Trading Book Capital: FRTB & CVA

Tuesday, May 22, 2018

Member $850 U.S.

Non-Member $975 U.S.

Register for Trading Book Capital: FRTB & CVA

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

Panayiotis Dionysopoulos, Head of Capital, International Swaps and Derivatives Association, Inc.

9:10 AM Keynote Address Rama Cont

Rama Cont, Chair of Mathematical Finance, Imperial College London

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?
Shearin Cao, FRTB Regulatory Liaison, Credit Suisse

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
Chris Tebbet, Market Risk Models and Methodology FRTB, Credit Suisse

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
Jonathan Berryman, Senior Vice President, Risk Strategy, FIS
Anant Gajjar, Capital Manager, Global Markets, HSBC Bank Plc

12:30 PM Luncheon

1:30 PM Keynote Address David Phillips

David Phillips, Head of Traded Risk Measurement, Traded Risk, Supervisory Risk Specialists, Bank of England

2:00 PM Internal Models Approach Adolfo Montoro

  • Moving from VaR to Expected Shortfall
  • Default Risk Charge
  • Model Validation Process
    • Backtesting
    • PLA
Adolfo Montoro, Director, Risk Methodology, Deutsche Bank AG

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
James Selfe, Head of Risk Analytics, MUFG Securities EMEA

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
Moderator: Panayiotis Dionysopoulos, Head of Capital, International Swaps and Derivatives Association, Inc.
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

Register Now for Trading Book Capital: FRTB & CVA
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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.

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Jonathan Berryman

Senior Vice President, Risk Strategy


Shearin Cao

FRTB Regulatory Liaison

Credit Suisse

Rama Cont

Chair of Mathematical Finance

Imperial College London

Panayiotis Dionysopoulos

Head of Capital

International Swaps and Derivatives Association, Inc.

Anant Gajjar

Capital Manager, Global Markets

HSBC Bank Plc

Andrei Greenberg

FRTB Risk Modelling Lead

BNP Paribas

Adolfo Montoro

Director, Risk Methodology

Deutsche Bank AG

David Phillips

Head of Traded Risk Measurement, Traded Risk, Supervisory Risk Specialists

Bank of England

James Selfe

Head of Risk Analytics

MUFG Securities EMEA

Alan Smillie

Head of Capital & Ratings Methodology


Amol Tandon

Executive Director

JPMorgan Chase & Co

Chris Tebbet

Market Risk Models and Methodology FRTB

Credit Suisse

Thibaut Tirolien

Capital Manager

HSBC Bank Plc

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Some knowledge of derivatives is assumed. No advance preparation is required.

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