The Fundamental Review of the Trading Book: Key Challenges Causing Implementation Headaches

Even before the Fundamental Review of the Trading Book (FRTB) rules were all but finalized earlier this year, there was a strong industry consensus that it will force a dramatic shift in the design and maintenance of risk systems at banks. As clarity on the requirements has improved and as the implementation dates grow nearer, the finer details of the new standards are being analyzed with increased vigor. As a result, a number of key concerns have been flagged by the industry.

On October 12, 2016 featured speaker Dr. Andrew McClelland discussed some of the concerns and challenges practitioners are experiencing and their implications for FRTB implementations.

Dr. McClelland addressed the following topics:

  • Main elements of the FRTB-Market risk and FRTB-CVA risk timelines and tie-ins with bilateral margin requirements
  • Broad structure of the revised capital framework and specifics for new and revised elements
  • Overview of the FRTB-Market Risk complications: P&L attribution requirements and the residual risk add-on
  • Review of the FRTB-CVA complications: calculation of CVA sensitivities and the impact of initial margin
  • Closing conclusions: initial margin impact on dealer costs and the margin valuation adjustments

 

Attendance is complimentary, Registration is required. Space is limited, reserve your seat today!

Featured Speaker:

Andrew McClellandAndrew McClelland, PhD, Director of Quantitative Research, Numerix
Andrew McClelland’s quantitative research at Numerix focuses on XVA pricing and hedging, generating counterparty credit risk metrics for structured products, and estimating risk model parameters via time-series estimation. He earned his PhD in finance at the Queensland University of Technology for a thesis on financial econometrics. He considered markets exhibiting crash feedback, option pricing for such markets, and parameter estimation for such markets using particle filtering methods. Dr. McClelland’s work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

Jim JockleModerator: Jim Jockle, Chief Marketing Officer, Numerix
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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