ADINA APARTMENT HOTEL FRANKFURT, GERMANY 9TH & 10TH FEBRUARY 2015 FUNDAMENTAL REVIEW OF THE TRADING BOOK CONFERENCE The fundamental review of the trading book capital regime is now gaining momentum This conference offers an intuitive insight into the latest practical aspects with the Basel Committee on Banking Supervision finishing the 2nd consultation round of desk: the impact of study regulatory changes & capital andThe dataCVA gathering forReviewing the (QIS) quantitative impact in Q4 2014. This event will the currentpricing status ofadjustments the fundamental discussing the charges, XVAexamine management, & review desk organization findings of the QIS, assessing the impacts of the Basel trading book, aspects of internal and the latest trading & modelling techniques as well as a more modelling and thepricing, impact on risk management, trading and modeling. THIS YEAR’S LEADING INDUSTRY EXPERTS: • Peter Dobranszky: Head of Risk Methodology Independent Review, BNP Paribas • Thomas Ehmer: Manager - Capital Markets Baringa Partners LLP • Rita Gnutti: Head of Internal Model Market & Counterparty Risk, Intesa Sanpaolo • Lorenzo Liesch: Head of Risk Methodologies, Group Risk Methodologies & Architecture, UniCredit • Mark Morgan: Head of Traded Market Risk London, Traded Market Risk, Lloyds Bank Commercial Banking • Giovanni Pepe: European Central Bank • Peter Quell: Head of Portfolio Modelling - Market and Credit Risk, DZ Bank • Christian Seiwald: Senior Manager Risk Management and Regulatory, Deloitte • Jürgen Stein: Head of Methodology Trading - Market Risk Models, Commerzbank AG • Dirk Stemmer: Partner, FS Advisory - Risk & Regulation, PwC • Andreas Werner: Partner, d-fine EARLY BIRD DISCOUNT: 15% BEFORE 9TH JANUARY Delegates will get access to all conference presentation files, available to download via our password protected website before the event. www.wbstraining.com CONFERENCE OVERVIEW TOPICS: • • • • • • • • • • • • • • • The risk and trading implications of moving the boundary between the trading book and the banking book First and second Quantitative Impact Studies (QIS) assessing the capital implications of the proposal What are the expected solvency challenges as a result of the FRTB? How will regulatory proposals impact business models? How advanced is the new Standardized Approach for market risk? Opportunities and threats of model approvals by trading desks What are the new operational burdens for smaller banks using the Standardized Approach? Methodological frameworks on market risk capital charge The role of internal models ES vs. VaR: The challenges and advantages of moving to ES How does the stressed measure concept work for non-linear portfolios? Will IDR finally avoid double-counting? What is “incremental” to other risks already captured? Will the new types of measures reduce or increase model risk? What business reactivity is expected from regulatory internal models? The latest approaches to incorporate market illiquidity IMPORTANT NOTES: Conference presentation files on USB memory sticks will be provided on arrival. The conference files will also be made available for download via a password protected website before the event. Please print out each presentation if you wish to have hard copies before the conference and bring them with you. Also, Wi-Fi access will be available at the hotel venue to view presentations on laptops and mobile devices. LOCATION Adina Apartment Hotel Frankfurt Neue Oper Wilhelm-Leuschner-Strasse 6 60329 Frankfurt am Main Germany Tel: +49 (0) 69 24 74 74 0 Hotel Website: http://www.adina.eu/adina-apartment-hotel-frankfurt/home CONFERENCE DAY 1: MONDAY 9TH FEBRUARY REGULATION, IMPLEMENTATION AND BUSINESS CONSEQUENCES 09:00 – 10:30 AN OVERVIEW OF THE REGULATORY OBJECTIVES OF THE FUNDAMENTAL REVIEW OF THE TRADING BOOK by Giovanni Pepe: European Central Bank • • Regulatory proposals: The risk and trading implications of moving the boundary between the trading book and the banking book Quantitative Impact Study (QIS) assessing the capital implications of the proposal 10:30 – 11:00 BREAK 11:00 – 12:30 WHERE WILL THE TRADING BOOK BOUNDARY BE DRAWN? by Mark Morgan: Head of Traded Market Risk London, Traded Market Risk, Lloyds Bank Commercial Banking • • • • • • • The current approach to defining the trading book, trading book policy statements etc The historical capital