The new Basel III framework for market risk, also known as the Fundamental Review of the Trading Book or FRTB, represents a pivotal change in the way banks’ trading businesses will be capitalized, regulated and managed. Over a decade in the making, FRTB will profoundly impact business lines, trading volumes, and the use of technology platforms. Its implementation and management will require multi-year efforts and substantial resources on the part of banks and supervisory bodies alike. As banks intensify their implementation efforts and deepen their knowledge of FRTB, this intensive course will be timely for learning the best practices for tackling the myriad of challenges that lie ahead, as well as looming implementation deadlines.

This ten + one session course is designed for trading, risk, finance, audit, and regulatory professionals with selectable streams tailored for each student’s prior knowledge and functional responsibilities. Selectable introductory streams designed for delegates who are new to FRTB will be provided. Later sessions will delve more deeply into the nuances of how FRTB will impact specific sectors and functionalities. Our final session will address what remains to be adjudicated within the BCBS and national supervisors prior to implementation, as well as to address likely timelines for key milestones within specific jurisdictions.

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• Session 1, May 30:  Market Risk Concepts and Challenges–The Genesis of FRTB Introduction to FRTB and Historical Perspective
• Session 2, June 6: New “Fundamentals” I   Includes Banking Book-Trading Book Boundary, Granular Approach to Capital Attribution
• Session 3, June 13: New “Fundamentals” II Includes Understanding Implications of Using ES vs. VaR, New Definition of the Regulatory Trading Desk (RTD), New Regulatory Approval Regime
• Session 4, June 20: Standardized Approach Now Required for All Banks
• Session 5, June 27: Internal Models Approach (IMA) Required for Large and Small Banks Who Need to Maintain Competitiveness in Any Capital Markets Segment
• No class week of July 4
• Session 6, July 11: Default Risk Charge (DRC) Differentiating Migration from Default Risk, Aligning DRC to Banking Book, Implications for Capital Volatility
• Session 7, July 18: IMA’s Most Pernicious Challenges, Part I Includes Solutions for Passing the P&L Attribution Test, Managing Non-Modellable Risk Factors, 
• Session 8, July 25: IMA’s Most Pernicious Challenges, Part II New Problems with Data Alignment and “Dark Matter”
• Session 9, August 1: New Regime for Model Governance and Risk Transparency FRTB Requires a New Model Framework for Model Validation, Model Management, and Model Updates Which Will Require a New Adjudication and Governance Process
• Session 10, August 8: Implementation Timelines/Milestones Global and by Major Jurisdictions, 
• Special Session 11 August 29: Supervisory Implementation How Will Supervisors Manage New RTD Approval Requirements, Ensure Model and Data Alignment, and Oversee Compliance with Limited New Resources?  We Review Challenges and Solutions from the 80+ Pages of Our Chapter on Regulatory Implementation Session 11 is Offered Free for Regulators, Supervisors, and Others Who Register for the Full Course

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• Define and establish banking and trading book boundaries for any given instrument or desk
• Understand the mechanics and nuances of implementing Standardized and Internal Models Approaches
• Walk through the capital impact of typical trade types and model portfolios
• Understand the new dynamics and challenges of defining, accessing and utilizing market data in various jurisdictions and risk factors under FRTB
• Optimize capital impact from the P&L Attribution test
• Minimize the impact from Non-Modellable Risk Factors (NMRFs)–currently 30% of regulatory capital on average to levels which potentially bring capital requirements to lower levels than existing Basel 2.5
• Establish new governance frameworks for desk structures including more granular regulatory approval process, interaction between Head Trader and supervisor, and Regulatory Trading Desk (RTD) supervisory approval requirements
• Plan for specialized RTDs such as the Internal Risk Transfer (IRT) desk, new roles for the xVA desk, and the securitization desk
• Create solutions for capital cliffs and capital floors
• Budget, plan and manage the FRTB implementation process in a manner most appropriate for your jurisdiction and bank position
• Describe how the granularity of risk sensitivities affects the relationship between non-modellable risk factors and the P&L Attribution test
• Explain why the Basel 2.0 framework for market risk failed in the 2007-2009 period and how FRTB seeks to improve the framework
• Demonstrate how changes to regulatory trading desk structures may improve both the efficiency and stability of a bank’s regulatory capital regime

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Register to attend the full series of eleven sessions or register for individual sessions.  Each course will be available for a 24-hour period on the starting date and time, to accommodate your schedule and time zone. During the session you will have the opportunity to submit questions to Sanjay or Jeb. The instructor will prepare a customized response to you within 72-business hours.  Questions must be submitted during the 24-hour open course period.  Included in your purchase is access the recording for 60 days following the original course date and a PDF of the course handouts. 

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Sanjay Sharma, PhD,  is the Founder and Chairman of GreenPoint Global – a risk advisory, technology, education, legal and compliance services firm headquartered in New York. Founded in 2006, GreenPoint has grown to over 350 employees and over 40 consultants with a global footprint. During 2007-16 Sanjay was the Chief Risk Officer of Discretionary Capital Group and Managing Director in Fixed Income and Currencies Risk Management at RBC Capital Markets in New York. His career in the financial services industry spans over 25 years during which he has held investment banking, risk management and technology transformation positions at Goldman Sachs, Merrill Lynch, Citibank, Moody’s and Natixis. Sanjay is the author of “Risk Transparency” (Risk Books, 2013) has also published several papers. Sanjay is co-author with Jeb Beckwith of the forthcoming book “Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators”, to be published by RiskBooks, Incisivemedia in Spring, 2018.

He is an Adjunct Professor at New York University and Fordham’s quantitative finance programs, and financial markets program at EDHEC in Nice, France. He has served as the Founding Director of the RBC/Hass Fellowship Program at the UC Berkeley, and a member of the Board of Directors of UPS Capital (a Division of UPS). He serves on the Global Board of Directors for Professional Risk International Association (PRMIA). He holds a Ph.D. in Finance from New York University and an MBA from the Wharton School of Business and has undergraduate degrees in Physics and Marine Engineering.

John “Jeb” Beckwith is Managing Director of GreenPoint’s financial institutions division serving banks and insurers. Jeb brings over 30 years of industry experience in the management of risk, capital markets, lending and transaction banking practices. Prior to joining GreenPoint, he was Managing Director at RBC Capital Markets for 10+ years.  At RBC, Jeb led several front office and risk management groups related to global financial institutions including corporate banking, capital markets cross-sell, regulatory advisory, transaction banking, and trade finance.  Jeb founded RBC’s bank regulatory/ratings advisory team and founded/chaired RBC’s committee to adjudicate global limits for all bank and sovereign counterparty risks. Prior to joining RBC, Jeb held various management and corporate banking positions with increasing levels of responsibility at MUFG, Bank of America and BNY-Mellon. 

Jeb is an Adjunct Professor at New York University’s Tandon School and at Fordham University’s school of financial engineering.  Jeb has published several papers on banking regulation and is co-author, with Sanjay Sharma, of the forthcoming book: “Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators”, to be published by RiskBooks, Incisivemedia in 2018. 

Reference Readings:

• Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators” co-authored by Sanjay Sharma and John Beckwith, 2018, RiskBooks, Incisivemedia
• BCBS d352 + explanatory notes, https://www.bis.org/bcbs/publ/d352.htm 
• BCBS Jan 2017 FAQ, https://www.bis.org/bcbs/publ/d395.htm 
• BCBS Dec 2017 Basel III standards, https://www.bis.org/bcbs/publ/d424.htm 
• BCBS March 2018 FRTB CP and revised FAQ: https://www.bis.org/bcbs/publ/d436.htm

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