Trading Book Capital: Market & Counterparty Risk

Tuesday, June 19, 2018
New York

Member $850 U.S.

Non-Member $975 U.S.

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Tuesday, June 19, 2018

Print Agenda Trading Book Capital: Market & Counterparty Risk for

8:15 AM Registration and Continental Breakfast

9:00 AM Introduction and Welcoming Remarks Aaron Wishart

Aaron Wishart, Director, Risk and Capital, ISDA

9:10 AM Regulatory Keynote Address David Lynch

David Lynch, Deputy Associate Director, Federal Reserve Board

9:30 AM Trading / Banking Book Boundary Bengt Redlinger

  • 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?
Bengt Redlinger, Director, Regulatory Capital Policy, Bank of America Merrill Lynch

10:15 AM Morning Break

10:45 AM Sensitivity Based Approach Wei Zhu

  • Calculation of delta, vega, curvature
  • Treatment of indices and securitizations
  • Residual Risk add-on
  • Implementation challenges
Wei Zhu, Managing Director, Citigroup

11:30 AM Credit Valuation Adjustment (CVA) Michael Pykhtin

  • Overview on the Revised CVA Framework (December 2017)
  • Basic approach calibration
  • Regulatory CVA vs. Accounting CVA – Analogies and differences
Michael Pykhtin, Manager, Quantitative Risk, Federal Reserve Board

12:00 PM Standardized Approach for Counterparty Credit Risk (SA-CCR) Joseph Hwang

  • Overview on the Standardized Approach for measuring Counterparty Credit Risk exposures
  • Potential shortcomings and differences with respect to the CEM and the SM
  • First evidences deriving from Industry QISs
Joseph Hwang, Managing Director of Regulatory Policy, Goldman Sachs & Co.

12:30 PM Luncheon

1:30 PM Academia Keynote Address Allan M. Malz

Allan M. Malz, Adjunct Associate Professor, Columbia University

2:30 PM Internal Models Approach and Non Modellable Risk Factors Atreya Chatterjee

  • Default Risk Charge
  • Model Validation Process
    • Backtesting
    • PLA
  • Non Modellable Risk Factors
    • Overview of the new requirements
    • Main implementation challenges
    • Evidence from industry analysis
Atreya Chatterjee, Executive Director, Firmwide Market Risk, JPMorgan Chase & Co.

3:30 PM Afternoon Break

3:45 PM Panel Discussion Moderator: Panayiotis Dionysopoulos, Michael Sheptin, Debbie Toennies, Guowei Zhang

  • 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, ISDA
Michael Sheptin, Principal, Ernst & Young LLP
Debbie Toennies, Managing Director – Global Head of Regulatory Affairs – Corporate and Investment Bank, JPMorgan Chase & Co.
Guowei Zhang, Risk Expert, The Office of the Comptroller of the Currency

4:45 PM Conference Concludes

Agenda is subject to change.

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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. 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.

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

ISDAConferences

Joseph Hwang

Managing Director of Regulatory Policy

Goldman Sachs & Co.

David Lynch

Deputy Associate Director

Federal Reserve Board

Allan M. Malz

Adjunct Associate Professor

Columbia University

Michael Pykhtin

Manager, Quantitative Risk

Federal Reserve Board

Bengt Redlinger

Director, Regulatory Capital Policy

Bank of America Merrill Lynch

Michael Sheptin

Principal

Ernst & Young LLP

Debbie Toennies

Managing Director – Global Head of Regulatory Affairs – Corporate and Investment Bank

JPMorgan Chase & Co.

Aaron Wishart

Director, Risk and Capital

ISDA

Guowei Zhang

Risk Expert

The Office of the Comptroller of the Currency

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. To register your group, please email conferences@isda.org

Member $850 U.S.

Non-Member $975 U.S.

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Intermediate

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

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  • CLE

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  • CPE Sponsory

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