Workshop - FRTB

FRTB

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

Conference starts at 09:00 am (BKT) | 10:00 am (HKT)

08:4509:00

Registration

08:45 - 08:46

09:0010:00

FRTB Implementation: Where are we now?

09:00 - 09:45

  • Industry feedback on the final FRTB rules published in Jan 2019 and a recap of the post-COVID19 timelines across jurisdictions.
  • With the final changes, do non-EU banks now have a higher probability of passing the modellability test and thus have lower capital than an EU bank?
  • Dealing with uncertainty: Impact of benchmark reference rates reform on FRTB
Krishnan Ranganathan

Executive Director and Head of Risk, Finance and Operations Change

Nomura

"As the Executive Director and Head of Risk, Finance and Operations Change at Nomura India, Krishnan is responsible for the execution of various projects covering post-crisis Basel and regulatory initiatives. In addition, he is also one of the Programme Managers for the IBOR Transition Programme across Nomura group.  Being passionate about Banking and Capital Markets, he is a regular international speaker in global industry forums on Risk and Regulatory themes. An alumnus of Harvard Business School,  he is also a member of the Young Scholars Initiative at the Institute for New Economic Thinking."

10:0011:00

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
Gaël Robert

Head of Risk Analytics

Mizuho

I am currently heading the Global Risk Analytics function at Mizuho.


I have started my career at Societe Generale's Economic Research Department focusing on the Eurozone. I have then worked on Counterparty Credit Risk modelling for Societe Generale, Deutsche Bank and Rabobank International in Paris, Tokyo, Hong Kong and London, putting in place centralised Monte Carlo frameworks, developing targeted solutions for wrong-way risk and non-vanilla transactions.


I hold a M.Sc. in Statistics & Economics from ParisTech ENSAE and a Master’s Degree from Sciences-Po Paris. I am a CQF and GARP FRM alumni.

11:0011:15

Morning break

10:10 - 10:40

11:1512:15

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
Kishore Ramakrishnan

Partner

Temple Grange Partners

Kishore is the head and founding partner of Temple Grange Partners, Asia business. He comes with over 21+ years of industry & consulting experience spanning across multiple continents including Americas, Europe, Asia & Japan. He has advised top-tier U.S., U.K., Swiss, European, Japanese & Chinese banks, Financial Market Infrastructure [FMI] & Buy-side on the “structural” & “operational” implications on global and regional derivative regulations, Basel capital reforms, OTC derivative margin reforms, Volcker reforms, MiFID II, FRTB, front office trading supervision etc. His client engagements span multiple asset classes covering equities, derivatives & fixed income and his body of work includes but not limited to advising clients on booking model and legal entity strategy, margin model approvals, CPMI P-FMI assessments for CCP’s, target operating model design, industry benchmarking exercises covering banks, broker dealers, custodians, exchanges, CCP’s, asset managers, insurance firms. He has several national & international publications to his credit and has worked closely with global & regional regulators, industry associations such as ISDA, ASIFMA, HKSI, AIMA.

12:1512:15

End of Risk ASEAN virtual conference Day 1

12:00 - 12:05

Conference starts at 09:00 am (BKT) | 10:00 am (HKT)

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
Dr. Gary (Ligong) Yang

Head of Quantitative Risk and Stress Testing APAC, Director

Citigroup

Gary is Head of Quantitative Risk and Stress Testing APAC in Citigroup. He oversees Citi’s quantitative modelling team to provide analytic solutions for market risk, counterparty credit risk and wholesale credit risk. Gary joined Citi in London after working with a London-based hedge fund Brevan Howard. He received his PhD degree from Cambridge University, UK and his Bachelor degree from Peking University, China.

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
Vishal Kapoor

Executive director, functional audit head for risk and group finance

DBS Bank

Vishal Kapoor has 23 years’ experience in strategic planning, risk management, and capital planning advisory. He is currently heading the audit teams for Risk and Finance in DBS at the Group level. He has spent time in auditing, banking and consulting. His projects include reviewing ICAAP/ liquidity risk for 3 consecutive years for a major Singapore-based bank, and reporting the results to the board and the regulator. He addressed stress testing issues at an enterprise-wide level, set risk governance for banks in China and Singapore, conducted programme reviews for Basel II and provided over 700 hours ICAAP/ Basel III/ liquidity training to senior management and the board of various banks. Previously, he held key positions with JP Morgan, Standard Chartered, Deutsche Bank, and Credit Suisse.  He holds an MBA from Chicago Booth School of Business and is a Chartered Accountant.

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
Albert Chung

Head of Market Risk Analytics, Asia

Standard Chartered Bank

<p>Albert Chung is the Regional Head of Market Risk Analytics team in Standard Chartered, based in Singapore. He is responsible for market risk measurement methodologies (including VaR/ES, RniV, Economic Capital), governance of market risk models and FRTB model development. Albert has 10 years of experience in market risk management and modelling across Asia. He has a PhD and Bachelor (1st honours) in Engineering from the University of New South Wales, Australia.</p>

12:1512:15

End of Day 2

12:15 - 12:16

Conference starts at 09:00 am (BKT) | 10:00 am (HKT)

09:0010:00

The Trading Book/ Banking Book Boundary

09:00 - 10:00

  • 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
Vishal Kapoor

Executive director, functional audit head for risk and group finance

DBS Bank

Vishal Kapoor has 23 years’ experience in strategic planning, risk management, and capital planning advisory. He is currently heading the audit teams for Risk and Finance in DBS at the Group level. He has spent time in auditing, banking and consulting. His projects include reviewing ICAAP/ liquidity risk for 3 consecutive years for a major Singapore-based bank, and reporting the results to the board and the regulator. He addressed stress testing issues at an enterprise-wide level, set risk governance for banks in China and Singapore, conducted programme reviews for Basel II and provided over 700 hours ICAAP/ Basel III/ liquidity training to senior management and the board of various banks. Previously, he held key positions with JP Morgan, Standard Chartered, Deutsche Bank, and Credit Suisse.  He holds an MBA from Chicago Booth School of Business and is a Chartered Accountant.

10:0010:15

Morning break

10:10 - 10:40

10:1511:15

Operating Model, Data Management and System Challenges

10:15 - 11:15

  • 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
Vishal Kapoor

Executive director, functional audit head for risk and group finance

DBS Bank

Vishal Kapoor has 23 years’ experience in strategic planning, risk management, and capital planning advisory. He is currently heading the audit teams for Risk and Finance in DBS at the Group level. He has spent time in auditing, banking and consulting. His projects include reviewing ICAAP/ liquidity risk for 3 consecutive years for a major Singapore-based bank, and reporting the results to the board and the regulator. He addressed stress testing issues at an enterprise-wide level, set risk governance for banks in China and Singapore, conducted programme reviews for Basel II and provided over 700 hours ICAAP/ Basel III/ liquidity training to senior management and the board of various banks. Previously, he held key positions with JP Morgan, Standard Chartered, Deutsche Bank, and Credit Suisse.  He holds an MBA from Chicago Booth School of Business and is a Chartered Accountant.

11:1511:15

End of Day 3

12:00 - 12:01