Fundamental Review of the Trading Book 2019

08:50 Chair’s opening remarks

GLOBAL VARIATIONS – PANEL DISCUSSION
09:00 Discussing international variations in timelines, approaches, model adoption and the potential for harmonisation

• • UK, EU & US
  • US politics & notice of proposed rule making
  • Brexit impacts on the programme

• • Delivering FRTB from different locations
  • Will the UK follow a separate timeline?
  • Implementing FRTB in multiple jurisdictions
  • Cost of running FRTB models in parallel with existing models
    

Azar Khurshid, Director, Global Market Risk Management, Mizuho
Brandon Davies, Non-Executive Director, Obillex Limited
Fausto Marseglia, Head of Product Management, FRTB and Regulatory Propositions, Refinitiv

TIMELINES & IMPLEMENTATION
09:45 FRTB: Exploring the implementation challenges and impact of final rule

• Increase in capital requirements
• Finalisation of the requirements
• Timelines for delivery
• Treatment of non-modellable risk factors
• Understanding final rule and expectations

Standard Chartered Bank

10:20 Morning refreshment break and networking

OTHER REGULATION
10:50 Debating how FRTB will interact with other regulatory regimes and the added pressure this could place on resources and data

• BCBS239, IFRS 9 , Basel IV, MIFID, Brexit – Impacts and interaction
• LIBOR transition & FRTB – Similar timelines
  • New risk factors produced from alternate rates
  • Keeping shortfall and VAR models in tandem with LIBOR changes
  • Reduced historic data
• Leveraging from other projects
• Regulatory advice on managing multiple regimes

Ozgur Ozel, EMEA Head Prudential Regulatory Relations, Executive Director, Morgan Stanley 

P&L ATTRIBUTION
11:25 Examining the final standard surrounding P&L attribution and the ability to successfully pass the test

• Challenges in passing the PLA test
• Sensitivity of the final standard for PL attribution
• Passing PLA Tests vs. NMRF Capital Charges
• Bridging the gap between trading desks and front office
• BAU process and daily management

Nicolae Mera, Head of EMEA Market Risk Analytics, Morgan Stanley

12:00 Lunch break and networking

MODEL RISK MANAGEMENT
1:00 Highlighting the latest trends around model risk management and target operating models

• Challenges of using front office pricing models
• Scaling up infrastructure for effective model risk management
• Provision of limit frameworks
• Integrating models which flow into different locations
• Managing the complexity of the portfolio
• Regulatory supervision and model validation

Lars Popken, Global Head of Risk Methodology, Deutsche Bank

1:35 Reviewing the latest trends and developments within NMRF, IRT and funds

• Getting to know your risk factors
• From RPO to risk factors: how to project?
• SES scenario calibration: challenges and impacts
• What is the fate of funds?
• Internal Risk Transfer: business limitations and concerns

Luca Lopez, Financial Risk Quantitative Analyst, UniCredit

DATA
2:10 Discussing the increased data requirements needed for FRTB and how teams can effectively build up infrastructure and systems

• Identifying a golden source of market data
• Data integrity, granularity, transformation and mapping
  • Leveraging data mapping requirements from TRIM
• Historic data and reference data
• Data lakes, pools and operational stores
• Alignment between P&L and risk data
• Impact of AI and machine learning on modelling capabilities
• Managing scattered infrastructure
• Data management post implementation

2:55 Afternoon refreshment break and networking

INTERNAL RISK TRANSFERS
3:25 Understanding how firms can effectively set up internal risk transfer desks and manage restrictions on trades

• Interpretation and methodology
• Optimising and organising desks – Considerations of applying IMA to all desks
• Restrictions on internal trade
  • Limitations on equity and credit
  • Seeking other players to complete trades
• Boundary, classification and transfers between the banking and trading book
• Hedging on banking book risk
• Accounting treatment

Aoife McGloughlin, Senior Market Risk Manager, Bank of Ireland

FUNDING PRODUCTS
4:00 Exploring how the FRTB rules could impact funding products and wider market trends

• Unintended consequences around securitised products
• Changes for fixed income products, equity based business and prime services
• Results of inputting the rules into pricing models
• Changes to traditional hedging strategies
• Impacts for capital management
• Proving modelability in periods of low liquidity

RESOURCES & GOVERNANCE – PANEL DISCUSSION
4:35 Explaining how teams can create a strong governance process, maintain momentum and ongoing business justification

• Justifying resources with uncertain timelines
• Aligning front office, finance and risk
  • Designing an operating model which encourages collaboration
• Managing models built by the front office
• Collaboration with IT teams for data and system build out
• Risk, compliance and control
• Managing other projects and business impacts

Sudeep Chatterjee, Head of QA Horizontal, Global FX Tech, Bank of America
Luca Lopez, Financial Risk Quantitative Analyst, UniCredit
Suman Datta, Head, Portfolio Quantitative Research, Lloyds Banking Group

5:20 Chair’s Closing Remarks

5:30 End of Forum

Sudeep Chatterjee, Head of QA Horizontal – Global FX Tech, Bank of America

Sudeep is a senior technology leader with over 20 years’ experience with top tier Investment banks and Consulting firms managing technology risk through software testing globally for enterprise-wide change and regulatory programmes.

