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Also available in New York: March 10 - 11 2016


Wednesday 10th February: Pre-Conference Workshop Day:

A Comprehensive Overview of The Latest Version of The Fundamental Review of The Trading Book Framework by Adolfo Montoro


 Thursday 11th February: Main Conference Day One

Friday 12th February: Main Conference Day Two  


  • Adolfo Montoro: Director, Market Risk Management, Deutsche Bank
  • Michele Marzano: Senior Regulatory Risk Analytics Manager, HSBC
  • Sylvain Martinez: Head of Market Risk and Analytics, ICBC Standard Bank
  • Vladimir Chorniy: Head of Group Risk, Modelling Strategy, BNP Paribas
  • Rita Gnutti: Head of Internal Model Market & Counterparty Risk, Intesa Sanpaolo
  • Lucia Cipolina Kun: Regulatory and Risk Analytics, HSBC
  • Andrew Green: Head of Quantitative Research - CVA / FVA Quantitative Research, Lloyds Bank
  • Patrik Tennberg: Business Development Manager, TriOptima
  • Mirela Predescu: Deputy Head, Credit – Market and Counterparty Risk Methods and Analytics, BNP Paribas
  • Peter Quell: Head of Portfolio Modelling for Market and Credit Risk, DZ Bank
  • Peter Eisenhardt: Secretary General, The International Council of Securities Associations
  • Jonathan Berryman: Head of Risk Strategy, FIS Adaptiv
  • Alejandro Gomez: Lead Analyst, CRISIL Global Research & Analytics
  • Neels Vosloo: Director, Head of Traded Risk Modelling, Deloitte
  • Anastasios Zavitsanakis: Director, FS Risk ConsultingPWC
  • Stéphane Thomas: Managing Partner, PHAST Solutions Group
  • Thomas Griffiths: Business Development Manager, TriOptima

This year's topics include:  

  • Regulatory timelines and what could change in the future?
  • Trading Book and Credit Risk: Bending the Binds
  • IDR In The FRTB Best Practices For Modelling Incremental Default Risk In Fundamental Review Of The Trading Book
  • Incremental Default Risk & Default Risk Modelling Comparison in The FRTB
  • Comparing The Internal Model And The Standardised Approach
  • Assessing the Evolution, Requirements and Eligibility of the Internal Models
  • Validation aspects for the new internal models under FRTB
  • Backtesting for Regulatory and Model Validation Purposes under FRTB
  • Sensitivity Based Approach:

    • Governance around the model

    • Implementation techniques

  • Implementation Challenges Behind NMRF and Eligibility Testing Risk Theoretical P&L Attribution

    • Desk Eligibility

    • How to implement the PnL attribution

    • VaR Backtesting in practice

    • NMRFs and data availability for OTC trades Securitization models

  • Relationships between the FRTB and ISDA’s Standard Initial Margin Model (SIMM)

  • FRTB, FRTB-CVA and implications for capital valuation adjustment (KVA)

    • Introducing  BCBS-325 / FRTB-CVA
    • How the proposal changes the calculation of CVA Capital from Basel III
    • Implications for CVA Trading Desks and CVA Management
    • Impact on Capital Requirements and KVA

 Conference Bookings: Discount Structure:

  • Early Bird Discount: 20% Before 18th December
  • Early Bird Discount: 15% Before 22nd January
  • Main Conference + Workshop (£150 Discount)
  • SPECIAL OFFER: When 2 colleagues attend the 3rd goes free!
  • 70% Academic Discount (FULL-TIME Students Only)  

Important notes:  

Conference presentation files will be made available for download via a password protected website before the event. Please print out each presentation if you wish to have hard copies before the conference and bring them with you. 

Also, Wi-Fi access will be available at the hotel venue to view presentations on laptops and mobile devices.  


 Massimo Morini: Head of Interest Rate & Credit Models, Banca IMI

 "Thanks to the very detailed talks and well-planned panels, the Fixed Income Conference in Barcelona has been the most vibrant and interesting event on XVAs I have seen this year."

 Fabrizio Anfuso: Head of CCR Backtesting Methodology Team, Credit Suisse

 "Many thanks for the invitation and the great organisation! I have been now 6y in the industry attending conferences on a regular basis. This was by far the best event I have taken part to!"

 Eirik Berg: Risk manager, DNB Markets 

 "Thanks for organizing a very useful and inspiring conference. For me most of the topics were directly related to things I work on"

 Nick Haining: Chief operating Officer, CompatibL  

 "Once again WBS maintained their ability to bring advanced practitioners together in a great environment conducive to both social and technical discussion. They really excel at this.”

 Philippe Balland FX, Rates & Credit Quant

 "Thank you for inviting me to the Barcelona event. I have truely enjoyed the conference. The organisation and location of the event were fantastic! It was a great occasion to catch up on the latest developments in a very relaxed and collegiate atmosphere."

 Risk Manager

 "Thank you very much for a great conference. Well organized, with top speakers, good discussions, nice ambiance, the conference was very informative and inspiring. I also liked the venue a lot – good hotel at great location. Hope to be back!"

 Ignacio Ruiz: iRuiz Consulting

 "Nice event last week! Very well organised."


 "Thanks again for a great event in Barcelona!"

 Manager, Portfolio Analytics

 "The organization was very good, thanks for the invite."