27 Sep 2017 - 28 Sep 2017
The Fundamental Review of the Trading Book (FRTB) has been a difficult topic for both banks and regulators over the past few years. With implementation set for 2019, many companies are still establishing what their FRTB strategy will be, as well as coming to terms with some of the more difficult aspects of the regulation.
This 2 day training course will bring together industry experts and practitioners to discuss topics including the revised internal model and standardised approaches, the P&L attribution test, modellable and non-modellable risk factors, capital requirements, and data management. Dmitry Pugachevsky's presentation will be on day 2 at 11am.
Treatment of credit
- securitisation exposures
- Non-securitisation exposures
- Default Risk Charge
- Preliminary Credit Valuation Adjustments charges
- Where it will stand after the final Basel paper?
Dmitry Pugachevsky, Research Director, Quantifi