How APAC Banks Can Leverage FRTB-SA for Effective Market Risk Management

Banks around the globe are racing to finalize technology, data and analytics projects to implement FRTB (Fundamental Review of the Trading Book), which is expected to take effect in the next one to two years in most regions.

From our discussions with banks in APAC, many are viewing FRTB from a regulatory perspective only, as an update of regulatory capital requirements. However, the standardised approach (SA) of FRTB has been revised to become a risk sensitive parametric Value at Risk (VaR)/Expected Shortfall (ES) model which could also be used as a valuable tool for market risk management.

Sign up for our third webinar of 2023 in our FRTB series, as Yingqi Zhu of Numerix Japan outlines specific ways that FRTB-SA can be utilized for market risk purposes.

In this webinar, Mr. Zhu covers:

  • Brief overview of FRTB-SA
  • Practical ways banks can use FRTB-SA for market risk management, including day-to-day risk monitoring, drilldown analysis, capital allocation, what-if analysis, and others
  • Key takeaways

Featured Speakers:

Yingqi Zhu, Director, Presales, Business Development APAC, Numerix Japan

Yingqi Zhu is Director of Presales at Numerix Japan, focusing on Business Development in the APAC region. He works with Numerix Partners including consulting firms, system vendors, data vendors and clearing houses to provide solutions and services to financial institutions, covering the areas of risk management, capital regulation, pricing, XVA, model validation and VA hedging. He also has long-term experience in FRTB with multiple banks for both SA and IMA.

Prior to Numerix, Mr. Zhu worked as a market risk consultant and quantitative analyst at Nomura Research Institute, and he worked at Accenture in a technology role. He holds an MSc degree in Financial Engineering from Osaka University.

Moderator: Greg Murray, SVP, Marketing & Market Research, Numerix

Greg Murray is responsible for increasing awareness of the Numerix brand in financial markets around the globe, as well as conducting strategic industry research for different departments within Numerix. Previously, he oversaw product and field marketing initiatives at the company, and he started his tenure in a sales role. Prior to Numerix, Mr. Murray worked in derivative analytics sales roles at other software firms, and he held derivative trading positions for seven years as an option market-maker and proprietary trader across a variety of asset classes.


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