FRTB - A Market Risk Odyssey

FRTB - A Market Risk Odyssey
As a consequence of Covid-19, the start of the new regime has been pushed back to 2022, with final implementation now set for 2023 along with the rest of Basel III. Rather than a delay, this extension should be viewed as an opportunity to allow for a more strategic implementation as firms need to balance long-and short-term priorities. During this virtual event organized by the PRMIA Frankfurt, Munich and Dusseldorf Chapters, join your peers and experts from regulatory bodies, leading technology vendors and consultancies for the latest updates on implementation progress so far in the broader context of recent increased market volatility, as well as remaining challenges in the final stretch to compliance.

October 29, 2020

3:00 p.m. - 5:00 p.m. CET
10:00 a.m. - 12:00 p.m. EDT

Virtual on the GotoWebinar Platform. Log-in information will be sent to you after you register. This is a one person use code. Please note that registration requires two steps prior to receiving your link.   


This event is being recorded and a copy will be sent to each registrant after the event. We follow Chatham House Rule. 

  Time   Event  
  3:00 p.m. - 3:10 p.m. CET
10:00 a.m. - 10:10 a.m. EDT
    Welcome and Introductions

  3:10 p.m. - 3:40 p.m. CET
10:10 a.m. - 10:40 a.m. EDT
    Presentation: Model Risk in IMA
  • Peter Quell, Head of Portfolio Analytics in Risk Controlling Unit, DZ Bank AG
  3:40 p.m. - 3:55 p.m. CET
10:40 a.m. - 10:55 a.m. EDT
    Presentation: FRTB on the Way: A Supervisory Perspective
  • Ernoe Szivek, Deputy Head of Group for Market Risk Measuring Approaches, Deutsche Bundesbank
  3:55 p.m. - 4:25 p.m. CET
10:55 a.m. - 11:25 a.m. EDT
    Panel Discussion: FRTB Implementation - Full Steam Ahead?
  • Nadja Schuster, Partner, d-fine
  • Eugene Stern, Project Head for MARS Market Risk, Bloomberg
  • Ernoe Szivek, Deputy Head of Group for Market Risk Measuring Approaches, Deutsche Bundesbank
  • Jochen Theis, Independent Consultant
  Moderated by Stefan Schmidt, Risk and Derivative Specialist, Bloomberg
  4:25 p.m. - 4:55 p.m. CET
11:25 a.m. - 11:55 a.m. EDT
    Audience Q&A

  4:55 p.m. - 5:00 p.m. CET
11:55 a.m. - 12:00 p.m. EDT
    Closing Remarks


  Peter Quell, Head of Portfolio Analytics in Risk Controlling Unit, DZ Bank AG/ Presenter

Dr. Peter Quell is Head of Portfolio Analytics in the Risk Controlling Unit of DZ BANK AG in Frankfurt. He is responsible for methodological aspects of Internal Risk Models, Economic Capital and Model Risk.

Prior to joining DZ BANK AG Peter was Manager at d-fine GmbH where he dealt with various aspects of Risk Management Systems in the Banking Industry. He holds a MSc. in Mathematical Finance from Oxford  University and a PhD in Mathematics. Peter is member of the editorial board of the Journal of Risk Model Validation and a board member of the Model Risk Managers' International Association .

Ernoe Szivek, Deputy Head of Group for Market Risk Measuring Approaches, Deutsche Bundesbank/Presenter

Ernö Szivek works since 2001 in the Central Office of the Deutsche Bundesbank in Frankfurt in the Department for Banking and Financial Supervision and Implementation of International Standards. As deputy head of the group for market risk approaches, his main tasks cover the development of investigation standards in national and international Working Groups, on-site audits and quality assurance of investigation reports. Since 2014 he is engaged as analyst in the Basel Monitoring process (Quantitative Impact Studies), recently for the Fundamental Review of the Trading Book (FRTB). In the last years he was member of different international Working Groups for market risk as Basel’s Standards Implementation Group for the Trading Book or SSM’s Working Group for FRTB IMA. Since last year he is member of SSM’s Working Group on FRTB SA. Mr Szivek holds a University degree in mathematics and economics.

Nadja Schuster, Partner, d-fine/Panelist

Nadja Schuster is a Partner at d-fine. She has more than 15 years of working experience in risk management covering a wide range of topics focusing on market risk methods and processes. Her work includes the qualitative and quantitative impact analysis and implementation of new regulatory initiatives such as the FRTB. Nadja is heading d-fine’s expert team on FRTB. Before joining d-fine, she worked as a Market Risk Manager at DZ BANK. She holds a diploma in Mathematics from TU Darmstadt and an Executive MBA from Mannheim Business School.

Eugene Stern, Product Head for MARS Market Risk, Bloomberg/Panelist

Eugene Stern is the product head for MARS Market Risk, a Bloomberg platform that ties together the firm’s market data, reference data, and instrument-level analytics into a market risk offering for both risk managers and the front office. He helped start the business and has held a number of different leadership roles in product management, implementations, and client services. Prior to Bloomberg, Eugene spent ten years at RiskMetrics, where he started as a quant researcher, building models for market and credit risk, and eventually moved to the business side, leading the product management team and overseeing all offerings across the risk business. Eugene holds a Ph.D. in Math from UC Berkeley, and worked at the University of Pennsylvania as a lecturer in mathematics before moving away from academia to work in risk.

 Jochen Theis, Independent Consultant, Panelist

Jochen headed market risk methodology at Standard Chartered Bank from 2010 until early 2018, accompanying the development of FRTB from inception, while in parallel redesigning pricing model risk management at the bank. He continued his close involvement in the FRTB implementation as head of the market and counterparty credit risk methodology function at Deutsche Bank until earlier this year, when he decided to seek a new challenge.

After studying Mathematics Jochen started his career in Finance as a front office quant, designing and building pricing models at several global investment banks in London. He then moved to Risk Management to build up a pricing model validation team at Merrill Lynch. He is deeply interested in the complex interplay between models, business processes and decisions, and technology, and how to effectively control the resulting risks.

  Stefan Schmidt, Risk and Derivative Specialist, Bloomberg/ Event Moderator

Stefan Schmidt is a specialist for enterprise solution for Derivatives and Risk Management. He oversees the business development for the Bloomberg risk platform (MARS) in the German-speaking region (DACH). He helped launch the Enterprise Risk business in EMEA. Prior to Bloomberg, Stefan spent 5 years at Moody's Analytics, where he advised clients specializing in enterprise risk management solutions and custom model development overseeing a team of quantitative consultants. Stefan holds a M.Eng. in Computer Science from Imperial College London, and a MBA from INSEAD Paris.


  Thank You To Our Sponsor:  


Continued Risk Learning Credits: 1

PRMIA Continued Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email


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10/29/2020 10:00 AM - 12:00 PM
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