Impact and implementation of FRTB - Agenda

Live virtual course | Below agenda timing is in GMT

Respective time in EST:

Start: 2pm GMT / 9am EST
Break: 3pm GMT / 10am EST
End: 4.15pm GMT / 11.15am EST



The implementation of FRTB so far

08:00 - 09:00

  • Status of FRTB implementation: where are we now and where do we go next?  

  • How banks are planning to implement FRTB

    • Global adoption plans and regulatory progress

    • Local regulatory implementation: localisation levers and objectives

    • Implementation progress in Europe: The RTSes

  • Synergies with MiFID, BCBS 239, Initial Margin, IFRS 9 etc. 

  • Project set-up in banks and capital implications

  • Open questions in FRTB


The capital framework and the revised standardized approach

08:00 - 09:00

  • The capital calculation framework of FRTB

  • Components and key considerations of the Standardized Approach (SA)

  • The Sensitivities Based Approach

  • Business, process, and data implications of SA implementation

  • Eligibility and application of Simplified Alternative to SA

  • Trading versus banking book boundaries

  • Treatment of specific cases and where SA does not quite work – Caveats


The revised internal model approach (IMA)

08:00 - 09:00

  • Capital impact of internal models

  • Impact of the standardised floor on the economics of internal models

  • Transition from VaR to expected shortfall

  • The pitfalls of diverging liquidity horizons, and how to deal with them

  • Stressed calibration and its data requirements

  • Examining the barriers to entry for the internal model approach


NMRFs and the Ibor transition

08:00 - 09:00

  • Risk factor modellability and the changes in FRTB 

  • Capitalisation of non-modellable risk factors (NMRF)

  • Decisions and trade-offs in risk factor modellability 

  • New risk factors from IBOR transition

  • Back filling data proxies and use of vendor data 


P&L attribution test, desk strategy and capital dynamics

08:00 - 09:00

  • IMA Permission under FRTB: The bank-wide, desk level and risk factor level

  • Managing P&L 

    • Hypothetical and risk-theoretical P&L: The P&L attribution test

    • The nasty properties of the P&L attribution test

    • The trade-off between P&L attribution test and NMRF regime

  • Desk strategy: The trade-offs you need to assess for your business

  • Impact on trading and hedging strategies

  • Dynamics of capital requirements under FRTB: estimating the impact of P&L attribution and NMRF


The trading book/ banking book boundary and its impact on business models

08:00 - 09:00

  • Definitions of the trading book under FRTB

  • Interaction between FRTB and IFRS 9

  • The redesignation process and control requirements

  • Internal risk transfers – practical challenges

  • Impact on funding transactions


Operating model, data management and system challenges

08:00 - 09:00

  • Impact of FRTB on processes and operating model

  • Analytics and data integration requirements of FRTB

    • Capturing modellability information through transaction data

    • Static data impact of FRTB

    • Use of data vendors, market utilities and outsourcing

  • Computational challenges of FRTB

  • FRTB in the cloud: technical utility to paradigm shift


Model risk management under FRTB

08:00 - 09:00

  • Incorporating a whole new set of risk models under timing constraints

  • Validating standardized models

  • Validation of internal models: Did you ever test for arrival patterns?

  • External validation by regulation 

  • Getting over the line: The approval process

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