Numerix Webinar Series 

FRTB's Sensitivity Based Approach Two-Part Webinar Series

The original capital accord from 1996 introduced two general methods to calculate market risk in the trading book, an Internal Model Approach (IMA) and a Standardized Approach (SA). However, it wasn’t until the financial crisis it was discovered that many banks were undercapitalized and incurred large trading losses, exposing the weakness of Basel II’s trading book. As a result, stricter regulations were enforced. In 2012, the Basel Committee started the Fundamental Review of the Trading Book (FRTB) alongside the implementation of Basel III. The Review was concentrated in Pillar I (capital requirements) and introduced the Sensitivity Based Approach (SBA) for SA calculations.

All banks subject to FRTB will be required to use the SA in some capacity, even if their trading desks utilize an IMA. Desks using an IMA will still need to calculate the SA and compare the two, with the SA possibly providing a floor to capital requirements. As such, the Sensitivity Based Approach will be a critical component of FRTB reporting, and while many banks are already prepared to conduct SBA calculations, many are not. What does the SBA entail, and how does it compare to an IMA in theory and in practice?

This two-part webinar series on FRTB's Sensitivity Based Approach features speakers Dr. Paolo Tarpanelli and Juan Vargas discussing the importance of the Sensitivity Based Approach, its methodology and offering case studies to show the potential business impact of these new FRTB regulations.
 

Dr. Tarpanelli and Mr. Vargas discuss:

  • FRTB insights
    • What Lead to FRTB
    • Current Framework
    • BCBS 352
  • Summary of Sensitivity Based Approach
  • Sensitivity Based Approach – Methodology
    • Underlying structure of SBA
    • Calculating the Risk-Charge
      • Delta Charge
      • Curvature Charge
      • Vega Charge
  • Case studies
    • Are delta and curvature charges well designed?
    • Current SA vs SBA

 

Featured Speakers:

Paolo TarpanelliPaolo Tarpanelli, PhD, Senior Financial Engineer, Numerix
Paolo Tarpanelli works as a Senior Financial Engineer in Numerix’s Milan office, helping European clients price and manage the risk of their multi-asset class derivative portfolios. Prior to Numerix, Dr. Tarpanelli worked as Quantitative Pre-Sales Analyst at Thomson Reuters where he implemented pricing models for structured products and developed new tools for portfolio optimization techniques and high frequency trading. Before Thomson Reuters, he worked as a Quantitative Analyst in the Department of International Structured Products at Merrill Lynch. Dr. Tarpanelli holds an Economics degree in Quantitative Methods from the Universita degli Studi of Perugia, where he also received his PhD which focused on Risk Management in Commodity Markets.

Juan VargasJuan Vargas, Senior Financial Engineer, Numerix
Mr. Vargas joined Numerix in August 2014, where he is currently working as Senior Financial Engineer. He is focused on developing solutions for clients to price vanilla and exotic products as well as market risk and valuation adjustment measures using Numerix analytics. Before joining Numerix, Mr. Vargas worked as Quantitative Analyst in the valuation services team at Pricing Partners (now part of Thomson Reuters). Mr. Vargas holds a Master’s degree in Financial Engineering from Universite Paris Dauphine.

Jim JockleModerator: Moderator: Jim Jockle, Chief Marketing Officer, Numerix
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

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