Action time on FRTB: is your bank ready for the data challenge?

The panel

• Stephane Rio, Chief executive and founder, Opensee
• Arnold Jesper Skimminge, Head of quantitative analytics, Nordea
• Sumesh Lund, Lead market risk manager, Nordea
• Moderator: Phil Harding, Commercial editor, Risk.net

The Fundamental Review of the Trading Book (FRTB) has been a long time coming and some have wondered if the new rules for market risk capital would ever see the light of day.

FRTB implementation is due to begin across Asia-Pacific in late 2023, with Europe targeting January 2025 and the US set to follow. As regional requirements become clearer and dry-run deadlines loom, banks are in a race against time to sense-check their strategies, plug in the infrastructure and road-test their systems using real data.

Whether targeting FRTB’s standardised approach (SA) or internal model approach (IMA), both options require banks to adopt a more complex set of data and analytics to calculate and understand risk charges and capital at an individual desk level.

SA banks, for example, must get to grips with measuring risk sensitivities of their portfolio positions, correctly sourcing, allocating and aggregating huge volumes of data. For IMA banks, the volume, accuracy and traceability of data are also crucial to successfully navigate the demands of risk factor eligibility and model performance. Under both approaches, data governance is critical to managing and evaluating historical data at a granular level.

This webinar explores the key data and analytics challenges and opportunities of FRTB implementation:

• SA versus IMA: understanding the data demands
• How banks are adapting in terms of data and real-time analytics
• FRTB’s impact on portfolio composition and the need for simulations
• A countdown checklist for FRTB compliance.

The session includes in-depth analysis from experts and practical case studies from major banks. It is essential viewing for heads of market risk and trading risk at financial institutions and anyone involved in FRTB implementation.

 

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