WBS Fundamental Review of the Trading Book 2016 (New York)

CompatibL was one of the Gold Sponsors of the WBS Fundamental Review of the Trading Book conference that took place in New York on March 10th and 11th, 2016. The conference highlighted the practical implementation of FRTB and focused on the latest research presented by Diana Iercosan of the Federal Reserve Board and the executive directors from world-leading banks and consultancies.

Main conference topics included:

  • Regulatory timelines and what could change in the future?
  • Trading Book and Credit Risk: Bending the Binds
  • IDR In The FRTB Best Practices For Modelling Incremental Default Risk In Fundamental Review Of The Trading Book
  • Incremental Default Risk & Default Risk Modelling Comparison in The FRTB
  • Comparing The Internal Model And The Standardised Approach
  • Assessing the Evolution, Requirements and Eligibility of the Internal Models
  • Validation aspects for the new internal models under FRTB
  • Backtesting for Regulatory and Model Validation Purposes under FRTB
  • Sensitivity Based Approach:
    • Governance around the model
    • Implementation techniques
    • Securitization
  • Implementation Challenges Behind NMRF and Eligibility Testing Risk Theoretical P&L AttributionRelationships between the FRTB and ISDA’s Standard Initial Margin Model (SIMM)
    • Desk Eligibility
    • How to implement the PnL attribution
    • VaR Backtesting in practice
    • NMRFs and data availability for OTC trades Securitization models
  • FRTB, FRTB-CVA and implications for capital valuation adjustment (KVA)

 

Please click here to discover the full conference agenda, speakers and attendees list.