Forvis Mazars, London
30 Old Bailey, London EC4M 7AU, United Kingdom
Contact
Questions can be directed to GARP Events at
events@garp.com.
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Overview
Developed in collaboration with Forvis-Mazars’ Quantitative Solutions practice, this two-day Masterclass offers an in-person deep dive into two core areas of regulatory focus that are driving change across the industry. Interventions from experts at the UK PRA, BaFIN and leading industry practitioners will provide unique insights, promising a benefit that is different to other trainings programmes.
Day 1, 5th May 2026 - FRTB and Emerging Trends in Market Risk
From FRTB regulatory principles through to applied Case Studies, the focus will be on combining theory with hands-on application to ensure participants are armed with the appropriate tools to effectively navigate and implement the new framework. Other topical subjects such as SPV repacks and Digital assets will also be presented and debated.
Day 2, 6th May 2026 - Counterparty Credit Risk (CCR)
Evolving regulatory expectations for CCR have been shaped by recent financial crises and the need for banks to adapt to new market dynamics. From regulatory expectations, modelling challenges, and limitations through to applied Case Studies, the focus will be on laying out the key challenges of CCR and SA-CVA modelling and exploring best practices for how to address these.
Participants will be given the option of participating in one or both days of the Masterclass.
What’s included:
Written content across key concepts, designed for deep, structured learning;
Valuable interventions from regulators and leading industry practitioners;
Opportunities for networking amongst peer practitioners over lunch and a canape reception
Katherine Wolicki is the Global Head of Engagement and Outreach for GARP Benchmarking Initiative (GBI). GBI plays a key role in supporting evidence-based policymaking through the provision of industry benchmarking studies. Prior to this she was with HSBC for 12 years where she led the Global Financial and Model Risk Regulatory Policy and Engagement team for Risk. The team was responsible for the external regulatory interface for the Traded Risk, Treasury Risk Management and Global Risk Analytics function. This included the provision of guidance on regulatory risk matters, regulatory policy interpretation and industry engagement. Prior to this she was based in Brussels as a Public Affairs consultant specialising in financial services regulation. Katie has an MA in International Economic Relations from American University and a Maîtrise in European and International Law from the University of La Reunion. She is a fluent French speaker and an avid hiker and mountaineer.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Nicolas Cerrajero has been a partner at Forvis Mazars UK since 2020, where he leads the Market and Counterparty Credit Risk quantitative Solutions team.
With over 15 years of experience in the industry, he has held various roles across front office and risk, model validation, and model development.
Prior to joining Forvis Mazars, Nicolas served as Head of Counterparty Credit Risk Modelling at Deutsche Bank.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Jesus is the Program Director of FRTB at Société Générale. He has over 20 years of experience in Risk Management across capital market activities at major European banks and consulting firms in Spain, Germany and France. During his career he has held diverse roles, including Risk Manager of Market and Counterparty risks, as well as SME and Program Manager, overseeing the implementation of significant Market and Counterparty risk regulations. He holds a bachelor's degree in Economics from Universidad Autonoma de Madrid, and is an FRM and SCR certificate holder. He is also the co-director for the GARP Paris Chapter.
Adrien Palayret is an Associate Director at Forvis Mazars in the UK with nearly a decade of experience advising global banks, brokers, and trading houses. He specialises in market risk, FRTB, and derivative pricing, bringing deep expertise gained through high stakes regulatory engagements across the EU and UK. Adrien has also supported supervisory authorities, including the ECB, through onsite inspections and regulatory consultations.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Associate Director, Quantitative Solutions, Forvis-Mazars UK
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Tristan Wang is an Associate Director at Forvis Mazars in UK with more than 9 years of experience advising global banks, brokers, and trading houses. He has extensive hands-on experience leading complex projects across the full spectrum of risk management, including VaR/FRTB model development. Tristan’s expertise includes market risk modelling (FRTB IMA), derivatives pricing, model review and valuation audit.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Nicolas Cerrajero has been a partner at Forvis Mazars UK since 2020, where he leads the Market and Counterparty Credit Risk quantitative Solutions team.
With over 15 years of experience in the industry, he has held various roles across front office and risk, model validation, and model development.
