Large Exposures & SA-CCR

Asia Risk is delighted to announce our Large Exposures & SA-CCR training course which is being held on 6-7 December in Hong Kong.

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Large Exposures & SA-CCR

6-7 December
Hong Kong
 

Agenda  Registration

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Dr. Marcel Bluhm

Manager, Research and Development Unit, Banking Policy Department

HONG KONG MONETARY AUTHORITY

Marcel Bluhm is a Manager in the Policy Research and Development Division at the Hong Kong Monetary Authority, where he works on the local implementation of Basel Committee financial regulations since May 2017. Before his current position he worked six years as Assistant Professor at the Wang Yanan Institute at Xiamen University in China, teaching macroeconomics and carrying out research in macro-finance. From 2006 to 2011 he worked as researcher and assistant to the President at the Center for Financial Studies (CFS) at Goethe University Frankfurt in Germany. Marcel Bluhm is a research fellow at the CFS. He holds an undergraduate degree (DEUG) from University of Angers in France and graduate degrees (Diplom-Volkswirt; Doctor rerum politicarum) from Goethe University Frankfurt.

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Alexandre Bon

Head of Marketing, APAC/ Senior SME (xVA & IBOR transition)

MUREX

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David Sasson

Head of Counterparty Credit Risk, xVA risk, CCR capital

ANZ

I have over 15 years of banking experience in both front office Trading and Risk management. I have worked on a wide range of asset classes – IR, FX, Options, xVA, etc. – and in different geography - Madrid, HK, NY and Singapore. In my current position at ANZ, I oversee xVA risk, Counterparty Credit risk and Regulatory capital for Markets. I have a double degree in Industrial engineering from the Madrid Polytechnic University and the Polytechnic Institute of Grenoble, and a master in Finance.

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Damon Batten

Managing Consultant

BOVILL

Damon is an expert in global regulation for traded markets and post trade activities.

Focusing primarily on Brokers and the Sell side, Damon helps clients to understand the impact of the growing regulatory burden on their business – including MiFID 2, EMIR, CFTC Swap Dealer, Mandatory Clearing, Bilateral Margin and the new global Prudential standards (SA-CCR and FRTB). In many cases this has included assisting with interpreting the extra-territorial impact of EU and US rules, for clients across APAC, South Africa and the Middle East.

In previous roles, Damon has provided practical advice and guidance to Investment Banks, CCPs/Exchanges and Buyside firms on the impact of new regulatory initiatives. He also has a strong track record of leading teams of change specialists to deliver regulatory change projects.

Damon began his career at the UK Financial Services Authority (now the PRA), and before becoming a consultant held regulatory change-related roles at LCH.Clearnet and HSBC Group.

Rondy Wong

Manager

PwC

Rondy is a Manager in the Consulting practice of PwC Hong Kong with over 5 years of banking sector working experience. He graduated from the Chinese University of Hong Kong, where he obtained both his Mphil and Bachelor degree in Economics. His experience in consulting includes modelling and automation work such as credit risk modelling, IRB model validation, ICAAP, SDST. He was also a modeller in the economic research team in HKMA covering economic forecast in EMEAP countries.

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Two-day intensive training course:

  • Understanding the implications of adopting Large Exposures in Hong Kong 
  • Identification of groups of connected counterparties under Large Exposures 
  • Addressing data challenges and operational burden in meeting SA-CCR requirements
  • Calculating EAD based on the new SA-CCR 
  • Understanding the interaction of SA-CCR and other regulations

VIEW AGENDA

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Learning outcomes
  • Learn the implications of the new Large Exposures framework on your business activities
  • Learn the importance of more granular data analysis to better position netting treatment 
  • Understand the challenges of replacing Supervisory Approach for Counterparty Credit Risk (“SA-CCR”) from Exposure Method (“CEM”) 
  • Learn the treatment for specific exposure types
  • Understand the impacts of SA-CCR on capital requirements, and identify options for mitigating its impacts
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Who should attend

This technical workshop has been designed for a wide audience in the banking, rating agencies, service providers, and will be of value for staff in the following functions:

  • Risk/Risk Control
  • Credit/Liquidity/Market Risk
  • Compliance and Governance
  • Asset-Liability Management
  • Balance Sheet Management
  • Operations
  • Finance, Capital Management and Planning, Financial Control, MIS
  • Audit
  • Business Unit Management
  • Treasury
  • Strategic Planning
  • Legal and IT Support
  • Basel III Reporting
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Course highlights
  • Understanding the implications of adopting Large Exposures in Hong Kong
  • Identification of groups of connected counterparties under Large Exposures 
  • Addressing data challenges and operational burden in meeting SA-CCR requirements
  • Calculating EAD based on the new SA-CCR 
  • Understanding the interaction of SA-CCR and other regulations  
Registration details

Package Discounts

Package discounts are available for groups of four or more colleagues from the same organisation that register for the course.

To apply for the discounts or for more information, please reach out to Jayla Tam by email at [email protected] or by phone on +852 3411 4837.

Training Materials

Please note that presentation materials are distributed electronically and attendees are required to bring a laptop or tablet to the course with them to access the slides. Due to the business-sensitive nature of some of the topics discussed, there are occasions when speakers do not allow us to distribute their presentations.