Fundamental Review of the Trading Book 2019

Exploring the latest FRTB updates including modelling, data management and implementation

FRTB 2019: 4th Annual Forum

25 September, 2019 | London

Exploring the latest FRTB updates including modelling, data management and implementation

Global Variations
Analysing the international variations in timelines, approaches and model adoption

Timelines & Implementation
Reviewing timelines, regulation and progress towards implementation

Model Risk Management
Exploring the latest updates within model risk management and target operating models

P&L Attribution
Discussing the final standard and the ability to successfully pass the test

Data
Understanding how firms can effectively accommodate enhanced data requirements

Internal Risk Transfers
Exploring desk set up and approaches to managing restrictions on trade

Other Regulation
Discussing how FRTB will interact with other regulation and internal projects

Resources & Governance
Understanding how firms can maintain momentum and set-up a strong governance process

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Lars Popken
Global Head of Risk Methodology
Deutsche Bank

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

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Luca Lopez
Financial Risk Quantitative Analyst
UniCredit

Nicolae Mera

Nicolae Mera
Head of EMEA Market Risk Analytics
Morgan Stanley

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Suman Datta
Head, Portfolio Quantitative Research
Lloyds Banking Group

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Aoife McGloughlin
Senior Market Risk Manager
Bank of Ireland

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

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Azar Khurshid
Director, Global Market Risk Management
Mizuho

Why attend?

Over the past three years industry professionals have actively been working towards FRTB compliance and setting-up the relevant infrastructure, resource and governance. It can be said that the path towards implementation has thus far been challenging and included regulatory uncertainty and delays. As the timelines grow ever smaller focus has shifted from review and analysis to practical application, for many financial institutions they are now ramping up for the final push towards the end goal.

However there are still several disparities and unanswered questions surrounding the standard which require further clarification. For example the general implementation plan has raised concern and many firms are considering timelines for adoption, data management practices and the best approaches to modelling. In addition, it still unknown how FRTB will interact with the business and impact products, trading and other regulatory regimes. Addressing these issues now will assist in creating a fluid transition plan and implementation process.

08:15 Registration and breakfast

08:50 Chair’s opening remarks

David Lindsay, CEO, Delv Global

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
Fausto Marseglia, Head of Product Management, FRTB and Regulatory Propositions, Refinitiv
Mike Fox, Regulatory Projects, Barclays

OTHER REGULATION
09:50 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 

10:30 Morning refreshment break and networking

P&L ATTRIBUTION
11:00 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

MODEL RISK MANAGEMENT
11:40 Model risk management and target operating model in the context of FRTB

  • 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

12:20 Lunch break and networking

1:20 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

2:00 Exploring operationalising data for the risk factor eligibility test (RFET)

  • Understanding the implications of the January 2019 revisions for passing RFET
  • From global to local: Upcoming challenges to consider
  • Best practice tips for reliably sourcing “real” price observations

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

2:40 Afternoon refreshment break and networking

DATA STRATEGY
3:10 Reviewing the FRTB data requirements and how firms can efficiently develop their data strategy

  • Architecture and modelling
  • Data coverage, accuracy, availability, timeliness, frequency, types and consistency
  • Data consistency, controls and validations
  • Governance, ownership and accountability
  • IT/Systems Architecture
  • Spotting a Pattern…
  • Future Regulation

Yaz Mustafa, Senior Risk Consultant, Delv Global

INTERNAL RISK TRANSFERS
3:50 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

RESOURCES & GOVERNANCE – PANEL DISCUSSION
4:30 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
Shearin Cao, Technical Specialist, Traded Risk Management, Standard Chartered Bank

5:20 Chair’s Closing Remarks

5:30 End of Forum & Networking Drinks Reception

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Shearin Cao, Technical Specialist, Traded Risk Management, Standard Chartered Bank

Key Technical / Regulatory specialist on bank’s Regulatory Capital, especially under the “Fundamental Review of the Trading Book”(FRTB).
PhD from Imperial College London in Machine Learning, trained Artificial Neural Networks (aka Deep Learning) and Support Vector Machines for structural segmentation and pattern recognition.

