This brand new seminar assesses the strengths and weaknesses of existing market risk frameworks in the banking industry, and debating the measures regulators intend banks to implement in their stead. This two day event will comprehensively cover the objectives, theoretical justifications, and practical implications of the soon-to-be-finalised Fundamental Review of the Trading Book. After a process that has taken many years and much consultation, the Basel Committee is expected to publish final rules soon, giving detailed implementation guidelines in regard to a new approaches to the calculation and management of market risk capital in the trading book.
The Fundamental Review is introducing a raft of new requirements, ranging from desk level approval of market risk models to the treatment of market illiquidity in the modelling process. Risk has arranged for leading regulators from the Trading Book Group of the Basel Committee on Banking Supervision to participate as speakers and panellists, alongside established experts in market risk from the industry. This unique mix of speakers, combined with an academic approach that prioritises discussion and debate means this seminar will provide a truly unique forum for attendees to benchmark their progress and learn about the immediate and long-term impact on market risk management and banks’ trading strategies.
> The objectives and implications of the finalised Fundamental Review of the Trading Book
> The expectations on risk professionals from the regulators in the next 2 - 5 years
> How approving risk models at the desk level will help banks avoid weaknesses in modelling
> The risk and trading implications of moving the boundary between banking and trading book products
> How communicating risk, and improving governance throughout an institution can influence strategy
> How the new standard market risk capital model has been modified to closer resemble internal models
Price: Standard Rate: $3699
Speakers: Norah Barger, Cindy Yanhua Liu, Susan Ma, Gordon Liu, Tanya Tamarchenko, Lucio Della Ratta.