agenda

agenda

Basel IV: Looking ahead to 2023 | Agenda

Agenda timing is in HKT/SGT

13:4514:00

Registration

13:45 - 14:00

14:0015:00

Overview of Basel III & IV

14:00 - 15:00

  • Basel III and IV features and timelines
  • Why the need for a fourth accord
  • The impact and implications of a fourth accord
  • Basel III & IV’s effect on liquidity and capital
  • Connecting the impact on capital and liquidity to RoE
Thomas Obitz

Director

RiskTransform

Thomas Obitz is a management consultant and senior advisor on risk and regulatory driven change. He is founder of RiskTransform, a niche consultancy supporting banks in integrating risk, operating model and IT change.

Thomas has more than 18 years of experience in the Financial Services industry in roles including organizational change, operating model transformation and IT transformation, working as a consultant, project manager and business architect. He has a Big 4 consultancy background, is certified as a Financial Risk Manager (GARP FRM) and holds a TOGAF 9 certification.

Thomas has published on various aspects of the FRTB, Basel III/IV and on broader topics of risk change. Special areas of interest are the operational changes required to manage the impact of the regulation, and the data and data quality implications.

15:0016:00

Basel III & IV and its impact on operational risk and capital

15:00 - 16:00

  • Challenges in predicting and quantifying loss
  • Approaches for measuring operational risk capital
  • An overview of Basic Indicators Approach (BIA), Standardized Approach (STA) and Advanced Measures Approach (AMA) and Standardized Measures Approach (MVA) 
  • Review of ‘Basel IV’/’CRDV’ amendments

16:0016:15

Break

10:00 - 11:00

16:1517:15

Fundamental Review of the Trading Book [FRTB/Basel IV]

10:00 - 11:00

  • Trading book and banking book boundary and implementation challenge
  • Structural FX position identification and monitoring
  • Simplified Standardised Approach overview and applicability
  • FRTB Standardised Approach
  • FRTB Internal Model Approach

 

Jeff Lee

Consulting Director

PwC

Jeff is a Consulting Director in financial services consulting practice of PwC. He has extensive experience in risk management framework implementation and regulatory transformation, specialising in traded market and credit risk, treasury management and data/ model analytics. He is currently the key driver for FRTB initiative and treasury 4.0 proposition. Recently, he also supports the Hong Kong Association of Bank's ("HKAB") in its response to BCBS and HKMA consultations.

Jeff holds a Bachelors degree from the University of Hong Kong and is also a Chartered Financial Analyst (CFA) and a certified Financial Risk Manager (FRM).

17:1517:15

End of Day 1

10:00 - 11:00

14:0015:00

Credit Risk and Internal Ratings Based [IRB] approaches

10:00 - 11:00

  • Overview and practical applications of IRB methodologies
  • Calculating risk-weighted assets (RWA)
  • Calculating probability of default (PD) and loss given default (LGD)
  • Parameter changes and floors explained 
  • Incorporating LGD and PD input floors
Xiaojing Yu

Partner

Deloitte

Xiaojing Yu has almost 15 years' experience in financial services and risk management focusing on strategy, enterprise wide risk management, Basel II and Basel III, regulatory compliance, risk modelling and reporting.

15:0016:00

Interest Rate Risk in the Banking Book [IRRBB]

10:00 - 11:00

  • Rationale for BIS 368 – Update to Pillar 2 requirements
  • Recapping on sources of interest rate risk in the banking book
  • Equity and earning measures considerations 
  • Net Interest Margin [NIM]
  • Economic Value of Equity [EVE]
  • In scope cash flows and treatment for time bucketing
  • Standardised stress testing 

16:0016:15

Break

10:00 - 11:00

16:1517:15

Standardised Approach for Counterparty Credit Risk [SA-CCR]

10:00 - 11:00

  • An overview of the Standard Approach to Counter Party Credit Risk Management [SA-CCR]
  • Methodologies and rationale for change
  • Breaking down the model
  • Calculating Replacement Cost and PFE multiplier and add-on’s
Carl Chan

Associate Director

KPMG

Carl is a financial risk professional with more than 10 years of experience who served financial institutions, governments, pension funds etc. on risk management.  He covers counterparty credit risk, margin requirements for non-cleared OTC derivative trades, market risk, FRTB, etc. He has been involved in counterparty credit risk projects including those related to CEM, SA-CCR, internal model method (IMM) and CVA.

17:1517:15

End of Day 2

10:00 - 11:00

14:0015:00

Minimum Requirement for Eligible Liabilities [MREL] & Total Loss Absorbing Capacity [TLAC]

10:00 - 11:00

  • The concept and regulation of resolution
  • Minimum requirements for Eligible Liabilities and Own Funds [MREL]
  • Defining eligible and excluded liabilities
  • Impact comparisons for Going Concern Capital
  • Consolidating with Total Loss Absorbing Capacity [TLAC]
  • An overview of resolution strategies: modified insolvency, partial transfer, and Bail In 
Gemini Yang

Partner, Risk Consulting

KPMG

Gemini is a Partner in Financial Risk Management team of KPMG Hong Kong. She has 14 years of experience at quantitative analysis and modelling development. She is specialized in financial risk management, focusing on the New Basel Accord implementation and compliance, such as Internal Capital Adequacy Assessment Process (ICAAP), Assets and Liability Management (ALM), G-SIFIs, Stress Testing, Risk Management and Measurement, Capital Management, etc. She possesses master skills of statistical and modelling software: SAS, Matlab, Mathematica, etc. and has profound knowledge of business and related IT systems in banking industry. Gemini holds a Bachelor degree of Mathematics and Applied Mathematics.

She has managed several engagements regarding Risk Management, Capital Management, and Internal Capital Adequacy and Assessment Process (ICAAP, including Economic Capital model) for both large global banks (APAC regional team) and large HK local banks. Services provided include Risk Appetite, Risk Governance and Strategy, Risk Assessment, Stress Testing, Capital Planning, Capital Allocation, Internal Capital Target Setting, Assets and Liabilities Management, etc. Recently, Gemini has been assisting several Hong Kong banks on compliance and implementation of their HKMA SPM CR-G-13, Banking (Exposure Limits) Rules (BELR), Initial Margin, FRTB, and LIBOR transition.

15:0015:15

Break

10:00 - 11:00

15:1516:15

Looking ahead to 2023

10:00 - 11:00

  • Banking in a Basel IV era
  • Approaches to mitigating risk for banks
  • Correlations to other global regulations: EMIR and Structural Reform
Navin Rauniar

Risk Director

Quantico Consulting

Navin is a Risk Advisory Partner with circa 20 years run the bank, change the bank & Big 4 consulting experience across financial services. Navin typically connects C-suite stakeholders across business & technology, using domain expertise that focuses on risk management & capital markets, especially in response to prudential markets regulation such as LIBOR Transition, Brexit, ESG, Climate Risk, & Basel impacting an institutions' strategy, process & governance.

Navin currently leads multiple Front Office & Risk deliveries for Tier One & Tier Two financial institutions. His offshoring & international experience assists in building diverse & highly performing global teams. Externally, Navin supports the financial services community via training & mentoring of professionals, thought leadership at conferences, and his contribution as a member of the PRMIA Institute & London Steering Committee. He is a regular speaker and chair at capital markets forums, as well as a frequent commentator to the press on financial market regulations. 

16:1516:15

End of course

10:00 - 11:00