Countdown: Remind me


Meeting the Data Requirements of FRTB New information for 2020 coming soon.

Glaziers Hall London

May 2020




Registration and Networking over Coffee, Tea & Danish Pastries


Welcome from the Conference Chair

Andrew Delaney, Chief Content Officer, A-Team Group


Keynote: FRTB – an industry perspective on the rules, requirements and priorities

  • 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?

Neels Vosloo, Head of Regulatory Risk EMEA, Bank of America Merrill Lynch 


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 and 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

Moderated by: Selwyn Blair Ford, Independent Financial Regulatory Specialist
Suman Datta,
Head, Portfolio Quantitative Research, Lloyds Banking Group
Jerry Goddard,
Former 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

  • Approaching compliance: deliver tactically to 2022 or strategically to 2025
  • Managing the integration of internal and external data sets to create a consistent data framework for FRTB requirements including backtesting, the Risk Factor Eligability Test (RFET) and the Profit & Loss Attribution test
  • Addressing the requirements for upgrading analytics granularity to pass the  Profit & Loss Attribution test
  • Impact of IBOR transition on delivery of IMA risk engine
  • Dovetailing FRTB into bank wide data heavy initiatives

Moderated by: David Kelly, Co-Founder and Managing Director, Quant Foundry
Adolfo Montoro
, Director, Global Head of Market Data Strategy & Analytics, Deutsche Bank
Jacob Rank Broadley
, Director, Regulatory and Market Structure Propositions, Refinitiv
Satinder Jandu
, Director, Viewset 


Coffee and networking

**Please note agenda subject to change**