Agenda

Agenda

CRD Frankfurt agenda

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Capital Requirements under CRD V

09:00 - 10:30

  • Capital adequacy requirements
  • Large exposures
  • Capital increases required by Basel IV
  • Impact of IFRS9

10:3011:00

Morning break

10:30 - 11:00

11:0012:30

Capital Buffers and Resolution Requirements

11:00 - 12:30

  • 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

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

Liquidity and Leverage Requirements

13:30 - 15:00

  • How to make the business more resilient
  • NSFR – Assessment of funding risk across the balance sheet
  • Liquidity coverage ratio & Pillar 2
  • Liquidity stress testing
  • Meeting leverage ratio requirements

15:0015:30

Afternoon break

15:00 - 15:30

15:3017:00

Basel IV

15:30 - 17:00

  • Pillar 1 requirements
  • Output floor
  • How significant is the revision to the Basel framework
  • Effects on credit risk
  • Quantification of CVA risk

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

FRTB and CRR II

09:00 - 10:30

  • FRTB under the current framework
  • Reporting requirements
  • Implementation of FRTB in CRR II
  • The new framework under FRTB 
  • Rationale behind the development of FRTB 
  • Concerns on the framework and the latest set of guidelines 
  • Implementation challenges of FRTB

10:3011:00

Morning break

10:30 - 11:00

11:0012:30

Stress Testing Capital

11:00 - 12:30

  • What do the latest PRA and EBA stress tests results mean?
  • Scenario analysis
  • Capital adequacy in various crisis scenarios
  • Reverse stress testing

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

Operational Risk Capital Modelling under CRD V

13:30 - 15:00

  • 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

15:0015:30

Afternoon break

15:00 - 15:30

15:3017:00

Implementation of CRD V and CRR II

15:30 - 17:00

  • Resource allocation
  • Working to tight deadline – challenges involved
  • Allocation of talent
  • System implementation
  • Operational challenges