Fundamental Review of the Trading Book – Agenda

19th November, 2018 | London

08:15 – Registration, morning coffee and breakfast

08:50 – Chair’s opening remarks

Pushpak Tripathi, Senior Manager in the Financial Institutions – Risk Advisory practice, Zanders

TIMELINES – PANEL DISCUSSION
09:00 Reviewing the ability of firms to move forward with uncertainty surrounding timelines whilst remaining adaptable and agile

• Anticipated final timeframe and specification
• Aligning Basel and Europe
• Opportunity within extended timelines
• Postponing vs. carrying on with programme
  • Bridging the gap once full standard received
• Technology capabilities to build everything in time
• Preparing for tests, parallel runs and review in current timeframe

Lars Popken, Global Head of Risk Methodology, Deutsche Bank
Dionisis Gonos, Market Risk Quantitative Analytics Director, Barclays
Andrei Greenberg, FRTB Risk Modelling Lead, BNP Paribas

CURRENT PROGRESS
09:40 Exploring the current progress within FRTB and discussing the anticipated updates ahead of the final rule and implementation

• Progress over the past 5 years
  • Scale of effort across the industry
• Current landscape and progress towards understanding expectations
• Regulatory updates
• Final standard: Basel & European legislation
• Future outlook on final rule and implementation timelines

Rochus Herrmann, Manager, d-fine

10:15 Morning refreshment break and networking

10:45 FRTB regulatory update

• 2018 relevant legislative changes and 2019 regulatory outlook
• Implications of TRIM exercise results
• Updated implementation roadmap

Hendrik Sumpf, Manager, Finbridge
Stefan Scheutzow, Manager, Finbridge

IMPLEMENTATION
11:20 Discussing industry approaches to planning and preparedness ahead of the 2022 implementation deadline

• Approaches from UK, EU and US
• Regulatory application and approval process
• Formulating a roadmap to implementation
• Technological capabilities: What are the issues
• Impact on risk management and reporting
• Implications of Brexit: Relocating to other jurisdictions
• Accommodating future changes

Neels Vosloo, Head of EMEA Regulatory Risk, Bank of America Merrill Lynch

11:55 Practical implementation of FRTB standardised approach and internal models approach

• Centralising reference and time series data
  • Sourcing internal and external data
  • Focusing on data quality
  • Handling observations and risk factors
• Creating a common pricing utility – Re-use of front office pricing models
  • Distributed (and cloud) computing for scalability
• FRTB risk and capital analytics
  • Decision making tools
  • Capital optimisation tools

Anthony Pereira, Founder & CEO, Percentile

12:30 Lunch break and networking

13:30 An optimised approach for capital charge estimation

• BCBS standards for minimum capital requirements for market risk: Capital and implementation costs
• Challenges of approval process for IMA: Desk-by-desk basis and satisfying qualification criteria
• SMA and IMA: Implementation and cost challenges
• The flexibility to choose IMA on a desk-by-desk basis
  • Deciding which approach is the best for which desk
  • Combinations in capital estimations
  • Number of possible combinations for a bank with 10 desks is 1,024 and over a million combinations for 20 desks

Pushpak Tripathi, Senior Manager in the Financial Institutions – Risk Advisory practice, Zanders

NMRF DEFINITION
14:05 Exploring what constitutes as a non modellable risk factor and the discrepancies over deliverables and seasonality

• Observability parameters
• Frequency of deliverables
• Determining if a risk factor is modellable
• Increasing modellability
• Grouping risk factors
• Seasonality
• Un-modellable portfolios
  • Who will be impacted
  • Modellability solutions

Tim Becker, Vice President Risk Methodology, Deutsche Bank

NMRF CONTINUED
14:40 Reviewing the data and system requirements associated with NMRF and the ability to mitigate impacts

• Mitigating large capital numbers
• Calculations
• IMA charges and the impact on desk structure
• Data availability
  • Pooling data for observability
  • Using vendor data

Luca Lopez, Financial Risk Quantitative Analyst, UniCredit

15:15 Afternoon refreshment break and networking

P&L ATTRIBUTION
15:45 Exploring the latest updates within P&L attribution and how firms will start and continue to pass the tests

• Initial test review
  • Effective or stringent
  • User friendliness
• Test calculations
• Demand for improved calibration
• Organising internal process
• Using technology to manoeuvre the test
• Aligning risk and finance data
• Impact on organisation structure, desk structure and the business model

Navneet Mathur, FRTB Programme, HSBC 

BACKTESTING
16:20 Exploring the evolution of backtesting and its impact on FRTB and capital

• Initial test review
• Granularity of P&L: Risk Factor Level?
• Desk level backtesting: Consistency between VaR and P&L
• Differences in RWA calculations: Current vs. New

Harshal Talati, Head of Market Risk Reporting, RBS

INTERACTION WITH OTHER REGULATIONS – PANEL DISCUSSION
16:55 Exploring the current regulatory environment and opportunities to leverage capabilities from other programs

• IFRS 9; BCBS 239; MIFID II
• Impact of Brexit
• Rest of Basel IV package
• Moving away from regulatory siloes
• Cross functional solutions

Lars Popken, Global Head of Risk Methodology, Deutsche Bank
Ozgur Ozel, EMEA Head Prudential Regulatory Relations, Executive Director, Morgan Stanley
Suman Datta, Head, Portfolio Quantitative Research, Lloyds Banking Group

17:35 Chair’s closing remarks

17:45 End of Forum

Please note, this agenda may be subject to change.

