FRTB — Regulatory Capital for Market Risk and CVA in Practice: Early Bird Discount

Program – September 21

Module 1: FRTB – Current Value Assessment (CVA)

Conceptual Framework

• Scope of application and timeline
• Introduction to regulatory capital CVA
• Available approaches
• Hypothetical splitting of netting sets

Accounting vs. Regulatory CVA

• Accounting CVA and DVA
• Main differences between the two frameworks
• Challenges in practice

Basic Approach

• Capital requirements
• Determination of risk weights
• Determination of maturities, exposures and discount factors
• CVA hedges eligibility: single name and index hedges
• Determination of hedge misalignment adjustment
• Practical challenges
• Working example: Detailed calculation of the CVA-Basic approach

Standardised Approach Framework

• Capital requirements
• Special considerations for EAD simulation
• Special considerations for PDs and LGDs
• Special considerations for margined netting sets: Collateral and margin period of risk (MPOR)
• CVA hedges eligibility
• Practical challenges

Standardised Approach: Working Examples

• Working example: Detailed calculation of the interest rate delta risk capital requirements. Risk factors, sensitivities, risk weights, and cross-bucket and intra-bucket aggregation
• Working example: Detailed calculation of the counterparty credit spread risk delta risk capital requirements. Risk factors, sensitivities, risk weights, and cross-bucket and intra-bucket aggregation
• Working example: Detailed calculation of the FX delta risk capital requirements. Risk factors, sensitivities, risk weights, and cross-bucket and intra-bucket aggregation
• Working example: Detailed calculation of the interest rate vega risk capital requirements. Risk factors, sensitivities, risk weights, and cross-bucket and intra-bucket aggregation

Special Topics

• Defaulted exposures
• Internal risk transfers of CVA risk

Program – September 22

Module 2: FRTB – Market Risk – Standardized Approach

Conceptual Framework

• Scope of application and timeline
• Available approaches

Boundary Between Banking Book and Trading Book

• Presumptive list of instruments to be assigned to each regulatory book
• Methodology in practice to set the assignment to each regulatory book
• Reclassifications
• Challenges in practice

Internal Risk Transfers (IRTs)

• Interest rate, credit and equity IRTs
• Practical challenges
• Case study: issuance of structured notes

Prudent Valuation

• Overview of the regulatory guidance
• Practical challenges
• Case study: interest rate derivatives’ prudent valuation
• Case study: credit instruments’ prudent valuation

Market Risk Capital Requirements

• Components of the market risk capital requirements formula
• Intuitive understanding of the formula

Standardised Approach (SA) – Sensitivities-based Method (SbM)

• Overall framework: SbM, RRAO and DRC
• SbM framework: Delta risk, vega risk and curvature risk
• Working example: Interest rate risk delta risk mechanics
• Working example: FX risk delta risk mechanics
• Working example: Credit spread risk non-securitisations delta risk mechanics
• Working example: Interest rate risk vega risk mechanics
• Working example: Curvature risk mechanics

Standardised Approach (SA) – Residual Risk Add-on (RRAO)

• RRAO framework and scope
• Working examples of RRAO application
• Challenges in practice: excessively punitive positions

Standardised Approach (SA) – Default Risk Charge (DRC)

• SA-DRC framework and scope
• Working examples of calculations of jump-to-defaults
• Working example: Non-securitisations SA-DRC mechanics
• Challenges in practice: excessively punitive positions

Program – September 23

Module 3: FRTB – Internal Model Approach (IMA)

IMA – Introduction

• Trading desk definition
• Trading desk eligibility
• Short case studies to explain hedging challenges

IMA – Expected Shortfall (ES)

• Conceptual introduction: VaR vs. ES measures
• ES calculation mechanics
• Challenges in practice: stressed period of risk, reduced set of risk factors and liquidity horizons

IMA – Backtesting and P&L Attribution Test (PLA)

• Trading desk eligibility
• Overview of bank-wide and trading desk backtesting requirements
• Definition of hypothetical P&L, actual P&L and risk-theoretical P&L. Treatment of CVA, DVA and other valuation adjustments. Practical challenges
• Overview of PLA requirements. The three zone framework
• PLA testing: Spearman correlation metric and Kolmogorov-Smirnoff metric
• Modellable vs. non-modellable risk factors

IMA – Capital Requirements Calculations

• Capital requirements for modellable risk factors: IMCC
• Capital requirements for NMRFs: Stressed expected shortfall (SES)
• Capital requirements for DRC

IMA – Default Risk Charge (DRC)

• IMA-DRC framework. Scope
• PDs and LGDs
• Default simulation in practice

Note: The capital considerations set out in this seminar are based on the instructor’s interpretation of OSFI guidance. Institutions that the instructor is affiliated with can therefore by no means be associated with his interpretation.

