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FRTB: business and technology implications
THE PANEL
- Jouni Aaltonen, director, prudential regulation, AFME
- Rubin Ranjendram, head of price and risk analytics, Calypso
- Gaël Robert, head of risk analytics, Mizuho International
- Han Zhang, head of risk analytics, market and institutional risk management, Wells Fargo
- Moderator: Joel Clark, consulting editor, Risk.net
Key topics include:
- FRTB implementation timeline
- Review of standardised approach market risk and internal models-based approach rules
- Expected capital impact
- Implications for trading book business strategy
- Recommended IT infrastructure and analytics enhancements
- Computational upgrades required to support the breadth of internal modelling calculations
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