Model Approvals for Initial Margin and FRTB
Confused about how to best deal with new regulatory approval requirements at the trading desk for both Initial Margin and FRTB? First presented earlier this year at the 2017 Quant Europe Summit, this session covers the necessary steps to have models approved for Initial Margin and FRTB.
Charlie Anderson and Todd Pleune will detail the challenges inherent in model approvals for IM, which are also likely to factor into FRTB approvals. They’ll touch on the risk factors you may not anticipate and will share lessons learned as they’ve walked Protiviti clients through these complex processes.
Key Learning Points
- How the diversity of models and complexity of approvals will increase over time
- Knowing what regulators want to see
- Identifying the required elements of your organization’s Model Approval Framework for both IM and FRTB
- Discuss challenges with P&L attribution testing
Charlie Anderson is Practice Leader for the Model Risk practice of Protiviti’s Data Management and Advanced Analytics Solution. He has wide business and product knowledge across Retail and Commercial Banking, Foreign exchange, Commodities, Structured Products, Fixed Income, Credit, Equities, and Securitizations.
Todd Pleune is a Managing Director in the Model Risk practice of Protiviti’s Data Management and Advanced Analytics Solution. Todd focuses on risk modeling and model validation for Market, operational, Credit, and Conduct Risk. He has developed model governance processes and risk quantification processes for the world’s largest financial institutions and is an SME for internal audit of the model risk management function.