Fundamental Review of the Trading Book (FRTB)

  • 4 days
  • Treasury & capital markets risk
View Agenda

Key reasons to attend 

  • Learn how to benchmark FRTB framework against industry standard

  • Understand the status of the FRTB implementation process in APAC

  • Identify key components and drivers for using IMA vs. standardized approach and capital frameworks 

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About the course

As the regulatory deadline for FRTB implementation approaches in 2023, the industry conversation has shifted from standardised practice to the many practical challenges that lie ahead.

This virtual live training course will dig deep into the most pressing implementation issues and emerging trends in FRTB. Prepare for the change by attending this course and be a part of the discussion.

Across these four days, the training sessions will focus on the latest developments of FRTB implementation and the capital calculation framework of FRTB.  Delegate will also explore the challenges financial organisations are facing including shifting regulatory timelines, the impact of FRTB on operating model, the typical issues in capital management and transaction. 

Learning objectives

  • Benchmarking your FRTB framework against industry standard

  • Understand the status of the FRTB implementation process in APAC and where you are in your journey

  • Develop the skills to manage key topics such as capital floor, P&L attribution test and non-modellable risk factors and IBOR transition impact

  • Identify the key components and drivers for using IMA vs. standardized approach and capital frameworks 

  • Identify the typical pitfalls of FRTB and how these can be managed, from capital traps to typical implementation challenges

Who should attend

Relevant departments may include but are not limited to:

  • FRTB project teams 

  • Market risk

  • Risk management

  • Quantitative analytics functions 

  • Trading and Product Development 

  • Finance and Capital management 

  • IT and Data management 

  • IBOR transition 

  • Model risk management 

  • Internal audit

Agenda

  • Session 1: The implementation of FRTB so far

  • Session 2: The Revised Standardised Approach (SA) and the Capital Framework of FRTB

  • Session 3: The revised internal model approach (IMA)

  • Session 4: Non-Modellable Risk Factors and the IBOR transition

  • Session 5: P&L attribution test, desk strategy and capital dynamics

  • Session 6: The trading book/ banking book boundary and its impact on business models

  • Session 7: Model risk management under FRTB

  • Session 8: Data management, system and operating model challenges

Tutors

  • Thomas Obitz, Director, RiskTransform

Enquire about:

  • Agenda and registration process
  • Group booking rates
  • Customisation of this programme
  • Season tickets options
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