Presenter: Damien Lemonnier from Risk Dynamics
In this webinar, Damien discusses how the Fundamental Review of the Trading Book (FRTB) regulation will impact trade valuation, performance and hedging behaviour.
In the current regulatory context and especially under the upcoming FRTB capital rules, it is increasingly difficult for banks to maintain the profitability of their trading book activities. Therefore it becomes necessary for traders to reflect at trade inception the cost of regulatory capital (KVA) in the trade valuation. But the KVA add-on charged to the client may be substantial. Therefore in order to stay competitive and improve performance, banks will need to find portfolio optimization strategies and notably smarty hedge their trading book.
One of the goals of this webinar is to increase awareness among market risk managers (MRM) about how deeply FRTB may impact the trading book performance. Also in this webinar we hope to convince market risk managers that beyond FRTB compliancy they have a real business responsibility. In particular MRM departments need to establish a closer partnership with trading desks, and help them to adopt capital efficient hedging strategies from a global balance sheet point of view.
Published on: June 2016
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