Day One | 21 November, 2017

8:00 Registration and Coffee

8:50 Chair’s Opening Remarks

FINAL RULE – PANEL DISCUSSION
09:00 Reviewing FRTB final rule and project planning with moving goalposts for rule and timelines

• Timelines across regional regulators
• Approval and backtesting requirements
• Model approval before go live date
• Capital floors
• Developing with agility to accommodate change
• Benefits of early adoption
• Potential phase in of capital requirements

Jerry Goddard, Director, Wholesale Risk, Santander
Bo Boisen, Head of Strategic Projects, Nordea Bank AB
Lars Popken, Global Head of Risk Methodology, Deutsche Bank

IMPLEMENTATION
09:50 Developing an implementation roadmap and incorporating a level of adaptability to systems and models

• Leveraging existing infrastructure
• New processes and reengineering systems
• Beginning to end data flow
• Managing project in an uncertain environment
• Preparing models in adequate timeframe
• Securing budget for moving timelines
• Front to back IT infrastructure changes

Neil Thewlis, FRTB Programme Director, HSBC

10:40 Morning refreshment break and networking

GLOBAL APPROACHES – PANEL DISCUSSION
11:10 Understanding global approaches and reaching an agreement to create a level playing field

• UK vs. Europe
• Impact of Brexit
• Impact of US not implementing full package on European institutions
  • Push in US for standardised approach: Impact on IMA in Europe
• Competitive advantage if US do not include full package
• Local and regional interpretations

Jim Congleton, Market Risk Regulatory Affairs & Capital Team, Standard Chartered Bank
Tim Davies, Global Head of Credit and Market Risk Management, ICAP

STANDARDISED APPROACH
12:00 Standardised approach: Capital implications at an individual desk level under the standardised approach

• Core change curvature
• Recognising certain types of hedging
• Contingency plans of desk failure
• Scenarios under standardised
• Is the calculated capital under standardised realistic
• RTS release and implications
• Case for finalising standardised and then looking into IMA

Peter Bakke, FRTB Work Steam Lead, Nordea

12:40 Lunch break and networking

INTERNAL MODEL APPROACH
13:40 Understanding benefits and considerations for IMA to assess viability and approach

• Gaining and keeping IMA
• PLA test for eligibility criteria
• Pros of IMA vs. standardised and benefits on certain business lines
• Reporting under IMA
• Desk structure review
• How to use IMA: is it worth the resource usage?
• Differences from a capital perspective
• Build or buy systems: internal changes or vendor solution

Sylvain Martinez, Head of Market Risk and Analytics, ICBC Standard Bank

REGULATORY ISSUES
14:20 Overcoming the key regulatory issues and challenges on FRTB implementation

• P&L Attribution – definition of inputs, design of the test and penalty for failure
• NMRF – data vendors solutions & capital impact
• Sensitivity Based Approach – potential rule changes and implementation challenge

Alan Smillie, Head of Capital & Ratings Methodology, Nomura

15:10 Afternoon refreshment break & networking

DOUBLE SESSION
SUPERVISORY APPROACH
15:40 Supervisory approaches to the review of FRTB implementations

• Key objectives of supervisory approach
• Extended pre-assessment ahead of final applications
• New aspects of FRTB requiring early engagement with firms
• The standardised approach and its expanded role
• Importance of robust FRTB operational control environment
• Desk-level approvals

David Philips, Senior Technical Specialist, Traded Risk, PRA, Bank of England
Karsten Stickelmann, Adviser, European Central Bank

DESK APPROVAL
17:00 Reviewing desk level approval and necessary structure in practice and key considerations under standard and IMA

• Granularity of the desk structure
• Impact at each level of approval or failure
• Large vs. small desk probability and impact
• System and calibration choices with lack of data
• Requirements for Volcker
• Structuring different types of desk
• Competitive advantage of IMA

Pascal Gibart, Deputy Head of Market and Counterparty Risk, Credit Agricole CIB

17:40 Chair’s closing remarks

17:50 End of day one

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Day Two | 22 November, 2017

8:15 Registration and Coffee

8:15 Chair’s Opening Remarks

ALLIGNMENT WITH OTHER REGULATIONS – PANEL DISCUSSION
09:00 Aligning FRTB with other regulations and leveraging infrastructure for increased alignment

• Information requirements
  • Operational risk reporting from separate infrastructures
• Consistency with MiFID
• Crossover with other regulations: MiFID, IFRS 9, SA-CCR etc.
• Implementing a more strategic approach to regulation

Harshal Talati, Head of Market Risk Reporting, Royal Bank of Scotland
Jerry Goddard, Director, Wholesale Risk, Santander
Jean Moorhouse, Global Head of Group Regulatory Affairs, Standard Chartered Bank

