Agenda

Agenda

Main Program | November 8-9, 2018

Day 1

07:30

Invitation only breakfast briefing                                

Integrating cybersecurity and operational risk to meet regulatory compliance and business challenges
Financial institutions are quickly coming to understand the pervasive nature of global IT and cyber risks and increasing pressure from internal and external stakeholders to effectively prepare for threats and mitigate their impact while meeting data privacy regulatory requirements. In this session you’ll hear from clients and leading practitioners from Promontory on how to best plan and execute comprehensive cybersecurity and IT Risk programs. You’ll also learn how IBM OpenPages is helping clients connect with the first line of defense to collect information, test controls, and measure IT risk through a new streamlined self assessment solution. Attend this session to learn how to:

  • Identify and manage the latest threats and vulnerabilities
  • Integrate IT risk as part of a comprehensive GRC strategy
  • Understand IT risks in the context of the business

Speakers:  
Judith Pinto, Managing Director, Promontory Financial Group
 

08:00

Registration and continental breakfast

08:50

Welcome remarks and industry overview

Duncan Wood, Editor-in-Chief, RISK.NET

09:00

Keynote address: The future of risk management – challenges and opportunities created by a rapidly changing environment

  • How will changes in technology affect our approach to Risk Management (e.g., process automation, AI, cyber-security)?

  • How will our business model evolve within the framework of heightened standards?

  • Why a principles-based approach is superior to a rules-based approach to managing risk?

  • Reputation risk in the age of social media

Malcolm D. Griggs, Executive Vice President, Chief Risk Officer, CITIZENS BANK

Suggested Reads:
Strategic Technology Risk by Pat McConnell
Cyber Risk by Michael Woodson
Conduct Risk by Peter Haines
Risk Culture and Effective Risk Governance by Pat Jackson
Key Risk Indicators by Anne Rodriguez and Viney Chadha

09:40

All-star panel: Life after LIBOR: update on efforts to develop alternative benchmark and implications for market participants

  • The next steps for IBOR benchmarks and its global implications

  • Implications for existing Libor referenced contracts that will need to find alternative or a proxy by 2021 when it will be no longer mandatory to report

  • Challenges involved with the transition of financial market contracts from interbank rates to risk-free rates

  • How is this likely to transition given the volumes?

  • What are the challenges to transition and what is the industry doing to support benchmark transition planning efforts?

Blake Gwinn, ARRC Member and Vice President, Rates Strategy, RBS NATWEST US

Matthew McCormick, ARRC Member and Research Economist, OFFICE OF FINANCIAL RESEARCH

Peter Phelan, ARRC Member and ‎Deputy Assistant Secretary for Capital Markets, US TREASURY

Further speakers to be confirmed

10:20

Plenary: Demystifying artificial intelligence in risk and compliance

  • Definitions and best practices

  • How to accelerate the implementation of AI

  • Statistical methods and AI processes

Presented by IBM

11:00

Morning break and knowledge café

Grab a coffee and join a table of your choice in the exhibition area to share ideas and network with fellow industry professionals.

  1. Global macro risks led by Hilmar Schaumann, Head of Risk Management for Global Rates, G10 FX, Global Financing and Futures, and Commodities, BANK OF AMERICA MERRILL LYNCH

  2. Where are we in the credit cycle and what are the risk management implications? Led by Rodney Sunada-Wong, Chief Risk Officer, U.S. Institutional Broker-Dealer, U.S. and Mexican Derivatives Swaps Dealers, Market, Credit, Operational and Liquidity risk, MORGAN STANLEY

  3. SOFR implementation led by Jeffrey O. Himstreet, Vice President, PGIM Fixed Income Law, PRUDENTIAL

  4. Stress testing and capital management: market and credit risk Led by Shahed Shafi, Senior Market Risk Group Manager, Director, Counterparty Portfolio Optimization, CITIGROUP

Suggested Reads:
Stress Testing: Approaches, Methods and Applications edited By Akhtar Siddique and Iftekhar Hasan
Firm-wide Stress Testing and Economic Capital by Ahraz Sheikh

Stream 1: Market Risk

11:40

Panel: How are banks preparing for changes to FRTB?