Tim Becker, Vice President Risk Methodology, 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.

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

I head up the Portfolio Quantitative Research function within Lloyds Banking Group Markets division and am responsible for strategic cross-asset portfolio analytics covering FRTB, Prudential Valuation, Initial Margin, PnL Attribution and Stress Testing. I am also the business/IT partner for architecting the next-generation risk and valuation platform to be used by trading, risk and finance functions. My background is in quantitative finance, technology and business strategy and my key areas of interest are in bank regulation, digitisation and application of quantitative methods in new areas within finance

Dionisis Gonos, Market Risk Quantitative Analytics Director, Barclays

Studied Mechanical Engineering in NTUA, in Athens. Then MBA at the Management School, in Imperial College and PhD in Finance at the Centre for Quantitative Finance in Imperial.

Worked at Credit Suisse between 1998 and 2004, reaching the position of Head of Risk Methodology, then in HBOS as Head of Market Risk Analytics.

In Barclays Investment Bank since 2009 and currently at the Quantitative Analytics for Market Risk team with primary responsibility for the IMA model methodologies and FRTB architectural design.

Andrei Greenberg, FRTB Risk Modelling Lead, BNP Paribas

Andrei Greenberg started his career as a credit quant at Lehman Brothers, before moving to Rabobank to help set up a structured credit trading desk there. In the aftermath of the credit crunch, Andrei worked in the BNP Paribas risk analytics team, where he developed the model for calculating the CRM capital charge. Following that, Andrei spent 3 years as a fixed income desk quant at UBS. Back at BNP Paribas since 2013, he has been looking after transversal topics in market and counterparty risk methodology, before taking charge of FRTB risk methodology projects in 2017.
Andrei holds a PhD in Applied and Computational Mathematics from California Institute of Technology.

Rochus Herrmann, Manager, d-fine

Rochus Herrmann is a managing consultant at d-fine London. Rochus joined the German branch of d-fine before transferring to the London office in 2016 where he manages d-fine’s market risk service offering. His work covers the development and validation of internal market risk models as well as related compliance and reporting solutions.

One of his current focus areas are the implementation of new regulatory initiatives for market risk such as FRTB. Rochus holds a PhD in physics from Aarhus University, Denmark, and a graduate degree from Heidelberg University, Germany.

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.

Navneet Mathur, FRTB Programme Manager, HSBC 

Navneet Mathurwill be presenting at 3rd annual Fundamental Review of the Trading Book 2018

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.

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, 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, Manager, Finbridge

Stefan Scheutzow is a Manager 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. Stefan would value any feedback at stefan.scheutzow@finbridge.de

Hendrik Sumpf, Manager, Finbridge

Hendrik Sumpf, FRM, is a 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. You can contact him at hendrik.sumpf@finbridge.de

Harshal Talati, Head of Market Risk Reporting, RBS

Harshal is the head of Market Risk Reporting at RBS. He enjoys the support of his global team which allows him to contribute to strategic projects. Harshal’s current focus is to provide sponsorship/ vision to various strategic projects like BCBS 239, ring-fencing of UK banks and strategic architecture for FRTB.

In 2017, Harshal has developed the framework for reporting which is compliant with the BCBS 239 regulation. The framework is planned for various phases which will incorporate lower level reporting through 2018.

Harshal has 15 years in financial services industry. He has worked in India, Singapore and London. He is a chartered accountant from India and he completed FRM in 2011.

Harshal would enjoy sharing his experiences and would like to get insight on how the financial industry is tackling the regulations facing us in near future.

Pushpak Tripathi, Senior Manager in the Financial Institutions – Risk Advisory practice, Zanders 

Pushpak is a Senior Manager at Zanders. Pushpak is responsible for assisting clients (financial Institutions in the UK) on risk advisory practice by providing thought-leadership and implementation support on regulatory topics such as FRTB / CCAR / IRRBB and many other market and credit risk topics. Prior to joining Zanders, Pushpak has worked in leadership roles at Deutsche Bank, JP Morgan and Credit Suisse in market risk, focussing on various regulatory changes and their impact on business-as-usual for the bank.

Pushpak has a bachelor’s degree in engineering from the Indian Institute of Technology and an MBA from Oxford University. He is also a CFA and FRM charter holder.

Neels Vosloo, Head of EMEA Regulatory Risk, Bank of America Merrill Lynch

Neels Vosloo is the Head of EMEA Regulatory Risk within Global Markets Risk Management at BAML. Before joining BAML, Neels headed up the Traded Risk Modelling team in Deloitte’s Risk Advisory practice in London. He has worked in risk modelling roles across market and counterparty risk, and has been a Senior Risk Specialist in the Traded Risk Department at the PRA, overseeing the transitions to both the CRD III and CRD IV / CRR regimes, and participating in drafting the first version of FRTB. Neels hold degrees in Mathematics, Philosophy, and Actuarial Science from the University of Pretoria.

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

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8-14 COOPER’S ROW
LONDON | EC3N 2BQ

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