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21 June | 10:00 am - 5:00 pm

RITA GNUTTI

HEAD OF INTERNAL MODEL MARKET INTESA SANPAOLO

Rita is “Head of Market and Counterparty Risk Internal Models” in Financial Risk Management Department of Intesasanpaolo, where she has been working for the last 12 years. She is also responsible for Market and Counterparty Risk Architecture and regulatory reporting for Market and Counterparty Risk, as well as the “Market Data Management Team” in charge of scenario generation for internal models. Main achievements in the regulatory area are related to development, use test, and application for approval for regulatory purposes of Internal Models: - Basel 2.5 for the trading book: Stressed VaR. - Internal Model for Specific Risk under Basel 2.5: Spread VaR – IRC. - Internal Model for Counterparty Credit Risk under Basel 3: EPE, PFE, CVA Capital Charge. Rita is also responsible for FRTB implementation program in Intesa Sanpaolo. Prior to entering Risk Management Rita was responsible for projects relating to the trading rooms from the front office point of view and OTC derivatives operations. Rita holds a Degree in Economics at Università Cattolica del Sacro Cuore Milano - Score: 110/110 cum laude. TOPICS: This workshop covers the capital requirement framework for market risk in the trading book in light of the new timeline announced by BCBS in Dec 2017 about international implementation And reporting date for FRTB”. Starting from the features of current regulatory framework, it provides an overview of the most relevant methodological, organizational and implementation challenges from a practitioner point of view, taking into account recent regulatory evolutions. Practical evidence is provided on some of the open topics: non modellable risk factors; changes proposed with BCBS d436 on PL Attribution, calibration of Standardized Approach; implementation guidelines provided with EBA discussion paper of Dec 2017.

TOPICS: 1. Basel 2,5 Capital Charge and TRIM assessment: This module covers the components of current capital requirements and the model validation process to assess the soundness of internal models. It also gives an overview of the horizontal review of internal models (TRIM) which is taking place for institutions supervised by SSM. 2. FRTB General Framework: This module explains the main pillars of FRTB without entering into very technical details: it gives an overview of the changes introduced in the prudential framework and the idea behind them, in terms of prudential boundary and new rules for moving assets from the banking to the trading book, changes in methodology and reporting practice, model validation process, and expected impacts on capital charge based on quantitative exercises. 3. FRTB Internal Model: This module focus on each of the new components of FRTB capital requirements under internal models. It highlights the technicality of “FRTB Expected Shortfall” and compares this risk figure with results relating to the traditional Expected Shortfall for a simple portfolio, to provide some first evidence about capital allocation issues. It also explains the new Default Risk Charge and the differences with respect to current IRC framework, with evidence based on portfolios exercise. It also covers the Non Modellable Risk Factors framework and the challenge of the Model Validation Process under FRTB. 4. FRTB Standarized Approach: This module covers main components of capital requirements under FRTB standardized approach (SA). It explains the Sensitivity Based Approach (SBA), focusing on the “regulatory sensitivities” and relating implementation challenges, and also provides a business case on a simple trading portfolio; it also covers the Default Charge under standardized approach and the Residual Risk AddOns.


PRICE: $25,000.00 Mexican Pesos + Tax (16%)

REQUIREMENTS

Duration: 8 hours (1 Session) Venues: Universidad Panamericana Campus Santa Fe Antonio Dovalí Jaime 75, piso 6, Centro de Ciudad Santa Fe, CDMX.

• Intermediate or higher level of English. • Graduated from an economic and/or administrative career. • Preferably working in Financial Institutions. • Participants should bring a laptop.

PAYMENT METHODS: 1. Bank Transfer in US Dollars (Foreign Institutions) BANK: BBVA Bancomer ACCOUNT NUMBER: 0121 8000 11 0583 0066 SWIFT: BCMRMXMM BRANCH NUMBER: 0956 BENEFICIARY: RiskMathics, S.C. 2. Credit Card: VISA, MASTERCARD or AMERICAN EXPRESS. IMPORTANT NOTICE: There will be no reimbursements.

Registration E-mail: derivatives@riskmathics.com Telephone: +52 (55) 5638 0367 y +52 (55) 5669 4729

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Market and Counterparty Risk 2018 Ing  
Market and Counterparty Risk 2018 Ing