Workshop Day: Wednesday 2nd May
FRTB Workshop: Detailed Review of the Recent Regulatory Development
Workshops Timings:
Schedule: 11.00 - 17.30
- Potential consultationEBA discussion paper(s)
- P&L Attribution
- NMRF
- SBA
- CVA
“Hands-on” analysis and use-cases to clarify Interpretation of FRTB building blocks and choices of implementation
- Interplay across various FRTB components
- Definition of RTPL
Insights from late QIS incorporating the capital effects derived from recent changes
The Presenters:
Adolfo Montoro: Director, Risk Methodology, Deutsche Bank
Adolfo Montoro FRM, He currently leads the X-Over Market Risk Methodology and FRTB methodology team and is a Director within Deutsche Bank's Risk Methodology department in London. He currently leads the FRTB Methodology team and represents DB in the Industry Working Group supporting elements of the FRTB implementation and advocacy.
Adolfo earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honors) from Universita' della Calabria, Italy. He earned his Financial Risk Manager (FRM) certification in 2005
Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee
Tim Becker: Vice President, Risk Methodology, Deutsche Bank 
Tim Becker works as a Vice President within the Risk Methodology department in London. Previously, Tim has developed and implemented quantitative risk models as quantitative analyst in an energy trading company and as a consultant.
Tim has an MSc in Mathematical Finance from the University of Oxford und graduated with honours from the University of Karlsruhe as a Master in Business and Engineering. Tim is certified as a Financial Risk Manager (FRM) by the Global Association of Risk Professionals (GARP).
Andrea Fraquelli: Vice President, Risk Methodology, Deutsche Bank
Andrea Fraquelli works as Vice President within the Risk Methodology department in London. Previously to market risk. He is currently one of the team leader within FRTB strategic market risk methodology team. Previously to market risk he has been in charge of valuation methodology team across asset classes (namely Credit and Commodities) within Finance. Prior joining Deutsche Bank Andrea was a Market Risk Manager at Banca San Paolo (now Banca Intesa San Paolo) in Turin, Italy
He has earned an MSc in Quantitative Finance from Turin University, Italy, and graduated with a degree in economics (with honors) from the same university.
· Adolfo Montoro: Director, Risk Methodology, Deutsche Bank
“……..He currently leads the X-Over Market Risk Methodology and FRTB methodology team