P&L ATTRIBUTION
09:40 P&L attribution: Requirements to maintain desk eligibility

• Acord text metrics
• Alternative metrics
• Data alignment
• Completeness of risk factors
• Managing the test in practice

Jim Congleton, Market Risk Regulatory Affairs & Capital Team, Standard Chartered Bank

10:15 Morning refreshment break and networking

10:45 New trading book boundary and the impact on policies and processes

• Overview of changes according to CRR II
• Trading book: Open issues and roadmap to implementation
• Re-designation: Implications on processes and involved parties within the bank (and beyond)
• Trading desks: List of requirements and challenges
• Internal Risk Transfers: How banks interpret the new requirements for interest rate risk transfers and possible set-up of processes and desk organization

Nadja Schuster, Senior Manager, d-fine GmbH

NON-MODELLABLE RISK
11:20 Reviewing regulatory definitions of non-modellable risk factors to better understand data requirements and impact on capital

• Risk factors sourced or modelled through prescribed methods for market and capital
• Treatment of different asset classes
• Evidence to support modelling
• Industry aggregation
• Correct measure of quality
• Quotes for liquid markets: lower liquidity in certain months
• Exotic currencies: emerging markets
  • Unintended consequences of FRTB
• Expense of moving from IMA to standardised
• Granularity of risk buckets
• Data: sourcing, pooling, seasonality and using other sources
• Evidencing history of pricing/ depth of pricing info

Tim Becker, Head of VaR methodology, Head of FRTB Non-Modellable Risk Factors, Deutsche Bank

11:50 Defining optimal solutions for exhaustive risk factor modelling across various components of the FRTB’s twisty puzzle

Adolfo Montoro, Director, Market Risk Management, Deutsche Bank

12:30 Lunch break and networking

13.30 Fundamental Review of the Trading Book applied to CVA

• The latest FRTB-CVA methodology and calibration
• Comparing standardised approaches in FRTB and in FRTB-CVA
• CVA Capital impact using the different proposed methodologies
• CVA Sensitivities
• CVA in the era of Initial Margin
• CVA in the era of new technologies

Gilles Artaud, Market and Counterparty Risk, Credit Agricole

DATA & SYSTEMS
14:05 Preparing for the increased data requirements for FRTB reporting and early build out of systems

• Data quality and responsibility
• Push to front office: own and fix at source
• BCBS 239: traceability and origination
• Aggregating different types of data from different systems
• Sourcing quality data from front office systems
• Availability of granular/trade level data
• Ensuring level data for standardised approach and IMA

John R. Morrison, Global Markets & Combined US Operations CRO, Credit Suisse

14:40 Producing taxonomies to index systems and data to ensure alignment between FRTB processes and P&L

• Taxonomies to describe and link together:
  • Products; valuations models; risk factors; model inputs; market data
• Use of standard taxonomies to index data and systems
• Use for desk level approvals

Tony Lawson, Director, Group Strategy, Barclays

15:15 Afternoon refreshment break and networking

GOVERNANCE & CONTROL
15:45 Incorporating a strong governance and controls process for FRTB implementation and management

• Live decision making at desk level
• Open discussion on risk concentration
• Removing silos across desks, finance and front office
• Demonstrated data lineage
• Documentation
• Audit sign off

Harshal Talati, Head of Market Risk Reporting, Royal Bank of Scotland

POST IMPLEMENTATION – PANEL DISCUSSION
16:20 Post implementation impacts: Reviewing the potential unintended consequences of FRTB and impact on certain markets

• Liquidity impact
• Concentration on markets
• Lowering capital impact and pricing others out of market
• Creating an un-level playing field
• Liquidity concentration
• Currency and country impact

Etienne Varloot, Head of Global Markets Regulatory Strategy & Quant Research, Natixis
Neil Thewlis, FRTB Programme Director, HSBC

17:00 Chair’s closing remarks

17:10 End of Summit

Gilles Artaud, Market and Counterparty Risk, Credit Agricole CIB

Gilles Artaud has been working in investment banking for the last 20 years, where he held various positions within Quant, Front Office and Risk Department, working all along on many underlying types, pricing, validation, regulatory and economic capital, market risk and counterparty credit risk topics.
After setting in place the methodology and library for CCR and CVA, he lead XVA, initial margins on non-cleared transactions, and many regulatory topics.
His current “hot” topics are XVAs (CVA DVA FVA AVA MVA…) and impact of new regulatory requirements on derivatives, among which SA-CCR, NSFR, FRTB and FRTB-CVA and Artificial Intelligence technologies in Risk Management.