  • What do we think regulators are planning to do and their timelines?

  • Are we expecting a complete removal?

  • Are banks preparing for complete push out of the rule?

  • What are the potential risks should implementation go according to plan?

  • How are banks viewing the future of FRTB?

Ryan Ferguson, Managing Director, XVA Desk, SCOTIABANK
Guowei Zhang, Capital Policy Risk Expert, OCC

Further speakers to be confirmed

Interactive panel discussion with digital Q&A

Suggested Read:
The FRTB: Concepts, Implications and Implementation by Sanjay Sharma & John Beckwith

12:20

Margin valuation adjustment: future initial margin for client trades and dynamic hedges

 

Andrew McClelland, Director, Quantitative Research, NUMERIX 

Suggested Reads:
The FRTB Concepts, Implications and Implementation by Sanjay Sharma and John Beckwith
Landmarks in XVA edited by Chris Kenyon and Andrew Green

Stream 2: Credit Risk

11:40

Credit modeling in the age of FinTech and AI

  • Machine learning from your Chief Credit Officer
  • Intertwining first and second lines without blurring them
  • Processing the model of a continuous modeling process
  • CCAR, FP&A, CECL, and the elusive single source of truth

Viktor Ziskin, Co-Head, BEACON  

12:20

Panel: What have we learnt from the CECL practice run ahead of the 2020 go live deadline

  • The ‘why’s and how’s’ for understanding and making CECL work

  • What different credit models are banks in the process of implementing?

  • Are there linkages between CCAR models with CECL credit loss forecast?

  • The potential risks should the implementation not go according to plan

Moderator: Hakan Danis, Director of Stress Testing, UNION BANK

Jonathan G. Harris, VP, Manager Non-Retail Credit Risk Analytics, TD BANK

Katie Hysenbegasi, Managing Director, Quantitative Risk Management, BNY MELLON

Joel Toms, Managing Director, BLACKROCK  

Suggested Read:
The New Impairment Model Under IFRS 9 and CECL by Jing Zhang

Stream 3: Risk management for asset managers

11:40

Panel: SEC liquidity reporting rules implementation and different liquidity definitions

Item details

  • What is your definition of liquidity?

  • Different regulatory jurisdictions and liquidity interpretations

  • How is the buy side looking to implement the new liquidity rules?

  • How do you manage the portfolio level liquidity?

  • How to effectively allocate budget to meet this regulatory requirement?

Moderator: Pietro Toscano, Head of Multi-Asset and Alternatives Risk, OPPENHEIMERFUNDS 

Ross Cuddeback, Head of Investment Risk, Americas, DWS GROUP

Michelle McCarthy Beck, Chief Risk Officer, NUVEEN INVESTMENTS

Mark McKeon, Head of Investment Analytic, STATESTREET GLOBAL EXCHANGE  

Ken Winston, Chief Risk Officer, WESTERN ASSET MANAGEMENT

12:20

Panel: How can asset managers better define risk appetite

  • ERM stress testing concepts at banks that would be relevant to buy side

  • Capital allocation concepts that the buy side should consider adopting

  • What should be measured and how is it measured when allocating capital at an enterprise level?

Fabrice Fiol, Managing Director, US Enterprise Risk Management (ERM) Deputy Head, SOCIETE GENERALE

Julie Sherratt, Managing Director, Risk Management, TD ASSET MANAGEMENT

Further speakers to be confirmed

Interactive panel discussion with digital Q&A

Stream 4: Balance sheet and capital management

11:40

Measuring and managing interest rate risk

  • Economic updated on IRRBB strategies for 2019

  • Banking trends impacting IRRBB

  • IRRBB modeling

Speakers to be confirmed

Suggested Read:
Interest Rate Risk in the Banking Book by Paul Newson

12:20

Managing interest rate risk and implications for asset managers

  • Changing structure of the interest rate market

  • Impact on bank balance sheets

  • Risks and opportunities for active managers

Dmitry Green, Managing Director, Chief Risk Officer, MARINER INVESTMENT GROUP

Suggested Read:
The Handbook of ALM in Banking edited By Andreas Bohn and Marije Elkenbracht-Huizing

