Fundamental Review of the Trading Book London

Risk Training’s Fundamental Review of the Trading Book course is returning for a fourth year to provide attendees with the skills to establish a robust and compliant FRTB strategy.

About the Course

Risk Training’s Fundamental Review of the Trading Book course is returning for a fourth year to provide attendees with the skills to establish a robust and compliant FRTB strategy.

This two day course will discuss the current regulatory status of FRTB, implementation challenges and ways of approaching the approval process.

 

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Course Highlights
  • Receive a comprehensive understanding of FRTB, related implementation challenges and cross over with other regulatory mandates
  • Up to date knowledge of revised internal model and standardised approaches
  • Sessions delivered by expert practitioners from a variety of leading banks   
  • Practical understanding of P&L attribution test and what it means for your organisation
  • Discuss modellable and non-modellable risk factors and what the clear boundaries are
  • Course held in an open and discussion based learning environment to promote the sharing of best practice approaches
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Who Should Attend

This course is primarily aimed at those working in FRTB implementation however Risk welcomes anyone who would benefit from this training. Specific job titles may include but are not limited to:

  • Market Risk/Credit Risk Manager
  • Trading Book Capital Management
  • FRTB Implementation/Project Management
  • Risk Capital Manager
  • Quantitative Analytics
  • Regulatory Liaison/Risk Manager
  • Chief Risk Officer
  • Market Risk Analytics
  • Head of Traded Risk
  • Change Management
  • Data Analyst (FRTB)
  • Head of Architecture, Markets
  • Internal Audit Manager
  • Risk Officer
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Learning Outcomes
  • Understand FRTB rules, the regulatory perspective & implementation challenges
  • Default risk charge and capital management implications
  • Gain an enhanced knowledge of desk level approaches from desk structure granularity to strategy and optimization
  • Discuss FRTB data and system management challenges and how to overcome them   
  • Brief history of the internal model approach and validation challenges
  • Gain a new or enhanced knowledge of all the key, need to know elements of FRTB implementation

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Wenmin Li

Traded Risk Measurement Team, Specialist Risk Supervision

Bank of England

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Anna Holten-Moller

Senior Risk Analyst, Market Risk

Nykredit

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Adolfo Montoro

Director, Risk Methodology

Deutsche Bank AG

Adolfo Montoro FRM, is a Director within Deutsche Bank's Risk Methodology department in London. He currently leads the FRTB Methodology team and represents DB in the Industry Working Group supporting elements of the FRTB implementation and advocacy.

Adolfo earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honors) from Universita' della Calabria, Italy. He earned his Financial Risk Manager (FRM) certification in 2005

Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee

 

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Robert Smith

Partner

KPMG

Rob is a Partner in the Risk Practice of KPMG UK’s Financial Risk Management Department. Rob has over 17 years of finance and risk management experience, the majority of which has been specifically focused on risk and capital measurement and management within the Banking Industry.

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Rolf Klaas

Senior Risk Modelling Expert

DekaBank

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Neels Vosloo

Head of EMEA Regulatory Risk

Bank of America Merrill Lynch

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Michele Pioppi

Financial Risk Quantitative Analyst

UniCredit

19 September 2018
2018-09-19 09:00:00 +0100

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