Agenda

timings and sessions

Speakers:

  • Karsten Stickelmann, Advisor Internal Models Division, DG Microprudential Supervision IV, European Central Bank
  • Azar Khurshid, Director, Global Market Risk Management, Mizuho
  • Adolfo Montoro, Director, Market Risk Management & Risk Methodology, Deutsche Bank
  • Anna Holten Møller, Senior Risk Analyst, Nykredit
  • Joerg Zinnegger, Risk Management Consultant, Z-FRM
  • Janis Müller, Consultant, PwC 
  • Klaus Böcker, Senior Manager, PwC
  • Johannes Hämmerle, Director, Deloitte

 

Day 1 - Wednesday 27th February 2019

09:00

Registration and refreshments

09:30

 

The Finalisation of the FRTB at Basel level and an outlook on EU/SSM Implementation

Speaker: Karsten Stickelmann, Advisor Internal Models Division, DG Microprudential Supervision IV, European Central Bank 

10:30

Morning break

11:00

Practical Implementation of FRTB Standardised Approach and Internal Models Approach

  • Brief history of internal model approach vs standardised approach and best practices
  • Standardised approach
    • Linear charge
    • Credit risk & interest rate risk
    • Curvature charge
    • Volatility
  • Internal models approach
    • Operational challenges of switching from VaR to Expected Shortfall
    • Validation challenges
    • Stress calibration
    • Results from impact studies

Speaker: Azar Khurshid, Director, Global Market Risk Management, Mizuho 

12:30

Lunch

13:30

Overcoming P&L Attribution Challenges and P&L Calculation

  • P&L attributions test – what it means for your organisation
  • Hypothetical and risk-theoretical P&L’s
  • Risk factor coverage
  • Implementation challenges
  • Aligning the P&L approach with the risk approach
  • Practical example of the P&L test
  • Strategies for approaching the backtesting test
  • Ensuring data is available and accurate

Speaker: Adolfo Montoro, Director, Risk Methodology - FRTB Lead, Deutsche Bank

15:00

Afternoon break

15:30

Addressing the Data Challenges of FRTB

  • Understanding how to manage your data
  • System challenges of FRTB
  • Using data to your advantage
  • Aggregation of different data from various systems
  • Increase in required computational resources
  • Sourcing quality data – outsourcing

Speaker: Adolfo Montoro, Director, Risk Methodology - FRTB Lead, Deutsche Bank

17:00

End of day one

Day 2 - Thursday 28th February 2019

08:30

Refreshments

09:00

Modellable & Non-Modellable Risk Factors

  • The role of NMRFs for the business case of internal models
  • Definitions and revised boundaries: What constitutes a NMRF?
  • Revised capitalisation of NMRF
  • EBA discussion paper on NRMF stress scenarios
  • Data criteria for NMRF and addressing data pooling issues

Speaker: Joerg Zinnegger, Risk Management Consultant, Z-FRM

10:30

Morning break

11:00

Default Risk Charge

  • What is the default risk charge?
  • What are the similarities and differences between DRC and the incremental risk charge?
  • Key assumptions – standardised approach DRC
  • Key modelling choices in IMA DRC
  • Contrasting DRC implementation and modelling choices for SA vs IMA approaches
  • Addressing issues in implementation and capital management

Speakers: Klaus Böcker, Senior Manager, PwC
                  Janis Müller, Consultant, PwC 

12:30

Lunch

13:30

Obtaining Desk Level Approval

  • FRTB vs Basel 2.5
  • Desk structure granularity
  • IMA approval process
  • IMA advantages and challenges
  • Desk structure strategy and optimisation
  • Diversification behaviors between approaches
  • IMA loss of approval (cliff effect)

Speaker: Anna Holten Møller, Senior Risk Analyst, Nykredit 

15:00

Afternoon break

15:30

Requirements of the Banking Book / Trading Book Boundary

  • Definition of banking book & trading book
  • Operating the new prescriptive rules
  • Interaction between FRTB and IFRS 9
  • Internal risk transfers – practical challenges
  • Funding patterns under FRTB

Speaker: Johannes Hämmerle, Director, Deloitte

17:00

End of course