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4th Edition Impact of the Fundamental Review of the Trading Book

marcus evans

23 Feb 2017 - 24 Feb 2017


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As the FRTB implementation race begins, it is crucial that banks now get a thorough understanding of the structure of trading desks, refine operating models and the front office and transform the market risk infrastructure effectively in order to meet the so called 'FRTB standard'.

With less that 18 months to go, banks are under pressure to develop high quality and consistent projects that will minimise the risk of capital charges and ensure integrity across the front office, risk and finance departments.

The biggest challenge is yet to be addressed: the application of the P&L attribution test and the definition of non modellable risk factors will be key topics.

This marcus evans event will provide strategic information on the current practices of FRTB and encourage a dialogue between European banks and regulators with the objective to develop cost effective, viable and FRTB compliant business models.

Key Topics

  • Review the current FRTB framework and explore the practicalities of the IMA versus the SA
  • Obtain an in-depth look at the operational changes necessitated for trading under after the FRTB
  • Take a closer look at the front office and its connection with the FRTB project
  • Decipher the P&L attribution test and define modellability and model validation metrics
  • Discuss ways of optimising capital cost in an era of higher market risk capital requirements

Expert Speaker Panel Includes:

  • Jeremy Penn, Head of UK Regulatory Market Risk Quant Analysis, Credit Suisse
  • Vladimir Chorniy, Senior Technical Lead, BNP Paribas
  • Oliwia Kozlowska, Director, Market Risk Control, FRTB Lead, UBS, Singapore
  • Ravi Shankar, Head of Fixed Income Pricing, Market Risk, and Counterparty Exposure Management Technology, RBS
  • Gael Roberts, Head of Risk Systems, Mizuho

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