FRTB: Moving Towards a Practical Implementation

FRTB is set to revolutionise current market risk practices, placing emphasis on the coordination of operational, risk and data management processes as well as systems and technology. To best respond to these new demands, banks need to make the right strategic and technology decisions and assess the impact on operations and processes across risk, front office, finance and IT.

Co-hosted by Quantifi & Monocle Solutions

 

Agenda

  • The business case for SA versus IMA
  • Classification Rules Framework - Banking Book and Trading Book
  • IMA eligibility test
  • Implications of FRTB on the size / structure of trading desks
  • SA & IMA calculation and performance challenges
  • Technology considerations

Presenters

Dmitry Pugachevsky, Director, Research, Quantifi

David Buckham, CEO, Monocle Solutions

 

 

 

Recommended Whitepapers and Articles

Portfolio Diversification in FRTB

FRTB: Strengthening Market Risk Practices? 

Quantifi FRTB Survey/a>

Explaining the Two Key FRTB Frameworks