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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

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

Suman Datta will be presenting at FRTB Forum

Mike Fox

Mike Fox, Regulatory Projects, Barclays

Mike Fox is a highly experienced risk and regulatory consultant. His project implementation experience covers over 25 years on working with financial services companies in complex and business critical risk and regulatory change.

His experience includes FRTB, MiFID, MiFIR, BCBS regulation and IFRS9. Mike has worked with Barclays, Investec, CIBC, Capgemini and other IT consultancies to provide robust client solutions to challenging Programme Management and Analysis problems.

As a Chartered Accountant and professional risk manager he is highly experienced in the challenges of getting one view of the World using consistent golden source data. Mike also holds MBA and MSc degrees as well as a BCom degree in business finance and management.

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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

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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

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

Fausto Marseglia works in Refinitiv and leads the product management function for the “Fundamental Review of the Trading Book” (FRTB) proposition.

Fausto joined Reuters in January 2002 as Head of Reuters Consulting Italy/Greece. Since then, he has covered different regional and global roles in the Consulting, Professional Services and Industry Solutions functions, the last of which was “Head of Industry Solutions, Planning & Execution”, where he was in charge of the definition and execution of new business initiatives in several strategic sectors, including Risk, Regulatory Compliance and Asset & Investment Management.

Prior to joining Reuters, Fausto was the head of the TIBCO Finance Technology Inc (TFTI) branch in Italy.

Fausto has a degree in Computer Science, he has 2 children and he likes skiing, running, biking and, more importantly enjoying time with his children.

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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

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.

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Yaz Mustafa, Senior Risk Consultant, Delv Global

Yaz is a Senior Consultant at Delv Global where he works on Risk implementations for their banking clients in London. He is currently supporting an FRTB delivery for a major US investment bank, where he’s been since 2018. Yaz has over 20 years’ experience in Risk Management and Regulatory Projects, and has consulted and worked for a number of banks during this time including Credit Suisse, Nomura, Lehman Brothers, Barclays, Deutsche Bank and Santander. In particular, he has worked on the technical design and implementation of internal credit and market risk models, as well as wider strategic data and architecture initiatives. Yaz holds a Bachelor’s degree in Computer Science, a Master’s degree in Space Physics from UCL, and the GARP FRM designation.

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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.

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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.

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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.

FEATURED INSIGHTS

FRTB: Challenges ahead, uncertainty surrounding timelines and technology capabilities

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

Read more

LATEST INSIGHTS

12th September 2019

Investigating the pace of adoption and characteristics of risk-free rates and how the industry is being impacted by the transformation

By Sebastien Cross, UK Rates Strategist, Bank of America
11th September 2019

Discussing international variations in timelines, approaches, model adoption and the potential for harmonisation

By Brandon Davies, Non-Executive Director, Obillex Limited
4th July 2019

Fundamental Review of the Trading Book (FRTB)

By Shearin Cao, Technical Specialist, Traded Risk Management, Standard Chartered Bank
11th December 2018

Center for Financial Professionals announces new FinTech Research and Advisory Board

Senior practitioners across the financial services industry join FinTech Advisory Board for the Global FinTech 250 Report set to be released at the X-Tech 2019 Convention […]
2nd November 2018

Reviewing the ability of firms to move forward with uncertainty surrounding timelines whilst remaining adaptable and agile

By Dionisis Gonos, Market Risk Quantitative Analytics Director, Barclays
2nd November 2018

Discussing industry approaches to planning and preparedness ahead of the 2022 FRTB implementation deadline

By Neels Vosloo, Head of EMEA Regulatory Risk, Bank of America Merrill Lynch
29th October 2018

FRTB regulatory update

By Hendrik Sumpf, Manager, Finbridge & Stefan Scheutzow, Manager, Finbridge
24th October 2018

