arc-17-workshop-frtb1439x300-v1

27-28 September 2017, Singapore

DAY 1 | DAY 2

DAY ONE - 27 September

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

Chang Chen, Manager, Financial Risk Management, KPMG SINGAPORE
Oliver Hsieh, Director, Financial Risk Management, KPMG SINGAPORE
Anirudh Mehta, Assistant Manager, Financial Risk Management , KPMG SINGAPORE

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

Kishore Kumar Ramakrishnan, Risk Services Industry Expert (Formerly Director, Risk Services & Consulting, PWC)

13:30

Lunch

14:30

FRTB Standardised Approach: Methodology, Business Implications and Simplified Alternative

  • Main features of Standardised Approach (SA)
  • Key considerations for banks who applying SA
  • Examining the aggregations and risk charge calculations in SBA
  • Quantitative Impact Analysis of SA / IMA
  • Spotting the business implications and major challenges for SA implementation
  • The eligibility and application of Simplified Alternative to SA

Chang Chen, Manager, Financial Risk Management, KPMG SINGAPORE
Oliver Hsieh, Director, Financial Risk Management, KPMG SINGAPORE
Anirudh Mehta, Assistant Manager, Financial Risk Management , KPMG SINGAPORE

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

DAY TWO - 28 September

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