Prior to joining Forvis Mazars, Nicolas served as Head of Counterparty Credit Risk Modelling at Deutsche Bank.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Anant Gajjar leads the CIB Capital and Treasury Analytics team as part of the CIB Treasury. He joined HSBC in 2006 working in the Derivatives Model Review Group reviewing Global Markets Pricing and Risk models. He moved to Global Markets Capital Management within Business Finance in 2013, focussing on managing financial resource usage of the Markets business. Anant transitioned to leading the team in 2020 and has recently expanded his scope to cover Corporate and Institutional Banking business as a whole. Covering all financial resources with an aim of ensuring that resource usage is understood, efficient and sustainable across the medium term horizon which includes understanding and advocating on regulatory changes.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Maxence joined Forvis Mazars France (Paris) in 2022 to pursue a PhD in collaboration with the Institut Polytechnique de Paris. Over the course of four years, his research has focused on reconciling regulatory compliance with data confidentiality on blockchains, with the goal of fostering corporate adoption. During this time, he has worked on several projects involving advanced cryptographic technologies, including Multi-Party Computation, Homomorphic Encryption, and Zero-Knowledge Proofs.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Katherine Wolicki is the Global Head of Engagement and Outreach for GARP Benchmarking Initiative (GBI). GBI plays a key role in supporting evidence-based policymaking through the provision of industry benchmarking studies. Prior to this she was with HSBC for 12 years where she led the Global Financial and Model Risk Regulatory Policy and Engagement team for Risk. The team was responsible for the external regulatory interface for the Traded Risk, Treasury Risk Management and Global Risk Analytics function. This included the provision of guidance on regulatory risk matters, regulatory policy interpretation and industry engagement. Prior to this she was based in Brussels as a Public Affairs consultant specialising in financial services regulation. Katie has an MA in International Economic Relations from American University and a Maîtrise in European and International Law from the University of La Reunion. She is a fluent French speaker and an avid hiker and mountaineer.
Nicolas Cerrajero has been a partner at Forvis Mazars UK since 2020, where he leads the Market and Counterparty Credit Risk quantitative Solutions team.
With over 15 years of experience in the industry, he has held various roles across front office and risk, model validation, and model development.
Prior to joining Forvis Mazars, Nicolas served as Head of Counterparty Credit Risk Modelling at Deutsche Bank.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Nicolas Cerrajero has been a partner at Forvis Mazars UK since 2020, where he leads the Market and Counterparty Credit Risk quantitative Solutions team.
With over 15 years of experience in the industry, he has held various roles across front office and risk, model validation, and model development.
Prior to joining Forvis Mazars, Nicolas served as Head of Counterparty Credit Risk Modelling at Deutsche Bank.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Alexandre Poser is a Partner at Forvis Mazars, where Alexandre co-leads the quantitative finance practice and the group’s digital assets initiatives. With over a decade of experience advising global banks, clearing houses and market infrastructures, Alexandre specializes in market risk, FRTB, counterparty credit risk and derivative pricing. Alexandre has contributed to high stakes regulatory engagements across the EU and UK supporting institutions and supervisors on model design, and advocacy. Alexandre also advises on the fast developing digital assets landscape, focusing on blockchain risk frameworks, supervisory treatment of crypto exposures, and the integration of new market structures into traditional risk management.
Irina Ursachi is a Director at Forvis Mazars in Germany with more than 10 years of experience advising global banks, brokers, and trading houses. She has extensive hands-on experience leading complex projects across the full spectrum of risk management. Irina’s expertise includes derivatives pricing, XVA implementation, model validation, regulatory compliance, and regulatory audits.
Nicolas Cerrajero has been a partner at Forvis Mazars UK since 2020, where he leads the Market and Counterparty Credit Risk quantitative Solutions team.
With over 15 years of experience in the industry, he has held various roles across front office and risk, model validation, and model development.
Prior to joining Forvis Mazars, Nicolas served as Head of Counterparty Credit Risk Modelling at Deutsche Bank.
Fabrizio is a leading expert in complex risk analytics, quantitative modelling and financial regulations, with an extensive track record of heading quant teams, supporting firm-wide change programs and contributing to international regulatory initiatives. His main areas of expertise include counterparty credit risk, internal models, derivatives valuation, CCPs & collateral processes, initial margin methodologies and regulatory capital. As part of his academic activities, Fabrizio has published numerous research articles in the fields of quantitative finance and condensed matter physics.; and he is currently chairing the courses in Counterparty Credit Risk and Derivatives Portfolio Valuations of the UZH / ETH Master Program in Quantitative Finance. Fabrizio holds a Ph.D. in Theoretical Physics from the Chalmers University of Technology (Gothenburg, Sweden).
