FRTB Fundamental Review of the Trading Book Conference (December, 2016)

Once again, CompatibL is proud sponsor of the WBS conference taking place in New York City: November 30 & December 1 2016.

The participants will delve into the hottest topics regarding FRTB.

The main day of the conference will host the following streams:

Desk Eligibility Rules

Non-Modellable Risk Factors

P&L Attribution Testing

Challenges of the New Framework


The streams in the second day of conference will be:

Modelling Challenges

Banking Book vs Trading Book

Capital Implications

CVA, Initial Margins & AAD

Lightning Fast FRTB SA-TB, SA-CVA, and SIMM using Adjoints: Can We Use Them, and What are the Benefits” -  the presentation of Alexander Sokol, CEO and Head of Quant at CompatibL, will explain how AAD can accelerate sensitivity calculations and reduce the computational effort of the standardized approach, both for SA-TB and especially for SA-CVA. 

For more information about the speakers, presentations, panel discussions and schedule of the event, please click here