Impact and implementation of FRTB
View AgendaKey reasons to attend
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Prepare for Fundamental Review of the Trading Book (FRTB) implementation and capital floor requirements
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Discuss the revised standardised approach (SA) compared to the internal models approach (IMA)
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Understand trading book/banking book boundary and implications
Customised solutions
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About the course
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 a technical and detailed understanding of the continuing journey of FRTB implementation and its associated challenges. Led by subject matter expert and faculty member Thomas Obitz, 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.
Only until December 31, 2023:
- Locked rate: $1,999.
Book by December 31, 2023 and save $1000 (quote LOCK23 code)
Learning objectives
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Recognise where your company is on its journey to FRTB implementation
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Manage the impact of FRTB on the capital floor
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Identify key components for capital frameworks and drivers for using the IMA versus the SA
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Understand the relationship between FRTB and International Financial Reporting Standard (IFRS) 9 on the banking and trading books
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Develop the skills to identify and manage implementation pitfalls
Who should attend
Relevant departments may include but are not limited to:
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FRTB project teams
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Risk management
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Quantitative analytics functions
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Trading and product development
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Finance and capital management
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IT and data management
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Interbank offered rates transition
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Model risk management
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Internal audit
Agenda
February 20–22, 2024
Timezones: Emea/Americas
Sessions:
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Progress of regulatory implementation of the Fundamental Review of the Trading Book (FRTB) in the context of Basel III
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The impact of FRTB on capital requirements and business models
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The capital framework and the revised standardised approach (SA)
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The FRTB credit valuation adjustment (CVA) framework
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The revised IMA
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Understanding and managing non-modellable risk factors (NMRFs)
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Profit and loss (P&L) attribution tests, desk strategies and capital dynamics
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Model risk management under FRTB
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The trading book/banking book boundary and its impact on business models
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Making FRTB work: target operating model and a system impact and implementation approach
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
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Regulators should be careful what they wish for on FRTB - Read article
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FVA hedge omission from FRTB set to cause headaches - Read article
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Early FRTB adoption piles pressure on Japanese banks - Read article
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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