ISDA Symposium® Trading Book Capital: Market & Counterparty Risk

トレーディング勘定の資本規制:市場リスクとカウンターパーティ・リスク

Thursday, October 25, 2018
Shangri-La Hotel, Tokyo
Tokyo

Member $375 U.S.

Non-Member $525 U.S.

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Thursday, October 25, 2018

Print Agenda ISDA Symposium® Trading Book Capital: Market & Counterparty Risk for

8:30 AM Registration and Morning Coffee | 受付

9:00 AM Introduction and Welcoming Remarks | 開会の挨拶 Mark Gheerbrant

Mark Gheerbrant, Global Head of Risk and Capital, ISDA

9:10 AM Regulatory Keynote Address | 金融庁による基調講演 Keita Nishio

Keita Nishio, Chief Analyst, Prudential Standards Office, General Coordination Division, Supervisory Bureau, Financial Services Agency (FSA), Japan

9:30 AM Fundamental Review of the Trading Book | トレーディング勘定の抜本的見直し Shunsuke Kashiwabara

  • Key methodology components
  • Latest Basel Consultation
  • Implementation challenges

 

  • 主要なメソドロジーの構成要素
  • バーセル委からの最新の提案内容
  • 導入に向けた課題
Shunsuke Kashiwabara, Executive Director, Group Risk Management Department, Nomura Holdings, Inc.

10:15 AM Break | 休憩

10:30 AM Credit Valuation Adjustment | 信用評価調整(CVA) Daisuke Kawaguchi

  • Standardized Approach
  • Basic Approach
  • Implementation challenges

 

  • 標準的方法(Standardised Approach)
  • 基本的方法(Basic Approach)
  • 導入に向けた課題
Daisuke Kawaguchi, Manager, Risk Management Department, Mizuho Financial Group Ltd.

11:00 AM Standardized Approach for Counterparty Credit Risk (SA-CCR) | カウンターパーティ信用リスクの標準的方法(SA-CCR) Shohei Toyoshima

  • Overview on the Standardized Approach for measuring Counterparty Credit Risk exposures
  • Potential shortcomings and differences respect to the CEM and the SM
  • Impact of transition from the CEM to SA-CCR

 

  • カウンターパーティ信用リスク計測の標準的方法の概要
  • 潜在的な欠点とカレント・エクスポージャー方式(CEM)との比較
  • CEMからSA-CCRへの移行による影響
Shohei Toyoshima, Associate, Credit Policy & Planning Division, Mitsubishi UFJ Financial Group, Inc.

11:30 AM Panel Discussion: Latest Developments in Trading Book Capital Requirements | パネル・ディスカッション Moderator: Mark Gheerbrant, Tatsuya Hasegawa, Shunsuke Kashiwabara, Keita Nishio, Takeshi Yamamoto, Yoshihiro Yamazaki

  • Which are the key changes in the capital framework and how important are those changes for banks that are active in the trading book arena
  • How do firms progress with implementation of the reforms and how do we ensure consistent cross border application of the standards
  • What is the future of trading booking capital regulation, what are the areas that warrant close monitoring?

 

  • 資本規制における主な課題とトレーディング勘定でのビジネスを行う金融機関への影響度について
  • 規制資本改革に対する金融機関の準備状況と、今後クロスボーダーで活動を行う金融機関がどのように整合的に導入を行っていくのか
  • トレーディング勘定の資本規制の今後の行方と、どの分野に着目していくべきか
Moderator: Mark Gheerbrant, Global Head of Risk and Capital, ISDA
Tatsuya Hasegawa, Director of Financial System and Bank Examination Department, Bank of Japan
Shunsuke Kashiwabara, Executive Director, Group Risk Management Department, Nomura Holdings, Inc.
Keita Nishio, Chief Analyst, Prudential Standards Office, General Coordination Division, Supervisory Bureau, Financial Services Agency (FSA), Japan
Takeshi Yamamoto, Vice President, Corporate Risk Management Division, Mitsubishi UFJ Financial Group, Inc.
Yoshihiro Yamazaki, Deputy General Manager, Risk Management Department, Mizuho Securities Co., Ltd.

12:30 PM Symposium Concludes | 閉会

Agenda is subject to change.

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Shangri-La Hotel, Tokyo
Marunouchi Trust Tower Main, 1-8-3 Marunouchi Chiyoda-ku, Tokyo, 100-8283, Japan
+81 (3) 6739 7888

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Mark Gheerbrant

Global Head of Risk and Capital

ISDA

Tatsuya Hasegawa

Director of Financial System and Bank Examination Department

Bank of Japan

Shunsuke Kashiwabara

Executive Director, Group Risk Management Department

Nomura Holdings, Inc.

Daisuke Kawaguchi

Manager, Risk Management Department

Mizuho Financial Group Ltd.

Keita Nishio

Chief Analyst, Prudential Standards Office, General Coordination Division, Supervisory Bureau

Financial Services Agency (FSA), Japan

Shohei Toyoshima

Associate, Credit Policy & Planning Division

Mitsubishi UFJ Financial Group, Inc.

Takeshi Yamamoto

Vice President, Corporate Risk Management Division

Mitsubishi UFJ Financial Group, Inc.

Yoshihiro Yamazaki

Deputy General Manager, Risk Management Department

Mizuho Securities Co., Ltd.

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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 $375 U.S.

Non-Member $525 U.S.

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Intermediate

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

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