FRTB: What Will Vast Changes to Bank Capital Standards for Market Risk Bring?

Overview

FRTB is a major change in the regulatory landscape for market risk management, triggering structural changes in models, systems, business, and processes for global market activities. It has come a long way since the publication of the first Basel Committee consultative paper 2012 — which was a response to the 2008 global financial crisis — and is now facing its final phase-in from major jurisdictions.

A panel of experts will guide us through this topic and offer key insights and the answers to many questions surrounding the FRTB’s dramatic changes to bank capital standards for market risk including:

How are banks preparing for the FRTB’s imminent implementation?
Have the anticipated changes taken place?
How will this regulation cope with the problems it was intended to address?
What are the challenges ahead?

Agenda

6:30 - 7:00 pm: Registration

7:00 - 7:05 pm: Welcome remarks

7:05 - 8:05 pm: Panel discussion with audience Q&A

8:05 - 8:15 pm: FRM®, SCR®, ERP® recognition ceremony

8:15 - 9:30 pm: Networking reception. Drinks and canapes will be served.

Attendees qualify for 1 GARP CPD credit.

Details

June 7, 2023
6:30 PM - 9:30 PM

In-Person

Société Générale, 17 Cours Valmy Room : Amphitheatre Granite, Paris, 92800 Puteaux

Speakers

Jacques Debes
Regulatory Affairs, BNP Paribas

Fabien Thiery
Deputy Head of Global Risk Methodologies, Société Générale

Aurelien Chaput
Head of Market Risks Control Unit, Société Générale

Jeremie Lyazghi
Director, EY UK Financial Services Risk Management

Chapter Directors

Danielle Winandy
RISK ESG Transformation Manager BNP Paribas

Jesus Sanchez Gonzalez
FRTB Program Director Societe General

Committee Members

Olivier Garbus
Investment Specialist Amundi Asset Management

Olivier VU LIEM
ALM Risks Analyst Liquidity Risk Office Natixis

Remy ESTRAN
Advisor to Risk Dynamics part of McKinsey & Company

Jacques Debes

Jacques Debes is co-head of the Risk Regulatory Affairs team at BNP Paribas. His group monitors regulatory evolutions, contributes to the bank’s position with respect to new draft regulations on own funds requirements, and analyzes, interprets, and provides guidance on prudential rules to the bank’s risk function and business lines. Within the team, Jacques maintains a strong focus on market and counterparty risks. Previously, Jacques had a long career in market risk and own funds requirements models and calculation processes.

Fabien Thiery

Fabien Thiery is deputy head of Global Risk Methodologies at Société Générale. He joined the Risk on Market Activities department in 2001 and has held various positions within this area including production of market risk metrics, projects related to market risk, definition of the market risk framework, definition of reserves and prudent valuations, stress-testing framework, and market and counterparty credit risk internal models.

Jeremie Lyazghi

Jeremie is a Director within the UK Financial Services Risk Management in London, with 15 years’ experience in leading and delivering financial risk remediation and transformation programmes across market risk and counterparty credit risk. He has been working on a number of projects around FRTB.

Chapter Meeting

Paris, France