Trading Book Capital: Market & Counterparty Risk

Tuesday, June 19, 2018
New York

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

The Fundamental Review of the Trading Book (FRTB) 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 finalized 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 standardized (SA-CVA) and basic (BA-CVA) approaches.

The Standardized Approach for Counterparty Credit Risk (SA-CCR), a methodology to calculate the capital required to address the risk that the counterparty to a derivative contract will not live up to its contractual obligations. Whilst SA-CCR has been introduced as BCBS International Standard in April 2014, SA CCR is yet to be implemented across all jurisdictions.

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.

Educational Credits

7 CPE Credit Hours Available

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Tuesday, June 19, 2018

8:15 AM Registration and Continental Breakfast

9:00 AM Introduction and Welcoming Remarks

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 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

2:15 PM Internal Models Approach

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

3:15 PM Afternoon Break

3:30 PM Non Modellable Risk Factors Atreya Chatterjee

  • Overview of the new requirements
  • Main Implementation Challenges
  • Evidence from Industry analysis
Atreya Chatterjee, Executive Director, Firmwide Market Risk, JPMorgan Chase & Co.

4:15 PM Panel Discussion 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

Additional speakers to be announced

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

5:15 PM Conference Concludes

Register Now for Trading Book Capital: Market & Counterparty Risk
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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.

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

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

Wei Zhu

Managing Director

Citigroup

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Intermediate

Some knowledge of derivatives documentation 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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