Page 9 - MONECO Financial Training Catalogue
P. 9

THE BASEL CONSOLIDATED FRAMEWORK




          TUESDAY, JUNE 30
                         Capital requirements for   •  Standardised approach
                         market risk             •  Simplifi ed standardised approach
              00
            09 –12 15                            •  Internal models                Deep dive into forthcoming revised
                                                 •  Model validation (Backtesting and   market risk standards (FRTB)
                                                   P&L Attribution)
                                                 •  Computing capita
              15
            12 –13 15    Lunch
                         Capital requirements for   •  BIA
                         operational risk        •  Standardised Approach
                         Leverage ratio                                            BCBS web based
              15
            13 –17 00    Liquidity coverage ratio                                  Deep dive
                         Net stable funding
                         requirements                                              Deep dive
                         Large exposures         Introduction                      BCBS web based
          WEDNESDAY, JULY 1
                         Margin requirements for                                   Deep dive
                         non-centrally cleared
                         derivatives
              00
            09 –12 15    The Supervisory Review   •  Pillar 2
                         Process                 •  Four principles                Deep dive into interest rate risk in
                                                 •  Risk management                the banking book (IRRBB)
                                                 •  Interest rate risk in the banking book
              15
            12 –13 15    Lunch
                         Disclosure requirements  Walk through requirements        BCBS web based
                         Core principles for effective
                         banking supervision     Introduction to principles        Summary and/or BCBS web based
                                                    Implementation of the Basel Framework
              15
            13 –17 00
                                                 •  Regulatory Consistency Assessment
                                                   Programme (RCAP)
                                                 •  Semi-annual reports on members’
                                                   progress in implementing Basel
                                                   standards


            Lecturer: Gary Dunn

            Started out life as a statistician at the Bank of England in 1977 and after a 16-year career
            there ended up as a senior manager within UK foreign currency reserve management
            with responsibility for interest rate risk strategy and liquidity management. To aid liquidity
            management Gary created an internal market for funding between fi xed income portfolio
            managers and the FX desks.
            Gary ventured into the private sector where he spent a further10 years as a proprietary
            trader.
            Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory
            market risk models (CAD models including VaR and IRC). Whilst at FSA Gary conducted
            a thematic review of the management of interest rate risk in the banking book (IRRBB) across London based banks.
            He also attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk
            regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal
            working papers on VaR, ES and other spectral risk measures which contributed to a review of the academic literature
            on market risk measures, the fi rst in a long series of FRTB papers from BCBS and industry.
            From 2010, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators
            covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the banking
            book), as well as working on internal projects such as stress testing, IRC development, regulatory interactions and
            CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD role at Morgan Stanley
            where he was head of risk analytics for the EMEA region.
            Now Gary works as a private consultant and trainer.

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