Approaches to FRTB Implementation, Toronto
Sessions include the changed structure of internal models, pitfalls of the non-modelable risk factor, the P&L attribution test regime and the default risk charge.
This course will provide attendees with an in-depth understanding of the Fundamental Review of the Trading Book.
Across the two days the training sessions will cover a variety of key, need-to-know topics including the changed structure of internal models, pitfalls of the non-modelable risk factor, the P&L attribution test regime and the default risk charge.
Through a mix of presentations, case study examples and group discussion this course will provide a platform to discuss practical methods and best practice approaches to implementation.
The course is led by FRTB expert Thomas Obitz, director of RiskTransform and will also feature presentations from guest speakers.
What will you learn?
- Best practice approaches to FRTB implementation and timelines in accordance with the latest regulatory guidance
- In-depth look at the revised internal model approach and the standardized approach
- Modelable and non-modelable risk factors and various modelability criteria
- What the P&L attribution test means for you and your organization
- The links between FRTB, capital and the front office
- The high level impact of FRTB across the business and between your organization and external parties
Who should attend?
Relevant departments may include but are not limited to:
- Market risk
- FRTB implementation
- FRTB project management
- Risk management
- Quantitative analytics
- Data management
- Internal audit
- FRTB implementation: where are we now?
- Revised standardized approach (SA)
- Revised internal model approach (IMA)
- Modelable & non-modelable risk factors
- Optional session: calculating IMA charges - a practical example
- Credit risk under FRTB: DRC-SA, DRC-IMA and the CVA risk framework
- P&L attribution test, desk strategy and capital dynamics
- The trading book / banking book boundary
- Operating model, data management and system challenges