World Business StrategiesServing the Global Financial Community since 2000

Thursday 12th March 2020

08.00 - 09.00
Registration and Morning Welcome Coffee
Conference Chair

Navin Rauniar:

LIBOR Transition Lead, HSBC

Navin Rauniar: LIBOR Transition Lead, HSBC

Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.

Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.

Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.

09.00 - 09.45
Keynote: Regulatory Perspectives on FRTB Development, Implementation and Supervision

Dilip Patro:

Section Chief, Quantitative Model Analysis, Federal Deposit Insurance Corporation

Dilip Patro: Section Chief, Quantitative Model Analysis, Federal Deposit Insurance Corporation

09.45 - 10.30
Getting the P&L Attribution Test Right

Adolfo Montoro:

Global Head of Market Data Strategy & Analytics, Deutsche Bank

Adolfo Montoro: Director, Global Head of Market Data Strategy & Analytics, Market Valuation Risk Management Deutsche Bank

Adolfo Montoro FRM, is a Director within Deutsche Bank’s Market Risk Management & Risk Methodology department in London. He currently leads the Market Data Strategy and Analytics team and represents DB in the Industry FRTB Working Group supporting elements of the FRTB implementation and advocacy for the Bank over the last five years. Previously he has been in charge of the Strategic implementation of Full Revaluation-based suite of VaR model ensuring as well the adequacy of quantitative methodologies used for market risk management and regulatory purposes (Pillar I and II). He has earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honours) from Universita’ della Calabria, Italy. He has earned his Financial Risk Manager (FRM) certification in 2005. Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee.

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
“NMRF and their Capitalization in EU: level playing field?”
  • NMRF & PLA interplay
  • SES methodology and EBA RTS
  • Impacts and ways forward

Lorenzo Liesch:

Head of Risk Methodology, UniCredit

Lorenzo Liesch: Head of Risk Methodology, UniCredit

After working in RBS Risk Analytics and QuaRC teams, Lorenzo moved in UniCredit in 2006 covering a variety of roles. He’s currently heading the Group Financial Risks Methodologies & Models Department and is responsible for the implementation and maintenance of the Internal Models on Market and Counterparty Risk, XVAs, FVA, AVA and Behavioural Models for Liquidity and IRRBB risk measurement.

11.45 - 12.30
"The Computational Challenge of IMA-FRTB. Solutions via Chebyshev Tensors"

In this talk we present results obtained within the systems of a tier-1 bank for a capital calculation within FRTB IMA, using Chebyshev tensors to massively accelerate and economise the calculation while retaining a high level of accuracy required by the regulation. This capital calculation, requires the pricing of portfolios thousands of times, which comes at a huge computational and economic cost. We first present the main mathematical properties of Chebyshev tensors. Then we focus on why they are such powerful pricing approximators and how they can be applied to different risk calculations. Finally, we discuss and analyse the results obtained in the context of FRTB in a tier-1 bank.

  • Why are Chebyshev interpolants so powerful?
    • Simplicity of implementation
    • Exponential convergence of Chebyshev Spectral Decomposition techniques
    • Fast stable evaluation
  • How to use the power of Chebyshev spectral methods within real risk calculation engines
    • The curse of dimensionality
    • Solutions to it: sliding technique, composition technique and Completion-Machine Learning algorithm
    • Which solution is best for each application
  • PoC results within the FRTB IMA framework of a tier one bank
    • Real results of PoC performed in a bank
    • ES and capital calculation accuracy
    • Stability of the technique(s)

Mariano Zeron:

Head of Research and Development: MoCaX Intelligence

Mariano Zeron: Head of Research and Development: MoCaX Intelligence

Mariano leads our Research & Development work. He has vast experience in Chebyshev Spectral Decomposition, machine-learning and related disciplines, and their application to quantitative problems in the financial markets. Mariano holds a Ph.D. in Mathematics from Cambridge University.

12.30 - 13.30
Lunch
13.30 - 14.15
The IBOR Transition and the impact of FRTB
  • IBOR to RFR – overview and recap
  • Types of term benchmark rate
  • ARR methodologies/jurisdictions
  • Global progress – EU vs. UK vs. US
  • Model Governance
  • Product Governance

Navin Rauniar:

LIBOR Transition Lead, HSBC

Navin Rauniar: LIBOR Transition Lead, HSBC

Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.

Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.

Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.

14.15 - 15.00
Default Timing and Correlation Model for DRC (FRTB Internal Model)

Model risk in DRC: Choice of Copula

  • Choice of Copula
  • Copula Estimation
  • Impact on DRC

Mirela Predescu:

Deputy Head of Credit – Market and Counterparty Risk, BNP Paribas

Mirela Predescu, Deputy Head of Credit – Market and Counterparty Risk, BNP Paribas

Mirela Predescu is a manager at BNP Paribas, Risk Analytics & Modelling in London.  Mirela is also a Visiting Lecturer at Cass Business School, City University London. Prior to BNP Paribas, Mirela has held positions in the portfolio modelling team at Lloyds Banking Group and the quantitative analytics team at Fitch Solutions. Before moving to the financial industry, Mirela was a University Lecturer at Saïd Business School, University of Oxford. Mirela holds a PhD in Finance from Rotman School of Management, University of Toronto and an MA in Economics from University of Toronto.

