 2017

The challenge of P&L Attribution

4th August 2017

FRTB Implementation: Key concerns, opportunities and constraints

5th April 2017

Executing the FRTB in practice and contending with timing constraints

5th April 2017

Looking ahead to FRTB implementation and understanding the requirements

22nd February 2017

Effectively understanding if and how to model the un-modellable

8th February 2017

FRTB: Default risk modelling

1st June 2016

FRTB: Model eligibility, IMA and standard rules

5th April 2016

CVA Sensitivities – Theory and Practice

4th April 2016

A Look Towards the CVA Finalisation Rules

24th February 2016

The Unintended Impacts of FRTB on Emerging Markets

17th February 2016

Reviewing the Finalisation Paper for the Revised Capital Standard for Market Risk

17th February 2016

Key Regulatory Challenges Facing EMEA Risk Professionals

4th January 2016

FRTB Conclusions and The Debate Between VaR and ES

2018 Co-Sponsor:

d-fine


d-fine will be joining us at FRTB 2018

Finbridge


Finbridge is an independent specialised consultancy to financial services. With over 90 highly qualified consultants, Finbridge offers tailor-made implementation approaches throughout the entire process chain. Finbridge supports banks and financial services successfully in designing and implementing change processes resulting from new regulatory requirements, new innovative financial products or adjustments to business models in risk controlling, regulatory reporting, accounting, trading and settlement.

Our experience in the market for functional design, change-impact analyses, and implementation make Finbridge one of the leading risk experts in the German banking industry with a growing customer base throughout Western Europe. We work closely together with your in-house experts to derive solutions that optimise your implementation approaches whilst maintaining feasibility w.r.t. your general corporate strategy and business model.

Percentile


Percentile is a London based provider of technology for risk management and regulatory compliance to the financial markets. Percentile’s flagship product, RiskMine, fundamentally changes the risk management dynamics between trading desks and risk managers by breaking down the silos that hamper the implementation of complex regulations like FRTB. RiskMine enables reuse of front-office pricing libraries with cloud-based scalability, manages multiple market data sources for observations and historical data and delivers on-demand capital analytics via in-memory risk aggregation. Percentile’s modular approach to risk technology is the result of over a decade of continuous innovation by industry practitioners, designed for fast integration into existing complex environments. RiskMine is delivered on-premises, hybrid or fully hosted in the cloud.

Sponsorship

Can your organisation contribute at our Fundamental Review of the Trading Book Congress?   Please contact the Center for Financial Professionals today to discuss how we can deliver your thought-leadership at the event, help you generate leads, and provide you with unique networking and branding opportunities. Below is an outline of what we can offer, but please contact sales@cefpro.com or call us on +44 (0)20 7164 6582 where a member of the team will be happy to tailor the right package for you.

Pre-agenda rate Register
Fundamental Review of the Trading Book TBC 2018 £699* Click here to register

Should you have any questions regarding registering, please contact the Center for Financial Professionals, please contact us on +44 (0)20 7164 6582 or +1 888 677 7007, or email info@cfp-events.com. *All rates are subject to UK VAT Group bookings:  Group rates are available for 3 or more attendees from the same organisation, when registering at the same time. The current rate allows every third colleagues to come along for half price, or a fifth colleague to attend for free.

Other ways to register

1. Save Time – Register by Email

Simply email us with your e-signature – and we will do the rest for you!

2. Contact Us Directly

3. Download the PDF Registration Form

2018 Co-Sponsor:

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