Exploring the current progress within FRTB and discussing the anticipated updates ahead of the final rule and implementation

By Rochus Herrmann, Manager, d-fine
15th October 2018

FRTB – An optimised approach for capital charge estimation

By Pushpak Tripathi, Senior Manager in the Financial Institutions – Risk Advisory practice, Zanders
11th October 2018

Practical implementation of FRTB standardised approach and internal models approach

By Anthony Pereira, Founder & CEO, Percentile
31st August 2018

Reviewing the data and system requirements associated with NMRF and the ability to mitigate impacts

By Luca Lopez, Financial Risk Quantitative Analyst, UniCredit
14th August 2018

Exploring the current regulatory environment and opportunities to leverage capabilities from other programs

By Sudeep Chatterjee, Head of QA Horizontal, Global FX Tech, Bank of America.
14th August 2018

PRA review of FRTB implementations

By David Phillips, Head of Traded Risk Measurement, PRA, Bank of England

2019 Co-Sponsors:

Delv


Delv is a leader in data-driven solution delivery in finance. From data strategy and innovation, to finance, risk and regulatory transformation, for over a decade Delv has been solving the toughest challenges of many of the world’s largest banks and financial companies, leveraging data warehouses, big data platforms, and fintech and regtech solutions to do so. For more information please visit: www.delvglobal.com.

Refinitiv


Refinitiv is one of the world’s largest providers of financial markets data and infrastructure, serving over 40,000 institutions in over 190 countries. It provides leading data and insights, trading platforms, and open data and technology platforms that connect a thriving global financial markets community –driving performance in trading, investment, wealth management, regulatory compliance, market data management, enterprise risk and fighting financial crime. For more information visit: www.refinitiv.com

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

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.

How can your organization benefit from a CeFPro partnership?

Venue


ETC Venues

Monument 8, East Cheap
LONDON | EC3M 1AE

Situated within the heart of the City of London, the financial district, with convenient transport links to all London and City airports, etc venues is situated just two minutes walk from Monument underground station.


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

Yes, the Center for Financial Professionals are happy to discuss speaking opportunities. For further information on this please contact shannon.harris@cefpro.com

What is 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 main Forum, as outlined on our pricing tab. Registration includes breakfast, refreshment breaks, lunches, the cocktail reception at the end of Day One, full access to the Summit sessions, streams, and exhibition area. Presentations from sessions are also available, subject to speaker approval.

Where can I find the Conference documentation and speaker presentations?

All registered attendees will receive an email with access to documentation and speaker presentations* All available documentation will be provided after the Summit has taken place. However, we will work with our presenters to make these available before the Summit where possible. *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 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
  • Q&A, panel discussions and audience participation technology at the event and during the sessions
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) 207 164 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 any opportunities to share my thought-leadership at the Fundamental Review of the Trading Book conference?

Yes there are plenty of opportunities for the Center for Financial Professionals to share thought-leadership to the attendees and our wider risk professionals community. At the event we can distribute your material to the attendees or even offer you an exhibition booth 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 there media partnership opportunities available for the Fundamental Review of the Trading Book conference?

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 amy.greene@cefpro.com or call +44 (0) 207 164 6582.

CPD Accredited

“We are pleased to announce that our courses have been independently evaluated for Continuing Professional Development purposes by The CPD Certification Service. This means our courses comply with universally accepted principles of Continual Professional Development (CPD) and have been structured to meet the criteria of personal development plans”.

Representing a Financial Institution (Eg: Bank, Insurance, Asset Manager, Regulator)

Early Bird
Registrations by 13 September
£499
SAVE 300

Standard Rate
Registrations after 13 September
£799

Representing an Information/Service Provider (Eg: Consultant, Vendor, Executive Search Firm, Law Firm)

Early Bird
Registrations by 13 September
£699
SAVE 300

Standard Rate
Registrations after 13 September
£999

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

*All prices subject to UK VAT of 20%

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

2019 Co-Sponsors:

EARN CPD CREDITS

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