Fundamental Review of the Trading Book

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Assessing FRTB progress, opportunities and constraints ahead of full implementation

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2ND ANNUAL

Fundamental Review of the Trading Book

Taking place Grange City Hotel, 8-14 Cooper’s Row, London, EC3N 2BQ

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Hear From Over 20 Senior Market Risk Professionals, Including:

David Philips

David Phillips

Senior Technical Specialist, Traded Risk
PRA, Bank of England

Karsten Stickelmann

Karsten 2017 EY

Adviser
European Central Bank

Jean Moorhouse

Kelly Mastrojohn

Group Regulatory Advisor
Standard Chartered Bank

Lars Popken

Lars_Popken_21051

Global Head of Risk Methodology
Deutsche Bank

Jerry Goddard

jerry

Director, Wholesale Risk
Santander UK

Alan Smillie

AlanSmillie

Head of Capital & Ratings Methodology
Nomura

John R. Morrison

JMorrison

Director, Global Markets Trading Risk
Credit Suisse

Pascal Gibart

Pascal Gibart

Head of Market Risk
Credit Agricole CIB

Key Highlights to be Addressed

Implementation
Examining the ability to prepare for full implementation in uncertainty

Global Approaches
Understanding variations in global approaches and the possible impacts of an un-level playing field

Standardised Approach
Exploring the capital implications of standardised approach at an individual desk level

Internal Model Approach
Reviewing IMA opportunities and constraints to assess viability and approach

Alignment with other Regulations
Understanding the possible interactions of FRTB with other regulations

P&L Attribution
Examining P&L attribution requirements and maintenance at a desk level

Non-Modellable Risk
Examining definitions of non-modellable risk factors and the impact on data requirements and capital

Data & Systems
Reviewing the FRTB data requirements and the ability to building sufficient systems

Governance & Control
Identifying governance and control processes for FRTB to allow for effective implementation and management

Post Implementation
Discussing potential impacts and consequences post FRTB implementation

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
09:40 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

10:15 Morning refreshment break and networking

10:45 Implementation pitfalls – Case studies and lessons learned

  • Reading Tea Leaves: implementing draft regulation
  • Opposing Views: conflicts of interest and project planning
  • System Overload: strains on IT infrastructure

Stefan Scheutzow, Expert and Market Risk Team Lead, Finbridge
Hendrik Sumpf, Associate Manager, Finbridge

GLOBAL APPROACHES – PANEL DISCUSSION
11:20 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
Lars Popken, Global Head of Risk Methodology, Deutsche Bank

STANDARDISED APPROACH
12:00 Standardised approach analytics: Creating alignment between risk and front office

  • Looking beyond the prescribed calculations
  • What insights can be derived from the FRTB SA calculations
  • How Risk teams use the drivers of capital to help make trading decisions
  • Stress Testing and What-if analysis to further understand capital impact

Anthony Pereira, Founder & CEO, Percentile

12:35 Lunch break and networking

INTERNAL MODEL APPROACH
13:35 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

14:10 Adaptive validation of Expected Shortfall models

  • Expected Shortfall (ES), is the new risk standard in the Basel Banking Supervision; backtesting ES, however, is still a challenge
  • We propose a new ES backtest with optimal characteristics: minimal and prudential sensitivity to VaR predictions
  • The backtest qualifies for model validation of ES models in banking regulation and beyond that
  • Additionally, the backtest displays important premium properties
    • Measuring prediction error discrepancy and not only probability
    • Paving the way to dynamic self-adaptive risk models
    • Broader potential implications for risk systems across all the risk industry

Carlo Acerbi, Managing Director, Risk Analytics, MSCI

REGULATORY ISSUES
14:45 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

15:20 Afternoon refreshment break & networking

DOUBLE SESSION
SUPERVISORY APPROACH

15:50 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

17:35 Chair’s closing remarks

17:45 End of day one

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Day Two | 22 November, 2017

8:15 Registration and Coffee

8:50 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

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, Director, Global Markets Trading Risk, 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, 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
Tim Becker, Head of VaR Methodology, Head of FRTB Non-Modellable Risk Factors, Deutsche Bank

17:00 Chair’s closing remarks

17:10 End of Summit

Carlo Acerbi - Head shot
Carlo Acerbi, Managing Director, Risk Analytics, MSCI

Carlo Acerbi currently heads the ‘risk and regulation’ research team out of the MSCI Geneva office. His main areas of interest in finance are risk management, risk regulation and instrument pricing.

