Fundamental Review of the Trading Book (FRTB), New York
Sessions include changed structure of internal models, pitfalls of the NMRF, 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.
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
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
FRTB implementation: where are we now?
Revised standardized approach
Revised internal model approach
Modelable and non-modelable risk factors
Calculating IMA charges
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
Thomas Obitz is the founder of RiskTransform, a specialist consultancy focussing on risk transformation and business architecture for risk. He is both a certified Financial Risk Manager (GARP FRM) and a TOGAF certified enterprise architect. Thomas has more than 18 years of experience in the IT industry, and 15 years in Financial Services, in particular in Investment Banking and Capital Markets.
Thomas has experience leading large-scale enterprise wide transformation programmes in particular in risk related initiatives. He has worked with enterprise architecture groups reviewing and developing application landscapes and IT capabilities, in alignment with the corporation’s processes and value propositions. At the moment, his key focus area is the impact of the Fundamental Review of the Trading Book (FRTB).
Global head of financial solutions
Arpit is the global head of financial solutions at MathWorks. He is responsible for the global expansion of firm's financial services business in the areas of quantitative modeling and AI / Machine Learning.
He has 12 years of experience in quantitative finance domain working with consulting firms, risk product development firm, and Investment bank. He has led large and complex quant engagements for top investment banks, commercial banks, hedge funds, insurance firms, and other capital market firms in the Americas, Europe, and APAC regions. He also established Quant Risk Modeling & Derivatives Valuations group at KPMG Global Services (India).
He has expertise in Market Risk, Counterparty Credit Risk (CVA, DVA), Capital (FRTB, BASEL 2.5), LIBOR Transition, Predictive Analytics, Stress Testing, Risk Margin (ISDA SIMM), Portfolio Valuations & Risk Analytics, Treasury Analytics, Asset Liability Management, Hedge fund trading strategy, and Model Risk (Fed SR 11-7, EU TRIM).
He has advised top leaders at JP Morgan, Goldman Sachs, Morgan Stanley, BAML, Deutsche, HSBC, UBS, Credit Suisse, Citi, Barclays, BNPP, Santander, Capital One, SunTrust, MUFG, Fidelity, TD Ameritrade, Oppenheimer, S&P, Prudential, Bermudan Monetary Authority, etc.
This course is CPE (Continuing Professional Education) accredited and will allow you to earn up to 12 credits. One credit is awarded for every hour of learning at the event in accordance with the standards of the National Registry of CPE Sponsors.
55 Broad Street
55 Broad Street, 22nd Floor
New York, NY 10004