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EY Banking & Capital Markets Webcast

Fundamental Review of the Trading Book

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The Basel Committee on Banking Supervision publicly released the new market risk framework, the Fundamental Review of the Trading Book ('FRTB') on January 14, 2016.

Compared to the current 'Basel 2.5' market risk framework, the Basel Committee has described that the FRTB is likely to result in an approximate weighted average increase of 40% in total market risk capital requirements. The FRTB introduces several changes to the way market risk capital is measured, and for many banks, the efforts to implement FRTB are substantial.

Please join us for a webcast on the Fundamental Review of the Trading Book (FRTB) as our panelists discuss:

  • FRTB objectives and implementation timeline
  • FRTB vs. Basel 2.5 framework
  • Quantitative Impact Study 4 vs. final FRTB
  • Potential impacts on market RWA, business strategy, data, systems, and infrastructure
  • Trading book boundary and trading desk requirements
  • Internal Models Approach and model approval highlights
  • Standardized Approach highlights
  • Other areas of consideration
  • FRTB implementation program considerations

Panelists

EY - Shaun Abueita

Shaun Abueita

Ernst & Young LLP (UK)

Shaun is a Director in the Quantitative Advisory Services (QAS) team of Ernst & Young LLP (UK), based in London. Shaun has over 14 years of experience in a range of market risk modelling, validation, management and oversight projects, both within industry and consulting. At EY Shaun has worked on a range of FRTB related engagements including supporting the UK firm’s top tier banking clients with quantitative impact analyses as well as their strategic FRTB compliance initiatives. Shaun holds a First Class degree in Engineering from the University of Warwick and a Masters in Finance from the London Business School.

EY - Greg Diiorio

Greg Diiorio

Ernst & Young LLP (US)

Greg is a Senior Manager in the Financial Services Risk Management practice of Ernst & Young LLP. He has over 8 years of experience in the financial services industry serving banking and insurance clients in regulatory and quantitative analytics related market risk regulatory capital and compliance, credit valuation adjustment model analysis, derivatives and securities risk management and reporting, and product control.

EY - Lionel Stehlin

Lionel Stehlin

Ernst & Young LLP (UK)

Lionel has over 15 years of experience in the financial services industry.  He has deep knowledge of enterprise risk management frameworks and implementation, including for counterparty credit, credit and market risks, stress testing, along with capital management.

Lionel also has experience in regulatory framework. His recent experience includes working with leading global, European, UK banks on booking model optimization and implementation, regulatory changes implementation, (i.e. Basel III, SACCR) in addition to group-wide capital management.

EY - Iskander Zabikhodjayev

Iskander Zabikhodjayev

Ernst & Young LLP (US)

Iskander is a Senior Manager on the Advisory, Risk team of Ernst & Young LLP.

Moderator

EY - Michael Sheptin

Michael Sheptin

Ernst & Young LLP (UK)

Mike Sheptin is a principal on the Advisory, Risk team of Ernst & Young LLP.