Trading Book Capital: FRTB & CVA

Thursday, June 21, 2018
The Fairmont Royal York
Toronto

Member $850 U.S.

Non-Member $975 U.S.

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Thursday, June 21, 2018

Print Agenda Trading Book Capital: FRTB & CVA 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 Greg Caldwell

Greg Caldwell, Capital Specialist, Office of the Superintendent of Financial Institutions (OSFI)

9:30 AM Trading / Banking Book Boundary John Turley-Ewart, PhD, MBA

  • 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
John Turley-Ewart, PhD, MBA, Regulatory Interpretations Lead, Fundamental Review of the Trading Book (Basel III), Bank of Montreal

10:15 AM Morning Break

10:45 AM Sensitivity Based Approach Hany M. Farag

  • Calculation of delta, vega, curvature
  • Treatment of indices and securitizations
  • Residual Risk add-on
  • Implementation challenges
Hany M. Farag, Senior Director, Head of Risk Modelling, CIBC

11:30 AM Credit Valuation Adjustment (CVA) George Wallis

  • Overview on the Revised CVA Framework (December 2017)
  • Is the Basic Approach (BA-CVA) still conservative?
  • Regulatory CVA vs. Accounting CVA – Analogies and differences
George Wallis, Vice President, XVA Desk, BMO Capital Markets

12:15 PM Luncheon

1:30 PM Academia Keynote Address Dr. Matt Davison

Dr. Matt Davison, Director, School of Mathematical & Statistical Sciences, University of Western Ontario

2:30 PM Internal Models Approach & Non Modellable Risk Factors Ludovic Lelegard

  • Moving from VaR to Expected Shortfall
  • Default Risk Charge
  • Model Validation Process
    • Backtesting
    • PLA
  • Overview of the new requirements
  • Main Implementation Challenges
  • Evidence from Industry analysis
Ludovic Lelegard, Head of Traded Risk Analytics, HSBC Bank Canada

3:30 PM Afternoon Break

3:45 PM Panel Discussion Moderator: Panayiotis Dionysopoulos, Mirza Ahmic, Greg Caldwell, Hany M. Farag, Ryan Ferguson, John Turley-Ewart, PhD, MBA

  • 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
Mirza Ahmic, Senior Director – Market Risk Methodology, Royal Bank of Canada
Greg Caldwell, Capital Specialist, Office of the Superintendent of Financial Institutions (OSFI)
Hany M. Farag, Senior Director, Head of Risk Modelling, CIBC
Ryan Ferguson, Managing Director & Head, Securitization, Credit Derivatives and XVA, Scotiabank
John Turley-Ewart, PhD, MBA, Regulatory Interpretations Lead, Fundamental Review of the Trading Book (Basel III), Bank of Montreal

4:45 PM Conference Concludes

Agenda is subject to change.

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The Fairmont Royal York, 100 Front Street West, Toronto, ON M5J 1E3, Phone: +1 416-368-2511.

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Mirza Ahmic

Senior Director – Market Risk Methodology

Royal Bank of Canada

Greg Caldwell

Capital Specialist

Office of the Superintendent of Financial Institutions (OSFI)

Dr. Matt Davison

Director, School of Mathematical & Statistical Sciences

University of Western Ontario

Panayiotis Dionysopoulos

Head of Capital

ISDA

ISDAConferences

Hany M. Farag

Senior Director, Head of Risk Modelling

CIBC

Ryan Ferguson

Managing Director & Head, Securitization, Credit Derivatives and XVA

Scotiabank

Ludovic Lelegard

Head of Traded Risk Analytics

HSBC Bank Canada

John Turley-Ewart, PhD, MBA

Regulatory Interpretations Lead, Fundamental Review of the Trading Book (Basel III)

Bank of Montreal

George Wallis

Vice President, XVA Desk

BMO Capital Markets

Aaron Wishart

Director, Risk and Capital

ISDA

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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 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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