15.00 - 15.30
Afternoon Break and Networking Opportunities
15.30 - 16.15
Identifying Pitfalls Banks and Regulators Ought to Avoid

Presenter to be confirmed

16.15 - 17.00
Panel: Discussing the final set of FRTB rules and the recent regulatory updates

Moderator:

Adolfo Montoro: Director, Global Head of Market Data Strategy & Analytics, Market Valuation Risk Management, Deutsche Bank

Other panellists to be confirmed

Adolfo Montoro:

Global Head of Market Data Strategy & Analytics, Deutsche Bank

Adolfo Montoro: Director, Global Head of Market Data Strategy & Analytics, Market Valuation Risk Management Deutsche Bank

Adolfo Montoro FRM, is a Director within Deutsche Bank’s Market Risk Management & Risk Methodology department in London. He currently leads the Market Data Strategy and Analytics team and represents DB in the Industry FRTB Working Group supporting elements of the FRTB implementation and advocacy for the Bank over the last five years. Previously he has been in charge of the Strategic implementation of Full Revaluation-based suite of VaR model ensuring as well the adequacy of quantitative methodologies used for market risk management and regulatory purposes (Pillar I and II). He has earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honours) from Universita’ della Calabria, Italy. He has earned his Financial Risk Manager (FRM) certification in 2005. Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee.

Panayiotis Dionysopoulos:

Head of Capital, ISDA

Panayiotis Dionysopoulos: Head of Capital, ISDA

Panayiotis Dionysopoulos joined ISDA in March 2014, working to advance ISDA’s aims and objectives relating to risk and capital issues. Mr. Dionysopoulos’ work also involves producing discussion papers covering key topics in derivatives, public policy and financial regulation. The Risk and Capital Department is closely involved in the global implementation of all aspects of Basel III covering all aspects of the trading book with particular focus on market and counterparty risk.

Before joining ISDA, Mr. Dionysopoulos was treasury manager at RBS specializing in capital management and Basel III Implementation. He also worked in Product Control at ABN AMRO.

Mr. Dionysopoulos holds an MSc in Accounting & Control and is a Chartered Financial Analyst (CFA).

Dilip Patro:

Section Chief, Quantitative Model Analysis, Federal Deposit Insurance Corporation

Dilip Patro: Section Chief, Quantitative Model Analysis, Federal Deposit Insurance Corporation

17.00 - 17.45
Panel: FRTB Lead Panel

Join the FRTB project Heads: Discussing  their implementation experiences, modelling challenges and key forthcoming dates and priorities. 

Moderator:

Navin Rauniar: LIBOR Transition Lead, HSBC

Navin Rauniar:

LIBOR Transition Lead, HSBC

Navin Rauniar: LIBOR Transition Lead, HSBC

Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.

Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.

Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.

Dionisis Gonos:

Director, Co Head Quantitative Analytics for Market Risk, Barclays

Dionisis Gonos: Director, Co Head Quantitative Analytics for Market Risk, Barclays

Lorenzo Liesch:

Head of Risk Methodology, UniCredit

Lorenzo Liesch: Head of Risk Methodology, UniCredit

After working in RBS Risk Analytics and QuaRC teams, Lorenzo moved in UniCredit in 2006 covering a variety of roles. He’s currently heading the Group Financial Risks Methodologies & Models Department and is responsible for the implementation and maintenance of the Internal Models on Market and Counterparty Risk, XVAs, FVA, AVA and Behavioural Models for Liquidity and IRRBB risk measurement.

Neels Vosloo:

Head of EMEA Regulatory Risk, Bank of America Merrill Lynch

Neels Vosloo: Head of EMEA Regulatory Risk, Bank of America Merrill Lynch

Andrei Greenberg:

FRTB Risk Modelling Lead, BNP Paribas

Andrei Greenberg: FRTB Risk Modelling Lead, BNP Paribas

Andrei has been a quantitative analyst for more than 10 years, having held positions at Lehman Brothers, Rabobank, BNP Paribas and UBS. He has always worked on the hottest current topics in fixed income derivatives, including structured credit in the mid 2000s; counterparty risk and capital charges for trading books after the 2008 crisis; funding, multiple-component curve construction and emerging market derivatives in the 2010s. He has a proven track record of delivering business-critical quantitative projects and has developed a thorough knowledge of front-to-back infrastructure, well beyond the purely analytical aspect. As a quant, he has enjoyed a well-rounded career, with experience in traditional pricing/modelling and research roles, but also in a hands-on desk-facing capacity and on the risk management side. Since July 2014, Andrei has rejoined the Group Risk Management department of BNP Paribas, where he looks after cross-product topics in the integrated risk methodology and analytics team (SIGMA).

  • Discount Structure
  • Super early bird discount
    25% until 24th January 2020

  • Early bird discount
    15% until 14th February 2020

  • Special Offer
    When two colleagues attend the 3rd goes free!

  • Conference + Workshop
    £300 Discount

  • 70% Academic Discount
    (FULL-TIME Students Only)

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