Impact and implementation of FRTB

  • 3 days
  • Treasury & capital markets risk
  • 9 CPD points
View Agenda

Key reasons to attend 

  • Prepare for FRTB implementation and capital floor requirements 

  • Discuss the revised standardised approach (SA) compared to the internal models approach (IMA)  

  • Understand the trading book/banking book boundary and implications 

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Customised solutions

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Working with the portfolio of expert tutors and Risk.net’s editorial team, we can develop and deliver a customised learning to make the most impact for your team, from initial assessment to final review. 

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About the course


Avoid price increase: book by December 31 to use 2022 price* 


Explore the impact and implementation of FRTB within financial institutions from the perspectives of model risk management, capital requirements and data management. 

This interactive virtual event offers participants enhanced understanding of the continuing journey of FRTB implementation and its associated challenges.
Led by subject matter expert, this event will enable participants to connect and discuss best practice approaches on how to manage FRTB within their organisation to enhance capability and efficiency.

Dedicated sessions exploring key components and considerations of the SA and the sensitivities-based approach, emerging risk factors from the interbank offered rates transition impact, the IMA and the trading book/ banking book boundary under FRTB will support delegates in their ability to apply FRTB principles in their own institutions.

Learning objectives

  • Recognise where your company is on its journey to FRTB implementation 

  • Manage the impact of FRTB on the capital floor 

  • Identify key components for capital frameworks and drivers for using the IMA versus the SA

  • Understand the relationship between FRTB and IFRS 9 on the banking and trading books 

  • Develop skills to identify and manage implementation pitfalls 

Who should attend

Relevant departments may include but are not limited to:

  • FRTB project teams 

  • Risk management 

  • Quantitative analytics functions 

  • Trading and product development 

  • Finance and capital management 

  • IT and data management 

  • Interbank offered rates transition

  • Model risk management 

  • Internal audit 

Agenda

February 20–22, 2023

Time zones: Emea / Americas 

Sessions:

  • The implementation of FRTB so far

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

  • The revised internal model approach (IMA)

  • Non-Modellable Risk Factors and the IBOR transition

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

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

  • Model risk management under FRTB

  • Data management, system and operating model challenges

REQUEST DETAILED AGENDA


July 17–19, 2023

Time zones: Emea / Apac

REQUEST DETAILED AGENDA

Tutors

February 20–22, 2023

Thomas Obitz Risk Learning Faculty

founder

RiskTransform

View bio

Thomas Obitz is founder and director of RiskTransform, a London-based consultancy advising banks on regulatory change.

Pre-reading materials

The Risk.net resources below have been selected to enhance your learning experience:

  • Regulators should be careful what they wish for on FRTBRead article

  • ‘Nightmare’ of uncertainty plagues FRTB model applications - Read article

  • Why FRTB model test loves volatility, but hates hedges - Read article

To access some of the above articles you need to have a current subscription to Risk.net. If you don’t have one now, please subscribe to a free trial

Registration

February 20 - 22, 2023

02:00 pm - 05:00 pm

Virtual

Price

$2,199

Earlybird Price

$1,799

July 17 - 19, 2023

08:30 am - 12:00 pm

Virtual

Price

$2,199

Earlybird Price

$1,799
Book now

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