Fundamental Review of the Trading Book - Toronto
Risk Training's two day training course will bring together a variety of industry experts and practitioners to discuss topics including the revised internal model and standardised approaches, the P&L attribution test, modellable and non-modellable risk factors, capital requirements, and data management.
Risk Training's FRTB training course is returning to Toronto to provide delegates with best practice implementation strategies and a platform to discuss practical methods and best practice approaches. This two day course will begin with an overview of FRTB as it stands in the Canadian market and how this compares with global progress and other regulations. The course continues with an overview of the banking and trading book boundary, modellable and non-modellable risk factors and a deep dive into the P&L attribution test and what this means for your company.
- FRTB implementation and timelines, in accordance with the upcoming BCBS consultation paper
- Modellable and non-modellable risk factors and various modellability criteria
- Understand what the P&L attribution test means for you and your company
- Comprehensive overview of the revised standardised approach & the revised internal model approach
- Data management challenges and opportunities under FRTB, with an overview of the new Canadian data pooling regime
- Practical and operational implications of FRTB
Who Should Attend
This course is primarily aimed at those working on FRTB implementation within their organization, however Risk Training welcomes anyone who would benefit from this training. Specific job titles may include but are not limited to:
- Market Risk/Credit Risk Manager
- Trading Book Capital Management
- FRTB Implementation/Project Management
- Risk Capital Manager
- Quantitative Analytics
- Regulatory Liaison/Risk Manager
- Chief Risk Officer
- Market Risk Analytics
- Head of Traded Risk
- Change Management
- Understand best practice approaches to FRTB implementation
- Recommendations and ideas for the P&L attribution test
- Gain a clear understanding of modellable and non-modellable risk factors
- Overview of data requirements under FRTB and the resulting challenges and opportunities
- Knowledge of how FRTB relates to other regulations such as IFRS9 and BCBS239
- Understand the operating model impact of FRTB
US Lead Director for Trading Book Capital & Margin
Naresh Malhotra is US Lead Director for FRTB & Swap Margin Rule (SMR/SIMM), Risk Advisory at KPMG LLP.
Thomas Obitz is the founder of RiskTransform, a specialist consultancy focussing on risk transformation and business architecture for risk. He is both a certified Financial Risk Manager (GARP FRM) and a TOGAF certified enterprise architect. Thomas has more than 18 years of experience in the IT industry, and 15 years in Financial Services, in particular in Investment Banking and Capital Markets.
Thomas has experience leading large-scale enterprise wide transformation programmes in particular in risk related initiatives. He has worked with enterprise architecture groups reviewing and developing application landscapes and IT capabilities, in alignment with the corporation’s processes and value propositions. At the moment, his key focus area is the impact of the Fundamental Review of the Trading Book (FRTB).
Senior Director and Head of Risk Methodology and Analytics
Hany Farag is Senior Director and Head of Risk Modelling and Methodology at CIBC. Prior to his current position he was a partner at Eastmoor Capital Partners, LLP; Managing Director and Head of FX Statistical Arbitrage at CIBC; and Head of Quantitative Research at OANDA Corporation. Prior to his industry positions he was a Postdoctoral Fellow at Caltech and at Rice University. He holds a PhD in Mathematical Analysis from Yale, a MS in Theoretical Physics from Yale, and a BSC in Electronics and Communication Engineering from Ain Shams.
Director, Market Risk Group Manager, Global Counterparty Portfolio Optimization
Shahed Shafi, Director, Market Risk Group Manager, Global Counterparty Portfolio Optimization, CITIGROUP
Founder & CEO
Sanjay is the Founder and Chairman of GreenPoint Global – a risk advisory, education, and technology services firm headquartered in New York. Founded in 2006, GreenPoint has grown to over 380 employees with a global footprint and production and management teams located here in the U.S, India and Israel.
During 2007-16 Sanjay was the Chief Risk Officer of Global Arbitrage and Trading Group and Managing Director in Fixed Income and Currencies Risk Management at RBC Capital Markets in New York. His career in the financial services industry spans over two decades during which he has held investment banking and risk management positions at Goldman Sachs, Merrill Lynch, Citigroup, Moody’s and Natixis. Sanjay is the author of “Risk Transparency” (Risk Books, 2013), Data Privacy and GDPR (forthcoming, 2018) and coauthor of FRTB: Concepts, Implementation and Impact (Risk Books, 2018) and numerous papers.
Sanjay was the co-founder of the RBC/Hass Fellowship Program at the University of California at Berkeley and is an Adjunct Professor at EDHEC, Nice in France, at NYU’s Tandon School of Financial Engineering and Fordham University where he teaches a Capstone courses on FRTB implementation for their Master’s programs. Sanjay has served as an advisor and a member of the Board of Directors of UPS Capital (a Division of UPS) and is a frequent speaker at industry conferences and at universities. He serves on the Global Board of Directors for Professional Risk International Association (PRMIA)
He holds a PhD in Finance and International Business from New York University and an MBA from the Wharton School of Business and has undergraduate degrees in Physics and Marine Engineering. Sanjay acquired his appreciation for risk first hand as a merchant marine officer at sea where he served for seven years and received the Chief Engineer’s certificate of competency for ocean-going merchant ships.
This seminar will deliver intensive teaching on some of the key challenges quant professionals face, focusing on a fine balance between quantitative methods and calculations and practical, real life solutions. Attendees will also receive numerous alternatives solutions for them to consider when they return to their institution.