FRTB represents a pivotal change in the way banks’ trading businesses will be capitalized, regulated and managed. Nearly a decade in the making, FRTB will profoundly impact business lines, trading volumes, and the use of technology platforms. Its implementation and management will require multi-year efforts and substantial resources on part of banks and supervisory bodies alike. As banks intensify their implementation efforts and deepen their knowledge of FRTB, this intensive bootcamp will be timely for learning the best practices for tackling the myriad challenges that lie ahead, as well as looming implementation deadlines.
This two-day session is designed for trading, risk and finance professionals with selectable streams tailored for delegates’ prior knowledge and functional responsibilities. Selectable introductory streams designed for delegates who are new to FRTB will be provided. These will be conducted simultaneously with streams covering advanced and function-specific sessions intended for delegates with advanced knowledge and questions that require technical clarifications, and knowledge sharing from instructors and peers. Participants will also question, debate, and recommend refinements to FRTB.
In partnership with:
Who Should Attend
FRTB Bootcamp is designed for front office and functional areas likely to be impacted by FRTB.
The program is well-suited for senior professionals including:
- Traders, desk and business heads, including future “Head Traders” as defined by FRTB
- Market risk professionals and managers
- Collateral and capital managers
- Business unit and corporate treasurers
- Quantitative and risk technology professionals and managers
- Compliance and regulatory relationship managers
- Middle-office and operations managers
- Audit team leaders and managers
- FRTB program managers and team leaders
- Bank supervisors and regulators
- Buy-side bank analysts and portfolio managers”
FRTB Bootcamp is designed to educate key stakeholders of the practical implications, limitations and critical tasks required from FRTB implementation through multiple viewpoints. SME’s will facilitate a robust, candid, cross disciplinary dialogue through lecture, case studies, group work and discussions.
Stream-specific sessions will cover the following areas with practical illustrations and case studies:
- Defining and establishing banking and trading book boundaries
- Mechanics and nuances of Standardized and Internal Model Approaches
- Capital impact on typical trade types and model portfolios
- Availability and utilization of market data
- Quantitative model frameworks, validation and documentation
- Tackling the P&L attribution tests and non-modellable risk factors
- XVA, capital and funding management across multiple geographies
- Regulatory trading desk framework and optimization under FRTB
- Solutions for capital cliff and floor management
- OSFI application package and ongoing reporting requirements
- Budgeting, planning, managing and implementing an FRTB program
- Beyond FRTB – unification of risk, funding/liquidity and capital management
- Creating a deep understanding of the key elements of FRTB including, Liquidity Horizons, P&L Attribution, NMRF, Trading Boundary, Capital Cliff, Capital Floor, ES v VaR, Regulatory Trading Desk (RTD), Head Trader responsibilities, new netting set rules
- Developing an appreciation for the importance of well-designed quantitative impact studies as well as the flaws in current studies
- Creating tools to evaluate and implement optimization strategies including RTD optimization, NMRF vs. P&L Attribution, SA vs. IMA, capital charge vs. capital stability
- Framing the new corporate governance requirements for Head Traders, Credit, middle office and reporting functions which will impact both costs and capital
- Quantifying the magnitude of new computing power required to implement both SA and IMA frameworks
By the end of the session, participants should also be able to:
- Carry on constructive dialogue about how best to implement more granular supervision while minimizing cost and complexity
- Quantify and communicate the importance of early planning for implementation
Post-program webinar: As part of this Bootcamp, participants will have be provided a 60-minute webinar in January, 2018. The webinar will review core concepts, new developments in FRTB and challenges in implementations.
The workshop will consist of a mix of lectures, case studies, group work and discussion. As part of this workshop, participants will have the opportunity to register for a 60-minute webinar in January, 2018. The webinar will review lessons learned from course concepts as they are applied back at work by participants.
- FRTB Concepts and Impact
- FRTB Complexities, Implementation Challenges and Global Timelines
- OFSI Presentation and Q&A
- FRTB Implementation Strategies III – Market Data in Canada and Globally
- FRTB Implementation Strategies IV – Liquidity and Default Risk
- Case Studies
- FRTB Implementation Strategies I - How IMA Can REDUCE Capital, The Importance of NMRF Optimization
- FRTB Implementation Strategies II – Banking/Trading Book Boundary Allocation and RTD Optimization
- Cocktail reception
- Case Studies (con’t)
- FRTB and Capital Management
- Wrap up
Rotman Executive Program faculty are known for their ability to translate the latest research into practical applications for the workplace, and to transmit skills to participants with the best teaching techniques. Industry leaders contribute to our programs to bring your the most up-to-date best practices and a wealth of real-world experience.
Meet the faculty and instructors teaching in FRTB