Trading Book Capital: FRTB & CVA 2018 - Toronto | International Swaps and Derivatives Association Inc. (ISDA) | 21 June 2018 | Fairmont Royal York, 100 Front St W, Toronto, ON M5J 1E3, Canada

The post-crisis regulatory reform highlighted an increasing focus of the regulators on the capital requirements for trading book activities (Market Risk and Market Value of Counterparty Risk).

The Fundamental Review of the Trading Book (FRTB) will have profound consequences on the way market risk capital is calculated for trading businesses. It changes every aspect of market risk models, introducing a new and more sophisticated Standardised Approach as well as making fundamental changes to internal models. Furthermore, it redefines the boundary between the trading book and banking books having significant implications for desk structures.

In December 2017, the BCBS finalized the Basel III framework and published the revised CVA framework. The revised CVA framework confirms the elimination of internal models for CVA risks, mandating the use of the standardized (SA-CVA) and basic (BA-CVA) approaches.

ISDA leads the industry working groups on trading book capital and the conference speakers are all expert practitioners who have been directly involved in the development and evolution of the financial regulation.

2018 Speakers

Greg Caldwell
Capital Specialist, Office of the Superintendent of Financial Institutions (OSFI)

Matt Davison
Director, School of Mathematical & Statistical Sciences, University of Western Ontario

Hany M. Farag
Senior Director, Head of Risk Modelling, CIBC

Ludovic Lelegard
Head of Traded Risk Analytics, HSBC Bank Canada

John Turley-Ewart
PhD, MBA, Regulatory Change Lead, Fundamental Review of the Trading Book (Basel III), Bank of Montreal

George Wallis
Vice President, XVA Desk, BMO Capital Markets

Aaron Wishart
Director, Risk and Capital, ISDA