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 08:30: Morning Welcome Coffee 

 Chair:  

Satinder Jandu: Director

Viewset Ltd  


Keynote: Adolfo Montoro: Director of Market Risk Methodology, Deutsche Bank

09.00 – 09.45: FRTB and Model Use Test 

FRTB Implementation: Where are we now?

  • Status of FRTB implementation
  • Interpretation of existing rules
  • Implementation challenges
  • Interplay between the entire framework
  • Regulatory perspective - Governance & Control
  • Approaching the approval process
  • Consistency/Crossover with MiFID , BCBS 239, IFRS 9 etc. 
  • What are the FAQ's and how are these dealt with by Basel?   

09.45 - 10.30: FRTB Practical Implementation Challenges

  • Risk Factor Modelling
  • PLA Test
  • MA Idiosyncrasies
  • IMA Idiosyncrasies application to Emerging Markets
  • SBA Idiosyncrasies – Calibration, Cliff effects, Disjoint Risk Silos
  • BA Idiosyncrasies – Low correlation scenario
  • SBA Idiosyncrasies - Commodity Base Metals example
  • Budget constraints vs. Capital visibility – The regulatory Spanner in the works
  • Optimizing SBA / IMA usage and mixed approaches

Presenter: Sylvain Martinez: Head of Market Risk and Analytics, ICBI Standard Bank   


 10.30 – 11.00: Morning Break and Networking Opportunities


11.00 - 11.45: Internal Default Risk Model: Simulation of Default Times And Recovery Rates within the New FRTB Framework

This paper presents a new default risk model for market risk that is consistent with the requirements put forward by the Fundamental Review of the Trading Book. In particular, the model features correlated default times and stochastic recovery rates by exploiting the observed correlation between default frequency and average recoveries in historical data. Besides setting the mathematical background, we present numerical results and impacts of the various model parameters. 

Presenter: Luca Lopez: Financial Risk Quantitative Analyst, UniCredit


11.45 – 12.30: FRTB Panel Discussions: 

Review of The latest Modelling, Model Validation & Capital Requirements Challenges

  • Discuss the Revised Minimum Capital Requirements for Market Risk and their draft translation into European law
  • Discuss the Interplay Between Capital and Collateral from Regulatory and Modelling Perspectives 
  • Model Validation under FRTB
    • Review the validation aspects for the new internal models Under FRTB
    • Discuss the Internal Model Validation Process
    • Elegibility of Trading Activities for IMA
    • Capital and collateral requirements: regulatory developments and timelines
  • Overcoming the latest Modelling Challenges for SBA and IMA
  • Assess the Pro’s And Con’s of IMA Implementation or using Standardised Approaches
  • Using the standardised approach in parallel with Internal Models
  • Discuss the outstanding issues in the Standardized Approach
  • In the standardised approach what are the complexities that are expected?

Desk Eligibility - How to Implement the P&L Attribution and the Challenges behind NMRF  

  • Latest interpretation of Eligibility test stemming from CRR publication
  • Discuss Implementation challenges behind NMRF and eligibility test such as Risk Theoretical P&L attribution
  • Ongoing desk eligibility for IMA – Implementation challenges in P&L attribution and backtesting
  • Discuss the current P&L testing issues
  • NMRFs and Data Availability
  • Potential challenges for using 3rd party vendors for the modellability assessment
  • Challenges posed by effective implementation of Non-modelable Risk Factors (NMRF)
  • Discuss Modellable and Non-Modellable Risk Factors: Assessment & Interpretations of The Current Regulations Given the huge step in data quality that will be required to meet P&L explain and backtesting requirements under FRTB, how well prepared do we expect banks to be for this?
  • Discuss the model validation challenges for the FRTB modelling approaches, NMRFs & Expected Shortfall
  • Examining the capital implications of NMRFs and the impact on products

Moderator:

  • Adolfo Montoro: Director of Market Risk Methodology, Deutsche Bank

Panel: 

  • Sylvain Martinez: Head of Market Risk and Analytics, ICBI Standard Bank
  • Satinder Jandu: Director, Viewset Ltd
  • Dionisis Gonos: Director, Co Head Quantitative Analytics for Market Risk, Barclays
  • Tim Becker: Vice President, Risk Methodology, Deutsche Bank
  • Luca Lopez: Financial Risk Quantitative Analyst, UniCredit

 12.30 – 13.30: Lunch


13.30 – 14.15: Learning More about the Non-Modellable Risk Factor Framework:   

Observability Assessment   

  • How many risk factors will be non-modellable
  • What risk factors do we expect to be non-modellable across markets
  • Is data pooling the solution   

Capitalisation of NMRFs   

  • EBA’s feedback on capitalisation
  • Consrevativeness of the aggregation scheme
  • Illustrating the appropriateness of the zero-correlation assumption 

Presenter: Tim Becker: Vice President, Risk MethodologyDeutsche Bank  


14.15 - 15.00: Delivering IMA – Closing the FRTB Gap 

  • How to identify the FRTB GAP for IMA (Calculators)
  • How to close the GAP – what works and what doesn’t
  • Key dependencies
  • Lessons learnt  

Presenter: Satinder Jandu: Director, Viewset Ltd 


   15.00 – 15.05: Quick Afternoon Break 


  • What happens at the handover of Capital
  • Deeper dive into PL strip tagging and why it’s important.
  • Analytics and drill down – Dimensions and Measures
  • Internal reporting impacts
  • Other downstream stakeholders

 End of conference