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5th Edition Optimising Fundamental Review of the Trading Book

September 13, 2017 - September 15, 2017


The BIS have revisited the capital standards for market risk in the Fundamental Review of the Trading Book (FRTB). As banks familiarise themselves with new requirements for models using both the standardised approach and internal model approach, and decide the approach with which to proceed, more questions are arising over the feasibility of the new requirements. The current political environments on both sides of the Atlantic are being seen to have an effect on the timeline for implementation but many banks are seizing the opportunity to prepare as thoroughly as possible. This marcus evans event will address recent developments of the FRTB and how exactly banks will tackle the implementation in the rush to meet the 2019 deadline. It will cover the persistent questions surrounding the P&L attribution test, non-modellable risk factors and the capital floor.

Expert Speaker Panel Include:

  • Neels Vosloo, Head of EMEA Regulatory Risk, Bank of America Merrill Lynch
  • Hany Farag, Head of Methodology and Analytics, CIBC
  • Hjalmar Schroeder, Head of FRTB Program, Zuercher Kantonalbank
  • Thomas Hougaard, Chief Risk Analyst, Nordea
  • Dionisis Gonos, Co-Head Quantitative Analytics for Market Risk, Barclays Capital
  • Bryan Williams, Global Head of Traded Market Risk, RBS
  • Gilles Artaud, Deputy Head of Counterparty Credit Risk, Credit Agricole
  • Xavier Bellouard, Managing Director, ActiveViam

Attending this Premier marcus evans Conference will enable you to:

  • Unravel developments surrounding the FRTB and assess how these changes are impacting capital
  • Assess the viability of the IMA alongside the practical challenges of obtaining approval through the P&L attribution test and backtesting and examine industry wide standards for modelling default risk charge
  • Defining the limits of the trading book in light of the banking book
  • Understand the impact of CRRII and CVA on market risk

Learn from Key Practical Case Studies:

  • Bank of America Merrill Lynch explain how to align bank models with the latest from FRTB regulators
  • Barclays dissect the best strategies for succeeding in the P&L attribution test
  • Credit Agricole analyse the latest updates on FRTB-CVA

 For more information please contact Constandinos Vinall at ConstandinosV@marcusevanscy.com or visit the website:  https://goo.gl/tKKDiA