Chapter Meeting

Madrid, Spain

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

May 23, 2024


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.


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.


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


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

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José David San Miguel Esteban, CFA, FRM

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

Agustín Tejada Rosales

Agustín Tejada Rosales
Head of Market Risk and Valuation, CaixaBank

Ramiro Ruano, FRM

Ramiro Ruano, FRM
Senior Manager, Banco Santander

Jesus Sanchez Gonzalez, FRM, SCR

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

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