FRTB Programme

Workshop 1: FRTB

FRTB Programme

Day One - 12 September

08:30

Registration

09:00

FRTB Implementation: Where are we now?

  • Status of FRTB implementation
  • Interpretation of finalised rules
  • Local regulatory implementation: Localisation levers and objectives, MAS and HKMA consultations
  • Synergies with MiFID, BCBS 239, Initial Margin, IFRS 9 etc.
  • Implementation of FRTB in a bank: Typical challenges and solutions
  • Dealing with uncertainty - FAQs, guidance of local regulators and compliance approach
  • The approval process
10:30

Morning coffee break 

11:00

Revised Standardised Approach (SA)

  • The capital calculation framework of FRTB
  • The components of the Standardised Approach (SA)
  • The Sensitivities Based Approach
  • Key considerations for banks who applying SA
  • Business, process and data implications of SA implementation
  • The eligibility and application of Simplified Alternative to SA
12:30

Lunch 

13:30

Revised Internal Model Approach (IMA)

  • Transition from VaR to expected shortfall
  • The pitfalls of diverging liquidity horizons, and how to deal with them
  • Stressed calibration and its data requirements
  • Computational challenges of FRTB
  • Examining the barriers to entry for the internal models approach
  • Impact of the standardised floor on the economics of internal models
  • Model validation under FRTB
15:00

Afternoon coffee break 

15:30

Modellable & Non-modellable risk factors

  • Capital impact of non-modellable risk factors
  • Risk factors under FRTB
  • Modellability criteria and the changes in FRTB 2019
  • Use of proxies
  • Use of vendor data
  • Trade-offs in risk factor modellability
17:00

End of Day One

Day Two - 13 September

08:30

Registration

09:00

Default risk charge (DRC)

  • Credit Risk under FRTB: DRC-SA, DRC-IMA and the CVA risk framework
  • DRC vs incremental risk charge
  • Key modelling choices in IMA DRC
  • Key assumptions SA DRC
  • Typical issues in implementation and capital management
  • FRTB-CVA
10:30

Morning coffee break 

11:00

P&L Attribution Test and Desk Strategy

  • IMA Permission under FRTB: The bank-wide, desk level and risk factor level
  • Hypothetical and risk-theoretical P&L: The P&L attribution test
  • The nasty properties of the P&L attribution test
  • The trade-off between P&L attribution test and NMRF regime
  • Desk strategy: The trade-offs you need to assess for your business
  • Impact on trading and hedging strategies
  • Dynamics of capital requirements under FRTB: Estimating the impact of P&L attribution and NMRF
12:30

Lunch

13:30

The Trading Book/ Banking Book Boundary

  • Definitions of the trading book under FRTB
  • Interaction between FRTB and IFRS 9
  • The redesignation process
  • Control requirements
  • Internal risk transfers – practical challenges
  • Impact on funding transactions
15:00

Afternoon coffee break 

15:30

Operating Model, Data Management and System Challenges

  • Impact of FRTB on processes and operating model
  • Analytics and data integration requirements of FRTB
  • The value of transaction data: Capturing modellability information
  • Static data impact of FRTB
  • Use of data vendors, market utilities and outsourcing
  • Increase in required computational resources
16:30

End of Day Two