Agenda

Agenda

Capital Management, Toronto - Agenda

Day One

Wednesday 30 October 2019

8:30

Registration and refreshments

9:00

FRTB and capital standards for market risk

  • Rationale behind the development of FRTB 
  • Recent revisions
  • Communications from OSFI
  • Concerns on the framework and the latest set of guidelines 
  • Implementation challenges of FRTB 

Hovik Tumasyan, founder and president, FinRisk Solutions

10:30

Morning break

11:00

Capital management, capital buffers and resolution requirements

  • Capital floors
  • Capital allocation
  • Capital conservation and countercyclical buffer
  • Systemic risk buffer
  • TLAC requirements, HoldCo Vs OpCo
  • Who has to comply with TLAC on each subsidiary level?
  • Contractual, statutory and structural subordination

12:30

Lunch

13:15

Liquidity management, metrics and stress testing

  • Liquidity Management Principles
  • Liquidity Metrics (NSFR and LCR)
  • Stress Testing
  • Enterprise wide stress testing
  • Resolution planning
  • Internal stress tests
  • Tabletop exercises

Alan McEntee, director - enterprise liquidity management, RBC

14:30

Afternoon break

15:10

IRRBB for the Canadian market

  • Implementing OSFI B-12 – requirements and implications
  • Understanding sources of IRR – identifying & measuring gap, basis and optionality risks
  • Behavioral modeling and implications – Is a conservative really conservative?
  • Moving beyond regulatory requirements – Strategic implementation of ALM  
  • Managing and driving the balance sheet – risk return considerations

Karl Rubach, managing director, IBSM Solutions Inc.

16:30

End of day one

Day Two

Thursday 31 October 2019

8:30

Refreshments

9:00

IFRS 9 and its interaction with capital and modelling

  • Change in definition of default
  • Developing new capital models
  • Impact on IFRS 9 and stress testing
  • IRB modelling constraints
  • IRB vs standardised RWA/ capital impact

Mike McCausland, senior manager, KPMG

10:30

Morning break

11:00

Advanced Topics in FRTB

  • NMRFs
    • Concepts
    • Framework
    • Strategies.
  • FX asymmetry

Hany Farag, senior director, head of methodology and analytics, capital markets risk management, CIBC

12:30

Lunch

13:15

Counterparty credit risk 

  • CCR in OTC derivatives
  • Exposures to CCP
  • FRTB in relation to counterparty credit risk
  • SA-CCR in relation to counterparty credit risk
  • Additional regulation
    • Exposures to CCPs
    • Margin rules
  • Implementation challenges
Shahed Shafi, head of counterparty risk management, US Bank

14:30

Afternoon break

15:10

Capital adequacy and operational risk

  • Rules for operational risk capital modeling
  • Basic indicator approach (BIA) and the standardized approach (TSA)
  • The advanced measurement approach (AMA) and the loss distribution approach with examples
  • The standardized measurement approach (SMA) and related issues and debates
  • Contradictory incentives across the BIA, TSA, AMA and the SMA

Dr Alex Shipilov, CEO, iModX

16:30

End of course