FRTB Programme

Workshop 1: FRTB

Albert Chung

Head of Market Risk Analytics, Asia

Standard Chartered Bank

Albert Chung is the Regional Head of Market Risk Analytics team in Standard Chartered, based in Singapore. He is responsible for market risk measurement methodologies (including VaR/ES, RniV, Economic Capital), governance of market risk models and FRTB model development. Albert has 10 years of experience in market risk management and modelling across Asia. He has a PhD and Bachelor (1st honours) in Engineering from the University of New South Wales, Australia.

James Sehgal

Principal Consultant

Invicta PTE LTD

Invicta PTE LTD Principal Consultant and Kynec, Director

Varun James Sehgal has a diverse experience over 22 years across 3 continents (North America, Europe and Asia Pacific) in front office Markets Trading / Portfolio Management of XVA (CVA/DVA, FVA, WWR, Differential Discounting, Capital Optimisation etc), Funding, Collateral Optimisation, and Front Office Market Risk Oversight and more recently Clearing and Margin reforms.  He has been a practitioner of XVA since 2005 and formerly was Asia Pacific Head of XVA at a global bank based in Singapore.

As an ex-practitioner of XVA he has hands on experience in structuring of Derivatives, Regulations (Basel III, CRDIV, Capital Optimisation, and Funding / Differential Discounting), Risk Policy, Control and Governance. He has advised on projects associated to XVA, BCBS-IOSCO / SIMM regulation Margin Requirement for Non-Centrally Cleared Derivatives, FRTB (i.e. CVA-Capital) and IFRS9.
He co-authored a handbook section on Counterparty risk and XVA/ Capital for PRMIA (Professional Risk Managers’ International Association). He has chaired and presented at various industry conferences on CVA/XVA/Capital within Asia Pacific (Bloomberg, RiskMinds, Risk, Marcus Evans etc) and London, UK.
At present he is Principal Consultant of Financial Markets at Invicta PTE LTD, which is based in Singapore He is also Director of Kynec Ltd. which is focused on both CCP Direct Clearing of OTC Derivatives, Client Clearing and Margin Consolidation, which is based in London, U.K.


Vishal Kapoor

Executive director, functional audit head for risk and group finance

DBS Bank

Vishal Kapoor has 23 years’ experience in strategic planning, risk management, and capital planning advisory. He is currently heading the audit teams for Risk and Finance in DBS at the Group level. He has spent time in auditing, banking and consulting. His projects include reviewing ICAAP/ liquidity risk for 3 consecutive years for a major Singapore-based bank, and reporting the results to the board and the regulator. He addressed stress testing issues at an enterprise-wide level, set risk governance for banks in China and Singapore, conducted programme reviews for Basel II and provided over 700 hours ICAAP/ Basel III/ liquidity training to senior management and the board of various banks. Previously, he held key positions with JP Morgan, Standard Chartered, Deutsche Bank, and Credit Suisse.  He holds an MBA from Chicago Booth School of Business and is a Chartered Accountant.

Tim Clarsen

Head of Risk Management Business Solutions


Tim Clarsen is based in Sydney Australia and has been responsible for market and credit risk solutions across APAC for Murex for the past 4 years.

He has over 20 years’ experience in risk management across many countries, including four years in Norway as a risk manager for Statkraft Energi, and 15 years working for Thomson Reuters Risk Management division in Singapore, Paris, New York and London.

He has a deep working knowledge of the challenges of designing and implementing risk management systems and

the critical aspects of successful Risk IT projects and architectures.

Dr Chern Lu

Distinguished Professor of Harvard University BPSY; Chief Economist

Mushroom Artificial Intelligence MUA

Applied Math Ph.D of Courant Institute of Mathematical Sciences,CFA,FRM,PRM; , former Head of  Market  Risk, Asset Liability Management, Interest Rate Risk, Counter-party Credit Risk Management for PwC, Deloitte HK; Conducted Market Risk Management, Liquidity Risk Management Training for the State Bank of Southeast Asia Sponsored by Germany GIZ and World Bank for 2 Years.

Visiting MBA professor of Harvard Business Psychology(BPSY), EMBA Professor of Shanghai Advanced Institute of Finance, SAIF; Adjunct Professor of the University of Hong Kong , SPACE ICB;Executive Director of Risk Management Research Centre, Asian Institute of Investors;Visiting Honorary Fellow of MF Tsinghua University & Macquarie University.

Led PA Pioneer Capital to become one of the first 9 Chinese Alternative Investment firms.

Led PA Pioneer Capital to win 4th place in 2015 PE Star Contest with a mananged AUM 11 billions.

Take the Leadership in Risk Management Due Diligence Work for China’s COFCO to pay $1.5 billion for stake in Noble's Agriculture Business.