Each day of the course runs from 9:00 a.m. – 4:30 p.m. each day including lunch as well as morning and afternoon breaks.

Our HST Number: R862562543

Group Discount: Fourth Delegate FREE!

If three individuals from one organization register at the same time, a fourth person may also be registered to attend free of charge. The free registration must be of equal or lesser value than the paid registrations. Please contact us to arrange for attendance of larger groups.

Your Registration Includes

Registration fees include all conference materials, continental breakfast, lunch and refreshments. Parking and accommodation are not included.

FREE CONFERENCE WORKBOOK

As a registered delegate, you will receive a complete set of conference materials. These materials will serve as an invaluable guide, both during and after the event. The workbook will be distributed on the morning of the first day beginning at 8:00 a.m.

Cancellation Policy

Substitutions may be made at any time. If you are unable to attend, please make cancellations in writing and fax to (416) 504-6978 or email to info@acumeninformation.com prior to 5:00 p.m. on September 5, 2022. A credit voucher will be issued to you for the full amount, redeemable against any other Acumen conference. If you prefer, you may request for a refund of fees paid less $250 administration fee. Registrants who cancel after above date will not be eligible to receive any credits or refunds and are liable for the entire registration fees.

Confirmed delegates who do not cancel before September 5, 2022, and fail to attend will be liable for the entire registration fees.

Acumen Information Services reserves the right to change the date, location and content for the event(s) offered herein without further notice and assumes no liability for such changes.

Please indicate that you are eligible for this offer on the registration page or your registration form if you are mailing in your registration.

The conference will be held at a convenient location in downtown Toronto. Venue information and special conference accommodation pricing details will be provided upon confirmation of the venue.

Delegates can register at the Acumen service desk beginning at 8:00 a.m. on the morning of the first day of the conference. Registration fees do not include hotel accommodation or parking.

This conference has been specifically designed for, and in consultation with, experts in accounting for financial institutions as well as standard setters. The event has been developed with the professional responsibilities of our audience as our focus. As well, auditors, financial advisors, analysts, lawyers and other advisory professionals would benefit from staying current on the information provided at this timely event. In particular, our experience indicates that individuals in the following positions would mostly likely be in attendance:

• Chief Financial Officers
• Chief Risk Officers
• Chief Compliance Officers
• VPs, Directors and Managers
  • Finance
  • Accounting
  • Financial Reporting
  • Regulatory Compliance
• Controllers
• Internal Auditors
• Audit Committee Members
• Corporate Counsel
• Risk Managers
• Audit and Assurance Professionals
• Industry Regulators and Standard Setters
• Financial Analysts
• Corporate and Securities Lawyers

Comments from Past Delegates to Acumen Conferences

“…provided a very good high level summary of the key impacts of IFRS to financial institutions.”
Associate Chief Accountant, Bank of Montreal

“Presentations were clear even though topics were complex.”
Chief Financial Officer, Société Générale

“Best conference I’ve ever attended.”
Senior Manager, Enterprise Hedge Accounting and Derivative Reporting, Royal Bank of Canada

“Suffice it to say that the conference delivered on my expectations…A lot has been taken away from this conference…$ well spent…”
V.P. Risk Management Advisory, New Brunswick Credit Union Stabilization Board

“Finally a course that communicates true technical knowledge”
Director, Operations Finance, NAV Canada

“This seminar was fantastic – very informative and has some extremely interesting and knowledgeable speakers.”
Manager, Corporate Accounting, Brascan Power

“Great balance between theory and practical application/issues. Perfect level of detail…”
Treasury Manager CHC Helicopter Corporation

“Speakers were very knowledgeable, materials were current…examples and materials were relevant and well presented.”
Derivatives Accountant, Agrium Inc.

To obtain a copy of the brochure, please send a request to the email below or click on the image of the brochure on this page.

Email at info@acumeninformation.com

To submit questions to be answered at the conference, please send us an email at this address: info@acumeninformation.com

• Cocktail reception
• Luncheon sponsorship
• Breakfast sponsorship
• Booth/exhibit space

For more information, or to check availability,
please contact us by phone at (416) 504-6952
or by e-mail info@acumeninformation.com