Fundamental Review of the Trading Book New York
Join us in New York to discuss and analyze the intricacies of FRTB implementation and the latest regulatory guidance
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-modellable risk factor and the P&L attribution test regime, and the default risk charge. The course will provide a platform to discuss practical methods and best practice approaches to implementation.
What Will You Learn?
- Understand the 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
- Modellable and non-modellable risk factors and various modelability criteria
- Understand what the P&L attribution test means for you and your organization
- The impact of FRTB on 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 / Project Management
- Risk Management
- Quantitative Analytics
- Data Management
- Internal Audit
- FRTB Implementation
- Banking Book Trading Book Boundary
- Modellable and Non-Modellable Risk Factors
- P&L Attribution Test
- Revised Internal Model Approach
- Revised Standardized Approach
- FRTB – Front Office Impact
- FRTB – Impact on Operating Model of Banks
- Treatment of Credit