Event

Forvis Mazars | GARP FRTB & CCR Masterclass

5-6 May 2026 | Day One: 8:00 - 18:30 | Day Two: 8:00 - 18:00 | London, UK

Details

May 5, 2026, 8:00 AM - May 6, 2026, 6:00 PM

In-Person

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 and leading industry practitioners will provide unique insights, promising a benefit that is different to other trainings programmes.

  • Day 1, 5th May 2026
    • FRTB: From 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
Register Now

Topics: Regulation & Compliance

Speakers

Maxence Brugère

PhD Student, Blockchain and Distributed Computing, Forvis-Mazars France
Nicolas Cerrajero

Nicolas Cerrajero

Partner (Quantitative Solutions), Forvis Mazars
Nicolas Cerrajero

Nicolas Cerrajero

Partner (Quantitative Solutions), Forvis Mazars

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.  

Anant Gajjar

Director, HSBC

Adolfo Montoro

Global Market Risk Analytics, Bank of America

Adrien Palayret

Associate Director, Quantitative Solutions, Forvis-Mazars UK

David Phillips

Senior Technical Specialist, Model Development & Review Division, Bank of England

Alexandre Poser

Partner, Quantitative Solutions, Forvis-Mazars France

Jesus Sanchez Gonzalez, FRM, SCR

FRTB Program Director, Société Générale

Jesus Sanchez Gonzalez, FRM, SCR

FRTB Program Director, Société Générale

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.

Irina Ursachi

Director, Quantitative Solutions, Forvis-Mazars Germany

Tristan Wang

Associate Director, Quantitative Solutions, Forvis-Mazars UK

Xavier Coste

Director, Regulatory Affairs, BNP Paribas

Moderators

Katherine Wolicki

Katherine Wolicki

Global Head of Engagement and Outreach, GARP Benchmarking Initiative (GBI)
Katherine Wolicki

Katherine Wolicki

Global Head of Engagement and Outreach, GARP Benchmarking Initiative (GBI)

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.  

Agenda/Schedule

*Date and Time noted as

    May 5, 2026

    1. Introduction
    2. Sensitivity-Based Method (SBM) 
    3. Default Risk Charge (DRC) : Rating and offsetting algorithms and treatment of maturity mismatches.
    4. Prescribed and Alternative Sensitivities: Delta, Vega, Curvature, Jump-to-Default (JtD).
    5. Residual Risk Add-on (RRAO), focus on the case of multi-underlying (indexes funds) variance swaps and dividends products.
    6. Mutual Funds, eligibility and focus on partial look-through implementation.
    7. Regulatory Developments and Industry Trends, capital optimization
    8. Q&A

    Speakers

    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)

  • Speakers

    David Phillips, Senior Technical Specialist, Model Development & Review Division, Bank of England

    1. Introduction
    2. Risk Factor Eligibility Test (RFET): from simple derivatives observability to 1 to N mapping.
    3. Risk Factor Market Data
    4. Expected Shortall Risk Measure (ESRM) Capital Charge: definition of the metric, reduce set and stressed period calibration
    5. Non-Modellable Risk Factor (NMRF) capital charge, projection on modellable risk factor, stressed window calibration and Zero correlation
    6. 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.
    7. Regulatory Development and Industry Trends
    8. 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

    1. Product description
    2. Regulatory interpretations and challenges
    3. The Banks’ views

    Speakers

    Nicolas Cerrajero, Partner (Quantitative Solutions), Forvis Mazars

    Anant Gajjar, Director, HSBC

    Alexandre Poser, Partner, Quantitative Solutions, Forvis-Mazars France

    Xavier Coste, Director, Regulatory Affairs, BNP Paribas

    1. Impact of Tokenized Cash on Banks
    2. Prudential Treatment of Digital Assets in EU
    3. Privacy Protocols for DLTs/Blockchains

    Speakers

    Maxence Brugère, PhD Student, Blockchain and Distributed Computing, Forvis-Mazars France

    Alexandre Poser, Partner, Quantitative Solutions, Forvis-Mazars France

    Xavier Coste, Director, Regulatory Affairs, BNP Paribas

    • May 6, 2026

    1. State / trends for SA-CVA in the industry
    2. Key modelling challenges
    3. Regulatory feedback on SA-CVA applications
    4. Case studies

    Speakers

    Nicolas Cerrajero, Partner (Quantitative Solutions), Forvis Mazars

    Adolfo Montoro, Global Market Risk Analytics, Bank of America

    Alexandre Poser, Partner, Quantitative Solutions, Forvis-Mazars France

    1. Different types of WWR: general, specific & leveraged
    2. Capital treatment
    3. Risk monitoring practices
    4. Models
    5. Case studies

    Speakers

    Nicolas Cerrajero, Partner (Quantitative Solutions), Forvis Mazars

    Irina Ursachi, Director, Quantitative Solutions, Forvis-Mazars Germany

    1. Active hedging of accounting xVA: CVA, DVA, FVA, KVA, CollVA
    2. Hedge recycling & further capital mitigation: 
      1. hedging of Market Risk xVA RWA
      2. hedging of FRTB-CVA RWA
    3. SRT & hedging of CCR RWA
    4. Case studies

    Speakers

    Nicolas Cerrajero, Partner (Quantitative Solutions), Forvis Mazars

    1. Aspects in CCR calculations that can be accelerated
    2. The different alternatives to speed up calculations
    3. Benefits to banks and trends

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