3rd Edition Fundamental Review of the Trading Book 2019 | Marcus Evans Group | 16 September 2019 | Downtown Conference Centre, 157 William St, New York, NY 10038, USA

This GFMI conference will give banks a deeper understanding of the requirements for the final FRTB rule whilst examining strategies to minimize potential capital charges. You will gain further perspective of the clearer boundaries for trading and banking books with the final FRTB rule. 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. How to leverage technology to enhance data quality and collection will be discussed. You will examine the impact of the FRTB on business and operations strategy.

Key Topics:
• HSBC examine the Expected Shortfall (ES) calculation
• CIBC explore best methods for adjusting to new rules for Non-Modelable Risk Factors (NMRFs)
• Credit Suisse take an in-depth look at the internal model approach for market risk management
• UBS discover the impact of the finalized definition of trading and banking books
• BOK Financial investigate modifications to the standardised approach

Why You Should Attend?
This GFMI conference will give banks a deeper understanding of the requirements for the final FRTB rule whilst examining strategies to minimize potential capital charges. You will gain further perspective of the clearer boundaries for trading and banking books with the final FRTB rule. 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. How to leverage technology to enhance data quality and collection will be discussed. You will examine the impact of the FRTB on business and operations strategy.

2019 Speakers

Yi Zhao
Senior Vice President, Global Risk Analytics, HSBC North America

Hany M. Farag
Senior Director, Head of Modeling and Methodology, Capital Markets Risk Management, CIBC

Richard Doane
Senior Vice President and Chief Market Risk Officer, Scotiabank

Gurraj Singh Sangha
Global Head of Risk and Market Intelligence, State Street

Fiona Hu
Head of Securitized Products, Market Risk Models and Methodologies, Credit Suisse

Ariye Shater
Managing Director, Quantitative Analytics, Market Risk, Barclays

Shahed Shafi
Director, Risk Manager, Counterparty and Client Portfolio Risk Solutions, Citi

2019 Partners

• GlobalRisk Community
• FinancialIT
• Asset-Backed Alert
• FocusEconomics