FRTB: Business and technology implications

THE PANEL

• Jouni Aaltonen, director, prudential regulation, AFME
• Rubin Ranjendram, head of price and risk analytics, Calypso
• Gaël Robert, head of risk analytics, Mizuho International 
• Han Zhang, head of risk analytics, market and institutional risk management, Wells Fargo
• Moderator: Joel Clark, consulting editor, Risk.net

Key topics include:

• FRTB implementation timeline
• Review of standardised approach market risk (SA-MR) and internal model-based approach (IMA) rules
• Expected capital impact
• Implications for trading book business strategy
• Recommended IT infrastructure and analytics enhancements
• Computational upgrades required to support breadth of internal modeling calculations

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