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.

Jump to Section:

Tuesday, May 22, 2018

8:15 AM Registration and Continental Breakfast

9:00 AM Introduction and Welcoming Remarks

9:10 AM Keynote Address

9:30 AM Trading / Banking Book Boundary

  • 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 Sensitivity Based Approach

  • 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)

  • Overview on the Revised CVA Framework (Dec. 2017)
  • Is the Basic Approach (BA-CVA) still conservative?
  • Regulatory CVA vs Accounting CVA – Analogies and differences

12:30 PM Luncheon

1:30 PM Keynote Address

2:00 PM Internal Models Approach

  • Moving from VaR to Expected Shortfall
  • Default Risk Charge
  • Model Validation Process
    • Backtesting
    • PLA

3:00 PM Afternoon Break

3:30 PM Non Modellable Risk Factors

  • Overview of the new requirements
  • Main Implementation Challenges
  • Evidence from Industry analysis

4:15 PM Panel Discussion

  • 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

5:15 PM Conference Concludes

Register Now for Trading Book Capital: FRTB & CVA
Back 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.

Back to Top


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

Back to Top

Follow us on Twitter @isdaconferences for the latest on upcoming events. For general questions, including exhibition/sponsorship opportunities, conference topics or location suggestions contact us: | +1 212-901-6000