Matthias Arnsdorf leads the Counterparty Credit, Market Risk & Treasury Quantitative Research teams at J.P. Morgan. He is responsible for the development of J.P. Morgan’s suite of credit exposure, XVA, VaR, stress, margin & balance sheet models which are used for valuation, risk management as well as credit, market & liquidity risk capital.
Matthias started his career in finance in 2002 working in credit derivatives quant research. Prior to this he spent two years as a post-doctoral researcher at the Niels Bohr Institute in Copenhagen. Matthias holds a PhD in Quantum Gravity from Imperial College London.
Fabrizio is a leading expert in complex risk analytics, quantitative modelling and financial regulations, with an extensive track record of heading quant teams, supporting firm-wide change programs and contributing to international regulatory initiatives. His main areas of expertise include counterparty credit risk, internal models, derivatives valuation, CCPs & collateral processes, initial margin methodologies and regulatory capital. As part of his academic activities, Fabrizio has published numerous research articles in the fields of quantitative finance and condensed matter physics.; and he is currently chairing the courses in Counterparty Credit Risk and Derivatives Portfolio Valuations of the UZH / ETH Master Program in Quantitative Finance. Fabrizio holds a Ph.D. in Theoretical Physics from the Chalmers University of Technology (Gothenburg, Sweden).
Nicolas Cerrajero has been a partner at Forvis Mazars UK since 2020, where he leads the Market and Counterparty Credit Risk quantitative Solutions team.
With over 15 years of experience in the industry, he has held various roles across front office and risk, model validation, and model development.
Prior to joining Forvis Mazars, Nicolas served as Head of Counterparty Credit Risk Modelling at Deutsche Bank.
Ignacio Ruiz previously was the head of counterparty credit risk measurement and analytics at Scotiabank. He has held vice president and director-level positions in quantitative risk management in Credit Suisse and BNP Paribas in London, UK. He has also been a freelance quantitative consultant for seven years.
Ruiz has authored the books “Machine Learning for Risk Calculations” and “XVA Desks,” and has published several articles in quantitative risk analytics in world-class journals. He holds a doctorate in physics from Cambridge University.
Sebastian is heading the division QRM 2 (Quantitative Risk Modelling – Market Risk and Artificial Intelligence) at BaFin, the German national supervisory authority for financial institutions. In this role, he is responsible for the supervision of market risk, AI models and credit institutions. Prior to that, Sebastian held various roles at the Eurozone’s Single Supervisory Mechanism (SSM), employed by both BaFin and the ECB, focusing on the supervision of market risk and counterparty risk at large international investment banks. In that context, he has participated various working groups at Basel, EBA and ECB level, dealing with modelling and risk management of counterparty credit risk, with major focus on NBFI exposures. Currently, Sebastian is co-chairing a working group at the SSM to harmonize the supervision of CVA models.
Sebastian holds a master’s degree in Mathematical Finance from Oxford University.
Sebastian is heading the division QRM 2 (Quantitative Risk Modelling – Market Risk and Artificial Intelligence) at BaFin, the German national supervisory authority for financial institutions. In this role, he is responsible for the supervision of market risk, AI models and credit institutions. Prior to that, Sebastian held various roles at the Eurozone’s Single Supervisory Mechanism (SSM), employed by both BaFin and the ECB, focusing on the supervision of market risk and counterparty risk at large international investment banks. In that context, he has participated various working groups at Basel, EBA and ECB level, dealing with modelling and risk management of counterparty credit risk, with major focus on NBFI exposures. Currently, Sebastian is co-chairing a working group at the SSM to harmonize the supervision of CVA models.
Sebastian holds a master’s degree in Mathematical Finance from Oxford University.
Associate Director, Quantitative Solutions, Forvis-Mazars UK
Xavier Coste
Director, Regulatory Affairs, BNP Paribas
Moderators
Katherine Wolicki
Global Head of Engagement and Outreach, GARP Benchmarking Initiative (GBI)
Agenda/Schedule
*Date and Time noted as
May 5, 2026
Speakers
Nicolas Cerrajero, Partner (Quantitative Solutions), Forvis Mazars
Alexandre Poser, Partner, Quantitative Solutions, Forvis-Mazars France
Katherine Wolicki, Global Head of Engagement and Outreach, GARP Benchmarking Initiative (GBI)
Introduction
Sensitivity-Based Method (SBM)
Default Risk Charge (DRC) : Rating and offsetting algorithms and treatment of maturity mismatches.
