Trading Book Capital: Fundamental Review of the Trading Book “FRTB” & Counterparty Risk (CCR & CVA)

Thursday, June 13, 2019
London

The post-crisis regulatory reform highlighted an increasing focus from the regulators on the capital requirements for trading book activities (Market Risk and Counterparty Risk).

The Fundamental Review of the Trading Book, just finalized in January 2019, will have profound consequences on the way market risk capital is measured and managed for trading businesses. It changes every aspect of market risk capital calculation, introducing a new and more sophisticated, mandatory Standardized Approach, as well as making fundamental changes to the Internal Models Approach and eligibility.

Counterparty Risk capital is also undergoing significant changes due to finalization of the Standardized Approach for Counterparty Credit Risk (SA-CCR) and revised CVA framework.

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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Thursday, June 13, 2019

Print Agenda Trading Book Capital: Fundamental Review of the Trading Book “FRTB” & Counterparty Risk (CCR & CVA) for

1:00 PM Registration and Coffee

1:30 PM Introduction and Welcoming Remarks Panayiotis Dionysopoulos

Panayiotis Dionysopoulos, Head of Capital, ISDA

1:40 PM Counterparty Credit Risk – SA-CCR Nicholas Evain

  • Overview of the Standardized Approach for measuring Counterparty Credit Risk exposures
  • Impact analysis of the new rules
  • Main areas of focus and challenge
Nicholas Evain, Global Markets Financial Resources Manager, BNP Paribas
Additional Speakers to be Announced.

2:10 PM Credit Valuation Adjustment Alessandro Evangelista, Nicola Mariano

  • Overview of the revised CVA framework
  • Key areas of focus and challenge
  • Focus on the recognition of hedges
Alessandro Evangelista, Counterparty Risk Lead, NatWest Markets
Nicola Mariano, Assistant Director, Risk and Capital, ISDA

2:40 PM Networking Break

3:00 PM FRTB – The final rules and what has changed Shearin Cao, Gregg Jones

  • Overview of the FRTB framework
  • The Standardized Approach
    • Role of the Standardized Approach in the market risk framework
    • Implementation approach and timelines
  • The Internal Model Approach
    • P&L Attribution
    • Non Modellable risk factors
Shearin Cao, FRTB Technical Specialist, Standard Chartered Bank
Gregg Jones, Director, Risk and Capital, ISDA

3:40 PM Panel – FRTB Implementation Challenges Moderator: Panayiotis Dionysopoulos, Adolfo Montoro, David Phillips, Alan Smillie, Amol Tandon

  • Incentives for Internal Models Approach
  • Capital optimization considerations
  • Data requirements key focus
  • Model validation approach
  • Implementation approaches, challenges and timelines
Moderator: Panayiotis Dionysopoulos, Head of Capital, ISDA
Adolfo Montoro, Director, Global Head of Marker Data Strategy & Analytics, Market and Valuation Risk Management, Deutsche Bank AG
David Phillips, Head of Traded Risk Measurement, Traded Risk, Supervisory Risk Specialists, Bank of England
Alan Smillie, Head of Capital & Ratings Methodology, Nomura
Amol Tandon, Executive Director, JPMorgan Chase & Co

4:30 PM Networking Drinks

5:30 PM Event Concludes

Agenda is subject to change.

Register Now for Trading Book Capital: Fundamental Review of the Trading Book “FRTB” & Counterparty Risk (CCR & 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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Shearin Cao

FRTB Technical Specialist

Standard Chartered Bank

Panayiotis Dionysopoulos

Head of Capital

ISDA

Nicholas Evain

Global Markets Financial Resources Manager

BNP Paribas

Alessandro Evangelista

Counterparty Risk Lead

NatWest Markets

Gregg Jones

Director, Risk and Capital

ISDA

Nicola Mariano

Assistant Director, Risk and Capital

ISDA

Adolfo Montoro

Director, Global Head of Marker Data Strategy & Analytics, Market and Valuation Risk Management

Deutsche Bank AG

David Phillips

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

Bank of England

Alan Smillie

Head of Capital & Ratings Methodology

Nomura

Amol Tandon

Executive Director

JPMorgan Chase & Co

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Registration fee is for one person to attend the entire event. Pass may not be split between multiple attendees.

For some events, groups of three or more attendees from the same firm can receive a 20% discount on event registrations. Groups must be registered together, in advance of the event. To register your group, please email conferences@isda.org

Member $200 U.S.

Non-Member $300 U.S.

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Intermediate

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

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ISDA is an accredited provider of continuing education credits by the following organizations:

  • CLE

    ISDA has been certified by the New York State Continuing Legal Education Board as an Accredited Provider of continuing legal education in the state of New York.

  • CPE Sponsory

    ISDA is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be addressed to the National Registry of CPE Sponsors: 150 Fourth Avenue North, Suite 700, Nashville, TN 37219-2417. www.nasba.org

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