Dr Acerbi received a Ph.D. in Theoretical Physics from the International School for Advanced Studies (SISSA – ISAS), Trieste, IT. He started a career in quantitative finance in 1997, with a double track in the industry and the academia.
Prior to MSCI, Dr Acerbi worked as a Risk Manager for Banca Intesa (Milan, Italy) and as a Financial Engineer for Abaxbank, Credito Emiliano Group (Milan, Italy). He also worked as a senior expert in the risk practice of McKinsey & Co, also in Milan.

He is the author of several relevant papers in renowned international journals, focusing in particular on the theoretical foundations of financial risk and the extension of portfolio theory to illiquid markets. He is renowned for instance for the definition of Expected Shortfall (with D. Tasche, 2001), of Spectral Measures of Risk (2002) and of a coherent liquidity risk framework (with G. Scandolo, 2008).

He has taught “advanced derivatives” at Bocconi University, Milan. He is an Executive Fellow of the Essex Business School (UK) and honorary professor at Corvinus University of Budapest. He has been for years a member of the board of ‘The Journal of Risk’.

gilles.artaud - Copie
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 head shot
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.

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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
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.

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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
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
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
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
Tony Lawson, 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-Headshot copy
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
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

David Phillips
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.

JMorrison
John R. Morrison, Director, Global Markets Trading Risk, 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.

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Anthony Pereira, Founder & CEO, Percentile

Anthony Pereira is Founder & CEO of Percentile, providers of high-performance technology for FRTB, stress testing and risk data governance in financial services. Percentile works with firms, including global investment banks, hedge funds and brokers, to make Risk more intuitive, interactive and intelligent.

His professional career spans almost 20 years in various sectors of technology including large scale data analytics, interactive data for television and eventually finance, in both start-ups and corporations. Prior to Percentile, the previous 12 years were spent revolutionising risk technology at a global investment bank for internal and regulatory requirements.

Lars_Popken_21051
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.

Stefan Scheutzow
Stefan Scheutzow, Expert Consultant, Finbridge

Stefan Scheutzow is Expert Consultant at Finbridge and responsible for the interpretation and implementation of current banking related regulations following Basel III. Stefan worked for several years in financial risk management covering supervisory requirements as well as quantitative risk models across capital markets and banking. Today, he is in charge of conducing impact studies for Finbridge clients on current treasury and capital markets related regulations such as FRTB and SA-CCR and develops achievable recommendations for implementation. He is also helping his clients to embed future supervisory requirements with their business strategies.

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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.

AlanSmillie
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 2017 EY
Karsten Stickelmann, Adviser, European Central Bank

Karsten is an Advisor in the Internal Models Division of the SSM (Single Supervisory Mechanism) at the European Central Bank. He is member of the Market Risk Group of the Basel Committee for Banking Supervision, where he co-chairs the internal models work stream and is involved in other working groups at European and Basel level. Before joining the ECB in 2014 Karsten worked for more than 15 years in the German Central Bank, first as an examiner for internal market risk models and then more than 10 years as head of section, Market risk, Operational Risk, Liquidity risk models and IT“ responsible for on-site inspections and the transposition of Basel and European rules into national legislation. Karsten received a diploma in mathematics from the University of Marburg and worked in two commercial banks before joining the German Central Bank.

