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Free webinar: Fundamentally challenging – how banks are getting to grips with the Fundamental Review of the Trading Book.

Company: IBM Business Analytics

IBM Business Analytics  case study

Category: Credit Risk

Published: 27 October 2015

Format:

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Overview

With regulators rushing to complete their overhaul of trading book rules by year-end – and a recently launched impact study the last chance to assess and amend the framework – the industry is taking a closer look at the current proposals. Many banks are worried by what they see.

The workload will increase: banks that currently model their trading book capital requirements will have to start calculating standardised capital numbers in parallel, using a revised, more complex standardised approach.

Capital requirements could jump: the last impact study showed the new standardised approach was generating capital numbers that were five times higher than the current version. Those numbers will be used to set a floor for modelled capital.

Governance and communication challenges will emerge: VAR is being replaced with expected shortfall; modelled numbers will be supplemented by standardised ones. It won’t be easy to explain the new approaches or which ones analysts, investors and boards should be relying on.

Technology challenges will multiply: the new framework imposes a heavier calculation and reporting burden.

This webcast, sponsored by IBM, addresses the following questions:

 

  1. How big an impact will the Fundamental review of the trading book (FRTB) have? What types of bank will be most affected?
  2. Should banks expect an increase in capital requirements? What is the source of the increase, and which businesses will be hit? Is the advantage of capital modelling being eroded?
  3. How to avoid capital volatility? Modelling approval will be assessed at the desk level, and standardised approaches will be applied to any desk that loses approval. Banks will also face more punitive capital requirements for risk factors that are deemed “non-modellable”. Making capital numbers predictable means addressing these issues – and a number of others.
  4. Which performance indicators will emerge as the keys to managing a trading business?
  5. How are banks addressing the new data management and reporting challenges?

 

Speakers

  • Moderator: Duncan Wood, Editor, Risk
  • John Mitchell, Director Market Risk Management, CREDIT SUISSE
  • Phil Ohana, Director Market Risk, SOCIÉTÉ GÉNÉRALE
  • Katherine Wolicki, Global Risk Analytics, HSBC
  • James Zante, Product Manager, Integrated Market & Credit, IBM Risk Analytics

 

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