7 CPE Credit Hours Available
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Tuesday, June 19, 2018Print Agenda Trading Book Capital: Market & Counterparty Risk for
8:15 AM Registration and Continental Breakfast
9:00 AM Introduction and Welcoming Remarks Aaron Wishart
9:10 AM Regulatory Keynote Address David Lynch
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?
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
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
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
12:30 PM Luncheon
1:30 PM Academia Keynote Address Allan M. Malz
2:30 PM Internal Models Approach and Non Modellable Risk Factors Atreya Chatterjee
- Default Risk Charge
- Model Validation Process
- Non Modellable Risk Factors
- Overview of the new requirements
- Main implementation challenges
- Evidence from industry analysis
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
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.
VenueBack to Top
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.
SpeakersBack to Top
Executive Director, Firmwide Market Risk
JPMorgan Chase & Co.
Head of Capital
Managing Director of Regulatory Policy
Goldman Sachs & Co.
Deputy Associate Director
Federal Reserve Board
Allan M. Malz
Adjunct Associate Professor
Manager, Quantitative Risk
Federal Reserve Board
Director, Regulatory Capital Policy
Bank of America
Ernst & Young LLP
Managing Director – Global Head of Regulatory Affairs – Corporate and Investment Bank
JPMorgan Chase & Co.
Director, Risk and Capital
The Office of the Comptroller of the Currency
PricingBack to Top
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 firstname.lastname@example.org
Member $850 U.S.
Non-Member $975 U.S.
Course LevelBack to Top
Some knowledge of derivatives documentation is assumed. No advance preparation is required.
AccreditationBack to Top
ISDA is an accredited provider of continuing education credits by the following organizations:
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.
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