Quant Summit USA: Alexander Sokol Showcases FRTB Solutions

Jul 10, 2017

Considering the amendments introduced to Fundamental Review of the Trading Book (FRTB) regulation, Quant Summit USA showcased the latest techniques, tools and research trending in quantitative finance. Leading quants and experts in their fields joined the summit to share their own best practices.

FRTB content

The Basel Committee on Banking Supervision (BCBS) issued three consultative papers between 2014 and 2016, and finally published its rules on FRTB in January 2016. The FRTB rules cover key post-crisis banking reform in terms of regulatory landscape and require banks to enforce the revised market risk standards by January 2019.

This will be a major challenge for banks: they are expected to reconsider their business models and market risk measuring approaches as well as rethink their strategies on managing balance sheet structures.

What’s new in FRTB

The FRTB methodology and practice workshop presented by Alexander Sokol, CompatibL’s CEO, at this year Quant Summit covered the most notable changes to FRTB regulation, including:

  • the Internal Model Approach for market risk (IMA-TB)
  • the Standardized Approach for market risk (SA-TB)
  • the Standardized Approach for CVA (SA-CVA)
  • the Basic Approach for CVA (BA-CVA)

In particular, Alexander’s workshop embraced the Internal Models Approach (IMA) modifications, including their impacts as actively debated by the industry, the sensitivity-based Standardized Approach (SA), which captures three major risk measures, risk factor sensitivity analysis and CVA computation, as well as challenges faced by banks, including trading activities, data, methodologies and processes.

About Quant Summit USA

Quant Summit USA is a great opportunity for financial institutions and academics to share their best practices and research. The 15th Annual Quant Summit agenda highlighted the biggest trends in the industry, including quantitative finance, with technology and regulation as the major topics likely to require a significant shift in the focus of industry practitioners.

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