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 08:30: Registration and Morning Welcome Coffee 


Thomas Obitz: Director


Reviewing the Impact of the “finalised” Basel 3 Reforms

Keynote: Dilip K. Patro: Section Chief, Quantitative Model Analysis, Federal Deposit Insurance Corporation (FDIC)

09.00 – 09.45: Finalized Basel 3 approach to capitalization of CVA 

  • BA-CVA vs SA-CVA
  • Model review and approval for SA-CVA
  • How will the changes impact BAU risk management and stress testing 

09.45 – 10.30: “Re-evaluating FRTB Implementation” 

  • Impact of the “finalised” Basel 3 package and other recent proposals on banks’ FRTB programmes
  • How has regulators’ approaches to FRTB implementation changed?
  • After the recent Discussion and Consultation papers, where do we stand on FRTB finalisation?
  • A view on remaining technical challenges and uncertainties 

Presenter: Neels Vosloo: Head of EMEA Regulatory Risk, BAML

 10.30 – 11.00: Morning Break and Networking Opportunities

11.00 – 11.45: Chebyshev Spectral Decomposition for CVA-FRTB and IMA-FRTB Computational Challenges 

  • Chebyshev Polynomials and Spectral Decomposition – fundamentals
  • Exponential Convergence of Pricer via Chebyshev
  • The dimensionality reduction challenge
  • Applications to CVA-FRTB
    • ultra-efficient finite difference sensitivities via Chebyshev methods
    • forward simulation of CVA capital
  • Applications to IMA-FRTB
    • ultra-efficient IMA-FRTB calculations
    • Pricer “cloaning” from FO pricing engines to Market Risk systems
  • Chebyshev techniques in view of the latest FRTB updates 

Presenters: Ignacio Ruiz: Founder & CEO, MoCaX Intelligence 

11.45 – 12.30: Regulatory Review Panel: Impact of the “finalised” Basel 3 package on banks’ FRTB programmes

  • Review “finalised” Basel 3 Package Regarding Current Timelines Discuss regional implementation versus global standardizationUK vs. Europe (Impact of Brexit) vs. Rest of the World
    • Understanding other global approaches and concensus to reach a level playing field
    • Model approval, capital floors and backtesting requirements
    • The timelines across regional regulators
  • Discuss the Impact in Europe if US do not implementing full package
  • Do we expect regulators to strongly enforce the requirement to explicitly capture migration risk in ES, and if so do we expect banks to be able to meet this requirement without fundamentally changing their approach to specific risk modelling?
  • How do we envisage dealing with situations where a trading desk spans multiple jurisdictions?
  • What is still to come before 2019/20 on FRTB
    • Post implementation impacts
    • Discuss any potential unintended consequences of FRTB 
  • Alignment of FRTB with other regulations
    • Consistency with MiFID
    • Crossover with other regulations: MiFID, IFRS 9, SA-CCR etc.  
  • Discuss the Impact of FRTB on XVA’s:   
    • How will the latest proposed regulations impact CVA calculations
    • Review what are the most important factors to take into account when calculating the new CVA
    • Calculating & Implementing FRTB CVA. How will it affect banks’ internal modelling for counterparty risk and risk management? 


  • Thomas Obitz: Director, RiskTransform


  • Dilip K. Patro: Section Chief, Quantitative Model Analysis, Federal Deposit Insurance Corporation (FDIC)
  • Neels Vosloo: Head of EMEA Regulatory Risk,BAML
  • Santosh Erukulla: Director, Regulatory Advisory, Strapper Consulting
  • Ignacio Ruiz: Founder & CEO, MoCaX Intelligence
  • Zeeshan Khalid: Partner, Risk and Compliance London, Trestle Group

 12.30 - 13.30: Lunch

13.30 - 14.15: Latest FRTB rules - Impact Through the Front Office Lens  

  • Standardised approach - is this a real alternative to IMA
  • PLA traffic light approach - desks eligibility for IMA 

Presenter: Zeeshan Khalid: Partner, Risk and Compliance London, Trestle Group

14.15 - 15.00: Can AI help FRTB?” 

“Time Series Data & FRTB - time to get it right”  

  • Defining the challenge
  • Assessing AI approaches
  • Capturing the data
  • Analysis and next steps  

Presenter: John Barclay: Managing Director, RiskTensor 

 15.00 – 15.30: Afternoon Break and Networking Opportunities

15.30 - 16.30: 'Nuts & Bolts of Non Modellable Risk Factors'

  • Re-cap of regulations on NMRFs and the areas of uncertainty 
  • NMRF framework & Operating Model
  • Modellability of 0 dimensional (spot), 1 dimensional (term structure) and 2 dimensional (surfaces) risk factors
  • Capitalisation of risk factors
  • Leveraging other regulatory initiatives for observations data and
  • How to choose a data pooling utility   

Presenter: Santosh Erukulla: Director, Regulatory Advisory, Strapper Consulting 

16.30 - 17.30: Understanding and Managing the Impact of NMRFs on Profitability, Risk Management and Operating Model  

  • Why so many NMRFs? The wicked properties of trade arrival patterns
  • Drivers for the impact of NMRF on capital demand, limits of observability and the inevitable conversation with the regulator
  • Credibility of observations, the “clear and apparent relationship” and the inevitable conversation with your traders
  • Trade-offs in risk factor definition
  • Risk management in the presence of NMRF – when regulatory capital and economic risk do not align anymore
  • Operational framework around NMRF: From product development through the lifecycle
  • Potential operating model and data integration with a market data utility
  • Relationship with IFRS9
  • Market structures and liquidity regimes: Should a bank actively manage modellability?  

Presenter: Thomas Obitz: Director, RiskTransform