Workshop - FRTB

FRTB

Fundamental Review of the Trading Book| Virtual pre-conference workshop

08:4509:00

Registration

08:45 - 08:46

09:0009:45

FRTB Implementation: Where are we now?

09:00 - 09:45

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

09:4510:45

Revised Standardised Approach (SA)

09:45 - 10:45

  • 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

10:4511:00

Morning break

10:10 - 10:40

11:0012:00

Revised Internal Model Approach (IMA)

11:00 - 12:00

  • 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

12:0012:00

End of Day 1

12:00 - 12:05

09:0010:00

Modellable & Non-modellable risk factors

09:00 - 10:00

  • 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

10:0011:00

Default risk charge (DRC)

10:00 - 11:00

  • 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

11:0011:15

Morning break

10:10 - 10:40

11:1512:15

P&L Attribution Test and Desk Strategy

11:15 - 12:15

  • 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

12:1512:15

End of Day 2

12:15 - 12:16