Trading Book Capital: FRTB & CVA

Thursday, June 21, 2018
Toronto

Member $850 U.S.

Non-Member $975 U.S.

Register for Trading Book Capital: FRTB & CVA

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

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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Thursday, June 21, 2018

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

  • 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 Change 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 Matt Davison

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

2:30 PM Internal Models Approach Ludovic Lelegard

  • Moving from VaR to Expected Shortfall
  • Default Risk Charge
  • Model Validation Process
    • Backtesting
    • PLA
Ludovic Lelegard, Head of Traded Risk Analytics, HSBC Bank Canada

3:15 PM Afternoon Break

3:30 PM Non Modellable Risk Factors

  • Overview of the new requirements
  • Main Implementation Challenges
  • Evidence from Industry analysis

4:15 PM Panel Discussion Greg Caldwell, John Turley-Ewart

  • 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

Greg Caldwell, Capital Specialist, Office of the Superintendent of Financial Institutions (OSFI)
John Turley-Ewart, PhD, MBA, Regulatory Change Lead, Fundamental Review of the Trading Book (Basel III), Bank of Montreal

5:15 PM Conference Concludes

Register Now for Trading Book Capital: FRTB & CVA
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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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Greg Caldwell

Capital Specialist

Office of the Superintendent of Financial Institutions (OSFI)

Matt Davison

Director, School of Mathematical & Statistical Sciences

University of Western Ontario

Hany M. Farag

Senior Director, Head of Risk Modelling

CIBC

Ludovic Lelegard

Head of Traded Risk Analytics

HSBC Bank Canada

John Turley-Ewart

PhD, MBA, Regulatory Change 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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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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