Impact and implementation of FRTB
View AgendaKey reasons to attend
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Prepare for implementation of the Fundamental Review of the Trading Book (FRTB) and capital floor requirements
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Compare the revised standardised approach (SA) and the internal models approach (IMA)
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Understand the 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 virtual event offers participants a technical and detailed understanding of the continuing journey of FRTB implementation, including practical examples for value-at-risk and expected shortfall calculations. Led by subject matter expert and faculty member Thomas Obitz, participants will discuss the progress of implementation globally and analyse concepts such as capital requirements and managing data under FRTB.
Dedicated sessions will explore key components and considerations of the SA and the sensitivities-based approach, emerging risk factors from the interbank offered rates transition impact, and the IMA and the trading book/ banking book boundary under FRTB, and will support delegates in applying FRTB principles at 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 FRTB implementation journey
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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 9 – known as IFRS 9 – on the banking and trading books
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Develop 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
Time zones: 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
July 16–18, 2024
Time zones: Emea/Apac
Sessions:
-
Progress of regulatory implementation of the Fundamental Review of the Trading Book (FRTB) in the context of Basel III
-
The impact of FRTB on capital requirements and business models
-
The capital framework and the revised standardised approach (SA)
-
The FRTB credit valuation adjustment (CVA) framework
-
The revised IMA
-
Understanding and managing non-modellable risk factors (NMRFs)
-
Profit and loss (P&L) attribution tests, desk strategies and capital dynamics
-
Model risk management under FRTB
-
The trading book/banking book boundary and its impact on business models
-
Making FRTB work: target operating model and a system impact and implementation approach
Tutors
Thomas Obitz Risk Learning Faculty
Founder, expert advisor and programme manager FRTB
RiskTransform
Thomas Obitz, a Risk Learning faculty member, has more than 20 years of consulting experience in Investment and Commercial Banking and broader financial markets. He focuses on risk transformation and works with global banks on their implementation of FRTB. Thomas has publications on risk change and FRTB, is GARB FRM certified and has a MSc in financial mathematics.
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
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The strange effect of US clampdown on FRTB models - Read article
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Industry divided on whether Europe should delay FRTB - Read article
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As banks limit FRTB model use, outputs get more volatile - Read article
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FRTB managers face hard facts about risk factors - 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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