Volcker Rule: Current View of Potential Implications

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Recommended that you register at least two weeks in advance.

Course Features

  • Course date:10/04/2019
  • Course Duration: 1 Day
  • Level: Intermediate
  • Prerequisites: None
  • Method: Live & Virtual
  • Venue: MicroTek
  • Time: 9:00 am – 5:00 pm
  • Dress Code: Business Casual

Volcker Rule: Current View of Potential Implications

Many market participants have breathed a sigh of relief that the Volcker Rule has been released. Pundits will move on to other topics. The real work, however, now begins for bank examiners, financial regulators, and a wide array of financial, legal, and IT professionals at banks.  Global banks and foreign bank operations, in particular, will also have to contend with regulations coming from multiple jurisdictions. This interactive course focuses on key challenges facing banks in analyzing the potential impact of the Volcker Rule on their operations and how supervisors will have to adapt to supervise and enforce the rule.

Learning Objectives

At the end of this class, participants will be able to:

  • Enumerate and analyze components of the Volcker Rule
  • Define metrics relevant to Volcker Rule compliance
  • Discussion calculation of relevant metrics
  • Analyze impact of the new rule on reporting requirements
  • Compare and contrast issues that will arrive for Globally Systemically Important Banks (GSIBs) and Foreign Bank Organizations (FBOs)

Module I:  Banks’ Impacted Business Lines and Products

  • Enumerate the areas of banks being impacted by the Volcker Rule
  • Discuss which products and investments are likely to change due to the new rule

Module II:  Required Metrics

  • Discuss metrics banks will have to maintain: how they are defined and calculated
    • Value-at-Risk and Stress VaR;
    • VaR Exceedance;
    • Risk Factor Sensitivities;
    • Risk and Position Limits;
    • Comprehensive Profit and Loss;
    • Portfolio Profit and Loss;
    • Fee Income and Expense;
    • Spread Profit and Loss;
    • Comprehensive Profit and Loss Attribution;
    • Pay-to-Receive Spread Ratio;
    • Unprofitable Trading Days Based on Comprehensive Profit and Loss and Unprofitable Trading Days Based on Portfolio Profit and Loss;
    • Skewness of Portfolio Profit and Loss and Kurtosis of Portfolio Profit and Loss;
    • Volatility of Comprehensive Profit and Loss and Volatility of Portfolio Profit and Loss;
    • Comprehensive Profit and Loss to Volatility Ratio and Portfolio Profit and Loss to Volatility Ratio;
    • Inventory Risk Turnover;
    • Inventory Aging; and
    • Customer-facing Trade Ratio;

Module III: Preparing for the Volcker Rule

  • Identify how banks are changing their business strategies
  • Enumerate how banks will have to prepare to meet Volcker Rule underwriting and market making exemptions
  • Discuss changes to compliance and auditing requirements at banks
  • Identify elements that will have to be included in updated compliance manuals
  • Evaluate how banks’ data collection and monitoring requirements will have to change
  • Analyze ways banks will have to prepare to change and document hedging strategies to be in Volcker Rule compliance

Case Study

Module IV: Role of Supervisors and Examiners

  • Discuss the role of the different regulators in enforcing and monitoring Volcker Rule compliance
  • Enumerate challenges regulators will have with banks’ Dodd-Frank implementation

Mayra’s latest article on Volcker Rule:

The Volcker Rule Should Be Strengthened For Big Banks And Made Transparent


  • Mayra Rodríguez Valladares is Managing Principal of MRV Associates.  She specializes in training and consulting solutions for Basel III, Dodd-Frank, risk management, financial derivatives, capital markets, foreign exchange, and corporate finance.  She has worked with private sector and foreign central banks in the US, UK, Latin America Eastern Europe, Central and Southeast Asia, and Africa, …
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