Pre-conference workshop, July 10, 2017:

FRTB Methodology and Practice

Led by:
Alexander Sokol, Head of Quant Research, COMPATIBL
Diana Iercosan, Principal Economist, BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM

AGENDA

08.30 Registration and breakfast

9.00  Introduction to FRTB

  • The FRTB roadmap
  • Overview of sensitivity based and internal model approaches
  • Trading/banking book boundary
  • 2017 FRTB FAQ and the latest on FRTB-CVA

Standardised Approach for the Trading Book (SA-TB)

  • Components of the standardised approach
  • Step by step guide to the calculation of SA-TB capital requirement
  • Challenges and frequently asked questions
  • Using AAD for SA-TB sensitivities

10.30 Morning break

11:00 Internal Model Approach for the Trading Book (IMA-TB)

  • Components of the internal model approach
  • Advantages of historical simulation over Monte Carlo simulation
  • Liquidity adjusted expected shortfall and stress period selection
  • Step by step guide to the calculation of IMA-TB capital requirement

12.30 Lunch

1.30 Practical Implementation of IMA-TB

  • Meeting the model use test requirement
  • Diversification constraints to aggregation
  • Applying non-modellable risk factor rules in practice
  • Meeting P&L attribution and backtest requirements
  • Challenges and frequently asked questions

3.00 Afternoon break

3.30 Basic Approach for CVA (BA-CVA)

 

  • Components of the basic approach
  • Step by step calculation of BA-CVA capital requirement
  • Challenges and frequently asked questions

 

Standardised Approach for CVA (SA-CVA)

  • Components of the standardised approach
  • Step by step guide to the calculation of SA-CVA capital requirement
  • Challenges and frequently asked questions
  • Using AAD for SA-CVA sensitivities

 

Discussion and Q&A

5.00 End of the workshop.