Agenda

Agenda

Main program November 8-9, 2018

Day 1

07:30

Breakfast Briefing

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

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
Brian Smith, ARRC Member and ‎Director, Office of 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. Mid-term results analysis and macro overview
  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. Long term liquidity forecast for asset managers
  4. Tech meets risk – What are risk managers missing about technology risk?

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

12:20

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

Stream 2: Credit Risk

11:40

Are banks prepared for a spike in loan defaults?

  • Modeling default rate in consumer portfolios
  • Are we going to experience higher margins?
  • Modeling default rates in case interests go up
  • How banks prepare for higher interest rate environment?
  • Default rates and client’s portfolios modelling

Speaker to be confirmed

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

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

Further speakers to be confirmed

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?

Ross Cuddeback, Head of Risk, Americas, DEUTSCHE BANK AMERICAS

Michelle McCarthy Beck, Chief Risk Officer, NUVEEN INVESTMENTS

Ken Winston, Chief Risk Officer, WESTERN ASSET MANAGEMENT

Further speakers to be confirmed

Interactive panel discussion with digital q/a

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, Market Risk Lead, 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

Speaker to be confirmed

12:20

Best practice in asset liability management

  • The effects of Fed and ECB’s shrinking balance sheets and adjustments to asset buying programs
  • ALM and default risk modeling
  • Your cost of capital

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, Chief Risk Officer for the Americas, BARCLAYS (retired) 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 tbc
  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. Managing quant millennials
  6. Connect the power of collaboration through data driven insights
  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

What will be the impact of FRTB on XVAs

  • How will the latest proposed regulations impact CVA calculations?
  • What are the key factors to take into account when calculating the new CVA?
  • How will calculating and implementing FRTB CVA affect banks’ internal modeling for counterparty risk and risk management?

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  
  2. FRTB changes 
  3. Changing political environment

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

Joseph Hwang, Managing Director, Regulatory Policy, GOLDMAN SACHS

Further speaker to be confirmed

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

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)

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

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
  • GSIP methodology
  • Fed’s new stress regime scoring

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 art of data science – tapping the power of advanced data analytics to transform risk management capabilities

Speaker to be confirmed

09:40

All-star panel: How machine learning can strengthen risk management

  • In what areas of the risk function has machine learning had the biggest impact?
  • What have been the biggest cross-function challenges to coordination between data, tech and risk teams?
  • How can ML help to maximize the margins?
  • How to ensure that automation is functioning as intended?
  • How will automation change the role of a risk manager?

Stephan Meili, Managing Director, Risk Management, CITI

Further speakers to be confirmed

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?

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?

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

Aymeric Kalife, Chief Actuary, AXA GROUP

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?

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?

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

Further speakers to be confirmed

2:20

Polling 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

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