Pre-conference workshop: FRTB Methodology and Practice

Led by:
Rita Gnutti, Head of Internal Model Market and Counterparty Risk, INTESASANPAOLO
Fabio Lania, Market Risk Senior Quant, INTESASANPAOLO
Alexander Sokol, Head of Quant Research, COMPATIBL

The workshop will cover:

  • Minimum capital requirement for market risk. General overview 
  • Focus on standardised approach for market risk: SBA methodology and DR methodology
  • Focus on the internal model approach:
    - ES and the "cascade approach"
    - IDR methodological requirements (comparing DRC under internal model approach with DR under standardized approach)
    - Non modellable risk factors
  • Computational and methodological challenges
  • Calculations and a set of examples


08.30 Registration and breakfast

9.00 Introduction to FRTB - Rita Gnutti

  • The FRTB roadmap
  • Overview of sensitivity based and internal model approaches
  • Comparison to pre-FRTB regulatory capital methods 
  • Regulatory update: Nov CRRII and Jan FRTB FAQ

Standardised Approach - Alexander Sokol

  • Components of the standardised approach
  • Aggregation and netting
  • Practical examples

10.30 Morning break

11:00 Introduction to FRTB-CVA - Alexander Sokol

  • Final FRTB-CVA regulation
  • Overview of basic framework and standardised approach
  • Comparison to pre-FRTB CVA capital methods

Basic (BA-CVA) and Standardised (SA-CVA) Approach - Alexander Sokol

  • Basic approach for CVA capital
  • Standardised approach for CVA capital
  • Aggregation and netting
  • Practical examples

Using AAD for FRTB SA-TB and SA-CVA - Alexander Sokol

  • The principles of AAD
  • Retrofitting AAD into an existing quant library
  • Performance characteristics of AAD for FRTB and FRTB-CVA

12.30 Lunch 

1.30 Principles of IMA - Rita Gnutti

  • Requirements to IMA models
  • Liquidity Adjusted Expected Shortfall: liquidity horizons and cascade approach
  • Validation at desk level: P&L attribution and backtest

Practical Implementation of IMA - Fabio Lania

  • Implementing an effective model for expected shortfall
  • Implementing stochastic recovery rate for DRC
  • Practical examples

3.00 Afternoon break

3.30 Non Modellable Risk Factors - Rita Gnutti

  • BCBS criteria for non-modellable risk factors
  • Implementation challenges

Discussion and Q&A - Rita Gnutti, Fabio Lania, Alexander Sokol

  • Risk appetite and its applications
  • Strategic decisions
  • Capital management

5.00 End of the workshop.


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