VaR and Alternative Metrics: Risk Models, Regulation and Governance

London, 25 & 26 February 2014

Course Highlights:

  • Led by experienced chairmen with long history of market expertise
  • Members of the BCBS Trading Book Group will present on and discuss the Fundamental Review
  • Three panel discussions allow for dynamic and open discussion in a closed-door setting (Chatham House)
  • Discuss the increasing importance of risk governance and communication within banking institutions
  • Heavy focus on practical modelling techniques, with new methods driven by regulation and innovation
  • VaR and Expected Shortfall weighed up against one another in light of regulatory drive to ES

Learning Outcomes:

At the end of this seminar, attendees will have new or increased appreciation of:

  • The objectives and implications of the finalised Fundamental Review of the Trading Book
  • The expectations on risk professionals from the regulators in the next 2 - 5 years
  • How approving risk models at the desk level will help banks avoid weaknesses in modelling
  • The risk and trading implications of moving the boundary between banking and trading book products
  • How communicating risk, and improving governance throughout an institution can influence strategy
  • How the new standard market risk capital model has been modified to closer resemble internal models
  • The changes to the options available to banks developing internal market risk capital frameworks
  • How first order hedging, credit and market illiquidity recognition has been built into modelling
  • The capital "cliff effect" of one desk reverting from an internal to a standardised model
  • How Expected Shortfall differs to VaR, how to use it, and why regulators see ES as preferable
  • In role of internal audit, model risk and model validation processes in maintaining strong market risk analytics

Chairman and Course Moderator

Vincent Baritsch, Head of Group Prudential Policy, The Royal Bank of Scotland (RBS)

Jim Congleton, Head of Market Risk Analytics, Standard Chartered Bank

Confirmed Speakers:

Karsten Stickelmann, Director, Deutsche Bundesbank and member of BCBS Trading Book Group

Ed Duncan, Director, Risk Regulatory Liaison, Barclays Capital

Marc Peters, Advisor and Prudential Policy Expert, National Bank of Belgium and member of BCBS Trading

Federico Cabanas, Policy Expert, European Banking Authority and member of BCBS Trading Book Group

Jerry English, Head of Trading Book Capital Management, Lloyds Banking Group

 

Henry Wayne, Managing Director, Senior Advisory on Regulatory Reform and Risk, CITI

Adolfo Montoro, Director, Market Risk, Deutsche Bank


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