Hendrik_Sumpf
Hendrik Sumpf, Associate Manager, Finbridge

Hendrik Sumpf, FRM, is Associate Manager at Finbridge. He is specialised in running projects that interface between functional concept work and technical implementation in financial institutions. His recent projects in regulatory reporting and risk controlling encompass implementations of new regulatory requirements in liquidity, credit, and market risk as well as the broader BCBS 239 context. Hendrik has been part of the Finbridge FRTB team since the beginning of the BCBS consultations and has given various presentations and webinars on the subject. He is also one of the lead programmers for the Finbridge FRTB Toolbox used in several change-impact studies for Finbridge’s clients.

Harshal Talati
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
Neil Thewlis, FRTB Programme Director, HSBC

Neil Thewlis has worked as a change and technology leader in investment banking for 30 years spanning many areas of front office & risk technology across all asset classes. Neil is currently FRTB Programme director for HSBC, as well as head of cross asset risk technology.

Varloot
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 a year ago. Etienne is a lecturer at the French institute of actuaries; he has received a MBA from INSEAD and a MSCS from Columbia University.

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RISK WEBINAR

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

FEATURED RESOURCES

The challenge of P&L attribution

A presentation by Alan Smillie, Head of Capital & Ratings Methodology at Nomura.

Download the PDF here

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

MARKET RISK INSIGHTS

16th October 2017

Reviewing FRTB final rule

By Lars Popken, Global Head of Risk Methodology at Deutsche Bank.
10th October 2017

Implementation pitfalls – Case studies and lessons learned

By Stefan Scheutzow, Expert and Market Risk Team Lead and Hendrik Sumpf, Associate Manager from Finbridge.
6th October 2017

FRTB: Incorporating a strong governance and controls process

By Harshal Talati, Head of Market Risk Reporting at the Royal Bank of Scotland.
4th October 2017

Ensuring alignment between FRTB processes and P&L

By Tony Lawson, Director of Strategy at Barclays.
14th September 2017

Supervisory approaches to the review of FRTB implementation

23rd August 2017

Preparing for the increased data requirements for FRTB reporting

21st August 2017

The challenge of P&L Attribution

4th August 2017

FRTB Implementation: Key concerns, opportunities and constraints

5th April 2017

Executing the FRTB in practice and contending with timing constraints

5th April 2017

Looking ahead to FRTB implementation and understanding the requirements

22nd February 2017

Effectively understanding if and how to model the un-modellable

8th February 2017

FRTB: Default risk modelling

1st June 2016

FRTB: Model eligibility, IMA and standard rules

5th April 2016

CVA Sensitivities – Theory and Practice

4th April 2016

A Look Towards the CVA Finalisation Rules

24th February 2016

The Unintended Impacts of FRTB on Emerging Markets

17th February 2016

Reviewing the Finalisation Paper for the Revised Capital Standard for Market Risk

17th February 2016

Key Regulatory Challenges Facing EMEA Risk Professionals

4th January 2016

FRTB Conclusions and The Debate Between VaR and ES

4th January 2016

Can Risk Weighted Assets (RWAs) be Trusted?

Co-Sponsors

AxiomSL


AxiomSL is the leading global provider of regulatory reporting and risk management solutions for banks, asset managers and insurers. It empowers clients with the tools they need to manage their financial, risk and operational requirements, and to comply with regulatory calculation and disclosure mandates around the world.
All of AxiomSL’s solutions are built on the same adaptable, high-performance platform. This gives clients a unique opportunity to reduce the cost and complexity of compliance by using one platform to manage all of their requirements globally. AxiomSL’s solutions are fully supported and are upgraded when rules and templates change. The unparalleled transparency offered by AxiomSL gives users the ability to drill down from the reports they produce to the calculations and source data they have used.

