Agenda

Agenda

Agenda: FRTB

02:0003:00

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

03:0003:15

Break

03:00 - 03:15

03:1504:15

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? 

02:0003:00

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

03:0003:15

Break

03:00 - 03:15

03:1504:15

Addressing the data challenges of FRTB

03:15 - 04:15

  • Understanding how to manage your data
  • Historical data maintenance
  • Using data to your advantage
  • Desk level aggregation
  • Data consistency
  • Sourcing quality data – outsourcing

02:0003:00

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

03:0003:15

Break

03:00 - 03:15

03:1504:15

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. 

02:0003:00

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

03:0003:15

Break

03:00 - 03:15

03:1504:15

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