Peter Bakke, FRTB Workstream Lead, Nordea

Peter is a FRTB Work Stream Lead at Nordea Bank in the Risk Platform and FRTB project, based in Copenhagen. With several years of experience within market risk Peter is now leading both the FRTB Standardised Approach implementation team and the FRTB Internal Model implementation team for bonds and CDS products. Peter holds a M.Sc. in Economics (specialty in Finance and Econometrics) from the University of Copenhagen in Denmark.

Tim Becker, Head of VaR Methodology, Head of FRTB Non-Modellable Risk Factors, Deutsche Bank

Tim Becker is a VP within Deutsche Bank‘s risk methodology department in London where he is currently leading the VaR methodology team and a FRTB methodology team.

Prior to joining Deutsche Bank, Tim developed and implemented quantitative risk models as a quantitative analyst for an energy trading company and as a management consultant.

Tim earned an MSc in Mathematical Finance from the University of Oxford, has a Master’s degree in Business and Engineering from the University of Karlsruhe, Germany and is a certified Financial Risk Manager since 2009.

Bo Boisen, Head of Strategic Projects, Nordea Bank AB

Bo is Director at Nordea Bank leading Strategic Projects in GMCCR, based in Copenhagen. A key project in the portfolio is Risk Platform and FRTB. Previously, Bo was the Programme Director for FRTB at another large institution. With over 20 years of experience working within the financial services industry Bo has functioned a variety of roles across front office and risk analytics. This has covered a range of critical regulatory programs including; ALM, IRRBB, CCR, Market Risk, Credit Risk, Operational Risk and Solvency II. Bo holds a M.Sc. in Finance and Accounting (specialty in Financial Engineering) from the University of Aarhus in Denmark.

Jim Congleton, Technical Specialist, Market Risk Analytics, Standard Chatered

Jim Congleton is in the Regulatory Affairs and Capital Management team at Standard Chartered Bank and his role is dedicated to preparing the bank for implementation of FRTB.

Before joining SCB in 2011, Jim was Head of Market Risk Analytics at Barclays Capital for 7 years. This experience included back-testing during the crisis, the Lehman takeover and implementation of Basel II.5. He also has 3 years experience of market risk analytics at Citigroup.

Jim has a Ph.D. in theoretical nuclear physics and worked for British Telecom as a resource manager before starting his career in risk.

Tim Davies, Global Head of Credit and Market Risk Management, ICAP

Tim Davies is the Global Head of Credit and Market Risk at ICAP, one of the largest inter-dealer brokers in  the world. Previously Tim was  VP and Global Head of Credit, Risk, Finance at Western Union Business Solutions. Tim has over 25 years risk management experience gained from holding senior positions at a range of financial institutions (Lloyds Bank, HSBC, Salomons) as well as at Energy Companies (Enron) and Management Consultancies (Deloittes).

Pascal Gibart, Head of Market Risk, Credit Agricole CIB

Pascal Gibart is Deputy Head of Market & Counterparty Risk Department of CA-CIB the Corporate and Investment Bank of Crédit Agricole. He looks after pricing model validation as well as Internal Models.
Before joining CA-CIB in 2003, he was Head of Trading at Credit Agricole Lazard Financial Products, a joint venture between Lazard and Crédit Agricole based in London.

Jerry Goddard, Director, Wholesale Risk, Santander UK

Jerry is an experienced wholesale Risk Manager with 20 years of experience in front line risk management. As Head of Traded Market Risk at Santander UK he was responsible for many successful regulatory applications and risk methodology developments pre, during and post the crisis. More latterly he ran the UK’s BCBS 239 programme. He sees FRTB as another opportunity for Banks to organise data architectures properly to support the volume and complexity of regulatory request. He is currently focusing on Banking Reform and the implications for Santander’s wholesale business.

Tony Lawson, Director, Group Strategy, Barclays

Tony has 20 years experience working in Valuations and Risk functions across various banks. He has a degree in Mathematics and an MSc in Mathematical Trading and Finance.
He currently works in Strategy at Barclays, focusing on data management, structural reform and Brexit.
He is the driver of an initiative within Barclays to define taxonomies for products, valuation models, risk factors and market data, and the linkages between them. This will provide the framework to demonstrate completeness and consistency across key regulatory initiatives such as FRTB, CCAR, P&L explain, end of day valuation and risk, and associated controls.

Sylvain Martinez, Head of Market Risk and Analytics, ICBC Standard Bank

Sylvain is presently the head of Market Risk and Analytics at ICBC Standard bank.  Having worked c. 25 years as a risk professional, he started in Paris as a Market Risk Manager at CCF (now HSBC France), before joining Rabobank International for 10 years, where he progressed up to the global role of Director Treasury Risk Management.  He subsequently worked 5 years for HBOS as Global Head of Market Risk and Analytics. Later on, he joined Standard Bank for 5 years, where he had global responsibility for Market Risk.

