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:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

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

Dilip Patro:

Section Chief, Quantitative Model Analysis, Federal Deposit Insurance Corporation

09.45 - 10.30
Getting the P&L Attribution Test Right

Adolfo Montoro:

Director, Global Market Risk Analytics, Bank of America

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

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

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:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

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:

Head of RISK Quant Academy, BNP Paribas

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:

Director, Global Market Risk Analytics, Bank of America

Panayiotis Dionysopoulos:

Head of Capital, ISDA

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:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Dionisis Gonos:

Director, Co Head Quantitative Analytics for Market Risk, Barclays

Lorenzo Liesch:

Head of Risk Methodology, UniCredit

Neels Vosloo:

Head of EMEA Regulatory Risk, Bank of America Merrill Lynch

Andrei Greenberg:

FRTB Risk Modelling Lead, BNP Paribas

  • Discount Structure
  • 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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