3rd Edition Fundamental Review of the Trading Book 

16-18 September 2019  | New York 

 For registration details and multiple attendee discounts, please contact:

Yiota Andreou
yiotaa@marcusevanscy.com

We brought together key industry leaders  from financial institutions that have devoted their time and energy into FRTB.

Interested? Do you feel you will benefit?

THE SPEAKERS

© Copyright 2019 GFMI

Prime city centre locations and venues ensure your event experience is as convenient as possible

LOCATION

NEW YORK

"An in-depth look at the internal model approach for market
risk management"

"The impact of the finalized definition of trading
and banking books"

"Pros and Cons: Exploring the incentive for banks to invest
in FRTB now"

"Strategic impacts of the rule on capital levels
and capital management"

ABOUT THE INTERVIEW

What are the key challenges and priorities with FRTB?

FRTB requires system overhauls or substantial IT investments. It requires significant data enhancements and infrastructure,  investment in modelling NMRFs to reduce their impact and investment in aligning front office, risk and finance.

What are some of the main challenges to both the SA and the IMA of FRTB?

For a bank that is currently on the SA, the new SA will be a substantial challenge in data requirements and some system enhancements to accommodate curvature shocks.

For a bank that is targeting the IMA, it will have most of the challenges I mentioned before. Close alignment between FO and Risk is not easy. Front Office pricing models are also not typically designed for some of the large shocks by Risk. Calculation costs and data alignment efforts are quite nontrivial. To achieve the robustness and high precision required for FRTB requires careful planning and design. In particular, it requires collaboration between all these departments to a much higher degree than historical.

What are some of the technological solutions for NMRFs?

Data pooling is likely to be very helpful to the banks and will certainly require technology tools. More importantly, banks will have to build their own efficient solutions to absorb information from all sources and turn it into good use in this space. The ongoing maintenance of data lineage in the NMRF framework is quite nontrivial. Products will also be challenged by some risk factors going in and out of model ability during the life of various trades. Handling this efficiently requires careful design and modelling.

What would you like to achieve by attending our annual FRTB conference?

For me it is a great opportunity to compare notes with other experts and to get the pulse of the industry in this space.

Ahead of the 3rd Edition Fundamental Review of the Trading Book Conference, we spoke with Hany M. Farag, Senior Director, Head of Modelling and Methodology, Capital Markets Risk Management at CIBC about the main challenges to both the SA and the IMA of FRTB.

HANY M. FARAG PRESENTATION TOPIC

Hany Farag,  will present a case study during the second day, 17th of September at 10:00 am. 
  
Presentation topic: Adjusting to new rules for Non-Modelable Risk
Factors (NMRFs)

• Review the data and system requirements associated with NMRF
  and the ability to mitigate impacts 
•  Computing NMRF: What are the technological solutions? 
• Market proxies for NMRF: What makes a clean, reliable proxy?