Adolfo Montoro, Director, Market Risk Management, Deutsche Bank

Adolfo Montoro FRM, is a Director within Deutsche Bank’s Market Risk Management department in London He currently leads the FRTB Methodology team and represents DB in the ISDA FRTB Working Group supporting elements of the FRTB implementation and advocacy for the Bank over the last three years. Previously he has been in charge of teams ensuring the adequacy of quantitative methodologies used for market risk management and regulatory purposes (Pillar I and II)
He has earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honors) from Universita’ della Calabria, Italy. He has earned his Financial Risk Manager (FRM) certification in 2005 Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee

Jean Moorhouse, Global Head of Regulatory Affairs, Standard Chartered Bank

Jean will be presenting at this year’s Fundamental Review of the Trading Book Summit.

David Phillips, Senior Technical Specialist, Traded Risk, PRA, Bank of England

David Phillips is a Senior Technical Specialist in the Traded Risk Division at the PRA, with responsibility for the review of market risk, counterparty credit risk, and CVA models. David is also a member of the Basel Market Risk Group. Prior to this, David was the Group Head of Risk Analytics at RBS, where he had responsibility for the review and validation of all models. David holds a PhD from Imperial College, London.

John R. Morrison, Global Markets & Combined US Operations CRO, Credit Suisse

John has been a Director in the Global Markets Trading Risk group within Credit Suisse for the last six years. In addition to his day-to-day market and credit risk management responsibilities, John works in the core CS team delivering the new FRTB market risk framework within the bank. His role is to assist on industry and regulatory advocacy around the new rules and provide subject matter advice into the bank’s formal FRTB Program. John’s background includes eleven years running the Portfolio Review Group within the investment bank of Dresdner Kleinwort Wasserstein in New York and London. He holds an MBA in Analytic Finance and Economics from the University of Chicago.

Lars Popken, Global Head of Risk Methodology, Deutsche Bank

Lars Popken is the Global Head of Risk Methodology at Deutsche Bank. He is responsible for the development of regulatory and economic risk models for market, credit and operational risk. Prior to Deutsche Bank, Lars worked at the Management Consulting firm Oliver Wyman in the area of Finance and Risk. Lars holds a PhD from the University of Kaiserslautern, Germany.

Nadja Schuster, Senior Manager, d-fine GmbH

Nadja Schuster is a Senior Manager at d-fine GmbH. She has over 10 years of working experience in risk management covering a wide range of topics focussing on market risk methods and processes. Her work includes the qualitative and quantitative impact analysis and implementation of new regulatory initiatives such as the FRTB. Before joining d-fine, Mrs Schuster worked as a Market Risk Manager at DZ BANK. She holds a diploma in Mathematics from TU Darmstadt and an Executive MBA from Mannheim Business School.

Alan Smillie, Head of Capital & Ratings Methodology, Nomura

Alan Smillie is Head of Capital & Rating Methodology at Nomura, responsible for the development and maintenance of the firm’s Economic Capital methodology, Credit Rating Scorecards and a range of other risk models. Alan is also a subject matter expert on FRTB, leading regulatory and industry liaison on this topic.

Prior to joining Nomura in 2010, Alan worked in Risk Analytics at Citigroup for five years, where he covered market risk and economic capital modelling. Alan holds a PhD in Quantitative Finance from Imperial College, London.

Karsten Stickelmann, Adviser, European Central Bank

Karsten will be presenting at the Fundamental Review of the Trading Book Summit.

Harshal Talati, Head of Market Risk Reporting, RBS

Harshal will be presenting at this year’s Fundamental Review of the Trading Book Summit.

Neil Thewlis, FRTB Programme Director, HSBC

Neil will be presenting at this year’s Fundamental Review of the Trading Book Summit.

Etienne Varloot, Head of Global Markets Regulatory Strategy & Quant Research, Natixis

After 4 years as an insurer in Europe Etienne joined Salomon Brother as a Quant in Wall Street, then moved to London as a Citigroup credit strategist for 8 years. It then moved on to UBS London for 3 years as strategist and trader. He joined the Banque de France as deputy CRO in 2009, then Natixis in 2011 as the Global Head of Market risk for Natixis. He has been appointed Head of Global Markets Regulatory Strategy and Quant Research last December.

Assessing the business implications of the Fundamental Review of the Trading Book

With: Ed Duncan, Barclays, Bo Boison, Nordea Bank AB, Britta Achmann, Deutsche Bank

Read more

Effectively understanding if and how to model the un-modellable

Pascal Gibart, Head of Risk Quants at Credit Agricole CIB, releases his PDF guide on NMFR and SES

Download the PDF here

Default risk modelling

Mirela Predescu, Deputy Head, Credit and Repo – Market and Counterparty Risk Methods and Analytics at BNP Paribas addresses a default risk model complaint framework

Download the PDF here

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