About the Course

About

About the Course

The course will begin with an overview of the final FRTB regulation and implementation tactics. The following sessions focus on the new internal model approach and the non-modellable risk factor regime. The day will conclude with a presentation on the P&L attribution test.

Sessions on day two will cover the revised standardised model and the trading book banking book boundary. We will then proceed with the impact of FRTB on front office and capital and analyze changes required in the bank’s operating model, data management and systems. It will conclude with a session on the treatment of default risk under FRTB.

The course will be led by subject matter expert Thomas Obitz. Thomas has 20 years’ experience in capital markets and designed the FRTB operating model of a major international bank; his specialities include risk transformation, business architecture and operating model design. We will also welcome two guest speakers to provide a different perspective on the challenges of implementation.