Programme for Machine Learning

Programme

Fundamental Review of the Trading Book

Oct 19 -20, Kuala Lumpur

Day 1 - Oct 19, 2020

08:30

Registration

09:00

FRTB Implementation: Where are we now?

  • Status of FRTB implementation
  • Local regulatory implementation: Localisation levers and objectives
  • Dealing with uncertainty - FAQs, guidance of local regulators and compliance approach
  • The approval process

10:00

Morning networking break

10:30

Revised Standardised Approach (SA)

  • The capital calculation framework of FRTB
  • The components of the Standardised Approach (SA)
  • The Sensitivities Based Approach
  • Key considerations for banks who applying SA
  • Business, process and data implications of SA implementation
  • The eligibility and application of Simplified Alternative to SA

12:00

Lunch

13:00

Revised Internal Model Approach (IMA)

  • IMA model overview – VaR to ES
  • Trading desk selection criteria for IMA
  • IMA model approval – key considerations
  • IMA model approval – key challenges for banks
  • IMA computational burden

Kishore Ramakrishnan, Partner, Temple Grange Partners 

14:30

Afternoon networking break

15:00

Modellable & Non-modellable risk factors

  • Capital impact of non-modellable risk factors
  • Risk factors under FRTB
  • Modellability criteria and the changes in FRTB 2019
  • Use of vendor data
  • Trade-offs in risk factor modellability

16:30

End of Day 1

Day 2 - Oct 20, 2020

08:30

Registration

09:00

Default risk charge (DRC)

  • Credit Risk under FRTB: DRC-SA, DRC-IMA and the CVA risk framework
  • DRC vs incremental risk charge
  • Key modelling choices in IMA DRC
  • Key assumptions SA DRC
  • Typical issues in implementation and capital management
  • FRTB-CVA

10:30

Morning networking break
11:00

P&L Attribution Test and Desk Strategy

  • IMA Permission under FRTB: The bank-wide, desk level and risk factor level
  • Hypothetical and risk-theoretical P&L: The P&L attribution test
  • The nasty properties of the P&L attribution test
  • The trade-off between P&L attribution test and NMRF regime
  • Desk strategy: The trade-offs you need to assess for your business
  • Impact on trading and hedging strategies
  • Dynamics of capital requirements under FRTB: Estimating the impact of P&L attribution and NMRF
12:30

Lunch
13:30

The Trading Book/ Banking Book Boundary

  • Definitions of the trading book under FRTB
  • Interaction between FRTB and IFRS 9
  • The redesignation process
  • Control requirements
  • Internal risk transfers – practical challenges
  • Impact on funding transactions
15:00

Afternoon networking break
15:30

Operating Model, Data Management and System Challenges

  • Impact of FRTB on processes and operating model
  • Analytics and data integration requirements of FRTB
  • The value of transaction data: Capturing modellability information
  • Static data impact of FRTB
  • Use of data vendors, market utilities and outsourcing
  • Increase in required computational resources
17:00

End of Day 2