implications of trading vs banking book The impact of the Financial crisis Accounting and Prudential Valuation The boundary proposals in BIS’s FRTB The potential implications Other issues: Volcker, Ring-fencing (UK) 12:30 - 13:30 LUNCH 13:30 - 14:30 COMMERCIAL IMPACT OF THE REVISED STANDARDISED APPROACH by James Belmont: Director - Risk Analytics, Baringa Partners LLP & Thomas Ehmer: Manager - Capital Markets Baringa Partners LLP • • • • Regulatory objectives & challenges Overview of the Revised Standardised Approach Implementation considerations Simulated commercial impacts on a cross-asset class trading book • Relative materiality of impacts • Impact of non-linearity on sensitivities • Legal entity and consolidated impacts • Q&A CONFERENCE DAY 1: MONDAY 9TH FEBRUARY REGULATION, IMPLEMENTATION AND BUSINESS CONSEQUENCES 14:30 - 15:30 NEW STANDARDIZED APPROACH FOR MARKET RISKS by Tobias Sander: Manager, d-fine & Andreas Werner: Partner, d-fine • • • • • • • • • • Motivation: risk sensitivity, comparability to and fallback for internal model approach Cash-flow approach vs. sensitivity approach Building blocks: risk factor groups, risk charges Calculation and calibration of essential parameters Aggregation mechanism Calculation of market risk capital charge Calculation of default risk capital charge Special treatment for securitizations Lessons learnt from the QIS Implementation challenges 15:30 - 16:00 BREAK 16:00 - 17:00 REGULATORY PROPOSALS: IMPACT ON BUSINESS MODELS by Christian Seiwald: Senior Manager Risk Management and Regulatory, Deloitte The revisions of the definition of the regulatory boundary between the trading book and banking book combined with the committee’s considerations to put in place minimum own funds requirements for IMM-institutions derived from the standardized approach lead to clients’ doubts if it would make sense to run Internal Models on trading desk levels or maintaining a trading book at all in the future. The effect of the possibly limited ability to save own funds resources could not outweigh the implementation and ongoing costs. Some clients start to re-assess their business models. Implementation of the revised requirements will not only affect own funds requirements, but will primarily lead to changes in an institutions’ banking business. This may have significant impact on some markets, in case participants decide to refrain from specific areas. We’ll outline consequences with respect to the operational and organizational structure of a trading department, earnings and business opportunities. This could be accompanied with considerations of an approach to identify eligible trading desks. CONFERENCE DAY 1: MONDAY 9TH FEBRUARY REGULATION, IMPLEMENTATION AND BUSINESS CONSEQUENCES 17:00 - 18:00 PANEL DISCUSSION: REGULATION, IMPLEMENTATION AND BUSINESS CONSEQUENCES This panel will discuss and expand on the topics presented today: • • • • • • • The risk and trading implications of moving the boundary between the trading book and the banking book First and second Quantitative Impact Studies (QIS) assessing the capital implications of the proposal What are the expected solvency challenges as a result of the FRTB? How will regulatory proposals impact business models? How advanced is the new Standardized Approach for market risk? Opportunities and threats of model approvals by trading desks What are the new operational burdens for smaller banks using the Standardized Approach? Chaired by Giovanni Pepe: European Central Bank PANELISTS: • • • • Thomas Ehmer: Manager - Capital Markets Baringa Partners LLP Christian Seiwald: Senior Manager Risk Management and Regulatory, Deloitte Jürgen Stein: Head of Methodology Trading - Market Risk Models, Commerzbank AG Andreas Werner: Partner, d-fine 18:00 NETWORKING RECEPTION Stay and continue the day’s discussions and network with food and drink. CONFERENCE DAY 2: TUESDAY 10TH FEBRUARY MODELLING CHALLENGES 09:00 – 10:30 WHERE IS THIS HEADING? AN EMPIRICAL STUDY ON IMPACTS OF THE NEW METHODOLOGICAL FRAMEWORKS ON MARKET RISK CAPITAL CHARGE by Rita Gnutti: Head of Internal Model Market & Counterparty Risk & Luca Lopez: Market Risk Quantitative Analyst, Intesa Sanpaolo • • • Evolution of the new IMA and standardized risk measures in view of FRTB Impact of risk measure changes on a real portfolio under different assumptions Methodological challenges: liquidity horizons, broken hedges, correlation constraints, curvature in the SBA approach… 10:30 - 11:00 BREAK 11:00 - 11:45 ROLE OF INTERNAL MODELS UNDER THE FTB APPROACH by Peter Quell: Head of Portfolio Modelling - Market and Credit Risk, DZ Bank • • • • History of internal model approaches Internal model framework of the FTRB Who is validating the regulatory model? What about the use test? Divergence of Pillar 1 and Pillar 2? 