Agenda

Agenda

Fundamental Review of the Trading Book – London

Course Agenda*

Day One: Wednesday, December 4, 2019

08:30

Registration and refreshments

09:00

Reviewing the latest FRTB consultations 

  • Status of FRTB implementation: where are we now? 

  • Interpreting the BCBS/EBA 2018 consultative proposals and latest regulatory position 

  • Consistency and crossover with other regulations (MiFId, BCBS 239, IFRS 9) 

  • Implementation challenges and approaching the approval process 

  • Governance and control challenges 

10:30

Morning break

10:45

Practical implementation of FRTB Standardised Approach and Internal Model Approach

  • Brief history of Internal Model Approach vs. Standardised Approach and best practices 

  • Standardised Approach

    • Linear charge 

    • Credit risk & interest rate risk 

    • Curvature charge 

    • Volatility 

  • Internal Model Approach

    • Operational challenges of switching from VaR to Expected Shortfall 

    • Validation challenges 

    • Stress calibration 

    • Results from impact studies 

12:00

Lunch

1:00

Overcoming P&L attribution and P&L calculation 

  • P&L attribution test – what it means for your organisation 

  • Hypothetical and risk-theoretical P&Ls 

  • Risk factor coverage 

  • Implementation challenges 

  • Aligning the P&L approach with the risk approach 

  • Practical example of the P&L test 

  • Strategies for approaching the backtesting test 

  • Ensuring data is available and accurate

2:30

Afternoon break

3:00

Addressing the data challenges of FRTB

  • Understanding how to manage your data 

  • System challenges of FRTB 

  • Using data to your advantage 

  • Aggregation of different data from various systems 

  • Increase in required computational resources 

  • Sourcing quality data – outsourcing 

4:30

End of Day One

Day Two: Thursday, December 5, 2019

08:30

Refreshments

09:00

Modellable & Non-Modellable Risk Factors (NMRF) 

  • Definitions and clear boundaries: what constitutes a NMRF? 

  • Data criteria for NMRF and addressing data pooling issues 

  • Market data modelability 

  • Capitalisation of NMRF 

  • Stress testing 

  • Reviewing data and system requirements associated with NMRF

10:30

Morning break

10:45

Default Risk Charge 

  • What is the Default Risk Charge? 

  • What are the similarities and differences between DRC and the Incremental Risk Charge? 

  • Key assumptions – standardised approach DRC

  • Key modelling choices in IMA DRC 

  • Contrasting DRC implementation and modelling choices for SA vs IMA approaches 

  • Addressing issues in implementation and capital management 

12:00

Lunch

1:00

Obtaining desk level approval 

  • FRTB vs. Basel 2.5 

  • Desk structure granularity 

  • IMA approval process 

  • IMA advantages and challenges 

  • Desk structure strategy and optimisation 

  • Diversification behaviours between approaches 

  • IMA loss of approval (cliff effect) 

2:30

Afternoon break

3:00

Requirements of the banking book/trading book boundary 

  • Definition of banking book & trading book 

  • Operating the new prescriptive rules 

  • Interaction between FRTB and IFRS 9 

  • Internal risk transfers – practical challenges 

  • Funding patterns under FRTB 

4:30

End of course


*Agenda is subject to change*