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6th Edition Impact of the Fundamental Review in the Trading Book

Address the difference between the standardised and internal model approach under the FRTB, along with questions surrounding NMRFs, and the impact on front office trading and capital

26-28 November 2018
London, United Kingdom

Why You Should Attend

6th Edition Impact of the Fundamental Review in the Trading Book

This marcus evans conference will look at the new differences between the SBA and IMA under the FRTB, along with questions surrounding NMRFs, the continued impact on front office trading and capital, and the steps that Banks should be making in anticipation of a final framework.

In the last six months the Basel Committee have made large strides by releasing revisions to the minimum capital requirements for market risk in March, consisting of clearer rules surrounding the capital floor, FRTB and CVA and further requirements surrounding NMRFs. All of this has prompted both discussion and action from banks on their FRTB framework. In the wake of the consultation period, banks have a lot of food for thought and will be looking to get everything in order so they can drive the project forward as efficiently as possible once they do have the final framework.

Key Topics

  • Calculate the viability of the internal model approach in light of recent developments to the standardised approach
  • Address how rules surrounding the P&L attribution test will work in practice
  • Examine Non-Modellable Risk Factors in terms of their interpretation and how to resolve them
  • Draw the line between the trading and banking book for each desk with relation to their impact
  • Keep pace with the foundational work surrounding data, systems, and models in preparation for legal implementation and the final FRTB paper
  • 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

    Oliver Barritt
    Chief Market Risk Manager
    Mitsubishi UF J Trust Bank

    Jerry Goddard
    Director of Wholesale Risk
    Santander GCB

    Hany Farag
    Head of Methodology and Analytics

    Thomas Hougaard
    Chief Risk Analyst

    Lorenzo Liesch
    Head of Group Financial Risk Methodologies & Models

    John Turley-Ewart
    Regulatory Interpretations Lead, FRTB
    BMO Capital Markets

    Oliwia Kozlowska
    Executive Director, FRTB Lead

    Hjalmar Schroeder
    Head of Market Risk Analysis
    Zurcher Kantonalbank

    Click Here For Full Agenda

    Voice of Our Customers
    • ‘Very good and relevant conference. I did not expect to learn that much so far into the FRTB development process. Well done!’ – NAB
    • ‘Well organised conference, with very high-level competence of the speakers. Extremely informative and valuable to me.’ – Intesa Sanpaolo
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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