1:00

Sit down lunch and networking

1:15pm Lunchtime interactive roundtables:

  1. ERM: Building bridges between front office traders, risk managers and quants led by Ken Abbott, former Chief Risk Officer for the Americas, BARCLAYS and Professor at BARUCH

     

  2. ALM in current credit cycle and interest rate environment led by Rodney Sunada-Wong, Chief Risk Officer, U.S. Institutional Broker-Dealer, U.S. and Mexican Derivatives Swaps Dealers, Market, Credit, Operational and Liquidity risk, MORGAN STANLEY

     

  3. Translating technology to business risk – how IT and risk can work together to improve the IT risk at the organization led by Apollo Wong, Chief Risk Officer, VERITION

     

  4. Tone at the top - a strong governance framework led by Leon Xin, Head of Risk and Portfolio Construction and Hedge Fund Strategist for the CIO team of the Endowments and Foundations Group, JP MORGAN ASSET MANAGEMENT

     

  5. Stress testing led by Robert Linklater, Head of Stress Testing and Capital Analytics, TD BANK

     

  6. Connect the power of collaboration through data driven insights led by Lin Lu, Head of Operational Risk, FREDDIE MAC

     

  7. Data privacy rules in the US and globally - lessons learned in the trenches led by Patrice Brusko, Head, US Office of the Chief Data Officer and Privacy, TD BANK

     

Stream 1: Market Risk

2:15

Market challenges of SOFR implementation

  • Key differences between SOFR and IBOR

     

  • How will the buy side be affected?

     

  • Operational and market risks to overcome

     

  • What progress is being made to replace Libor in Europe and what still needs to be done?

     

Speaker to be confirmed

2:55

Interactive session: war games scenarios, best practice and implementation exercise  

 

In this scenario, workshop participants are introduced to different market risk scenarios that is still unfolding and asked to consider the immediate steps they would advise their firm to take based on the information available at each stage.

 

  1. New Libor benchmark   tbc

  2. FRTB changes led by tbc

  3. Global macro risks led by Hilmar Schaumann, Head of Risk Management for Global Rates, G10 FX, Global Financing and Futures, and Commodities, BANK OF AMERICA MERRILL LYNCH

Stream 2: Credit Risk

2:15

Panel: How to derive value and allocate risk capital profitably with conservative credit models?

  • Business impact of Basel III changes and Basel IV rules on capital

  • How to operate and implement profitable measures in allocation of risk capital?

  • How do you move capital and recalculate losses more effectively?

  • How to avoid drawdowns on capital with running both CECL and CCAR models

Raphael Ereyi, Senior Vice President, Regulatory Interpretations Team, WELLS FARGO

Joseph Hwang, Managing Director, Regulatory Policy, GOLDMAN SACHS

Further speaker to be confirmed

Suggested Reads:
The New Impairment Model Under IFRS 9 and CECL by Jing Zhang
CCAR and Beyond - Capital Assessment, Stress Testing and Applications edited By Jing Zhang

2:55

Panel: Where are we in the credit cycle and what does this mean for credit risk managers?

  • Yield curve exposure and potential recession on the horizon

  • What will be the advent of a credit cycle destabilization?

  • Credit spreads are tight and there is no more room for them to go down – how quickly will they rise and will they drift or hike?

  • Projecting CECL losses forecast to determine the next credit cycle and its severity

  • What do the Credit Risk Indicators tell us?

Joseph Ceonzo, Head of Enterprise Risk Management, LAZARD

Hakan Danis, Director of Stress Testing, UNION BANK

Carsten Heiliger, Head of Risk Research, SUNTRUST

Further speakers to be confirmed  

Stream 3: Risk management for asset managers

2:15

Factor timing – do managers have skill in timing factors?

