Fundamental Review of the Trading Book - 5th Annual European Summit is part of the Informa Connect Division of Informa PLC

This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC's registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 3099067.

Informa
08:30 - 09:00 30 mins
Registration
09:00 - 09:10 10 mins
Chairperson's Opening Remarks
  • Adolfo Montoro - Director, FRTB Methodology , DEUTSCHE BANK
09:10 - 09:50 40 mins
Regulatory Perspectives on FRTB Development, Implementation and Supervision: FDIC
  • Dilip Patro - Section Chief, Quantitative Model Analysis, Federal Deposit Insurance Corporation
09:50 - 10:30 40 mins
Regulatory Perspectives on FRTB Development, Implementation and Supervision: Bank of England
  • Wenmin Li - Senior Technical Specialist, Bank of England PRA
10:30 - 10:50 20 mins
Morning Coffee
10:50 - 11:50 60 mins
Panel Discussion: Costs and Benefits: What is the Incentive for Banks to Invest in FRTB?
  • Vladimir Chorniy - Senior Technical Lead, BNP Paribas
  • Neels Vosloo - Head of EMEA Regulatory Risk, Bank of America Merrill Lynch
  • Thomas Hougaard - Chief Risk Analyst, Change Owner for Risk Platform and FRTB, Nordea
  • Amol Tandon - FRTB Programme Manager, JP Morgan Chase
  • Gregg Jones - Director, Risk and Capital, ISDA
11:50 - 12:30 40 mins
Panel Discussion: Dealing with Timelines Across Jurisdictions
  • Paul Burnett - Global Head of Traded Risk Analytics, HSBC
12:30 - 13:15 45 mins
Identifying Pitfalls Banks and Regulators Ought to Avoid
  • Neels Vosloo - Head of EMEA Regulatory Risk, Bank of America Merrill Lynch
13:15 - 14:15 60 mins
Lunch
14:15 - 15:00 45 mins
Validation Within the Fundamental Review of the Trading Book
  • Peter Quell - Head of Portfolio Modelling for Market & Credit Risk, DZ BANK
15:00 - 15:40 40 mins
Working with the Revised Trading Book / Banking Book Boundary
15:40 - 16:00 20 mins
Afternoon Coffee
16:00 - 16:45 45 mins
Getting the P&L Attribution Test Right
  • Adolfo Montoro - Director, FRTB Methodology , DEUTSCHE BANK
16:45 - 17:45 60 mins
Heads of FRTB Project Panel: Implementation Experiences to Date and Key Forthcoming Priorities
  • Hany Farag - Senior Director, Head of Methodology and Analytics, Capital Markets Risk Management, CIBC
  • Suman Datta - Head of Portfolio Quantitative Research, CB Markets, Lloyds Bank Commercial Banking
  • Anne Høybye Hansen - FRTB Program Manager, Danske Bank
  • Britta Achmann - Head of Business Implementation, Risk Change, Deutsche Bank
  • Bo Boisen - Director FRTB and Risk Data Platform, Nordea
17:45 - 17:55 10 mins
Chairperson’s Closing Remarks
  • Adolfo Montoro - Director, FRTB Methodology , DEUTSCHE BANK