Wednesday 11th March 2020
Delivering Strategic Change in a Fragmented Regulatory Environment – FRTB/IBOR Migration – J Variance.
With continued pressures on budgets, regional regulatory working groups moving at different speeds and only 2 years to go till 2022 – it is critical to exploit cross program dependencies to deliver change in a holistic way.
- A brief overview of the key moving pieces – FRTB/IBOR migration
- Does IBOR hinder or help the business case for FRTB – making a business case for Internal models and FRTB deliverables when the oxygen in the room is being diverted.
- Presenting a framework for delivering holistic change – what works.
- Locking down scope to allow budgeting and delivery.
- A parametric approach to deliverables to counter changing requirements – this means across program deliverables.
- Measuring and realising the business benefits.
The workshop will include case studies based on my experience of working across most of the risk systems in the Tier1 banks.
Satinder (Sid) Jandu:
Managing Director, Viewset limited
Satinder (Sid) Jandu: Managing Director, Viewset limited
Running with FRTB: The Practical Side of the New Market Risk Framework
While the model changes required for FRTB are reasonably well-understood in most banks, the operational impact is much wider. Examples are
- The trading book/ banking book regime implies more involved communication between Risk and Finance; the 2019 version of the standard introduces control requirements which are difficult to address.
- Desk structure requirements are still challenging, in particular in a multi-entity environment.
- The Internal Risk Transfer regime has implications on funding models and product issuance.
- The NMRF regime requires new capabilities to not only calculate capital, but also operate in a capital effective way. These processes might not be best-placed in the risk function.
- Both FRTB and model related regulations have significant impact on validation and internal audit of these models. How can the new model types be managed effectively?
- The Basel III Capital Floor requires a fairly fundamental rethink of capital management across risk types, and raises the question of the benefit of IMA and IMM for many banks. Which options do banks have to address the issue?
In the workshop we will discuss how FRTB impacts the operating model – organisation, processes, control environment, people and systems – in a way which often is nonobvious, and which may give banks addressing the challenges in time a competitive advantage in an environment which is capital constrained.
Director, Risk Transform
Thomas Obitz: Director, Risk Transform
Thomas Obitz is a management consultant and senior advisor on risk and regulatory driven change. He has designed the operating model transformation in the FRTB implementation of a major global bank and worked on various both operational and quantitative aspects of the regulation.
Thomas has more than 20 years of experience in the Financial Services industry in roles including organizational change, operating model transformation and IT transformation, working as a consultant, project manager and business architect. He has a background in Mathematics, worked for a Big 4 consultancy, is certified as a Financial Risk Manager (GARP FRM) and holds a TOGAF 9 certification. He is founder of RiskTransform, a niche consultancy supporting banks in integrating risk, operating model and IT change, and based in London.
Thomas has published on various aspects of the FRTB and on broader topics of risk change. Special areas of interest are the operational changes required to manage the impact of the regulation, and the data and data quality implications.
Workshop Schedule: 09:00 – 18.00
Break: 10:30 – 11:00
Lunch: 13:00 – 14:00
Break: 15:45 – 16:15