The final text of the Fundamental Review of the Trading Book (FRTB) framework was finally published on January 14, 2016 by the Basel Committee on Banking Supervision (BCBS), much to the relief (and consternation!?) of banks around the world, who waited for three years and four Quantitative Impact Studies (QIS) for the final version.

While the final text has some important changes from the fourth QIS of July 2015, including an extra year for implementation (with a new deadline of January 1st, 2019) and a reduced residual risk add-on, many of the key rules in the framework remain unchanged from prior versions, and the scope and complexity of the framework remain daunting.

Even with an “extra” year, implementing FRTB by the deadline will be a herculean task for many banks, and the capital impact of the regulation could be substantial – to the tune of up to a 40% market risk capital increase compared to the current framework, as estimated by the BCBS.  So it’s imperative that banks fully understand all of the rules and their ramifications, to ensure the capital impact is minimized as much as possible.

On Thursday, Feb. 11th featured speaker Franck Rossi, Director of Product Management at Numerix, provided an in-depth analysis of the final FRTB text, including a comprehensive discussion of the methodologies for the standardized approach and internal model approach, to help banks better understand what it will take to cross the finish line for the new FRTB regulations.

Mr. Rossi addressed the following:

  • Introduction to FRTB
  • Methodology
    • Overview and evolution of the approaches
    • Standardized approach
      • Delta plus capital charge
      • Default risk charge
      • Residual risk add-on
    • Internal model approach
      • Modellable risk factors
      • Non-modellable risk factors
      • P&L attribution and backtesting
  • Key takeaways

To view the on-demand webinar, just register on the right side of this page.

Featured Speakers:

Franck RossiFranck Rossi, Director of Product Management, Numerix
Franck Rossi is a Director of Product Management at Numerix, responsible for product strategy and thought leadership related to banking and derivatives regulations.  He also works with clients to understand and document their requirements so Numerix can develop the required functionality into its software.  Prior to joining Numerix, Mr. Rossi worked at Thomson Reuters in Product Management in Regulations, Analytics and Structured Products, and at HSBC in Interest Rate Structured Products. He holds an MSc in Finance and Mathematics from Paris-Dauphine University.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

 

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