Course Agenda

Agenda

Fundamental Review of the Trading Book - New York

Course Agenda

 

Day One - Thursday November 14, 2019

Day one led by:
Thomas Obitz,
director, RiskTransform 

8:30

Registration and refreshments

9:00

FRTB implementation: where are we now?

  • Status of FRTB implementation

  • Interpretation of finalised rules

  • Global adoption plans and regulatory progress

  • US implementation perspective

  • Local regulatory implementation: Localisation levers and objectives

  • Synergies with MiFID, BCBS 239, Initial Margin, IFRS 9 etc. 

  • Implementation of FRTB in a bank: Typical challenges and solutions

  • Dealing with uncertainty - FAQs, guidance of local regulators and compliance approach

  • The approval process

10:30

Morning break

11:00

Revised standardised approach (SA) 

  • The capital calculation framework of FRTB

  • The components of the Standardized Approach (SA)

  • The Sensitivities Based Approach

  • Where SA does not quite work – Caveats

  • Key considerations for banks who applying SA

  • Business, process and data implications of SA implementation

  • The eligibility and application of Simplified Alternative to SA

12:30

Lunch

1:30

Revised internal model approach (IMA) 

  • Capital impact of internal models

  • Impact of the standardised floor on the economics of internal models

  • Transition from VaR to expected shortfall

  • The pitfalls of diverging liquidity horizons, and how to deal with them

  • Stressed calibration and its data requirements

  • Computational challenges of FRTB

  • Examining the barriers to entry for the internal models approach

  • Model validation under FRTB

3:00

Afternoon break

3:30

Modellable & non-modellable risk factors

  • Capital impact of non-modellable risk factors 

  • Risk factors under FRTB 

  • Modelability criteria and the changes in FRTB 2019

  • Use of proxies

  • Use of vendor data 

  • Trade-offs in risk factor modelability 

5:00

Optional session:
Calculating IMA charges – a practical example  

  • Delegates who are interested in a more in-depth understanding of the numerical aspects of the IMA charge can choose to attend this session 

6:00

End of day one

 

Day Two - Friday November 15, 2019

8:30

Refreshments

9:00

Credit risk under FRTB: DRC-SA, DRC-IMA and the CVA risk framework

  • DRC vs incremental risk charge

  • Key modelling choices in IMA DRC

  • Key assumptions SA DRC

  • Typical issues in implementation and capital management 

  • FRTB-CVA

10:30

Morning break

11:00

P&L attribution test, desk strategy and capital dynamics

  • IMA permission under FRTB: The bank-wide, desk level and risk factor level

  • Hypothetical and risk-theoretical P&L: The P&L attribution test

  • The nasty properties of the P&L attribution test

  • The trade-off between P&L attribution test and NMRF regime

  • Desk strategy: the trade-offs you need to assess for your business

  • Impact on trading and hedging strategies

  • Dynamics of capital requirements under FRTB: estimating the impact of P&L attribution and NMRF

12:30

Lunch

1:30

The trading book / banking book boundary

  • Definitions of the trading book under FRTB

  • Interaction between FRTB and IFRS 9

  • The redesignation process

  • Control requirements

  • Internal risk transfers – practical challenges

  • Impact on funding transactions

Speaker:
Thomas Obitz
, director, RiskTransform 

3:00

Afternoon break

3:30

Operating model, data management and system challenges 

  • Impact of FRTB on processes and operating model

  • Analytics and data integration requirements of FRTB

  • The value of transaction data: Capturing modelability information

  • Static data impact of FRTB

  • Use of data vendors, market utilities and outsourcing

  • Increase in required computational resources

Speaker:
Thomas Obitz
, director, RiskTransform 

5:00

End of course