Fundamental Review of the Trading Book New York

Risk Training's two day training course will bring together a variety of industry experts and practitioners to discuss topics including the revised internal model and standardized approaches, the P&L attribution test, modellable and non-modellable risk factors, capital requirements, and data management.

Risk Training's two day training course will bring together a variety of industry experts and practitioners to discuss topics including the revised internal model and standardized approaches, the P&L attribution test, modellable and non-modellable risk factors, capital requirements, and data management.

Shravan Bharathulwar

Associate Director, FRTB,

RBC Capital Markets

Melvin John

Citigroup

Director

Dmitry Pugachevsky

Director, Research

Quantifi

Ksenia Shnyra

Quant Associate Director

Moodys Analytics

Donald Wesnofske

Founder and CEO

Risk Officer

Greg Gonzalez

FSO Advisory Senior Manager

EY

Ken Walker

Managing Partner

Exeter Consulting & Capital Management, Inc.

Dana Calistru, Ph.D

CEO

Golden Oak Tree LLC

Erdem Aktug

Risk Analytics Senior Associate

Federal Reserve Bank of New York

Course Highlights
  • A thorough overview of the 2018 status of FRTB regulation and regulatory updates
  • Explanation of the revised standardized approach including the curvature charge and discussion on the changes in credit & interest rate risk
  • Overview of the revised internal model approach covering a brief history, understanding of best practices and stress calibration
  • Delve into modellable & non-modellable risk factors including their boundaries and best practices for stress testing
  • Learn what the P&L test means for you and how to calculate results and implement successfully
  • Gain an understanding of FRTB data management and system challenges including how to manage system challenges and various outsourced solution options such as Fintech and vendors
Who Should Attend

Risk Training welcomes any individual with an interest in the course material. Relevant departments may include:

  • FRTB Implementation/Risk
  • Market Risk Manager/Analytics
  • Trading Book Capital Management
  • Change Management
  • Risk Capital Manager
  • Quantitative Analytics
  • Head of Prudential Risk
  • Regulatory Liaison/Risk Manager
  • Internal Audit Manager
  • Derivatives Risk Manager
  • Traded Market Risk
  • Market & Credit Risk Manager
  • Head of Architecture, Markets
  • Data Analyst (FRTB)
Learning Outcomes
  • Enhanced knowledge of the regulatory perspective and up to date implementation timelines along with an understanding of where other financial institutions are at with their FRTB progress
  • Gain a new or enhanced understanding of the revised standardized approach including the linear charge, curvature charge & default risk charge and how to implement these practically
  • Learn about the revised internal model approach and gain further knowledge of the new operational challenges and how to combat these
  • Insight into the P&L attribution test, learn what it means for your business and how to calculate and implement
  • How to capitalise on your data strategies, manage the challenges and an understanding of what outsourcing options are available
  • Gain an enhanced understanding of desk level approaches including how to tweak the Volcker rules structures and practical back testing approaches