FRTB is a work in progress. Even if we do not yet know every minute detail of the final regulations, banks will need to identify today the tasks they must perform – and the resources required to perform them – to be ready for 2019.

In this multi-page FRTB special report key contributors from across the industry weigh in on the most pressing issues impacting FRTB planning, implementation and execution.

This report includes:

  • Blueprint for FRTB: Building a future-state business strategy, Satyam Kancharla, CSO, Numerix
  • P&L Attribution: The P&L Attribution Mess, Duncan Wood, Risk.net
  • Modelling: Banks warn of FRTB internal model approval gridlock, Matthew Stevens, Risk.net
  • Adjoint Algorithmic Differentiation: Banks fear costs from loss of AAD under simpler FRTB rules, Nazneen Sherif, Risk.net
  • Q&A: Lining up the Fundamentals, Steve O'Hanlon, CEO, Numerix

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Numerix Journal Vol. 4, No. 1

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