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

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

2017 Co-Sponsors

AxiomSL


AxiomSL is the leading global provider of regulatory reporting and risk management solutions for banks, asset managers and insurers. It empowers clients with the tools they need to manage their financial, risk and operational requirements, and to comply with regulatory calculation and disclosure mandates around the world. All of AxiomSL’s solutions are built on the same adaptable, high-performance platform. This gives clients a unique opportunity to reduce the cost and complexity of compliance by using one platform to manage all of their requirements globally. AxiomSL’s solutions are fully supported and are upgraded when rules and templates change. The unparalleled transparency offered by AxiomSL gives users the ability to drill down from the reports they produce to the calculations and source data they have used. AxiomSL was awarded The Asian Banker’s 2016 “Best Compliance Risk Technology Implementation of the Year” as well as “Best Implementation at a Sell-side Firm” in the 2016 Sell-side Technology Awards. It was voted Best Reporting System Provider in the 2015 Waters Rankings and was highlighted as a ‘Category Leader’ by Chartis Research in its 2015 Sell-side Risk Management Technology report. The company’s work has also been recognized through a number of other accolades, including success in the Best Reporting Initiative category of the American Financial Technology Awards and in the Customer Satisfaction section of the Chartis RiskTech100 rankings.

d-fine


d-fine is one of the leading providers of quantitative and technical consulting services for the financial services industry in Europe. With over 600 highly skilled specialists based in Frankfurt, Munich, London, Vienna and Zurich, we advise banks, insurance companies, asset managers, hedge funds and corporate treasuries on risk management, finance and IT integration. Our services for banks cover all aspects of models, processes, and systems for measuring and managing market risk. With our expertise and market overview we are supporting clients in projects on the Fundamental Review of the Trading Book. We develop tools to help our clients significantly reduce the effort of conducting impact studies and improve reliability of results, including an application to calculate RWAs according to the revised standardized approach (SA-TB). Together with our clients, we assess the effects of the fundamental review on processes and systems. We help plan implementation scenarios and support our clients in their implementation projects.

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. First-hand experience in the market for FRTB functional design, change-impact analyses, and implementation make Finbridge one of the leading experts on FRTB in the German banking industry with a growing customer base throughout Western Europe. Our highly adaptable tools for the ad-hoc processing and detailed analysis of the FRTB standardised approach support our market risk experts in deriving recommendations for FRTB-related business model adjustments for your institution that are directly measurable – and measured – in terms of reductions in capital requirements. We work closely together with your in-house experts to find solutions that optimise your implementation approach to FRTB whilst maintaining feasibility w.r.t. your general corporate strategy and business model.

MSCI


MSCI will be sponsoring the Fundamental Review of the Trading Book Summit

Percentile


Percentile is a London based provider of technology for risk management and regulatory compliance to the financial markets. Percentile’s flagship product, RiskMine, drives alignment between trading desks and risk management and delivers confidence with unprecedented levels of transparency and governance around risk data. RiskMine FRTB is the latest addition to the platform and provides computation and analytics for both Standardised Approach and Internal Model Approach to accelerate a bank’s compliance to the new market risk capital regulations. RiskMine is the result of over a decade of innovation at an investment bank and driven by demanding risk managers, providing the single source of truth for risk. Percentile’s technology is designed for fast integration into existing environments, boosts the performance of risk calculations and provides consistent and centralised access to all risk exposures. RiskMine can be delivered on-premises 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.

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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.

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2017 Co-Sponsors

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