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FRTB – Nearing the finish line

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Date aired:Tuesday, 26 January 2021 | 3pm GMT | 4pm CET

Duration:60 minutes

The delayed launch of the Basel III regime and its market risk component, FRTB, has brought with it raised expectations around how banks are preparing for the new rules.

Now we're nearing the first FRTB hurdle, SA Reporting, join our panel of industry experts as they discuss key remaining issues for FRTB implementation 
in Europe, addressing both regional and global challenges arising from this significant change to market risk capital rules.

We'll also look ahead to the new standardised approach (SA) reporting requirement that takes effect in 2021, as well as the application process for 
the internal models approach (IMA).

Agenda
Key priorities and activities ahead of final FRTB deadlines
The first hurdle - FRTB SA reporting 
Analytical challenges of implementing FRTB IMA
How to balance modellability and compliance with P&L attribution (PLA) test
Managing regional differences
Challenges of managing data and aligning trading, risk and finance
Interlink between competing regulatory deadlines such as FRTB and IBOR migration
Importance of a data-driven approach to complex market-risk requirements

Speakers

Ian Yeulett

Global Head of Enterprise Sales

Bloomberg

Ian Yeulett is Global Head of Enterprise Sales for Bloomberg LP, overseeing a salesforce of 2,000+ sales and account management professionals. In this position, Mr. Yeulett is responsible for developing and directing a unified business expansion strategy across the company’s suite of enterprise financial technology and information solutions, including the Bloomberg Terminal. Prior to assuming his current role in 2018, Mr. Yeulett grew his 25-year career at Bloomberg through several successful sales and sales leadership positions across Europe to become the regional Head of Operations, and was subsequently appointed Head of Electronic Trading and Order Management Systems for EMEA. In 2008, he was appointed Head of EMEA Sales and in 2011, promoted to Global Head of Terminal Sales. In 2014, he became the Global Head of Analytics, directing Bloomberg’s worldwide customer support organization. Prior to Bloomberg, Mr. Yeulett worked for Datastream International on an apprenticeship programme within its sales and support division, and then as an account manager at FutureSource, a technical analysis charting service.

Joe Mchale

Head of European Government & Regulatory Affairs

Bloomberg L.P.

Joe McHale is Head of European Government and Regulatory Affairs at Bloomberg in London where he is responsible for analysing and responding to financial services reforms impacting Bloomberg and its clients. Since taking up his role in 2016, Joe's main focus has been on EMIR and MIFID II implementation, the Capital Markets Union initiative, the sustainable finance agenda and Bloomberg's response to the UK's withdrawal from the EU. Prior to Bloomberg, Joe worked for Deutsche Bank in London and headed the capital markets team in its Regulatory Affairs Department. Prior to Deutsche, Joe spent six years working in Brussels; first as a regulatory consultant for clients on EU legislation and then as a policy expert at the European Banking Federation where he advocated on EU financial markets legislation adopted in the wake of the financial crisis.

David Phillips

Senior Manager, Trade Risk Measurement Team, PRA

Bank of England

David Phillips currently works within the Supervisory Risk Specialists directorate at the PRA. His primary area of specialism is traded risk models, and he leads the team of specialists reviewing firms’ advanced models for market risk and counterparty credit risk. The new FRTB models are a key focus for this team; in addition to leading the PRA’s review of firms’ implementation, David is also a member of the Basel Market Risk Group.

Shearin Cao

Executive Director for Public Policy and Reg Affairs

Standard Chartered

Arash Shaeri

Global Head of Market Risk Methodology

Deutsche Bank

Arash Shaeri is the Global Head of Market Risk Methodology at Deutsche Bank, responsible for the development of regulatory and economic capital models used in Market Risk Management. In this role, he also leads the methodology development of the Fundamental Review of the Trading Book. Prior to joining Deutsche Bank in 2009, Arash worked at HBoS and Standard Bank. Arash holds a PhD in Electrical and Electronic Engineering from Imperial College, London.

Murat Bozdemir

Regulatory and Reference Data Product Manager

BLOOMBERG/ LONDON

Murat heads Bloomberg's EMEA and APAC product development for Reference and Regulatory & Accounting Enterprise data solutions. He interacts with clients and regulators, identifying key challenges and supporting the development of new data sets. Murat has 16 years of risk management and compliance experience covering sell and buy side markets. Before joining Bloomberg, Murat worked as a Director at KPMG, advising clients in risk control, capital management, compliance and accounting.
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