We are about half way through the FRTB implementation deadline, with January 2019 looming in the not-so-distant future. The rules are creating many challenges for banks and the efforts to get themselves ready continually prove to be both frustrating and costly.

In this second annual FRTB special report, Risk.net reporters and senior executives across the financial services and fintech industries expand on some of banks’ top concerns. These include, among others, the P&L attribution test, model backtesting under the revised market risk framework, and the issue surrounding the risk model trade-offs incited by the P&L attribution test and risk factor modellability criteria.  

Amid the report highlights, Numerix’s Andy McClelland, Director of Quantitative Research, is featured as a Q&A panelist and shares his expert views on the transformational impact of FRTB.

This report includes the following articles:

  • Shake-up in Basel has banks hoping for FRTB changes, Duncan Wood, Risk.net
  • Basel guidance on backtesting vexes dealers, Louie Woodall, Risk.net
  • Crowd trouble: The war on basis risk, Louie Woodall, Risk.net
  • Banks bemoan FRTB model guidance, Louie Woodall, Risk.net
  • Q&A: Seizing the opportunity of transformational change

Download Report

Complete the form below to download this complimentary Report.

Select Form: 

Form #3: Analyst Report

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
industry conference

Risk and Libor Summit USA

product

NxCore - Accelerate your Capital Markets System Development

product

Numerix Oneview - Real-Time Trading and Risk Management Built on the Best Analytics

product collateral

NxCore for Market Makers | Fact Sheet

product collateral

Numerix Oneview | Fact Sheet

conference

Asia Risk Congress 2019

analyst report

Aite: XVA in 2019: Valuations’ Generation X

conference

QuantMinds International 2019

on-demand webinar

MVA: How to Forecast Initial Margin w/ Andy McClelland

on-demand webinar

On-Demand Webinar | Risk.net and Numerix: Exploring MVA & Initial Margin

product collateral

Numerix Oneview For XVA | Fact Sheet

product

Oneview for XVA - Complete XVA Management Built on the Best Analytics