Lead the Basel II Risk Management Project for one of the largest Southeast Asian Banks, Won the Prestigious Asia Risk Consultant of the Year 2013 Award of Asian Risk Magazine.

As One of 3 Invited Overseas Trading Risk Management Experts to Sit on the Advisory Committee for guiding EVERBRIGHT Securities on its Shocking ETF Arb Trading Error Incident.

Kok Wah Lok

Head of Market Risk Client Services, APAC


Kok Wah LOK (駱國)is the Head of Market Risk Client Services, APAC (Asia Pacific) and based in Murex Singapore. He is responsible for Market Risk related client advisories and project deliveries across APAC for Murex business solutions such as VaR, FRTB and Initial Margin Models.

Since joining Murex in 2004, he has led and advised numerous successful Murex risk implementations in the APAC region, shaping the trading risk infrastructure and risk practices of our clients. In additional, he collaborates closely with the product development team to drive the evolution of the MX.III Market Risk Engine to address our clients’ market risk needs.

Kok Wah is a graduate of the National University of Singapore and a CFA charter holder.

FRTB Programme

**This programme is recognised under the Financial Training Scheme (FTS) and is eligible for FTS claims subject to all eligibility criteria being met.

Day One - September 12




FRTB Implementation: Where are we now?

  • Status of FRTB implementation
  • Interpretation of the rules
  • Local regulatory implementation: APRA, MAS and HKMA consultations
  • Typical challenges and solutions for implementation of FRTB
  • Dealing with uncertainty
  • Preparing for the approval process

Tim Clarsen, Risk Management Specialist, Murex


Morning coffee break 


Revised Standardised Approach (SA)

  • The capital calculation framework of FRTB
  • The components of the Standardised Approach (SA)
  • The Sensitivities Based Approach
  • Key considerations for banks who applying SA
  • Business, process and data implications of SA implementation
  • The eligibility and application of Simplified Alternative to SA

Dr Chern Lu, Distinguished Professor of Harvard University BPSY & Chief Economist, Mushroom Artificial Intelligence MUA




Revised Internal Model Approach (IMA)

  • Transition from VaR to expected shortfall
  • The pitfalls of diverging liquidity horizons, and how to deal with them
  • Stressed calibration and its data requirements
  • Computational challenges of FRTB
  • Examining the barriers to entry for the internal models approach
  • Impact of the standardised floor on the economics of internal models

Kok Wah LOK, Head of Market Risk Client Services, APAC, Murex


Afternoon coffee break 


Modellable & Non-modellable risk factors

  • Capital impact of non-modellable risk factors
  • Risk factors under FRTB
  • Modellability criteria and the changes in FRTB 2019
  • Use of proxies
  • Use of vendor data
  • Trade-offs in risk factor modellability

Dr Chern Lu, Distinguished Professor of Harvard University BPSY & Chief Economist, Mushroom Artificial Intelligence MUA


End of Day One

Day Two - September 13




Overview of Modellable & Non-modellable and Market Risk Internal Model & FX Case Study

  • Internal model approach for market risk
  • Risk factor analysis
  • Impact of non-modellable data
  • Trading desk level modelling

James Sehgal, Principal Consultant & Executive Board Member, INVICTA PTE LTD


Default risk charge (DRC)

  • Credit Risk under FRTB: DRC-SA, DRC-IMA and the CVA risk framework
  • DRC vs incremental risk charge
  • Key modelling choices in IMA DRC 
  • ​​​​​​​FRTB-CVA

James Sehgal, Principal Consultant & Executive Board Member, INVICTA PTE LTD


Morning coffee break 


P&L Attribution Test and Desk Strategy

  • IMA Permission under FRTB: The bank-wide, desk level and risk factor level
  • Hypothetical and risk-theoretical P&L: The P&L attribution test
  • The nasty properties of the P&L attribution test
  • The trade-off between P&L attribution test and NMRF regime
  • Desk strategy: The trade-offs you need to assess for your business
  • Impact on trading and hedging strategies
  • Dynamics of capital requirements under FRTB: Estimating the impact of P&L attribution and NMRF

Albert Chung, Head, Market Risk Analytics Asia, Standard Chartered Bank




The Trading Book/ Banking Book Boundary

  • Definitions of the trading book under FRTB
  • Interactions between FRTB and IFRS 9
  • Internal risk transfers – practical challenges
  • Impact on funding transactions

Vishal Kapoor, Executive Director, Functional Audit Head for Risk and Group Finance, DBS Bank


Afternoon coffee break 


Operating Model, Data Management and System Challenges

  • Impact of FRTB on processes and operating model
  • Analytics and data integration requirements of FRTB
  • The value of transaction data: Capturing modellability information
  • Static data impact of FRTB
  • Use of data vendors, market utilities and outsourcing/ Computational Resources

Vishal Kapoor, Executive Director, Functional Audit Head for Risk and Group Finance, DBS Bank


End of Day Two