FRTB Concepts, Challenges, and Fundamentals: Lessons 1-3
Be prepared for FRTB. The new Basel III framework for market risk, also known as FRTB, represents a pivotal change in the way banks’ trading businesses will be capitalized, regulated and managed. These three sessions introduce the framework as well as a historical perspective of how it came about; discuss the Banking Book-Trading Book Boundary and Granular Approach to Capital Attribution; and discuss implications of using ES vs. VaR, new definition of the Regulatory Trading Desk (RTD), and new regulatory approval regime.
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Course Experts CRL Credits
Presented By:
Sanjay Sharma, PhD, Founder and Chairman, GreenPoint Global
John “Jeb” Beckwith, Managing Director,
GreenPoint Global
Date:
March 4 - 25, 2019
Time:
Self-paced
Session Length:
Approx. 90 minutes per session
| About This Course |
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Lesson 1, March 4: Market Risk Concepts and Challenges–The Genesis of FRTB
In Lesson 1, we'll explore the market risk models and methodologies that were in place leading up to the 2007-09 financial crises, why they failed, and very broadly how a new global framework evolved from Basel 2.5, to Basel 3, and now finally to FRTB. This course previews the framework of FRTB. Our experts will discuss the substitution of Value-at-Risk (VaR) with Expected Shortfall (ES); why the banking book-trading book boundary will be more strictly enforced; and why the “Standardized Model” will be completely reformed to be sensitivity based, more aligned to the internal models approach, and calculated for all platforms at the trading desk level.
Lesson 2, March 11: New “Fundamentals” I
In Lesson 2, learn about how FRTB creates several new frameworks for calculating, managing, and reporting market risk in banks. Sanjay and Jeb will consider two of the more fundamental changes made by FRTB to the existing framework for market risk management:
The Boundary Between Trading and Banking Books
An examination of how the revised boundary between the regulatory trading and banking books is defined, what trading instruments are required to be in each book, and what rare circumstances there might be to move instruments across the boundary. We will also explore impacts from this newly strengthened boundary through use cases and samples of trades, positions, and exposures.
Granular Approach to Capital Attribution
An examination of the various implications for increased granularity in everything from supervisory desk approval, capital attribution, managerial oversight, and regulatory capital aggregation.
Lesson 3, March 18: New “Fundamentals” II
In Lesson 3, Sanjay and Jeb will discuss the implications of using Expected Shortfall vs. VaR as a risk parameter, the new definition of the Regulatory Trading Desk (RTD), and new regulatory approval regime.
Expected Shortfall vs. VaR as a Risk Parameter
We explore the most significant and relevant differences between expected shortfall and VaR and what the impact will be on risk management and market behavior. Our exploration will be supplemented by modelling representative use cases and sample portfolios. This class provides a foundation for the philosophy behind FRTB, both the standardized as well as the internal models approaches.
New Definition of the Regulatory Trading Desk (RTD)
FRTB creates many new concepts, many of these center around the newly defined RTD. We will examine all aspects of this entity including the Head Trader’s responsibilities, the Operating sub-desk, restrictions on trading pre-defined instruments, and hedging within and between RTDs.
New Regulatory Approval Regime
FRTB includes a new, more intrusive and more granular approval regime, which we will examine in detail.
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| Who Should Attend |
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Heads of Trading Businesses, Trading Desk Heads, Market Risk Managers, FRTB Program Managers, Market Risk Auditors, Enterprise Risk Managers, Liquidity Professionals, Regulatory Capital Professionals, Model Validation Professionals, Market Data Professionals, Regulators, and Supervisors
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| About Our Experts |
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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 book “Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators”, published by RiskBooks, Incisivemedia (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 is a former member of 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.
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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 book: “Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators”, published by RiskBooks, Incisivemedia (2018).
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| Continuing Risk Learning Credits: 5 |
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PRMIA Continuing Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email [email protected].
| Registration |
| Membership Type |
Price |
| Sustaining, Corporate, and RIM Members |
$269 |
| Contributing Member |
$299 |
| Non Member |
$329 |
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