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Indonesia

Up Close and Personal with Basel IV’s FRTB Framework

Overview

Fundamental Review of the Trading Book (FRTB) under Basel IV is a far more quantitative framework for minimum capital requirements of a bank’s market risk component in Basel standards compared to its predecessors. On top of its challenging methodologies, FRTB’s expected global implementation over the next two years will be accompanied by concerns including “the great resignation” and a possible widespread recession. This means current and future FRTB projects may occur under heavy resource constraints — both financial and personnel — with the latter being more concerning.

Join us for this virtual Chapter meeting to examine the FRTB puzzle from multiple perspectives, with specific focus on FRTB-SA (Standardized Approach) methodology as a minimum requirement from regulators implementing the Basel IV standards for market risk capital. Our speakers will discuss:

  • Up: Basel IV’s FRTB Refresher
  • Close: FRTB-SA Components
  • Personal: Impact on Banks, Trading Desk Strategy, and IT Implementation

Agenda

6:00-6:05: Welcome and Tech Tips

6:05-6:10: Welcome GARP Indonesia Chapter and Speaker Introduction

6:10-6:45: Presentations

6:45-6:55: Audience Q&A

6:55-7:00: Concluding Remarks 

Attendees qualify for 1 GARP CPD credit.

Chapter Speakers

Giorevinus M.P.H. Simarmata, FRM

Co-Founder, Vryska

Gior is a risk and finance consultant located in The Netherlands providing training and consultancy services for various risk management and finance subjects. Gior started his career in The Netherlands banking sector with Rabobank, and has also worked with ING Bank N.V. on various market and credit risk management responsibilities. He currently serves as risk & finance data senior consultant for Rabobank Group’s global CreditCore project and as co-founder of Vryska, a startup focusing on delivering cloud-first risk management IT solutions for Basel IV's FRTB regulatory capital implementation.

Gior obtained a bachelor’s in mathematics from Bandung Institute of Technology and a master’s in quantitative finance from Universite Paris 1 Pantheon-Sorbonne. He is also certified by GARP as a Financial Risk Manager (FRM).

Zoi Sempou

Founder and Principal Consultant, Risk Advis BV

Zoi is a senior risk manager with a varied 19-year career across a range of institutions in several European countries. Her positions include stops at EFG Eurobank (co-ordination of market and counterparty credit risk operations and framework in ten countries’ subsidiaries), Rabobank International (Netherlands), ING (Netherlands), NN Bank (Netherlands), and ABN AMRO, as well as McKinsey & Company and the European Central Bank.

In 2016, Zoi founded Risk Advis BV, offering consultancy services to financial institutions mainly in the areas of market and counterparty credit risk, regulatory reporting, and treasury management. Previously she served in quantitative and coordination roles within risk advisory and reporting, model validation, treasury operations, and middle office departments. Zoi holds a Master's in Financial Mathematics from the University of Warwick and a BSc in Theoretical Mathematics from University of Athens. She recently completed the Executive Fintech program offered by the Said Business School at the University of Oxford.

Dapit Irianto, FRM

Team Leader Risk Management, Sarana Multi Infrastruktur

Dapit is a risk management professional based in Jakarta where he helms the market risk management team of Sarana Multi Infrastruktur (PT. SMI), a state-owned enterprise for Indonesian infrastructure financing activity. In the past he has worked with various local and international banks — including Rabobank and BNP Paribas — as well as the Indonesian Financial Services Authority Otoritas Jasa Keuangan (OJK). At OJK he was senior bank supervisor with market risk management expertise on various subjects, among them IRRBB, SA-CCR, and Basel’s RCAP Exercise.

In addition to his current role, Dapit is a co-founder of Vryska, a startup focusing on delivering cloud-first risk management IT solutions for Basel IV's FRTB regulatory capital implementation. He obtained his bachelor’s in Mathematics from Bandung Institute of Technology and is also a GARP-Certified FRM.

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Details

When

December 15, 2022 6:00 PM - 7:00 PM
Online Meeting
REGISTER NOW

Chapter Directors

Melisa Hendrawati
Chief Financial Officer OY! Indonesia
Indra Tjahaja
Head of Risk Analyst and Modeling in Commonwealth Bank Indonesia

Committee Members

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