  • How can we measure factor timing in manager returns?

  • Has factor timing added value?

  • What types of strategies were the most successful in factor timing?

  • How do we determine which managers have skill?

Andrew Chin, Chief Risk Officer and Head of Quantitative Research, ALLIANCEBERNSTEIN

2:55

Panel: Risk management and modelling for illiquid assets

  • More frequent and automated execution (monthly/quarterly/quick production cycle vs DFAST/CCAR twice a year/long production cycle)

  • Larger datasets requirements/languages/resources

  • More controlled/audited ALLL process vs CCAR (feeding directly into reported financials)

Moderator: Leon Xin, Head of Risk and Portfolio Construction and Hedge Fund Strategist for the CIO team of the Endowments and Foundations Group, JP MORGAN ASSET MANAGEMENT

Jian Zhang, Principal, ADAMS STREET PARTNERS

Amy Wierenga, Partner, Chief Risk Officer, BLUE MOUNTAIN CAPITAL MANAGEMENT

Further speakers to be confirmed

Interactive panel discussion with digital Q&A

Suggested Read:
Liquidity Modelling By Robert Fiedler

Stream 4: Balance sheet and capital management

2:15

New risk stress buffer and capital changes

  • Changes to the LCR requirement

  • Revisions to the Basel capital

  • Volcker rule changes

  • GSIB methodology

  • Fed’s new stress regime scoring

Donna Howes, Lecturer, UCONN and former Chief Risk Officer, SANTANDER US

2:55

Efficient platform to model balance sheet including ALM and credit (CECL)

  • More frequent and automated execution (monthly/quarterly/quick production cycle vs DFAST/CCAR twice a year/long production cycle)

  • Larger datasets requirements/languages/resources

  • More controlled/audited ALLL process vs CCAR (feeding directly into reported financials)

Joel Toms, Managing Director, BLACKROCK

3:35

Afternoon coffee break and networking

4:00

Plenary: Public policy, the US political environment and its impact on financial markets

  • Analysis of the mid-terms – how will the results affect US and global markets

  • Broad policy factors that will have an impact on banks and financial markets

  • Are banks becoming more socially conscious?

  • Are we currently expected to be bigger risk takers in current economy?

  • Are we seeing more of a regulatory relaxation?

Karen Petrou, Managing Partner, FEDERAL FINANCIAL ANALYTICS

4:40

Panel: A decade after Lehman’s collapse – have we done enough to avert another crisis?

  • How do you keep the experiences and data of the 2008 crisis in your models?

  • Current and near-future key trends that will supercharge risk department

  • Other issues on the horizon that are perceived to affect market liquidity

  • What should be CRO’s priorities for the next decade?

Allan Malz, former CRO and Fed official and now Adjunct Associate Professor, COLUMBIA UNIVERSITY
Marcelo Cruz, former Lehman Brothers employee in 2008, former CRO and industry veteran now a founder of YACAMY ADVISORS
Christopher R. Perkins, former Lehman Brothers employee in 2008 and now Managing Director, Global Head of OTC Clearing, CITI

Further speakers to be confirmed

5:20

Chairman closing remarks

Duncan Wood, Editor-in-Chief, RISK.NET

5:30

Drinks reception

Day 2

08:00

Registration and continental breakfast

08:50

Chairman opening remarks

Duncan Wood, Editor-in-Chief, RISK.NET

09:00

Keynote: The role of new technology in risk management

to be confirmed

Suggested Read:
FinTech: Growth and Deregulation edited by Diane Maurice, Jack Freund and David Fairman

09:40

Keynote:

Darrel Yawitch, Chief Risk Officer, MAN GROUP

10:20

Morning break and knowledge café

Grab a coffee and join a table of your choice in the exhibition area to share ideas and network with fellow industry professionals.

