FRTB - IMA’s Most Pernicious Challenges: Lessons 7-8
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 two sessions discuss solutions for passing the P&L attribution test, managing non-modellable risk factors, and new problems with data alignment and “dark matter.”
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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:
April 15 - April 29, 2019
Time:
Self-paced
Session Length:
Approx. 90 minutes per session
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Lesson 7, April 15: IMA's Most Pernicious Challenges, Part I
In Lesson 7, learn about the significant challenges to calculating and managing risk using the IMA approach. The way banks manage and quantify these attributes will determine how successful they will be in implementing IMA desks.
“P&L Attribution Test” covers the toughest challenge for the internal models approach. The P&L attribution test is designed to continually evaluate the extent to which a bank’s internal models capture risk. This class describes the approaches, as well as the dos and don’ts, for managing P&L attribution test frameworks.
“Managing Non-Modellable Risk Factors (NMRFs)” covers what will likely be the source of significant uncertainty associated with capital charges within the IMA approach. This class will describe the uncertainties and their mitigating approaches.
The relationship between risk sensitivity granularity, NMRF, and P&L Attribution will be critical to understand and to optimize. We uncover how to calibrate the granularity of risk sensitivities in order to establish the best balance between minimal NMRF and maximum chance of P&L test passage.
Capital Cliffs and Capital Floors. Explore techniques for managing capital cliffs and capital floors at the desk and enterprise levels.
Lesson 8, April 22: IMA's Most Pernicious Challenges, Part II
In Lesson 8, we will examine the evolving interaction between data, regulation, technology, and capital. FRTB put new demands on data including tractability requirements to underlying transactions, extended reach-back on stress data, and enhanced tracking of data gaps, jumps, and other “dark matter.” Complicating the FRTB demands are increasing data amounts, complexity, granularities, and processing speed. The confluence of these drivers demands new tools to manage and manipulate market, position, and even static data in the new regime.
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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: 3 |
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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 |
$179 |
| Contributing Member |
$199 |
| Non Member |
$219 |
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