1. business and industrial

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
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THIS YEAR’S LEADING INDUSTRY EXPERTS:
•
Peter Dobranszky: Head of Risk Methodology Independent Review, BNP Paribas
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Thomas Ehmer: Manager - Capital Markets Baringa Partners LLP
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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:
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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
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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
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•
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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
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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
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•
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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
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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
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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
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•
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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
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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:
sales@wbstraining.com
OR VIA FAX TO:
+44 (0)1273 201 360
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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:
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part of this programme.
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stating that if a cancellation is made by fax or writing within two
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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.
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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 / sales@wbstraining.com