arc-17-workshop-frtb1439x300-v1

DAY 1 | DAY 2

08:30

Registration

09:00

FRTB: What are the outstanding issues?

  • Assessment of the finalised regulations
  • Review of Basel III current framework
    • Standardised Approach (SA)
    • Internal Model Method (IMM)
  • Banking / Trading Book Boundary
  • Other outstanding issues

Mike Duncan, Industry Expert (Former Director, Markets, RBS Capital Resolution)

10:00

P&L attribution test, defining model ability and model validation metrics

  • Addressing the three big issues for banks
    • P&L (Profit and Loss) attribution test: Introduction, definition, case study
    • Risk factor eligibility (modelable vs. non-modelable)
    • Data requirements and risk measures at desk level
  • Concerns over the P&L attribution test
    • Comparing the hypothetical P&L and the risk-theoretical P&L (RTPL)
  • Differences between VaR and Expected Shortfall
    • Calculating Expected Shortfall
  • Aligning your front and back office infrastructure to pass the P&L test
  • Using tools to reduce the burden of the P&L test on the risk function
  • Strategies to effectively implement the P&L attribution: Best practices and recommendations

10:30

Morning Coffee Break

11:30

Minimising non-modelable risk factors

  • Supporting the identification of NMRFs
  • Strategies to convert them into modelable risk factors and methods to deal with fail cases
  • Reducing the pressure on cost of capital
  • How much of the requirements for other regulation e.g. ISDA Standard Initial Margin Model or BCBS239 can you leverage into your FRTB implementation?
  • Rules around data pooling
  • Barriers to entry for external data providers
  • Offsetting capital charges and increasing risk transparency
  • How do P&L and NMRFs interact with each other?
  • Including NMRFs in backtesting
  • Operation framework around NMRF
  • Potential operating model and data integration with a market data utility

Albert Chung, Head of Market Risk Analytics, Asia, STANDARD CHARTERED BANK

12:30

Addressing the challenges for model validation under the Internal Models Approach (IMA)

  • Examining the barriers to entry for the internal models approach
  • Differences between the old and new internal models structure
  • To what extent is the capital requirement for the internal models approach constrained by the standardised measure?
  • Implementing Default Risk Charge (DRC) in conversion from the Incremental Risk Charge (IRC)
  • Overcoming the loss of the full diversification benefit between expected shortfall and DRC
  • Best practices: The most efficient processes for model validation

13:30

Lunch

14:30

Standardised approach: Challenges, systemic risks and asymmetries

  • Examining SBA based on the model validation domain and implementation challenges from the SIMM
  • Using FRTB SA as a risk measure for sizeable and exotic portfolio
  • Addressing the systemic risks around the standardised approach caused by the introduction of new products
  • Why does the standardised approach produce difference capital charges on the same portfolio for banks that report in different currencies?
  • Residual Risk notional definition: considering structured trades and leverage, digitals and maximum Loss
  • Other outstanding issues and expected complexities in implementation

15:30

Structuring firm’s trading desk business in light of FRTB

  • Having your desk on the standardised approach rather than combined with the internal model approach
  • Is using the Volcker desk structure the best approach?
  • Translating your overall capital measure into a capital budget per desk
  • What do desks need to change in terms of reporting activities?
  • Connecting  your desk structure to P&L and backtesting to optimise your entire situation
  • Designing a business case for each trading desk

Mike Duncan, Industry Expert (Former Director, Markets, RBS Capital Resolution)

16:30

End of Day 1

DAY 1 | DAY 2

08:30

Registration

09:00

The proposed FRTB-CVA framework

  • Eligibility criteria
  • Eligibility hedges
  • Regulatory CVA
  • Standardised approach for CVA
  • Internal models approach for CVA

Adolfo Montoro, Director, Risk methodology - FRTB lead, DEUTSCHE BANK

10:00

New CVA rules under FRTB

  • Changes to Market Risk capital requirements (FRTB)
  • Basic CVA approach
  • Introduction of a CVA capital charge
  • Capitalisation of counterparty risk: what are the differences between the old regime and the new regime?
  • Leverage ratio
  • Establishing a xVA desk or central resource desk in handling portfolio level calculations
  • Considerations of funding and capital
  • CCR (Default Risk) capital charge
  • CVA Capital Charge – Current Standardised Approach

Adolfo Montoro, Director, Risk methodology - FRTB lead, DEUTSCHE BANK

11:00

Morning Coffee Break

11:30

Impact of Regulatory Change

  • Capital methodologies and timescales
    • Current exposure method (CEM)
    • Internal model method (IMM)
    • Standardised CVA (SA-CVA)
    • Advanced CVA
    • Basic CVA (BA-CVA)
  • Capital comparison across different regulatory models
  • Changes in capital methodologies
    • SA-CCR
    • FRTB-CVA
  • Building a methodology for approximating the credit spreads of illiquid counterparties

Adolfo Montoro, Director, Risk methodology - FRTB lead, DEUTSCHE BANK

12:00

Using Adjoint Algorithmic Differentiation for regulatory capital calculation

  • What is AAD?
  • Applying ADD for FRTB calculations
  • What kind of benefit do you get from them in terms of speed of computation and reduction of costs?
  • What are the challenges involved in adopting AAD in the context of implementation and numeric validation? 
  • Using AAD to reduce computational effort  of the standardised approach – calculating sensitivies of the FRTB & FRTB-CVA

Adolfo Montoro, Director, Risk methodology - FRTB lead, DEUTSCHE BANK

13:00

Lunch

14:00

The FRTB data management challenge

  • Addressing the biggest changes in terms of the data requirements being introduced by the FRTB
  • The lack of a common data foundation, a consistent basis on which to create or derive the various risk factors
  • Closing the data gap: Data, analytics and computational challenged of implementing the FRTB rules
  • Examining the data challenges related to data gaps in risk calculators
  • Devising a sound data sourcing, calculation and management strategy
  • Building a robust data infrastructure that satisfies the P&L attribution test

Adolfo Montoro, Director, Risk methodology - FRTB lead, DEUTSCHE BANK

15:00

FRTB: A summary of the regulations

  • Why do we need them?
  • SA and IMA review on major differences vs Basel 3
  • Summary on the main changes
    • Revised Boundary
    • Revised Internal models approach
    • Moving from internal models to a desk level approach
    • Revised standardised approach
  • Impact on business strategies
    • Upgrade in infrastructure systems
    • More dynamic capital charges
    • Complexity costs capital
  • Q & A

Adolfo Montoro, Director, Risk methodology - FRTB lead, DEUTSCHE BANK

16:30

End of Workshop