Implementation of the FRTB in Commercial Banks: Models, Incentives and Challenges

Overview

The Bank for International Settlements Fundamental Review of the Trading Book (FRTB) methodology, disclosed in 2015, was a milestone in capital requirement calculations as it introduced a radical change for the banking sector. Since then, banks have worked towards the transition and by January 2025 have the option to implement an Internal Model (IM) method or the Standardized Approach (SA) for modeling market risk capital requirements.

Join the GARP Madrid Chapter to network with colleagues and discuss:

Background on market risk regulation and capital requirements.
FRTB IM vs. SA approach: Calculation and challenges.
Trade-offs (incentives/disincentives) in selecting each approach.
Industry views in Spain and across Europe.

Agenda

6:30 – 7:00 pm: Registration

7:00 – 7:05 pm: Welcome remarks

7:05 – 8:00 pm: Panel discussion with Audience Q&A

8:00 – 9:00 pm: Networking reception

Attendees qualify for 1 GARP CPD credit.

Details

May 23, 2024
6:30 PM - 9:00 PM

In-Person

Universidad Pontificia Comillas, C/ Alberto Aguilera, 23 - 28008 Madrid,

Speakers

José David San Miguel Esteban, CFA, FRM
Team Director, Trading Market Risk, Banco Santander

Agustín Tejada Rosales
Head of Market Risk and Valuation, CaixaBank

Ramiro Ruano, FRM
Senior Manager, Banco Santander

Jesus Sanchez Gonzalez, FRM, SCR
FRTB Program Director, Société Générale

Chapter Directors

Gregorio Carrascal Garcia
Quantitative Credit & Liquidity Strategy Active Credit Portfolio Managment (ACPM) Santander

Antonio Firmo
Lead Principal Auditor (VP) Deutsche Bank

Antonio Firmo

José David San Miguel Esteban, CFA, FRM

José David is Team Director, Trading Market Risk at Banco Santander, working as a model owner within the corporate market risk department. With over 18 years of experience in capital markets across international banks, José specialises in financial risk management with an emphasis on market risk. He has a strong passion for how new technologies are enhancing practices in capital markets.

Agustín Tejada Rosales

Agustín is head of the Market Risk and Valuation department at Caixabank. He is a mathematician with over 20 years of experience in valuation and risk modelling. During his career he has worked with derivatives models across a variety of applications, including valuation, counterparty risk, XVA, and market risk.

Ramiro Ruano, FRM

Ramiro Ruano, Senior Manager at Banco Santander. He is responsible for market risk management in the capital markets group. Ramiro has 18 years of experience working in financial markets and has earned the Financial Risk Manager (FRM) certification.

Jesus Sanchez Gonzalez, FRM, SCR

Jesus is the Program Director of FRTB at Société Générale. He has over 20 years of experience in Risk Management across capital market activities at major European banks and consulting firms in Spain, Germany and France. During his career he has held diverse roles, including Risk Manager of Market and Counterparty risks, as well as SME and Program Manager, overseeing the implementation of significant Market and Counterparty risk regulations. He holds a bachelor's degree in Economics from Universidad Autonoma de Madrid, and is also an FRM and SCR certificate holder.

Chapter Meeting

Madrid, Spain