11:45 - 12:45 FRTB: IMPLEMENTATION AND SOLVENCY CHALLENGES by Lorenzo Liesch: Head of Risk Methodologies, Group Risk Methodologies & Architecture, UniCredit • IMA Challenges • IDR calibration • IDR Equity Inclusion • What is the new “VaR” for … hedging recognition • SBA • Implementation: importance of netting • IR Delta vs IR Gamma • IR Vega 12:45 - 13:45 LUNCH 13:45 - 14:45 PRACTICAL MODELLING IMPLICATIONS IN THE STANDARD AND INTERNAL MODEL APPROACH by Martin Neisen: Partner, Regulatory Management, PwC & Dirk Stemmer: Partner, FS Advisory - Risk & Regulation, PwC • • • A sample tool for the standard approach Implications on Internal Models: The Challenges and Advantages of Moving to ES Current developments in Modelling Market Risk CONFERENCE DAY 2: TUESDAY 10TH FEBRUARY MODELLING CHALLENGES 14:45 - 15:45 CAPTURING RISKS FOR NON-LINEAR AND/OR DEFAULTABLE PORTFOLIOS UNDER FRTB by Peter Dobranszky: Head of Risk Methodology Independent Review, BNP Paribas • • • • • ES: Assessing the stressed measure concept for non-linear portfolios IDR: Clarifying what is “incremental” in terms of P&L in case of a default Recall the business reactivity of regulatory internal models Model risk in (regulatory) risk models Follow-up on the FRTB CP3 15:45 - 16:00 BREAK 16:00 - 17:00 PANEL DISCUSSION: MODELLING CHALLENGES This panel will discuss and expand on the topics presented today: • • • • • • • • Methodological frameworks on market risk capital charge The role of internal models ES vs. VaR: The challenges and advantages of moving to ES How does the stressed measure concept work for non-linear portfolios? Will IDR finally avoid double-counting? What is “incremental” to other risks already captured? Will the new types of measures reduce or increase model risk? What business reactivity is expected from regulatory internal models? The latest approaches to incorporate market illiquidity Chaired by Rita Gnutti: Head of Internal Model Market & Counterparty Risk, Intesa Sanpaolo PANELISTS: • • • • Peter Quell: Head of Portfolio Modelling - Market and Credit Risk, DZ Bank Lorenzo Liesch: Head of Risk Methodologies, Group Risk Methodologies & Architecture, UniCredit Peter Dobranszky: Head of Risk Methodology Independent Review, BNP Paribas Dirk Stemmer: Partner, FS Advisory - Risk & Regulation, PwC END OF CONFERENCE FUNDAMENTAL REVIEW OF THE TRADING BOOK CONFERENCE ADINA APARTMENT HOTEL FRANKFURT, GERMANY 9TH & 10TH FEBRUARY 2015 CONFERENCE FEE STRUCTURE Early Bird Discount: Regular Event Fee 15% Before 9th January Conference: €1954.15 + DE VAT €2299.00 + DE VAT Special Discount Code: 70% Academic Discount / FULL-TIME Students Only DELEGATE DETAILS COMPANY: TO REGISTER, PLEASE EMAIL THE COMPLETED BOOKING FORM TO: [email protected] OR VIA FAX TO: +44 (0)1273 201 360 NAME: FLIGHT DETAILS: JOB TITLE/POSITION: NAME: JOB TITLE/POSITION: NAME: All delegates flying into Frankfurt on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels Frankfurt location is approximately 30 minutes from Frankfurt airport by train or car. Returning flights should equally allow for the events finishing time. SPONSORSHIP: DEPARTMENT: World Business Strategies Ltd, offer sponsorship opportunities for all events, e-mail headers and the web site. Contact sponsorship via telephone on: +44 (0)1273 201 352 ADDRESS: DISCLAIMER: JOB TITLE/POSITION: World Business Strategies command the rights to cancel or alter any part of this programme. CANCELLATION: COUNTRY: TELEPHONE: By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events. Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost. E-MAIL: DISCOUNT STRUCTURE: DATE: SIGNATURE: REGISTRATION: Tel: +44 (0)1273 201 352 / Fax: +44 (0)1273 201 360 The discount is available on any day permutation, and can be combined across delegates within the same company (only at the time of booking and not retrospectively). CONTACT: www.wbstraining.com / [email protected]
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