Also available in New York: March 10 - 11 2016
Wednesday 10th February: Pre-Conference Workshop Day:
A Comprehensive Overview of The Latest Version of The Fundamental Review of The Trading Book Framework by Adolfo Montoro
- Adolfo Montoro: Director, Market Risk Management, Deutsche Bank
- Michele Marzano: Senior Regulatory Risk Analytics Manager, HSBC
- Sylvain Martinez: Head of Market Risk and Analytics, ICBC Standard Bank
- Vladimir Chorniy: Head of Group Risk, Modelling Strategy, BNP Paribas
- Rita Gnutti: Head of Internal Model Market & Counterparty Risk, Intesa Sanpaolo
- Lucia Cipolina Kun: Regulatory and Risk Analytics, HSBC
- Andrew Green: Head of Quantitative Research - CVA / FVA Quantitative Research, Lloyds Bank
- Mirela Predescu: Deputy Head, Credit – Market and Counterparty Risk Methods and Analytics, BNP Paribas
- Peter Quell: Head of Portfolio Modelling for Market and Credit Risk, DZ Bank
- Peter Eisenhardt: Secretary General, The International Council of Securities Associations
- Alejandro Gomez: Lead Analyst, CRISIL Global Research & Analytics
- Neels Vosloo: Director, Head of Traded Risk Modelling, Deloitte
- Anastasios Zavitsanakis: Director, FS Risk Consulting, PWC
- Stéphane Thomas: Managing Partner, PHAST Solutions Group
- et al...
This year's topics include:
- Regulatory timelines and what could change in the future?
- Trading Book and Credit Risk: Bending the Binds
- IDR In The FRTB Best Practices For Modelling Incremental Default Risk In Fundamental Review Of The Trading Book
- Incremental Default Risk & Default Risk Modelling Comparison in The FRTB
- Comparing The Internal Model And The Standardised Approach
- Assessing the Evolution, Requirements and Eligibility of the Internal Models
- Validation aspects for the new internal models under FRTB
- Backtesting for Regulatory and Model Validation Purposes under FRTB
Sensitivity Based Approach:
Governance around the model
Implementation Challenges Behind NMRF and Eligibility Testing Risk Theoretical P&L Attribution
How to implement the PnL attribution
VaR Backtesting in practice
NMRFs and data availability for OTC trades Securitization models
Relationships between the FRTB and ISDA’s Standard Initial Margin Model (SIMM)
FRTB, FRTB-CVA and implications for capital valuation adjustment (KVA)
- Introducing BCBS-325 / FRTB-CVA
- How the proposal changes the calculation of CVA Capital from Basel III
- Implications for CVA Trading Desks and CVA Management
- Impact on Capital Requirements and KVA
Conference Bookings: Discount Structure:
- Early Bird Discount: 20% Before 18th December
- Early Bird Discount: 15% Before 22nd January
- Main Conference + Workshop (£150 Discount)
- SPECIAL OFFER: When 2 colleagues attend the 3rd goes free!
- 70% Academic Discount (FULL-TIME Students Only)
Conference presentation files will be made available for download via a password protected website before the event. Please print out each presentation if you wish to have hard copies before the conference and bring them with you.
Also, Wi-Fi access will be available at the hotel venue to view presentations on laptops and mobile devices.
Massimo Morini: Head of Interest Rate & Credit Models, Banca IMI
"Thanks to the very detailed talks and well-planned panels, the Fixed Income Conference in Barcelona has been the most vibrant and interesting event on XVAs I have seen this year."
Fabrizio Anfuso: Head of CCR Backtesting Methodology Team, Credit Suisse
"Many thanks for the invitation and the great organisation! I have been now 6y in the industry attending conferences on a regular basis. This was by far the best event I have taken part to!"
Eirik Berg: Risk manager, DNB Markets
"Thanks for organizing a very useful and inspiring conference. For me most of the topics were directly related to things I work on"
Nick Haining: Chief operating Officer, CompatibL
"Once again WBS maintained their ability to bring advanced practitioners together in a great environment conducive to both social and technical discussion. They really excel at this.”
Philippe Balland FX, Rates & Credit Quant
"Thank you for inviting me to the Barcelona event. I have truely enjoyed the conference. The organisation and location of the event were fantastic! It was a great occasion to catch up on the latest developments in a very relaxed and collegiate atmosphere."
"Thank you very much for a great conference. Well organized, with top speakers, good discussions, nice ambiance, the conference was very informative and inspiring. I also liked the venue a lot – good hotel at great location. Hope to be back!"
Ignacio Ruiz: iRuiz Consulting
"Nice event last week! Very well organised."
"Thanks again for a great event in Barcelona!"
Manager, Portfolio Analytics
"The organization was very good, thanks for the invite."