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Meeting the Data Requirements of FRTB

Glaziers Hall London

14th May 2019




Registration and Networking over Coffee


Welcome from the Conference Chair

Andrew Delaney, Chief Content Officer, A-Team Group



  • Overview of the Fundamental Review of the Trading Book in terms of purpose, targets and timelines
  • What are the key changes recently released by BCBS in the final rules, relative to the Consultative Document published in March 2018?
  • What is the impact of the changes and when and how will local jurisdictions translate the BCBS text into their local regulatory frameworks?
  • What is the state of FRTB implementation across the industry and what should the priorities be for firms at this stage?

Panel: Sourcing and managing data for FRTB compliance

  • SA vs IMA: Considerations for choosing which model is right for your organisation and what the model approach means for your capital requirements and the impact on products, trading desks and your organisation
  • Data sourcing: How are firms developing best practices in the areas of:
    – sourcing complete historical time-series data sets for price observation
    – managing the challenges of risk factor definitions for risk factor modellability
    – sourcing high quality reference data for instrument classifications and market data to enrich trade data sets
  • Demonstrating data lineage requirements for compliance

Suman Datta, Head, Portfolio Quantitative Research, Lloyds Banking Group
Jerry Goddard,
Director of Traded Risk, Santander UK
Bradley Foster,
Global Head of Content, Enterprise Data, Bloomberg
Martijn Groot,
VP, Product Management, Asset Control 


Panel: Best practice approaches to data management challenges for FRTB compliance

  • How have recent changes to Basel Committee rules effected data management for FRTB, and particularly for Non-Modellable Risk Factors (NMRF) and The Risk Factor Eligibility Test (RFET)?
  • What approaches can firms take to master these challenges?
  • How can firms manage the integration of internal and external data sets to create a consistent data framework for FRTB requirements including backtesting, the RFET and the P&L Attribution test
  • How can firms work with third parties to support effective data management for compliance?
  • What benefits beyond compliance can banks gain from successful implementation of data management for FRTB?

Moderated by: David Kelly, Co-Founder and Managing Director, Quant Foundry
Satinder Jandu, Risk Consultant, Morgan Stanley
Adolfo Montoro, Director, Global Head of Market Data Strategy & Analytics, Deutsche Bank
Jacob Rank Broadley,
Director, Regulatory and Market Structure Propositions, Refinitiv
Peter Moss,
CEO, SmartStream RDU


Coffee and networking

**Please note agenda subject to change**