FRTB and market risk agenda
We've got a whole stream of content on FRTB and market risk on Wednesday 5 December. Key topics under discussion include:
- The Impacts of proposed calibration changes to FRTB framework
- Reflections and projections from FRTB programme managers
- Clarity on the new P&L attribution rules
- Passing the P&L attribution test
- IT challenges of FRTB
- NMRF: data pooling developments
- Examining the revised treatment of NMRF
Hear from the leading experts in FRTB and market risk
Why Not Also Attend:
Capital Requirements from Basel 2.5 to FRTB Workshop
Workshop leader: Rita Gnutti, Head of Internal Model Market and Counterparty Risk, INTESA SANPAOLO
Covering the capital requirement framework for market risk in the trading book and the forthcoming regulatory evolution with FRTB.
Starting from the current framework to give an overview of its main features, the workshop provides an update on Targeted Review of Internal Models (TRIM) and covers main findings relating to FRTB from a practitioner perspective.
Measuring Market Risk Workshop
Workshop leader: John Hull, Maple Financial Professor Of Derivatives & Risk Management at the UNIVERSITY OF TORONTO
Covering the quantification of market risk and regulatory developments.
The workshop will have four modules: risk measures, calculating value at risk and expected shortfall, regulation and delta hedging.
The Global Risk Regulation Summit
International supervisors join together with heads of regulation at global banks to review the regulatory horizon, including a focus on stress testing, at the International Risk Regulation Summit.