Agenda

Agenda

Course Agenda

Day One

08:30

Registration and refreshments

09:00

FRTB Implementation: Where are we now?

  • Status of FRTB implementation
  • Interpretation of existing rules
  • Implementation challenges and approaching the approval process
  • Interplay between the entire framework
  • Consistency/Crossover with MiFID , BCBS 239, IFRS 9 etc. 
  • What are the FAQ's and how are these dealt with by Basel?
  • Governance and control challenges

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

10:30

Morning break

11:00

Revised Standardised Approach

  • Linear charge
  • Credit risk & interest rate risk
  • Curvature charge
  • Volatility
  • Looking beyond the prescribed calculations
  • Update on the most recent regulatory revisions

Speaker: Anna Holten Moller, Senior Risk Analyst, Market Risk, Nykredit

12:30

Lunch

13:30

P&L Attributions Test

  • What the P&L test and what it means for your organisation
  • Hypothetical and risk-theoretical P&L's
  • Risk factor coverage
  • Implementation challenges
  • Aligning the P&L approach and the risk approach
  • Practical example of the P&L test

Speaker: Rolf Klaas, Senior Risk Modelling Expert, DekaBank

15:00

Afternoon break

15:30

Revised Internal Model Approach

  • Brief history of the internal model approach and best practices
  • Operational challenges of switching from VaR to Expected Shortfall
  • Validation challenges
  • Stress Calibration
  • Results from Impact Studies
  • Backtesting

Speaker: Neels Vosloo, Head of EMEA Regulatory Risk, Bank of America Merrill Lynch

17:00

End of Day One

Day Two

08:30

Refreshments

09:00

Modellable & Non-modellable risk factors

  • Definitions and clear boundaries
  • Data criteria for non-modellable risk factors
  • Market data modelability
  • Capitalisation of non-modellable risk factors
  • Stress testing

Speaker: Wenmin Li, Traded Risk Measurement Team, Specialist Risk Supervision, Bank of England 

10:30

Morning break

11:00

Default risk charge 

  • What is the default risk charge?
  • What are the similarities and differences between DRC & incremental risk charge? 
  • Key assumptions SA DRC (sec and nonsec)
  • Key modelling choices in IMA DRC
  • Potential issues in implementation and capital management

Speaker: Michele Pioppi, Financial Risk Quantitative Analyst, UniCredit

12:30

Lunch

13:30

Desk level approval

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

Speaker: Laurent Duvivier, Manager FRM, Risk Consulting, KPMG 
                Stathis Bismpikis, Manager, Banking Risk, KPMG 

15:00

Afternoon break

15:30

Data Management and system challenges 

  • 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: Suman Datta, Head, Portfolio Quantitative Research, Lloyds Banking Group

17:00

End of course