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? 

  • Review of the BCBS/EBA 2018 consultative proposals

  • CRR2-mandated delegated acts: timeline, review of details published to date, industry position

  • Review of (potential) US consultation, and published positions in other jurisdictions

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

  • Implementation challenges and approaching the approval process

  • Governance and control challenges 

Speaker: Neels Vosloo, head of EMEA regulatory risk, Bank of America Merrill Lynch 

10:30

Morning break

10:45

Revised standardised approach (SA) 

  • The capital calculation framework of FRTB 

  • The components of the standardised approach (SA) 

  • The sensitivities based approach 

  • Where SA does not quite work - caveats 

  • Key considerations for banks who apply SA 

  • Business, process and data implications of SA implementation 

  • The eligibility and application of simplified alternative to SA 

Speaker: Thomas Obitz, director, RiskTransform

12:00

Lunch

1:00

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 

Speaker: Thomas Obitz, director, RiskTransform

2:30

Afternoon break

3:00

Modelable and non-modelable risk factors 

  • Capital impact of non-modelable 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

Speaker: Thomas Obitz, director, RiskTransform

4:30

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 

Speaker: Thomas Obitz, director, RiskTransform 

5:30 

End of Day One 

Day Two: Thursday, December 5, 2019

08:30

Refreshments

09:00

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 

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 

Speaker: Sofia Spinelli, financial risk quantitative analyst, UniCredit S.p.A

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*