When: April 19-20, 2016
Where: London, United Kingdom
As gold sponsor of the 2nd Summit on the Fundamental Review of the Trading Book (FRTB), AxiomSL will participate in a keynote presentation about the end-of-year FRTB finalisation paper, the Standardised Approach for Measuring Counterparty Credit Risk Exposures (SA-CCR) and associated data challenges.
Following the publication of the final FRTB rules in January, this conference will assess the costs and benefits of the FRTB and the key points to consider when tackling the challenges of implementation.
The conference will cover the following key topics in detail:
- Assessing the challenges of implementing the FRTB
- Assessing the trading book and banking book boundary
- Effectively implementing liquidity horizons in the internal models approach and reviewing the challenges within profit and loss (P&L) attribution
- Understanding the regulator’s definitions, the effects of varying interpretations and how to model the un-modellable
- Reviewing the core text finalisation paper
- The move from IRC to DRC and DRC modelling
- Reviewing the definition of a trading desk and effective implementation of back-testing at desk level
- Analysing the impact and understanding how to correctly capitalise for curvature risk
- Classifying data within the FRTB
- Implementing the revised credit valuation adjustment (CVA) capital framework and reviewing the CVA quantitative impact study (QIS) results
Come and visit our booth
We will also have our own booth at the conference, so if you would like to learn more about how AxiomSL works, or would like to discuss the latest regulatory challenges and developments affecting your team or firm, please come by and visit.
To arrange some time with us at the event, please send an email to email@example.com and we will get back to you as soon as we can.