AxiomSL was awarded The Asian Banker’s 2016 “Best Compliance Risk Technology Implementation of the Year” as well as “Best Implementation at a Sell-side Firm” in the 2016 Sell-side Technology Awards. It was voted Best Reporting System Provider in the 2015 Waters Rankings and was highlighted as a ‘Category Leader’ by Chartis Research in its 2015 Sell-side Risk Management Technology report. The company’s work has also been recognized through a number of other accolades, including success in the Best Reporting Initiative category of the American Financial Technology Awards and in the Customer Satisfaction section of the Chartis RiskTech100 rankings.

d-fine


d-fine is one of the leading providers of quantitative and technical consulting services for the financial services industry in Europe.

With over 600 highly skilled specialists based in Frankfurt, Munich, London, Vienna and Zurich, we advise banks, insurance companies, asset managers, hedge funds and corporate treasuries on risk management, finance and IT integration.

Our services for banks cover all aspects of models, processes, and systems for measuring and managing market risk. With our expertise and market overview we are supporting clients in projects on the Fundamental Review of the Trading Book. We develop tools to help our clients significantly reduce the effort of conducting impact studies and improve reliability of results, including an application to calculate RWAs according to the revised standardized approach (SA-TB). Together with our clients, we assess the effects of the fundamental review on processes and systems. We help plan implementation scenarios and support our clients in their implementation projects.

Finbridge


Finbridge is an independent specialised consultancy to financial services. With over 90 highly qualified consultants, Finbridge offers tailor-made implementation approaches throughout the entire process chain. Finbridge supports banks and financial services successfully in designing and implementing change processes resulting from new regulatory requirements, new innovative financial products or adjustments to business models in risk controlling, regulatory reporting, accounting, trading and settlement.

First-hand experience in the market for FRTB functional design, change-impact analyses, and implementation make Finbridge one of the leading experts on FRTB in the German banking industry with a growing customer base throughout Western Europe. Our highly adaptable tools for the ad-hoc processing and detailed analysis of the FRTB standardised approach support our market risk experts in deriving recommendations for FRTB-related business model adjustments for your institution that are directly measurable – and measured – in terms of reductions in capital requirements. We work closely together with your in-house experts to find solutions that optimise your implementation approach to FRTB whilst maintaining feasibility w.r.t. your general corporate strategy and business model.

MSCI


MSCI will be sponsoring the Fundamental Review of the Trading Book Summit

Percentile


Percentile is a London based provider of technology for risk management and regulatory compliance to the financial markets. Percentile’s flagship product, RiskMine, drives alignment between trading desks and risk management and delivers confidence with unprecedented levels of transparency and governance around risk data. RiskMine FRTB is the latest addition to the platform and provides computation and analytics for both Standardised Approach and Internal Model Approach to accelerate a bank’s compliance to the new market risk capital regulations. RiskMine is the result of over a decade of innovation at an investment bank and driven by demanding risk managers, providing the single source of truth for risk. Percentile’s technology is designed for fast integration into existing environments, boosts the performance of risk calculations and provides consistent and centralised access to all risk exposures. RiskMine can be delivered on-premises or fully hosted in the cloud.

Sponsorship

Can your organisation contribute at our Fundamental Review of the Trading Book Congress?

 

Please contact the Center for Financial Professionals today to discuss how we can deliver your thought-leadership at the event, help you generate leads, and provide you with unique networking and branding opportunities. Below is an outline of what we can offer, but please contact sales@cefpro.com or call us on +44 (0)20 7164 6582 where a member of the team will be happy to tailor the right package for you.

Media Partner

Venue

Grange City Hotel
8-14 Cooper’s Row
London
EC3N 2BQ

We have a preferential rate for our attendees to stay overnight at the venue for £185,
 bed & breakfast.

To book your accommodation please call +44 (0) 207 863 3700 or email city.reservations@grangehotels.com and quote reference CCT1711299

Our preferential rate will expire this Thursday 19 October.

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Frequently Asked Questions

Can I present at the Fundamental Review of the Trading Book Summit?

