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5th Edition Optimising Fundamental Review of the Trading Book

Examine recent developments in the FRTB addressing particular questions surrounding the P&L attribution test, capital floor, default risk charge and non-modellable risk factors

13-15 September 2017
London, United Kingdom

Why You Should Attend

5th Edition Optimising Fundamental Review of the Trading Book

The BIS have revisited the capital standards for market risk in the Fundamental Review of the Trading Book (FRTB). As banks familiarise themselves with new requirements for models using both the standardised approach and internal model approach, and decide the approach with which to proceed, more questions are arising over the feasibility of the new requirements. The current political environments on both sides of the Atlantic are being seen to have an effect on the timeline for implementation but many banks are seizing the opportunity to prepare as thoroughly as possible. This marcus evans event will address recent developments of the FRTB and how exactly banks will tackle the implementation in the rush to meet the 2019 deadline. It will cover the persistent questions surrounding the P&L attribution test, non-modellable risk factors and the capital floor.

Key Topics

  • Unravel developments surrounding the FRTB and assess how these changes are impacting capital
  • Assess the viability of the IMA alongside the practical challenges of obtaining approval through the P&L attribution test and backtesting and examine industry wide standards for modelling default risk charge
  • Defining the limits of the trading book in light of the banking book
  • Understand the impact of CRRII and CVA on market risk
  • Previous Attendees Include

    • AFME
    • ABN Amro Bank
    • Banco Espirito Santo
    • Bank of England
    • Bank of Ireland
    • Barclays Bank
    • BNP Paribas
    • Ceska Sporitelina AS
    • Citigroup
    • Commonwealth Bank of Australia
    • Credit Agricole
    • Credit Suisse
    • Credito Trevigiano
    • Danske Bank
    • Deloitte
    • Deutsche Bank
    • DZ Bank
    • Erste Group Bank AG
    • HSBC
    • ING
    • Intesa Sanpaolo
    • ISDA
    • JP Morgan
    • Lloyds Bank Commercial Banking
    • Mizuho International
    • Morgan Stanley
    • Natixis CSP Fournisseurs
    • Nomura International
    • Nordea
    • PWC
    • Santander
    • VTB Capital
    • and many more..

    Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Event Partners

    Practical Insights From

    Neels Vosloo
    Head of EMEA Regulatory Risk
    Bank of America Merrill Lynch

    Bryan Williams
    Global Head of Traded Market Risk

    Gilles Artaud
    Deputy Head of Counterparty Credit Risk
    Credit Agricole

    Thomas Hougaard
    Chief Risk Analyst

    Nicolae Mera
    Director, Market Risk Methodology
    Credit Suisse

    Hany Farag
    Head of Methodology and Analytics

    Dionisis Gonos
    Co-Head Quantitative Analytics for Market Risk
    Barclays Capital

    Hjalmar Schroeder
    Head of FRTB Program
    Zuercher Kantonalbank

    Click Here For Full Agenda

    Voice of Our Customers
    • “Very good. Good debate – enjoyed it!” Lloyds Banking Group
    • “Extremely well presented course – informative and valuable to the whole group.” Nordea Bank
    • “Comprehensive and well structured programme with an open and engaging style of presentation.” Investec
    • “Informative, well organised and topical event.” Allied Irish Banks
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Constandinos Vinall

    marcus evans (Europe) Ltd
    PO Box 24797
    1304 Nicosia, Cyprus

    +357 22849 380
    Fax: +357 22849 394