FRTB – the Final Countdown
This webinar will cover regulatory timelines and divergences from the Basel guidelines across the main jurisdictions. We'll look into the key issues posed by the standardized approach (SA) reporting requirements, such as the treatment of funds. We will also cover the application process for IMA (internal models approach).
Discussion topics
· Implementation timeline across main jurisdictions
· Regulatory divergences from Basel rules
· Latest feedback on the PRA proposal
· Final EBA delivery roadmap of CRRII
· Treatment of funds on bucketing of risk factors
· Challenges on modelability of risk factors
Speakers
Adolfo Montoro, MSc FRM
Director Global Risk Analytics department
Bank of America
Adolfo oversees Strategic Market Risk Regulatory deliveries including FRTB. Prior to join BofA Adolfo held various senior roles in Deutsche Bank as analytic lead for large scale projects to reengineer the market risk analytic and market data framework and to ensure the adequacy of underlying quantitative methodologies with both current and upcoming Regulatory prescriptions (VaR framework and related Model Change Regulatory Process, FRTB, IBOR transition, Economic Capital ,ICAAP). Whilst performing these roles he has also extensively contributed to the Industry Technical forums supporting elements of the FRTB (as well as IBOR) implementation and advocacy on behalf of the Bank.
David Phillips
Senior Manager, Trade Risk Measurement Team, PRA
Bank of England
David Phillips currently works within the Supervisory Risk Specialists directorate at the PRA. His primary area of specialism is traded risk models, and he leads the team of specialists reviewing firms’ advanced models for market risk and counterparty credit risk. The new FRTB models are a key focus for this team; in addition to leading the PRA’s review of firms’ implementation, David is also a member of the Basel Market Risk Group.
Marco Crotti
Policy Expert
European Banking Authority
Marco Crotti is a policy expert at the European Banking Authority. He is responsible for the implementation of the EBA FRTB roadmap and he represents the EBA at the BCBS Market Risk Group. He holds a MSc in Mathematical Engineering from Politecnico di Milano and is currently undertaking an Executive Master in EU studies at the centre international de formation européenne.
Buket Theobald
Product Manager, Regulatory Data
Bloomberg
Buket Theobald is a Product Manager in the Bloomberg Enterprise Regulatory & Accounting team responsible for a range of regulatory product solutions. She holds Masters in Banking & Finance.
Christian Benson
Market Structure and regulatory strategy: EMEA
Bloomberg
Christian Benson leads market structure and risk strategy for EMEA within Bloomberg's government and regulatory affairs team. This involves supporting clients and internal business stakeholders when it comes to tracking and understanding a wide range of financial market regulatory developments. He is also responsible for building relationships with numerous regulatory and government authorities, and co-ordinates the Bloomberg Monthly Regulatory Brief project. Prior to Bloomberg, Christian worked in capital markets research and consultancy. Christian graduated from the London School of Economics (LSE) with a degree in Economics.
Thomas Labbe
Regulatory Product Development Manager
Bloomberg
Thomas Labbe is a Regulatory Product Manager covering EMEA & APAC regions. He is working closely with clients to understand their regulatory challenges and build corresponding solutions. Prior to joining Bloomberg in 2016, Thomas worked for 15 years at Morgan Stanley and 2 years at Jefferies in London as a trader in rates and credit products.