2nd Edition Fundamental Review of the Trading Book 2018 | Marcus Evans | 26 September 2018 | New York, NY
Venue
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| Event Date | Wed Sep 26 EDT - Fri Sep 28 EDT (about 6 years ago) |
| Location | New York, NY |
| Region | Americas |
Details
Ensuring effective implementation of the SA and IMA to minimize capital charges and guarantee regulatory compliance
Why You Should Attend?:
This GFMI conference will help banks to have a more in-depth understanding of the evolving regulatory landscape for the FRTB whilst also examining strategies to minimize potential capital charges. Attendees will learn how to optimize models for P&L attribution, and compare the implementation of standard and internal model approaches (SA and IMA) for specific trading desks. Leveraging technology to enhance data quality and collection and examining the impact of the FRTB on business strategy will be discussed. FRTB implementation for smaller trading portfolios and internal audit’s role in FRTB compliance particularly for FBOs will also be a key area for consideration.
Key Topics:
• Understand the requirements under the evolving regulatory environment
• Enhance Data collection and granularity for moving from Value at Risk (VaR) to Expected Shortfall (ES)
• Optimize the IMA approach for certain trading desks
• Define and leverage non-modelable risk factors to fit in with FRTB standard
• Evaluate the impact of the FRTB on business operations
Speakers
2018 Speakers
Han Zhang
Managing Director, Head of Market Risk Analytics, Wells Fargo
Yi Zhao
Senior Vice President, US Global Risk Analytics, HSBC
Lourenco Miranda
Managing Director, Regional Head of Capital Management, Société Génerale
Jouni Aaltonen
Executive Director, Risk Management , AFME and GFMA
Alexey Smurov
Senior Director, Head of Capital Model Validation, Capital One
Ryan Rehorn
Bank Examiner , Federal Reserve Bank of Richmond
Ash Majid
Executive Director, Risk Management , Sumitomo Mitsui
Ken Walker
Managing Director, State Street Corporation
Sponsors & Partners
2018 Sponsors and Partners
• CIO Applications
• Banking Technology
• Global Risk Communiry
• Talk Markets
• CIO Review
• Focus Economics
• Financial IT Innovation in Technology
• Finance Review