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

Thursday, June 20, 2019
ISDA Conference Center
New York

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 20, 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 Bengt Redlinger

  • Overview of the Standardized Approach for measuring Counterparty Credit Risk exposures
  • Impact analysis of the new rules
  • Main areas of focus and challenge
Bengt Redlinger, Director, Regulatory Capital Policy, Bank of America Merrill Lynch

2:10 PM Credit Valuation Adjustment Nicola Mariano, Mark Stedman

  • Overview of the revised CVA framework
  • Key areas of focus and challenge
  • Focus on the recognition of hedges
Nicola Mariano, Assistant Director, Risk and Capital, ISDA
Mark Stedman, Managing Director, Credit Suisse

2:40 PM Networking Break

3:00 PM FRTB – The final rules and what has changed Charuhas Pandit

  • 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
Charuhas Pandit, Managing Director, Risk Management, Morgan Stanley

3:40 PM FRTB Implementation Challenges Moderator: Panayiotis Dionysopoulos, Atreya Chatterjee, David Lynch, Wei Zhu

  • 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
Atreya Chatterjee, Executive Director, Firmwide Market Risk, JPMorgan Chase & Co.
David Lynch, Deputy Associate Director, Federal Reserve Board
Wei Zhu, Managing Director, Citigroup

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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ISDA Conference Center, 10 East 53rd Street (entrance on 52nd and 53rd Street), 8th Floor, New York, NY 10022, Phone: +1 (212) 901-6000. Please find a map to the venue here.

ISDA has a special rate available at the Omni Berkshire Place, 21 East 52nd Street, New York, NY 10022, +1 212-753-5800, located on the same block as the ISDA Conference Center.
For reservations online click here OR call the Reservation Center at +1 888-843-6664 and mention the International Swaps and Derivatives Association, Inc. (ISDA) special rate. ISDA’s special rate is based on availability at the time of booking.

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Atreya Chatterjee

Executive Director, Firmwide Market Risk

JPMorgan Chase & Co.

Panayiotis Dionysopoulos

Head of Capital

ISDA

David Lynch

Deputy Associate Director

Federal Reserve Board

Nicola Mariano

Assistant Director, Risk and Capital

ISDA

Charuhas Pandit

Managing Director, Risk Management

Morgan Stanley

Bengt Redlinger

Director, Regulatory Capital Policy

Bank of America Merrill Lynch

Mark Stedman

Managing Director

Credit Suisse

Wei Zhu

Managing Director

Citigroup

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

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.

Government Agencies and Financial Hardship Policy

Member $200 U.S.

Non-Member $300 U.S.

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Intermediate

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

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  • 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

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