  1. Engaging with the board to drive senior level buy-in

  2. How can CROs measure risk culture?

  3. Identify macro risk factors in active strategies

  4. Model validation led by Shannon Kelly, Director, Model Validation, ZIONS BANKCORP

Stream 1: FinTech applications for improved risk management

10:50

Bank case study: Cognitive process automation for risk approval process

  • AI, machine learning and random forests for negative news screening

  • How did we choose which innovative idea and technology would work for this firm and how did we validate it?

  • How did we go about embedding the technology and its complexities, scale and made sure bank operates effectively?

Lourenco Miranda, Managing Director, Risk Innovation Lead, SOCIETE GENERALE CIB

11:30

Case study: FinTech for a risk manager at a buy side firm

  • Expectations vs reality and pros vs cons for going with FinTech innovations

  • How to balance innovation with risk?

  • Lessons learnt and impact on the business

  • Choosing and nurturing FinTech talent

  • Is buy side ready for FinTech?

Suggested Read:
FinTech: Growth and Deregulation edited by Diane Maurice, Jack Freund and David Fairman

12:10

Interactive session on FinTech application to risk department

In an informal setting delegates can join any of the three fintech roundtables led by a fintech risk manager and discuss their risk incubator projects and application in the business. Speakers will open with 20min presentation followed by informal Q&A.

Stream 2: Machine learning and data analytics in risk management

10:50

Panel: Effective model risk validation with machine learning

  • Is it safe to use machine learning for model risk?

  • How can machine learning save costs on model risk validation?

  • What are the limitations of machine learning?

  • What model risk tasks should be done in house and which should/could be outsourced and which can you automate?

  • Do we need to validate even the simplest tasks?

Bin Duan, SVP, US Head of Model Risk Execution, TD BANK
Bernhard Hientzsch, Managing Director, ‎Head of Model, Library and Tools Development, WELLS FARGO
Stephen Hsu, SVP, Head of Model Risk Management, PACIFIC WEST BANK
Julia Litvinova, Managing Director, Head of Model Validation and Analytics, STATESTREET

Interactive panel discussion with digital Q&A

11:30

Panel: Data science and risk mitigation techniques

  • Can customer personalization of services be perceived as invasion of data privacy laws?

  • How can we use data science for real time cyber threat detection and prevention?

  • What kind of potential risks does data science have and how to we protect the business against those?

  • Can cognitive computing shrink the haystack to identify insider threat and fraud in real time?

Zachary Hanif, Head of Security Machine Learning, CAPITAL ONE
Joshua Kotok, Chief Risk and Compliance Officer, FIRST SAVINGS BANK
Gordon G Liu, EVP US Head of Global Risk Analytics, HSBC

Further speakers to be confirmed

12:10

Panel: Aligning your risk management and data analytics functions

  • How to process data, interpret it intelligently and put it to good use?

  • How do you align strategy to optimize risk?

  • How do you put data into context for risk managers?

  • Adoption of predictive models

Didier Blanchard, Managing Director, Head of Enterprise Risk Management for the Americas, SOCIETE GENERALE
Steven Boras, EVP, Head of Risk Architecture, CITIZENS BANK
Douglas Croker, Head of Model Development, REGIONS BANK
Azlina Wetmore, Head of Commercial Credit Policy and Innovation, CAPITAL ONE

Stream 3: Insurance risk

10:50

Portfolio optimization under economic and regulatory capital constraints

Vinaya Sharma, Actuary and Managing Director, QRM

11:30

11:20 CRO panel: Risk transfer solutions to enable the insurance business

  • New insurance products and innovations

  • Effective solutions to overcome typical business hurdles

  • How to enable transactions and investments while mitigating downside capital impact associated with business decisions

Moderator: Vinaya Sharma, Actuary and Managing Director, QRM

Imir Arifi, Head of Artificial Intelligence and Machine Learning, HCSC

Aymeric Kalife, Head of Savings, AXA GROUP RISK MANAGEMENT

Further speakers to be confirmed

Interactive panel discussion with digital q/a

12:10

Panel: Methods to reduce the cyber security vulnerabilities in insurance

  • Most common causes of a potential breach

  • Phishing, spoofing and ransomware – what do we need to know?

