Agenda

Agenda

Approaches to FRTB Implementation: Agenda

Live virtual course | Agenda timing is in GMT/EST

Start: 2pm GMT / 9am EST
End: 4.15pm GMT/ 11.15am EST

14:0015:00

Reviewing the implementation of FRTB so far

02:00 - 03:00

  • Status of FRTB implementation

  • Standardised approaches

  • Where is standardised approach not working

  • Banking book and trading book boundary

  • Calculation of capital

  • Uncertainties and areas for improvement

Anna Holten Møller

Senior Risk Analyst

Nykredit

15:0015:15

Break

03:00 - 03:15

15:1516:15

Assessing the 2019 revisions

03:15 - 04:15

  • Evaluating the relative potential impacts of the 2019 interventions
  • Consistency and crossover with other regulations (MiFID, BCBS 239, IFRS 9)
  • Trading versus banking book boundaries
  • Treatment of specific cases
  • Status of FRTB implementation: where are we now and where do we go next? 
Subas Roy

Senior partner

Oliver Wyman & global chairman, International RegTech Association

Subas is a senior Partner in Oliver Wyman with 23 years of strategic consulting experience in Banking and Financial Services inorganic growth, digital innovation and digital transformation. He has led and designed Digital Innovation, Regulatory and Financial Inclusion strategies for multiple central banks and regulators across Western Europe, North America and Asia Pacific regions. 

Subas currently runs a growing management consulting business in Oliver Wyman with 24 revenue generating Partners and another ~120 consultants with YoY global revenue of ~$130MM focusing on (a) digital strategy and acceleration including market infrastructure reorganisation; (b) digitalization of risk and regulatory compliance in banks and regulators; and (c) cost optimization across 3LoDs in tier-1 banks and FIs including corporate finance advisory for buyout and other strategic options.

Prior to Oliver Wyman, Subas was a senior Partner at two Big4 Professional Services (2011-2017 at Ernst & Young, and 2005-2010 at PricewaterhouseCoopers) responsible for developing global strategy advisory practice for Banking transformation fueled by disruption and technological advancement, supported with proper people and process strategies, and how to deliver an accelerated digital change, ethically and responsibly in a growing, emerging economy. In Thailand, he led digital banking transformation for 2 of the top 3 Banks head quartered in Bangkok over a period of 4 years.

Subas is also the Founder and currently non-executive Global Chairman of the International RegTech Association (IRTA), a premier non-profit association representing the RegTech firms, central banks/regulators, and innovators in ~30 countries.

Previously he has held External Advisory Board appointments to the United Nations Capital Development Fund (UNCDF) on two digital innovation missions in South-east Asia, including creating a digital identify platform in Nepal and helping the Ministry of Electronics and Information Technology of India to develop a digital identification platform (Aadhar) for 1.3BN Indian citizens.

Subas has also held international Expert Panel chair and member roles at the Harvard University Kennedy School of Business and Government on public policies, the Gates Foundation, and the United Kingdom FinTech Innovation Committee under the rules of the Her Majesty’s Treasury (HMT) division. 

14:0015:00

Ibor transition and FRTB

02:00 - 03:00

  • Will the regulator play a role

  • Back filling data proxies

  • Creating a holistic plan for both transitions

  • New risk factors

  • Consequential impacts

Navin Rauniar

Partner & Director

PRMIA

Navin is an independent risk director with over 16 years’ experience in advising the sell side on front to back risk and regulatory matters. Navin also specialises in the delivery of Risk Methodologies, Models & Governance for Tier One and Tier Two investment banks; whilst spearheading the analysis for IBOR Transition, FRTB, IRRBB, Basel IV, CRR 2 and CRD V offerings. He most recently worked as a Senior Manager at a leading global advisory firm where he led the analysis of the impact of the LIBOR Transition on financial institutions. 

Prior to this, Navin spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, CRO and Operations. Navin is a member of the Professional Risk Managers Association and sits on the London Chapter Steering Committee. Navin supports the CRO community via mentoring of risk professionals and the organisation of risk, regulatory & leadership events. 

15:0015:15

Break

03:00 - 03:15

15:1516:15

Addressing the data challenges of FRTB

03:15 - 04:15

  • P&L Attribution and VaR Backtesting

  • Understanding how to manage your data 

  • Historical data maintenance 

  • Using data to your advantage 

  • Desk level aggregation 

  • Data consistency 

  • Sourcing quality data – outsourcing 

Anna Holten Møller

Senior Risk Analyst

Nykredit

14:0015:00

Modellable & non-modellable risk factors

02:00 - 03:00

  • 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

15:0015:15

Break

03:00 - 03:15

15:1516:15

The importance of desk structure

03:15 - 04:15

  • FRTB vs. Basel 2.5
  • Desk structure granularity
  • Desk level tests
  • IMA vs Standardised
  • Desk structure strategy and optimisation
  • Desk level reporting and monitoring
  • Optimising business structure for standardised
Dipak Chotai

Managing director

JD Risk Solutions

Dipak Chotai is the founder of a specialist consultancy firm, JD Risk Solutions, and is a veteran of risk management. He was most recently a Managing Director at UBS reporting into the Global Head of FX, Rates and Credit as the Head of Risk Management for the fixed income business, and was part of the IB leadership team. 

Dipak was also responsible for FRTB implementation for the business sitting on cross business committees, industry working groups and initiatives. 

Throughout his 17-year tenure at UBS, Dipak has occupied roles within technology, middle office, and front office. Notably, Dipak was a senior trader on the XVA desk during the financial crisis. 

Dipak has also served on CCP Risk Committees and Default Management Committees, and on the boards of OTCDerivNet and CreditDerivClear. 

14:0015:00

How will technology affect the FRTB transition?

02:00 - 03:00

  • Data infrastructure
  • Cloud
    • Data Lakes
    • Risk Calculations
  • How practical and effective are these solutions?
  • Computational challenges
  • Utilising technology that supports data management challenges
Qun Zuo

Managing director

EY

15:0015:15

Break

03:00 - 03:15

15:1516:15

Model risk management under FRTB

03:15 - 04:15

  • Incorporating a whole new set of risk models
  • Validation of internal models ( IMA)
  • External validation by regulation
  • The correct sequences: meeting the regulators expectations
Philipp Schröder

Senior Manager

PwC

Philipp is a Senior Manager in PwC Germany‘s Quantitative Risk Advisory team and is coordinating the PwC offering for FRTB Internal Models throughout Continental Europe. He works primarily in the areas of market risk internal models and quantitative risk management. He has assisted a number of clients on projects related to the introduction and validation of FRTB models or model components.

Before joining PwC Philipp was working with a German based consultancy which specializes in quantitative risk management. His clients include various international commercial banks. His latest engagements focus on Market Risk and Counterparty Risk Model validations and policy frameworks.