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
Santo Mukherji

Independent Consultant

Santo Mukherji is currently working as a Senior Audit Manager for Risk, Model and Capital Methodologies in Lloyds Banking Group. Santo has over 15 years experience in a wide variety of areas ranging from market risk, credit risk, model risk, regulatory risk & compliance, operational risk & governance, capital methodologies in organisations such as Jefferies, Deutsche Bank, HSBC, RBS, Bank of America, Santander. Santo has a BEng (first class) in Electrical Engineering; also an MSc in Management Science and Operational Research (with EPSRC scholarship) from Warwick Business School and MBA (with QS scholarship) from Cass Business School. 

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Capital Buffers and Resolution Requirements

10:45 - 12:00

  • 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

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Liquidity and Leverage Requirements

13:00 - 14:30

  • 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

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Basel IV

14:45 - 16:15

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

Manager

BearingPoint

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Counterparty credit risk

09:00 - 10:30

  • CCR in OTC derivatives
  • Exposures to CCPs
  • Capital requirements for derivatives
    • FRTB in relation to counterparty credit risk
    • The Standardized Approach to Counterparty Credit Risk (SA-CCR)
  • Additional regulation
    • Exposures to CCPs
    • Margin rules
  • Implementation challenges
Irina Ursachi

Independent risk management consultant

Irina Ursachi is an independent Risk Management consultant. She has over eight years of experience in the banking industry, managing international projects in various European jurisdictions such as UK, France, and Germany. Her expertise covers the design and specification of business processes as well as the implementation of regulatory requirements, trading systems, and valuation models. Mrs. Ursachi is an active contributor to research projects and publications in the area of Risk Management. Prior to becoming an independent consultant, she has worked for the consulting companies d-fine and KPMG. She holds a Master’s degree in Mathematics from the University of Kaiserslautern.

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

FRTB and CRR II

10:45 - 12:00

  • 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 
Andrea Martin Schnoz

Regulatory Capital Management and Planning

Julius Baer

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Operational Risk Capital Modelling under CRD V

13:00 - 14:30

  • 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

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:00

Implementation of CRD V and CRR II

14:45 - 16:15

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