(FRTB) and Modelling Challenges Ahead
The PRMIA Poland chapter invites you to a chapter meeting with a presentation by Nicolae Mera, PhD, Head of Quantitative Risk & Capital Strategies team within the Models and Methodologies, Market and Liquidity Risk Management at Credit Suisse on: The Fundamental Review of the Trading Book (FRTB) and modelling challenges ahead.
Event Information
An overview of market risk regulation changes upcoming under the Fundamental Review of Trading Book will be presented with a focus on modelling and implementation challenges. The ways in which FRTB proposes to address gaps in the exiting Basel market risk regulation and capitalization framework will be discussed including expected implications on capital, models and business strategies. Topics currently hot in industry debates such as modelability assessment, definition of risk factors and non-modellable stress scenarios, PLA test requirements, objectives and modelling implications will also be discussed.
Date: February 7th, 2018
Time: 6:00-8:00 PM
Where: Credit Suisse, ul. Pereca 1, Atrium 2 office building (next to the ONZ roundabout)
Warszawa
Speaker
Nicolae Mera, PhD
Nicolae is the Head of Quantitative Risk & Capital Strategies team within the Models and Methodologies, Market and Liquidity Risk Management at Credit Suisse. He leads the cross asset class methodology development and implementation for the Fundamental Review of the Trading Book programme as well as the Risk not in VaR methodology development and framework. Nicolae holds a PhD in applied mathematics and has over 15 years’ experience in quantitative modelling as applied to market risk, systematic trading, applied mathematics and engineering. Prior to joining Credit Suisse in 2010, Nicolae has held positions in a co-founded proprietary trading group (systematic trading) and academia (computational fluid dynamics research).
Registration
This event is FREE for members and non-members, although registration is required. Click "Register Myself" below to reserve your spot. Make sure to click "Proceed to Checkout" to finalize your registration.