Tue, Jun 19, 2018Event Details for Trading Book Capital: Market & Counterparty Risk Register Now for Trading Book Capital: Market & Counterparty Risk
The post-crisis regulatory reform highlighted an increasing focus for the regulators on the capital requirements for trading book activities (Market Risk and Market Value of Counterparty Risk).
The Fundamental Review of the Trading Book will have profound consequences on the way market risk capital is calculated for trading businesses. It changes every aspect of market risk models, introducing a new and more sophisticated Standardised Approach as well as making fundamental changes to internal models. Furthermore it redefines the boundary between the trading book and banking books having significant implications for desk structures.
In December 2017, the BCBS finalised the Basel III framework and published the revised CVA framework. The revised CVA framework confirms the elimination of internal models for CVA risks, mandating the use of the standardised (SA-CVA) and basic (BA-CVA) approaches.
ISDA leads the industry working groups on trading book capital and the conference speakers are all expert practitioners who have been directly involved in the development and evolution of the financial regulation.
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Tuesday, May 22, 2018
8:15 AM Registration and Continental Breakfast
9:00 AM Introduction and Welcoming Remarks Panayiotis Dionysopoulos
9:10 AM Keynote Address Rama Cont
9:30 AM Trading / Banking Book Boundary Shearin Cao
- Objectives of the revised trading/banking book boundary
- Rules for determining instruments’ designation
- Internal Risk transfers between the banking book and the trading book
- What are the changes banks need to consider?
10:15 AM Morning Break
10:45 AM Standard Rules Chris Tebbet
- Calculation of delta, vega, curvature
- Treatment of indices and securitisations
- Residual Risk add on
- SA Default Risk Charge
- Implementation challenges
11:30 AM Credit Valuation Adjustment (CVA) Jonathan Berryman, Anant Gajjar
- Overview on the Revised CVA Framework (Dec. 2017)
- Is the Basic Approach (BA-CVA) still conservative?
- Regulatory CVA vs Accounting CVA – Analogies and differences
Anant Gajjar, Capital Manager, Global Markets, HSBC Bank Plc
12:30 PM Luncheon
1:30 PM Keynote Address David Phillips
2:00 PM Internal Models Approach Adolfo Montoro
- Moving from VaR to Expected Shortfall
- Default Risk Charge
- Model Validation Process
3:00 PM Afternoon Break
3:30 PM Non Modellable Risk Factors James Selfe
- Overview of the new requirements
- Main Implementation Challenges
- Evidence from Industry analysis
4:15 PM Panel Discussion Moderator: Panayiotis Dionysopoulos, Andrei Greenberg, Adolfo Montoro, Alan Smillie, Amol Tandon, Thibaut Tirolien
- FRTB – What are the technical amendments?
- Implications and potential benefits from the revised implementation timeline
- Impacts on capital and economic returns for trading book activities
- What next? Transposition into local regulations
Andrei Greenberg, FRTB Risk Modelling Lead, BNP Paribas
Adolfo Montoro, Director, Risk Methodology, Deutsche Bank AG
Alan Smillie, Head of Capital & Ratings Methodology, Nomura
Amol Tandon, Executive Director, JPMorgan Chase & Co
Thibaut Tirolien, Capital Manager, HSBC Bank Plc
5:15 PM Conference Concludes
VenueBack to Top
Allen & Overy LLP, One Bishops Square, London, E1 6AD. Phone +44 (0) 203 808 9700. A map to the venue can be found here. You will be required to provide photo identification in order to enter the venue. Please ensure you present this at the ground floor reception or you may be refused entry.
SpeakersBack to Top
Senior Vice President, Risk Strategy
FRTB Regulatory Liaison
Chair of Mathematical Finance
Imperial College London
Head of Capital
International Swaps and Derivatives Association, Inc.
Capital Manager, Global Markets
HSBC Bank Plc
FRTB Risk Modelling Lead
Director, Risk Methodology
Deutsche Bank AG
Head of Traded Risk Measurement, Traded Risk, Supervisory Risk Specialists
Bank of England
Head of Risk Analytics
MUFG Securities EMEA
Head of Capital & Ratings Methodology
JPMorgan Chase & Co
Market Risk Models and Methodology FRTB
HSBC Bank Plc
Course LevelBack to Top
Some knowledge of derivatives is assumed. No advance preparation is required.