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

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

RELATED INSIGHTS

Whitepapers

Portfolio Diversification in FRTB

FRTB impacts financial institutions across all functions as it poses operational, methodology and technology challenges. To meet the requirements financial institutions will need to rethink their business and technology strategies with a view to streamlining their processes and architecture.

Whitepapers

FRTB: Moving Towards a Practical Implementation

The Basel Committee on Banking Supervision (BCBS), has placed greater emphasis on improving market risk management since finalising Basel III. In May 2012, the BCBS released the first consultative document on the Fundamental Review of the Trading Book (FRTB).

Whitepapers

FRTB: Strengthening Market Risk Practices?

One of the largest overhauls by the Basel Committee on market risk regulatory capital in recent times is close to completion. FRTB is intended to address the undercapitalisation of trading book exposures witnessed during the financial crisis.

Let's Talk!

Schedule a personalised demo today

Loading...