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
  • Implementation challenges
  • Dealing with uncertainty: Impact of benchmark reference rates reform on FRTB
Ted Yu

Head of Traded Risk Analytics, Asia Pacific

HSBC

Ted is the Regional Head of Traded Risk Analytics, Asia Pacific, HSBC. He is responsible for market risk models (IMA) and counterparty credit risk models (IMM, CVA VaR, SIMM). He has over 17 years of experience in market risk management and previously worked as the Head of Market Risk Management in Bank of China (Hong Kong). He holds a MSc in Financial Mathematics from the Hong Kong University of Science and Technology and a MSc in Risk Management from the Chinese University of Hong Kong. 

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
Carl Chan

Associate Director

KPMG Advisory (Hong Kong) Limited

Carl is a financial risk professional with more than 10 years of experience who served financial institutions, governments, pension funds etc. on risk management.  He covers margin requirements for non-cleared OTC derivative trades, market risk, FRTB, counterparty credit risk, etc. Uncleared margin rules have been one of his focus areas and he has worked with multiple financial institutions on adopting the new margin requirements and risk mitigation standards. His major clients are phase 5 and phase 6 banks.

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

Global Head of Market Risk Analytics

Standard Chartered Bank

Albert Chung is the Global 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 over 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.

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