Yes, the Center for Financial Professionals are happy to discuss speaking opportunities at the Fundamental Review of the Trading Book Summit. For further information on this please contact shannon.harris@cfp-events.com or call us on +44 (0) 20 7164 6582.

Are there any rules on the dress code?

Business attire is requested. The Summit is a formal opportunity to network with like-minded professionals and to gain knowledge from the industry’s finest risk management experts.

What is the cost and what is included in the registration fee?

We offer incentives for ‘early bird’ registrants of the Summit, as outlined on our pricing structure.

Registration includes breakfast, refreshment breaks, lunches, the cocktail reception at the end of the day, full access to the sessions and exhibition area. Presentations from sessions are also available, subject to speaker approval.

Where can I find the Summit documentation and speaker presentations?

All registered attendees will receive an email with access to documentation and speaker presentations after the Summit*

We will work with our presenters to include as many presentations as possible on our Risk Insights App during the Summit.

*Please note that our speakers often have to gain permission from their relevant compliance departments to release their presentations. On rare occasions compliance may not allow presentations to be distributed.

Will breakfast, lunch and refreshment be provided?

Yes. As with all of our events the Center for Financial Professionals will be providing brilliant coffee, breakfast, lunch, refreshments, and smaller bites during the networking breaks.

Will there be opportunities to network with other attendees?

There are ample opportunities for networking and interaction throughout the Summit, such as

  • Breakfast, lunch and refreshment breaks
  • Cocktail reception at the end of the day (Subject to confirmation)
  • Q&A, panel discussions and audience participation technology available through the Risk Insights App
I have several colleagues that would like to attend, is there a group discount?

Certainly! We are pleased to offer you a 50% discount on the third registration or provide a fifth registration for free.

If you would like to register more than five colleagues please contact us on +44 (0) 20 7164 6582

Please note:

  • Registrations must be made at the same time
  • Registrations must come from the organisation
  • The lowest registration will be discounted
Are there opportunities to share my thought-leadership at the Fundamental Review of the Trading Book Summit?

Yes there are plenty of opportunities for the Center for Financial Professionals to share thought-leadership to the attendees of Fundamental Review of the Trading Book Summit and our wider risk professionals community.

At the event
We can distribute your material to the attendees, offer you an exhibition booth, and provide speaking opportunities so that you may enjoy a more prominent presence at the Summit. Visit the Sponsor tab for further information or contact sales@cefpro.com / +44 (0) 207 164 6582.

Risk Insights
Feature your content on our Risk Insights website and supporting Risk Insights monthly newsletter. For further information please download our media pack here.

Are media partnerships available for the Fundamental Review of the Trading Book Summit?

Yes. As part of a media partnership we can offer a variety of options to increase the branding and awareness of your association, company, certificate, publication or media. We are flexible with what we can offer however we usually:

  • Provide a discounted rate to attend
  • Place your logo and profile on the Summit website
  • Place your logo on the Summit brochure
  • Place your logo on promotional content where applicable
  • Distribute your media/marketing at the Summit
  • Promote through social media channels

To discuss this further please contact jesse.hopkins@cefpro.com or call +44 (0) 20 7164 6582.

Early Bird Standard Rate
Fundamental Review of the Trading Book
21-22 November 2017, London
£1,099*
Register by 10 November
(save £500)
£1,599
Registrations after 10 November

Should you have any questions regarding registering, please contact the Center for Financial Professionals, please contact us on +44 (0)20 7164 6582 or +1 888 677 7007, or email info@cfp-events.com.

*All rates are subject to UK VAT

Group bookings: 

Group rates are available for 3 or more attendees from the same organisation, when registering at the same time. The current rate allows every third colleagues to come along for half price, or a fifth colleague to attend for free.

Other ways to register

1. Save Time – Register by Email

Simply email us with your e-signature – and we will do the rest for you!

2. Contact Us Directly

3. Download the PDF Registration Form

Co-Sponsors

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