Currently, Sudeep is working as Head of QA Horizontal for Global FX at Bank of America Merrill Lynch

Prior to Bank of America Merrill Lynch, Sudeep was Head of QA – Regulatory Reporting with Lombard Risk and Barclays and also led testing for large regulatory and change programmes at UBS, GE and Accenture.

Sudeep has well-rounded experience and success in variety of senior leadership roles within Planning and Strategy, Large Program and Portfolio Test management. Sudeep has a MBA from Warwick Business School and a Master’s degree in Software Engineering from University of Hertfordshire.

Sudeep is an active contributor to testing and risk management industry and has been on judging panels for European Software Testing awards and DevOps Industry awards as well as have spoken at National Software Testing Conferences, European Software Testing Summit and QA Financial Forum

Brandon Davies, Non-Executive Director , Obillex Limited 

Brandon is a Trustee of the Responsible Finance Institute Foundation a Non-executive director of Lintel Financial Services Limited and of Obillex Limited and an advisor to Rosette Limited a Shariah merchant bank .

Brandon is an advisory council member of the Institute of International Monetary Research and is a member of the Financial Markets Group at the London School of Economics.

He currently lectures at Buckingham University on their Masters in Money, Banking and Central Banking degree course.

Brandon retired from Barclays Bank in 20004 where he was Treasurer of retail and corporate banking and a member of the banks Executive Committee. Prior to this appointment he was Head of Structured Products at Barclays Capital

Suman Datta, Head, Portfolio Quantitative Research, Lloyds Banking Group

Suman Datta will be presenting at FRTB Forum

Azar Khurshid, Director, Global Market Risk Management, Mizuho

Azar has over 10 years of experience in Financial Risk Management. Currently he is the Global Business director for the FRTB and related Regulatory projects at Mizuho. He also manages the current Internal model for Market Risk. Previously he was at Barclays capital for 7.5 years, where he worked with Equity derivatives risk management and risk reporting and also in counterparty credit risk.
Azar has a doctorate degree in Neuroscience and Masters in Computational intelligence

Luca Lopez, Financial Risk Quantitative Analyst, UniCredit

Luca Lopez is a financial risk quantitative analyst at UniCredit since 2015. Formerly risk manager at Intesa Sanpaolo, he  is responsible for the market and counterparty risk models development and monitoring. In Particular, he leads the FRTB project covering all methodological and implementation aspects. He holds a PhD in Theoretical Physics.

Fausto Marseglia, Head of Product Management, FRTB and Regulatory Propositions, Refinitiv

Fausto Marseglia will be presenting at the forthcoming FRTB Forum.

Aoife McGloughlin, Senior Market Risk Manager , Bank of Ireland

Aoife has been Market Risk professional for 16 years, the last 11 years of which have been working in the Market Risk department of Bank of Ireland. She is currently Head of the Treasury and ALM Market Risk team where her focus is on the EBA Interest Rate Risk in Bank Book guidelines and their impact on the Pillar 2 regulatory requirement.
Prior to this Aoife worked on Traded Market Risk team where she was responsible for the assessment and implementation of the Standardised Approach for the Minimum Capital Requirements for Market Risk (Fundamental Review of the Trading Book). Aoife has also been heavily involved in Market Risk component of the Regulatory EBA stress.
In DePfa Bank Plc Aoife was Head of the Market Risk Control Function and in both BOI and DePfa she have been involved in the successful implementation of Market Risk systems.

Nicolae Mera, Head of EMEA Market Risk Analytics, Morgan Stanley

Nicolae is the EMEA Head of Market Risk Analytics at Morgan Stanley, leading model development for regulatory and risk management models for market risk. Prior to joining Morgan Stanley in 2018 Nicolae has led the Quantitative Risk & Capital Strategies team within the risk methodology team at Credit Suisse and has held positions in proprietary trading (systematic trading) and academia (computational fluid dynamics research). Nicolae holds a PhD in applied mathematics and has over 15 years’ experience in quantitative modelling as applied to market risk, systematic trading, applied mathematics and engineering.

Ozgur Ozel, EMEA Head Prudential Regulatory Relations, Executive Director, Morgan Stanley

Ozgur Ozel joined Morgan Stanley in June 2010 and is the central regulatory relationship manager for the Prudential Regulatory Authority. Prior to this role Ozgur worked in Internal Audit covering various reviews across the securities and investment banking businesses. Ozgur is a Certified Internal Auditor with 20 years’ experience in the financial services industry, having worked at HSBC, Lehman Brothers and UBS.

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.

Jacob Rank-Broadley, Director of Regulatory & Market Structure Propositions, Refinitiv

Jacob Rank-Broadley is a Director of Regulatory & Market Structure Propositions at Refinitiv, where he is responsible for identifying, evaluating and implementing new business opportunities in response to incoming regulation and market structure change.  Jacob leads Refinitiv’s response to the FRTB regulation and has spent significant time engaging with the industry on the topic. Jacob is a financial markets executive with more than ten years’ experience advising financial institutions on strategic and regulatory issues. Prior to joining Refinitiv in 2015, Jacob was a management consultant at Oliver Wyman’s Financial Services practice and was responsible for corporate strategy at MarketAxess.

FRTB: Challenges ahead, uncertainty surrounding timelines and technology capabilities

Interview with: Ozgur Ozel, Executive Director, EMEA Head, Prudential Regulatory Relations, Morgan Stanley

Read more

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