Training on Market Risk Benchmarking
- Conference/Workshop
- -
Background
The EBA training on Market Risk Benchmarking aims at helping individuals and organisations participating in this annual exercise to obtain knowledge and skills that can significantly facilitate their participation and thereby meet the legal requirements associated with it.
Furthermore, participants will be more efficient in performing the exercise, as they will better understand the legal requirements, the goals, and the processes behind it.
The training will enhance the participants' confidence in their exercise performance. It will also be an investment in the future since the benchmarking exercise will be repeated over time, with, of course, some changes. Then, the participants will be better equipped to adapt to future changes.
Starting from 2026, certain institutions using the FRTB ASA are expected to enter the scope of the annual market risk benchmarking exercise. Participants will be made aware of this upcoming change and the related requirements.
The training is free of charge.
Target audience and format
The training will take place online via MS Teams and is intended for industry representatives and Competent Authorities who are involved in the benchmarking.
Pre-requisites and additional resources
Prospective participants are encouraged to familiarise themselves with following materials:
Finally, we recommend that prospective participants have a good understanding of FRTB, especially on ASA part
Registration
You can register via this registration link.
Password: Market_Risk_Benchmarking25!
Deadline for registration: 13 June 2025 at 18:00 CEST
You will receive the calendar invite with dial in details only after the registration deadline has passed.
Contact for registration: meetings@eba.europa.eu
Contact for training: matthias.guggenbichler@eba.europa.eu
Programme
| Start time | End time | Title of the session / activity | Speaker |
| 09:30 | 09:35 | Introductory Remarks | Tbd |
| 09:35 | 10:30 | The EBA Market Risk benchmarking - General aspects of the exercise | Michele Zarpellon, EBA |
| 10:30 | 10:45 | Break | |
| 10:45 | 11:30 | Contents of the ASA data collection | Tim Bietenduevel, Bundesbank |
| 11:30 | 11:45 | Break | |
| 11:45 | 12:15 | Supervisory prospective – SSM role in the BM | Michal Kundrat, ECB |
| 12:15 | 13:30 | Lunch Break | |
| 13:30 | 14:15 | Local supervisory perspective – NCAs role in the BM | Alberto Maria Sorrentino, Banca d’Italia |
| 14:15 | 14:30 | Break | |
| 14:30 | 15:15 | Technical aspects of the BM reporting | Julio Rocha, EBA |
| 15:15 | 15:20 | Wrap up | Tbd |
Please note that the agenda is subject to change. All times are in CEST.