Annual Fair and Prudent Valuation for Derivatives 2016

The Fundamental Review of the Trading Book seeks to harmonise the treatment of market risk across different jurisdictions. This represents a radical shift in the approach banks must take to valuation, and has consequences both for the use of the Prudent Valuation Adjustment and the Capital Valuation Adjustment. This workshop will focus on the effect of FRTB on valuation adjustments and framework, giving delegates an in-depth understanding of the requirements and effects of this regulation.