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[Webinar On Demand]
FRTB: Time to address implementation challenges
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Fundamental Review of the Trading Book addresses the shortcomings of the current (Basel 2.5) market risk framework, with the objective of making the financial system more robust whilst not unduly inhibiting the efficiency of the market.

FRTB rules were finalized in January 2019 and though they don’t come into effect until January 2023, the complex nature of these new rules means banks have much work to do.

Watch our webinar to learn about the aspects of the FRTB regulation that are not yet fully clear, the challenges (including the implications posed by the LIBOR transition and the Covid-19 pandemic) and the available solutions out there in the markets.

Main topics discussed:
  • What are the main aspects of the FRTB regulation still leave place to interpretation and how banks plan to address them?
  • What are the implementation challenges posed by the RFET test and what can be done to address these issues?
  • How and to which extent the COVID 19 disruption and the new Libor transition regime are posing challenges to FRTB? How banks are working to address them?
  • Which challenges banks could face due to the local divergences of the FRTB rules and possible divergences in the implementation timelines across jurisdictions?
Please note that the webinar is held under the Chatham House rule.
Further information on the Chatham House rule can be found here.
The views and opinions expressed during the Webinar and any subsequent supplementary material provided by any member of the panel on this webinar are the views and opinions of the specific panellist and do not necessarily reflect the views of LSEG or its group companies. LSEG and its group companies expressly disclaim all warranties, expressed or implied, as to the accuracy, completeness, correctness, suitability, validity or the fitness of the information presented by any of the panellist participating in this webinar.
David Phillips
Head of Traded Risk Measurement | Bank of England

David leads the PRA team responsible for reviewing firms’ internal models for market risk and counterparty credit risk, and has been closely involved in FRTB from the outset. He is also a member of the Basel Market Risk Group. David has more than 25 years of industry experience in model development, model validation, and risk management. Prior to joining the Bank in 2015, he was the Head of Group Risk Analytics at NatWest Markets. He holds a PhD in Mathematics from Imperial College.

Adolfo Montoro
Director, Global Market Risk Analytics | Bank of America

Adolfo is a Director within Bank of America’s Global Risk Analytics department covering Regulatory deliveries. Prior to join BofA he held various roles at Deutsche Bank as analytic lead for large scale projects to reengineer the market risk analytic and market data framework and to ensure compliance of underlying methodologies with both current and upcoming regulatory prescriptions including FRTB. Whilst performing these roles Adolfo also contributed to the Industry Technical forums supporting elements of the FRTB implementation and advocacy on behalf of the Bank. He is currently also affiliated with the Global Association of Risk Professionals (GARP) where he serves as Regional Co-Director for the UK chapter and member of the FRM Committee.

Volker Wellmann
Global Markets FRTB Lead | BNP Paribas

Volker is heading a team of resource managers for the Global Business Lines at BNP Paribas. He has been with the bank for over 20 years in front-office roles across Quant Research, Trading, Risk and Resources Management. He is currently coordinating the FRTB programme for Global Markets, as well as the transition risk management for LIBOR. Volker holds a PhD in Mathematic.

Fausto Marseglia
Head of Product Management, FRTB and Regulatory | Refinitiv, an LSEG business

Fausto leads the product management function for a number of regulatory propositions including the “Fundamental Review of the Trading Book” (FRTB) regulation. He is responsible for defining and building new and innovative business propositions around financial regulations and compliance. Fausto has 20+ years of experience in the financial services and capital markets industry. He joined Thomson Reuters in 2002 as Head of Reuters Consulting Italy/Greece. Since then, he has covered different regional and global roles in the Consulting, Professional Services and Industry Solutions functions. Fausto has a degree in Computer Science.

Stella Zarov
Director, Quantitative Advisory Services | EY

Stella is a Director in the Financial Services Risk Consulting practice at EY, specialising in Market Risk quantitative advisory. She has over 10 years of experience helping Tier 1 Investment Banks with their strategic regulatory change and risk transformation covering risk measurement and management, model risk, regulatory capital, data innovation and optimisation.
Stella has been leading a number of FRTB engagements, starting with the early movers in the market back in 2014 after the very first FRTB Consultative Paper. She has extensive experience in FRTB programme mobilisation, model design and implementation and delivery of large scale FRTB driven infrastructural change. Stella has a particular focus on the aspect of the rules that pose the biggest implementation challenges such as the Risk Factor Eligibility Test (RFET) and the P&L Attribution (PLA).
Refinitiv, is one of the world’s largest providers of financial markets data and infrastructure. Serving more than 40,000 institutions in approximately 190 countries, we provide information, insights, and technology that drive innovation and performance in global markets. Our 160-year Reuters heritage of integrity enables customers to make critical decisions with confidence, while our unique open platform, best-in-class data, and cutting-edge technology bring greater opportunity to our customers. By advancing our customers, we drive progress for the entire financial community.

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