Agenda

Agenda

Fundamental Review of the Trading Book (FRTB) | Agenda

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Live virtual course | Agenda timing is in HKT/SGT

Respective time in AEST:
Start: 11:00am
Break: 1:00pm
Finish: 2:15pm
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09:0010:00

Reviewing the implementation of FRTB: Where are we now?

10:00 - 11:00

  • Current status of FRTB implementation
  • Adoption plans and regulatory progress
  • Regulatory implementation: localisation levers and objectives
  • Dealing with the implementation challenges and areas for improvement
Gaël Robert

Head of Risk Analytics

Mizuho

I am currently heading the Global Risk Analytics function at Mizuho.


I have started my career at Societe Generale's Economic Research Department focusing on the Eurozone. I have then worked on Counterparty Credit Risk modelling for Societe Generale, Deutsche Bank and Rabobank International in Paris, Tokyo, Hong Kong and London, putting in place centralised Monte Carlo frameworks, developing targeted solutions for wrong-way risk and non-vanilla transactions.


I hold a M.Sc. in Statistics & Economics from ParisTech ENSAE and a Master’s Degree from Sciences-Po Paris. I am a CQF and GARP FRM alumni.

10:0011:00

The Trading Book/ Banking Book Boundary

10:00 - 11:00

  • 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

11:0011:15

Break

03:00 - 03:15

11:1512:15

Modellable & Non-modellable risk factors

10:00 - 11:00

  • Definition and boundaries of NMRF
  • Modellability criteria and the changes in FRTB 2020
  • Risk factors under FRTB
  • Capital impact of non-modellable risk factors
  • Data criteria for NMRF and data issues
  • Use of proxies and vendor data
  • Trade-offs in risk factor modellability
Dr. Gary (Ligong) Yang

Head of Quantitative Risk and Stress Testing APAC, Director

Citigroup

Gary is Head of Quantitative Risk and Stress Testing APAC in Citigroup. He oversees Citi’s quantitative modelling team to provide analytic solutions for market risk, counterparty credit risk and wholesale credit risk. Gary joined Citi in London after working with a London-based hedge fund Brevan Howard. He received his PhD degree from Cambridge University, UK and his Bachelor degree from Peking University, China.

09:0010:00

Revised Standardised Approach (SA)

02:00 - 03:00

  • The capital calculation framework of FRTB
  • The key components of the Standardised Approach (SA)
  • The Sensitivities Based Approach
  • Key considerations for banks who applying SA
  • Business, process and data implications of SA implementation
  • The eligibility and application of Simplified Alternative to SA

10:0011:00

Revised Internal Model Approach (IMA)

10:00 - 11:00

  • IMA model overview – VaR to ES
  • Trading desk selection criteria for IMA
  • IMA model approval – key considerations
  • IMA model approval – key challenges for banks
  • IMA computational burden

11:0011:15

Break

03:00 - 03:15

11:1500:15

P&L Attribution Test and Desk Strategy

10:00 - 11:00

  • 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’s team was responsible for approving all bilateral legal documentation for UMR, and was integral in optimising the business for the Uncleared Margin regulation including running roadshows for clients globally on uncleared margin and mandatory clearing.

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. 

09:0010:00

Default risk charge (DRC)

10:00 - 11:00

  • 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

10:0010:15

Break

03:00 - 03:15

10:1511:15

Operating Model, Data Management and System Challenges

10:00 - 11:00

  • Impact of FRTB on processes and operating model
  • Analytics and data integration requirements of FRTB
  • The value of transaction data: Capturing modellability information
  • Use of data vendors, market utilities and outsourcing
  • Increase in required computational resources and challenges