Under new Basel rules, we are moving from the world of risk modelling to the world of real-time risk reporting. The Fundamental Review of the Trading Book, which has to be implemented by January 2022, requires significant upgrading of trading and risk systems and key challenge is data for testing Murex and other platforms. In particular, firms require data for testing their calculations for Credit Value Adjustments (CVAs) - measurements of the changing risks produced by movements in market and credit positions. This seminar will focus on how firms are meeting the challenge, and how they can create multiple, agile, repeatable and secure data environments that can be deployed instantly to test their trading algorithms.
This is an invitation-only seminar event for banking professionals, hosted by QA Financial and Delphix. If you are interested in attending, please e-mail us at firstname.lastname@example.org
Adolfo Montoro, MSc FRM is a Director within Bank of America’s Global Risk Analytics department in London. Prior to join BofA Adolfo held various senior roles in Deutsche Bank as analytic lead for large scale projects to reengineer the market risk analytic and market data framework and to ensure the adequacy of underlying quantitative methodologies with current and FRTB Regulatory prescriptions. Whilst performing these roles he has also extensively contributed to the Industry Technical forums supporting elements of the FRTB (as well as IBOR) implementation and advocacy on behalf of the Bank. Prior to join Deutsche Bank he was part of the Market Risk Control department at UBS O’Connor in London. Before relocating to the UK Adolfo was a Market Risk Manager in Banca del Gottardo (now EFG Group) in Lugano, Switzerland. He started his career in the Risk Management Department of FinecoGroup in Milan, Italy. Adolfo is currently also affiliated with the Global Association of Risk Professionals GARP, where he serves as a Regional Co-Director for the UK Chapter and member of the FRM Committee.
With over 30 years of experience in technology delivery, project management and sales, Gary is passionate about delivering real business value through innovative technology. An expert in data and data delivery, Gary has previously worked for Oracle, where he was responsible for delivering major projects around the world, BEA Systems, IBM and others.
Edosa Odaro is a cross-industry transformation leader who pushes the boundaries of AI and data to solve complex real-world problems. As Head of Data at AXA, he led a radical reinvent programme responsible for delivering significant people, data and cloud transformations.Edosa has had the privilege of helping over 20 international organisations deliver significant impacts through analytic insights and intelligent interventions, including Barclays Bank, The European Commission, Lloyds Banking Group, HMRC, Betfair, JLL and LV=.Edosa is passionate about a brand of inclusion underpinned by a ‘diversity-of-minds’ organisational capability. He is a regular speaker, has been named a Financial Times Top 100 Most Influential Leader and is one of the UK’s 30 Most Influential Black Leaders in FinTech & Data.
Neeraj is a senior technologist with more than a decade of experience in technology and more than 13 years in the finance industry. He has worked as a project manager and business analyst at multiple investment banks. His work in the recent years has focused on the FRTB regulation implementation at Barclays, Lloyds and UBS, as an independent consultant. Prior to that he has worked on multiple projects in Market and Credit risk. In the past he has worked extensively on equities derivatives trading and risk management applications. Neeraj holds a Masters in Finance from London Business School and Bachelor of Technology degree from Indian Institute of Technology Kharagpur.
The Fundamental Review of the Trading Book, which has to be implemented by January 2022, requires significant upgrading of trading and risk systems and key challenge is data for testing Murex and other platforms. Join the seminar to understand how firms are meeting this challenge, and how they can create multiple, agile, repeatable and secure data environments that can be deployed instantly to test their trading algorithms.
Speaker: Adolfo Montoro, Director Global Market Risk Analytics - Bank of America in conversation with Matthew Crabbe, CEO - QA Media
Speaker: Gary Hallam, Director Global Enablement - Delphix
Delphix will explain how standard, repeatable data sets for FRTB testing can be created for instantaneous and secure access. Using masking and synthesisation technologies, firms can create standardised, consistent, CVAs for testing, replacing what would have been terabytes of data with just a few megabytes that can be accessed instantaneously, and synchronised with other databases to create on-demand test management. Using real-world examples Delphix will explain how sensitive data on counterparties, market positions and personal information can be anonymised for compliance and optimised for test virtualisation in the cloud.
This panel discussion will involve all seminar participants, but will be led by our panel of expert speakers, including:
Moderator: Gary Hallam, Director Global Enablement - Delphix
Adolfo Montoro, Director Global Market Risk Analytics - Bank of America
Edosa Odaro, Head of Data Services - AXA
Neeraj Kumar, former Project Manager Market Risk and FRTB - Leading Investment Bank
Delphix explain how standard, repeatable data sets for FRTB testing can be created for instantaneous and secure access.