Presented by:
Tim Dun, Head of Risk Model Strategy and Analysis, Westpac, and
Volf Frishling, Head of Market Risk Quantitative Support, National Australia Bank

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Time: 5:30pm

Date: Tuesday 15 April 2014
Venue: Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
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ABSTRACT

In October last year, the Basel Committee on Banking Supervision released revised proposals for a new framework for computing trading book market risk regulatory capital. Labelled the 'Fundamental Review of the Trading Book', the proposals represent a large shift from the current standards and will have significant implications for banks globally.

Jointly presented by Tim Dun of Westpac and Volf Frishling of NAB, this talk will cover firstly, the motivation for the changes and an overview of the response from Basel and secondly, an analysis of some of the more mathematical aspects of the standards.

Sponsored by Westpac

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