  • Who and what causes the biggest threat?

Imir Arifi, Head of Artificial Intelligence and Machine Learning, BLUE CROSS BLUE SHIELD

Lori Evangel, Chief Risk Officer, GENWORTH

Further speakers to be confirmed

Suggested Read:
Cyber Risk edited by Michael Woodson

Stream 4: Funding and liquidity

10:50

Panel: Enhanced prudential standards and the new liquidity review process

  • Latest guidance from the regulator on the review process

  • Who is responsible for the review, is it the second line risk or third line audit? Should it be proposed by the treasury and reviewed by second line?

  • Should there be another risk group created for this process?

  • What does this mean for stress testing assumptions?

Alexander Craig, Managing Director, Head of US Liquidity and SIRR Oversight, RBC
Steven Hageman, Senior Treasury and Risk Management Executive, SOCIETE GENERALE
Bill Kugler, Chief Market and Liquidity Risk Officer, CAPITAL ONE

Further speakers to be confirmed

Interactive panel discussion with digital Q&A

11:30

Effective early warning indicators and framework limits in liquidity risk

  • What is the difference between early warning indicators and limits?

  • Governance and escalation process

  • Who is actually monitoring the limits and escalation process?

  • Who is overlooking the remediation process when breached?

Christian Pichlmeier, Head of Liquidity Risk, MUFG UNION BANK

12:10

Liquidity risk management framework and machine learning application

Stefano Pasquali, Managing Director, Head of Liquidity Research, BLACKROCK

12:40

Sit down lunch and networking

1:40

Tech visionaries panel: Debating the next generation of data science for decision makers

  • The next big steps for AI in the business world

  • Five ways AI will change the future of work and client interface

  • Global wave of automation and skills needed to drive the AI business across different sectors lines

  • How firms are developing the AI strategies?

  • What does the future hold for Chief Data Scientist role?

  • How can we improve the collaboration between humans and machines to improve customer experience, grow revenue and create jobs?

  • Is finance AI ready?

  • How do you foster trust in the data science process and its results?

Tech visionaries panel: Debating the next generation of data science for decision makers

  • The next big steps for AI in the business world
  • Five ways AI will change the future of work and client interface
  • Global wave of automation and skills needed to drive the AI business across different sectors lines
  • How firms are developing the AI strategies?
  • What does the future hold for Chief Data Scientist role?
  • How can we improve the collaboration between humans and machines to improve customer experience, grow revenue and create jobs?
  • Is finance AI ready?
  • How do you foster trust in the data science process and its results?

Abhijit Akerkar, Head of Applied Sciences - Business Integration, Group Digital and Transformation, LLOYDS BANKING GROUP

Ashish Dev, Principal Economist Quantitative Risk Management, FEDERAL RESERVE BOARD

Sears Merritt, Vice President and Chief Data Scientist, Head of Data Science, Data Engineering, Advanced Analytics, MASSMUTUAL

Further speakers to be confirmed

Each panelist will have 5min to highlight their views followed by 30min q/a with the audience.

2:20

Panel: How can a risk manager unleash the potential of FinTech

Fireside chat with the panel of speakers who have successfully implemented FinTech in their institution. Each panelist will have 5min to highlight their experience followed by 30min q/a with the audience.

  • How long before we see blockchain implementation

  • Examples of how risk managers are using technology and with what success?

  • Banks own internal projects in technological applications to risk management

  • Challenges to a successful implementation of cutting edge technology in risk department

  • How are risk managers managing automation and new trading volumes?

  • Articulating FinTech value proposition

Johannes van de Wetering, Head of Quantitative Risk, Capital Markets Risk Management, CIBC

Lin Lu, Head of Operational Risk, FREDDIE MAC

Jonathan Vickery, Managing Director, Head of Product and Strategy, Strategy for BBH’s Fintech organization, BBH

Further speakers to be confirmed

3:00

Closing remarks and key takeaways summary

Duncan Wood, Editor-in-Chief, RISK.NET

3:10

Drinks and end of conference