Prescribed and Alternative Sensitivities: Delta, Vega, Curvature, Jump-to-Default (JtD).
Residual Risk Add-on (RRAO), focus on the case of multi-underlying (indexes funds) variance swaps and dividends products.
Mutual Funds, eligibility and focus on partial look-through implementation.
Regulatory Developments and Industry Trends, capital optimization
Q&A
Speakers
Mathias Etienne, Director, Quantitative Solutions, Forvis-Mazars UK
Alexandre Poser, Partner, Quantitative Solutions, Forvis-Mazars France
Speakers
Adolfo Montoro, Global Market Risk Analytics, Bank of America
Jesus Sanchez Gonzalez, FRM, SCR, FRTB Program Director, Société Générale
Moderator
Katherine Wolicki, Global Head of Engagement and Outreach, GARP Benchmarking Initiative (GBI)
Introduction
Risk Factor Eligibility Test (RFET): from simple derivatives observability to 1 to N mapping.
Risk Factor Market Data
Expected Shortall Risk Measure (ESRM) Capital Charge: definition of the metric, reduce set and stressed period calibration
Non-Modellable Risk Factor (NMRF) capital charge, projection on modellable risk factor, stressed window calibration and Zero correlation
Default Risk Charge : Key Modelling challenges (Jump-to-Default on Multi-Underlying, Default correlation modelling and calibration, Choice of systematic factors, maturity mismatches…) capital pros and cons vs SA DRC.
Regulatory Development and Industry Trends
Q&A
Speakers
Adrien Palayret, Associate Director, Quantitative Solutions, Forvis-Mazars UK
Alexandre Poser, Partner, Quantitative Solutions, Forvis-Mazars France
Tristan Wang, Associate Director, Quantitative Solutions, Forvis-Mazars UK
Product description
Regulatory interpretations and challenges
The Banks’ views
Speakers
Nicolas Cerrajero, Partner (Quantitative Solutions), Forvis Mazars
Anant Gajjar, Director, HSBC
Alexandre Poser, Partner, Quantitative Solutions, Forvis-Mazars France
Fabrizio Anfuso, Senior Technical Specialist, Bank of England
How the theory of WWR modelling intersects with risk management practice
Regulatory expectations and what good looks like
Horizon scanning and where the industry is going
Speakers
Fabrizio Anfuso, Senior Technical Specialist, Bank of England
Matthias Arnsdorf, Global Head of Counterparty Credit, Market Risk & Treasury Models, JP Morgan
Active hedging of accounting xVA: CVA, DVA, FVA, KVA, CollVA
Hedge recycling & further capital mitigation:
hedging of Market Risk xVA RWA
hedging of FRTB-CVA RWA
SRT & hedging of CCR RWA
Case studies and Q&A
Speakers
Nicolas Cerrajero, Partner (Quantitative Solutions), Forvis Mazars
Aspects in CCR calculations that can be accelerated
The different alternatives to speed up calculations
Benefits to banks and trends
Speakers
Ignacio Ruiz, Founder, MoCax
Speakers
Sebastian Schnitzler, Head of Quantitative Risk Modelling – Market Risk and Artificial Intelligence, BaFin
Speakers
Jean Jacques Kamdem, Global Head of XVA and CCR Analytics, HSBC UK
Sebastian Schnitzler, Head of Quantitative Risk Modelling – Market Risk and Artificial Intelligence, BaFin
Pricing
One Day Masterclass
May 5 (FRTB) or May 6 (CCR)
Certified*
GBP 1,000
Register by
May 5, 2026
Non-Certified
GBP 1,200
Register by
May 5, 2026
Two Day Masterclass
May 5 (FRTB) or May 6 (CCR)
Certified*
GBP 1,500
Register by
May 5, 2026
Non-Certified
GBP 1,800
Register by
May 5, 2026
One Day Masterclass
May 5 (FRTB) or May 6 (CCR)
Certified*
GBP 1,000
Register by
May 5, 2026
Non-Certified
GBP 1,200
Register by
May 5, 2026
Two Day Masterclass
May 5 (FRTB) or May 6 (CCR)
Certified*
GBP 1,500
Register by
May 5, 2026
Non-Certified
GBP 1,800
Register by
May 5, 2026
Certified are those who currently hold the FRM Certification, SCR and/or RAI Certificate, and/or ERP Certification. Pricing is inclusive of 20% VAT. For questions on invoicing or team registrations please contact events@garp.com.
