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 08:30: Registration and Morning Welcome Coffee 

Chair: Thomas Obitz, FRM

Thomas Obitz: Director

RiskTransform 

 


Reviewing the Impact of the “finalised” Basel 3 Reforms


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

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 now that Basel 3 is ‘final’”  

  • Impact of the “finalised” Basel 3 package on banks’ FRTB programmes
  • What we know about regulators’ approaches to FRTB implementation
  • Where do we stand on FRTB finalisation?
  • Areas where disagreement or uncertainty about technical details remain 

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


 10.30 – 11.00: Morning Break and Networking Opportunities


11.00 – 11.45: Comparison of Different Accelerating Techniques for IMA-FRTB 

Ignacio Ruiz

  • System constrains in IMA-FRTB: the computational challenge
  • Review of pricing techniques: full-revaluation, Greeks first order, Greeks second order, Grids with linear interpolation
  • A novel approach: Algorithmic Pricing Acceleration (APA) applied to IMA
  • A benchmark study: the performance of each technique on a sample portfolio of swaps, Bermudan swaptions and exotic barrier options. We show results with numbers and metrics to the whole portfolio.
  • The P&L attribution test in each technique: which ensures you will pass it always? 

Presenters: Ignacio Ruiz: Founder & CEO, MoCaX Intelligence & Udit Mahajan: Co-Head of Market Risk Projects, Deloitte  


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? 

Moderator: 

  • Thomas Obitz: Director, RiskTransform

Panel:   

  • 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 

 12.30 - 13.30: Lunch


13.30 - 14.15: Data Management & System Challenges 

  • 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?
  • Role of fin-tech and vendors

Presenter to be confirmed


14.15 - 15.00: FRTB Data Management & System Challenges 

  • Managing SA data challenges
  • Products to Risk factor mapping
  • System challenges of sensitivity calculations
  • Managing IMA data challenges
  • Availability of third-party solutions - Role of fin-tech and vendors
  • Market Risk Capital optimization under FRTB

Presenter to be confirmed


 15.00 – 15.30: Afternoon Break and Networking Opportunities


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

Santosh Erukulla

  • 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  

Thomas Obitz, FRM

  • 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