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FRTB and Market Risk

Your FRTB and Market Risk highlights on the RiskMinds International 2018 agenda

FRTB and market risk agenda

  • 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

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.