Upcoming Webinar: FRTB: The time to get your data in order is now12 September 2019
Date: 12 September 2019
Time: 10:00am ET / 3:00pm London / 4:00pm CET.
Fundamental Review of the Trading Book (FRTB) regulation requires firms within its scope to source significant amounts of data, some of which has not previously been required and is difficult to pin down.
The data management challenges of the regulation’s Internal Model Approach (IMA) to market risk capital calculations include ongoing P&L attribution, back testing and identifying whether risk factors are modellable or non-modellable based on real price data that can be difficult to source, particularly in OTC markets with little transparency.
The Standardised Approach (SA) to market risk is also overhauled by FRTB, requiring large banks to take a sensitivity-based approach to market risk and adopt the regulation’s expected shortfall standard risk measure and redefine boundaries between banking and trading books.
This webinar will discuss these and other data challenges of FRTB, consider how required data can be sourced and managed, and outline best practice approaches to compliance.
Register for the webinar to find out more about:
- The data requirements of FRTB
- Challenges presented by these requirements
- Modellable and non-modellable risk factors (NMRFs)
- Best practice approaches to successful data sourcing
- Technology and partner solutions to support compliance
Being away from your computer doesn’t mean you have to miss out on our webinars. Download these free apps to take part.
Interested in hosting your own webinar? Get in touch