Course Agenda

Agenda

Day 1 - Thursday 14 March 2019

First three sessions of day one delivered by Thomas Obitz

09:00

Registration and refreshments

09:30

FRTB Implementation

  • Status of FRTB implementation
  • Extended timelines
  • Latest consultation paper and interpretation of existing rules
  • Implementation challenges – EU vs US
  • Regulatory perspective
  • Approaching the approval process

11:00

Morning break

11:30

Banking Book Trading Book Boundary

  • Definitions of banking book and trading book
  • Operating in the new prescriptive rules
  • Interaction between FRTB and IFRS 9
  • Internal risk transfers – practical challenges

13:00

Lunch

14:00

Modellable and Non-Modellable Risk Factors

  • Risk factors under FRTB
  • Modelability criteria
  • Capitalization of non-modellable risk factors
  • Use of proxies
  • Use of vendor data
  • Trade-offs in risk factor modelability

15:30

Afternoon break

16:00

P&L Attribution Test

  • What the P&L test means for you
  • Lack of clarification over regulation
  • Hypothetical and risk-theoretical P&Ls
  • Calculating the result
  • Implementation challenges
  • Aligning the P&L approach and the risk approach

Session delivered by guest speaker

17:30

End of day one

Day 2 - Friday 15 March 2019

First three sessions of day two delivered by Thomas Obitz

09:00

Refreshments

09:30

Revised Internal Model Approach

  • Brief history of the internal model approach and best practices
  • Operational challenges of switching from VaR to expected shortfall
  • Validation of market risk & default risk
  • Stress calibration
  • Results from impact studies
  • What are the big changes? 

Revised Standardized Approach

  • Brief overview of the revised SA, what is the ideal outcome?
  • Linear change, curvature charge & default risk charge
  • Credit risk and interest rate risk
  • Volatility & low correlation scenario
  • Currency triangulation
  • Relationship to BCBS 239

11:00

Morning break

11:30

FRTB – Front Office Impact

  • This session analyzes the key areas of impact which are most relevant to business outcomes, and allows for identification of solution options in the areas of:
  • Trading and hedging strategies
  • Desk structure optimization
  • Risk management approaches
  • Front Office operating model

13:00

Lunch

14:00

FRTB – Impact on Operating Model of Banks

  • New processes and capabilities have to be established both internally and with the regulator, and performance of these processes may have direct impact on capital requirements.
  • New metrics are required to steer these processes, and new controls are required not only for compliance, but also as an early warning system.
  • Assess the high level impact of FRTB across your organization and in the interaction between your organization and external parties
  • Describe key capabilities to be established, and the processes to deliver them
  • Identify the metrics and controls required to contain capital risk, and to operate effectively under the new regulatory regime
  • Specify critical requirements to data and system infrastructure

15:30

Afternoon break

16:00

Treatment of Credit  

  • Securitization exposures
  • Non-securitization exposures
  • Default risk charge
  • Preliminary credit valuation adjustment charges
  • Where will it stand after the final Basel paper?

Session delivered by guest speaker

17:30

End of course