Overcoming Global Model Validation Challenges in FRTB Implementation

Video

Jul 24, 2024

Gavin Xu, Global Head of Markets Model Validation, HSBC

The views and opinions expressed in this content are those of the thought leader as an individual and are not attributed to CeFPro or any other organization

Effective project management and close regulatory engagement are critical for navigating diverse global FRTB implementation timelines.
Regular divergence analysis helps address regional differences in regulatory rules, ensuring comprehensive validation and compliance.
Dynamic and ongoing validation processes, rather than traditional waterfall approaches, are essential to stay ahead of evolving FRTB requirements.
Collaboration among all lines of defense—developers, validators, and auditors—is vital to manage risks and resources efficiently.

Gavin Xu Bio

Gavin Xu leads Model Risk Management for HSBC Global Markets and Securities Services, covering the entire spectrum of market models used for pricing, algorithmic trading, valuation adjustments, and market risk management. He spearheads the global FRTB program from a second-line-of-defense perspective. Holding a Ph.D. in Computer Science and an M.S. in Mathematics, he also serves as an adjunct professor at Rutgers University Business School, where he teaches about cryptocurrencies and digital assets.