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FRTB: Strengthening Market Risk Practices? - Webinar 

Webinar co-hosted by Quantifi & Kauri Solutions

In July 2015, the Basel Committee proposed the FRTB-CVA framework which replaces the current CVA risk capital calculations. Six months later it published the final rule of the FRTB framework designed to address the undercapitalisation of trading book exposures witnessed during the financial crisis. This webinar explores both frameworks in their historical context and takes an in-depth look at the challenges and implications of FRTB.


Structure of new Trading Book Standardised and Internal Model Approaches
Comparison between FRTB-CVA Standardised and Basic Approaches
Importance of accurate and efficient CVA calculations
Affect of FRTB and FRTB-CVA frameworks on bank balance sheets
Impact on capital, modelling methodologies and IT complexity.



Dr. Dmitry Pugachevsky, Director of Research, Quantifi
Vlad Ender, Managing Director, Kauri Solutions
Date & Time
25th January, 2017
3pm GMT / 4pm CET / 10am EST
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