FRTB: Strengthening Market Risk Practices?

In July 2015, the Basel Committee proposed the FRTB-CVA framework which replaces the current CVA risk Capital calculations. Six months later it published the final rule of the FRTB framework designed to address the undercapitalisation of trading book exposures witnessed during the financial crisis. This webinar explores both frameworks in their historical context and takes an in-depth look at the challenges and implications of FRTB.

Co-hosted by Quantifi & Kauri Solutions


Agenda

  • Structure of new Trading Book Standardised and Internal Model Approaches
  • Comparison between FRTB-CVA Standardised and Basic Approaches
  • Importance of accurate and efficient CVA calculations
  • Affect of FRTB and FRTB-CVA frameworks on bank balance sheets
  • Impact on capital, modelling methodologies and IT complexity

Speakers

  • Dmitry Pugachevsky, Research Director, Quantifi
  • Vlad Ender, Managing Director, Kauri Solutions
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insights

Innovative thinking

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Portfolio Diversification in FRTB

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FRTB: Moving Towards a Practical Implementation
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FRTB: Moving Towards a Practical Implementation

FRTB heralds a new era in bank risk management, making it one of the most critical items on a bank’s to-do list for the immediate future and beyond.

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FRTB: Strengthening Market Risk Practices
Whitepapers

FRTB: Strengthening Market Risk Practices?

This paper explores both FRTB frameworks in their historical context and how they affect bank balance sheets.

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