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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Enhancing your Market Risk Framework to Optimise Compliance with the FRTB

Understanding and implementing the new capital requirements for market risk under the FRTB

6-7 Apr 2020
London, United Kingdom


Why You Should Attend

Enhancing your Market Risk Framework to Optimise Compliance with the FRTB

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set up for the delivery of our courses. Please note we therefore have a limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.

Course introduction

The Fundamental Review of the Trading Book is a root and branch review of the capital rules that surround the trading books. It is probably the largest and most comprehensive changes to the way risk is viewed since the implementation of VaR. This review not only fundamentally changes the way the capital rules work, but also the way trading businesses view and manage their risk.

As the review moves towards the implementation phase, this course aims to highlight the changes and challenges that will impact the measurement of risk, calculation of capital charges and the interaction with in a trading business.

How will you benefit?

  • Discover how Expected Shortfall overcomes many of the issues of the VaR based approach
  • Gain a walkthrough of the new standardised approach to calculate market risk capital
  • Learn what new roles and responsibilities are expected of trading desks
  • Determine how diversification benefit is taken, or not, into account when calculating capital
  • Understand why some products and markets will require more capital than others

About your expert trainer:


Ben Watson, Founder and CEO, Maroon Analytics Australia

Ben Watson is the CEO of Maroon Analytics Australia, a quantitative analytics consultancy that helps banks and financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such OIS discounting, FVA, CVA/DVA and quantitative impacts of regulatory requirements.

Ben came to the Maroon business with 20+ years working for Investment Banks as a Quantitative Analyst. Up to 2012 he was the APAC regional head of the Quant function for RBS, and before that the local head of Quantitative Analytics at ABN AMRO Australia. He has a long track record of building real time pricing and risk management systems for traders and risk management teams. In 2012 he managed the successful OIS migration of a large derivatives trading book for a global bank.

Since starting his own consultancy he has developed a number of industry training courses that have been run in Australia, New Zealand, Singapore, and Taiwan. His courses include Market Risk and the FRTB, OIS Discounting, Counterparty Credit and CVA, Funding, Liquidity and FVA, Interest Rate Options, and Stress Testing and VaR.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

Market and Credit Risk Practitioners who have some interaction with the trading books

IT Managers and Developers who are working on FRTB related projects

Quantitative Analysts who need to understand how the FRTB will impact pricing and risk measurements

Regulatory Risk, Risk Governance and Compliance personnel who will oversee the implementation and operational aspects of the FRTB

Trading Management who need to understand the capital implications of the FRTB



Why Choose GFMI marcus evans?

marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.







Voice of Our Customers
  • “Very well structured... added some new insights” Santander
  • “Ben has very deep theoretical and market experience, and was absolutely open to answering all our questions” Tyndall Group
  • “Clear instructions and passionate delivery. Very open to answering questions and made everyone fell at ease” RBS
Join the Discussion





Event Contact

For all enquiries regarding speaking, sponsoring and attending this conference contact:

Kamelia Simeonova


101 Finsbury Pavement, London, EC2A 1RS



Telephone:
0044 203 002 3172
Fax:
Email: kamelias@marcusevansuk.com