Risk Training: FRTB Course

As the FRTB implementation date looms ever closer, banks and regulators are still debating the rules and iterations of the regulations. Risk.net's training course returns to New York to help provide delegates with practical knowledge to better understand FRTB and how to best implement within their company.

Day one will begin with an overview of where US FRTB is at in early 2018 and how this compares with global progress and other regulations. The course continues with reviews of the banking book boundary, the revised standardised approach & the revised internal model approach. Day two will continue with an overview of modellable and non-modellable risk factors. Following this, a discussion on the treatment of credit and a thorough explanation of the P&L attribution test before the course concludes with a discussion on data challenges and desk level approaches. Dmitry Pugachevsky’s presentation will be on day 2 at 12pm.

Treatment of Credit

  • securitisation exposures
  • Non-securitisation exposures
  • Default Risk Charge
  • Where it will stand after the final Basel paper?

Presenter

Dmitry Pugachevsky, Research Director, Quantifi

Registration Closed
Registration is no longer available.

insights

Innovative thinking

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.

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FRTB: Moving Towards a Practical Implementation
Whitepapers

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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