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Overview & Implications of Final Basel Capital Rules

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Monday, April 10, 2017
Marina Mandarin Singapore
Singapore

PROGRAM AGENDA

8:30 AM

 

Registration and Morning Coffee 

 

 

 

9:00 AM

 

Introduction and Welcoming Remarks 

Mark Gheerbrant, Head of Risk and Capital, ISDA   

 

 

 

9:20 AM

 

 

 

 

 

 

The Fundamental Review of the Trading Book (FRTB)

  • Overview of the final Basel FRTB Rules
  • New Standardised Approach
  • Changes to Internal Model Approach (IMA), inc. ES, liquidity horizons & DRC
  • Impact analysis
  • Implementation issues:
    -Non Modellable Risk Factors
    -Backtesting/ P&L Attribution

 Brian Lo, Managing Director, Head of Risk Management Group - Market & Liquidity Risk,

     DBS Bank

 

 

 

10:30 AM

 

Morning Break 

 

10:50 AM

 

 

 

 

 

Counterparty Credit Risk Capital Requirements  

  • Key components of Standardised Approach for measuring counterparty credit risk (SA-CCR)
  • Overview of Requirements and Approaches
  • Potential impact of SA-CCR compared to Current Exposure Method (CEM) and Internal Model Method (IMM)
  • SA-CCR – has an optimal balance between risk sensitivity and simplicity been achieved, what simple improvements can be introduced
  • Consequences of use of SA-CCR in CVA-BA, Leverage Ratio, Large Exposure and Floor

Oliver Bettin, Managing Director, Head of Debt BCU, APAC, Global Markets, Deutsche Bank

 

 

 

11:50 AM

 

 

Leverage Ratio     

  • Overview of the Leverage Ratio requirements
  • Changes in the latest Basel rules
  • Potential impact

Nanda Thiruvengadam, Associate Director, Financial Risk Management,KPMG Singapore

 

 

12:35 PM

 

Luncheon 

 

 

 

2:00 PM

 

 

CVA and other XVA

  • Credit Valuation Adjustments (CVA) background and basics, Basel regulatory requirements and impact on banks
  • Basel CVA framework – finalization of a multi-year review and removal of IMA-CVA, what has been achieved?
  • Meanings and Benefits of adopting CVA and pricing it into derivatives – what impact on risk management and business models?
  • Practices of Banks from the US and Europe and comparison with Singapore institutions
  • Other XVA

Aseem Agrawal, CVA Trading & Counterparty Portfolio Optimization, APAC, Citigroup      

 

 

 

3:00 PM

 

Net Stable Funding Ratio (NSFR)

  • Overview of Final Basel rules
  • Impact analysis
  • Issues with the final rules: 20% RSF and treatment of High-Quality Liquid Assets (HQLA)
  • Potential areas of review by Basel

 Mark Gheerbrant, Head of Risk and Capital, ISDA

 

 

 

3:30 PM

 

 

Afternoon Break

 

3:45 PM

 

Panel Discussion – Implementing the final rules in Singapore

  • What principles should guide Singapore’s approach to implementing the Basel rules?
  • How might the reforms impact Singapore’s objective of strengthening its capital markets?
  • How to reach consensus of the ‘right’ level of capital to balance enough capital with the need to invest in economic growth?
  • Is the floor the best way to address variability in internal models?
  • Do we foresee consistency issues with national/regional implementations?
  • What remaining challenges need to be tackled?

Moderator: Mark Gheerbrant, Head of Risk and Capital, ISDA

Oliver Bettin, Managing Director, Head of Debt BCU, APAC, Global Markets, Deutsche Bank

Brian Lo, Managing Director, Head of Risk Management Group - Market & Liquidity Risk,

     DBS Bank

Other panelists to be announced

 

 

 

5:00 PM

 

Conference Concludes


Agenda is subject to change

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Marina Mandarin Singapore, 6 Raffles Boulevard, Marina Square, Singapore 039594, Phone: + 65-6845-1000

 



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