08:00 Registration and breakfast

08:50 Welcome address: Duncan Wood, Editor-in-Chief, RISK MAGAZINE

9:00 Keynote address:

9:40 Keynote address:

10:20 All Star Panel: How is the US regulatory framework changing

  • What do we know about the latest update from the US Treasury over the recent regulatory executive orders?
  • What the new changes mean and how to implement them?
  • Cross boarder regulatory cooperation update and will FRTB be finalized at a global level
  • Impact of recent regulatory changes on different departments

11:0Morning 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. FRTB
  2. Future of risk technology
  3. Liquidity and market structure
  4. IRRBB and Basel IV

 

Stream one: Fundamental Review of the Trading Book (FRTB)

Stream Two: Future of risk technology and risk analytics

Stream three: Liquidity risk and market structure

Stream four: Interest Rate Risk in Banking Book (IRRBB)

11:30

Chairman's opening remarks:

Chairman's opening remarks: 

Chairman's opening remarks:

Chairman's opening remarks: 

11:40

Panel: How are banks adapting to enterprise-wide FRTB model?

  • Is there any update from Basel?
  • What are the lessons learnt and do you have any happy news to share from your internal FRTB models? What were your biggest surprises?
  • FRTB and its impact on business strategy? Setting up a clear strategic path for FRTB
  • Budgeting for delivery of a large and extensive program that will touch all aspects of banks processes
  • Which business lines are likely to be persisted with and which would be down as a consequence of FRTB?
  • What staff and skills hires do you expect to make in order to deliver this complex program?

Panel: Firm wide risk management achieved with artificial intelligence (AI)

  • What are the right risk frameworks appropriate to your level of automation?
  • Risk implications of using robotics - how do you control automation in the era of digitalization?
  • How can technology help you comply with new regulations?

Panel: How to comply with the SEC's liquidity rule

  • What the new SEC liquidity rules expect from the buy side?
  • How new rules around liquidity fees and redemption gates are tightening liquidity?
  • Trigger levels for imposing redemption fees and restrictions
  • How much can a company hold in liquid assets?
  • New risk management job profiles all firms are now required to have

Technology and the implementation of IRRBB Basel Standards

  • Technological constraints in IRRBB simulation
  • Meeting the requirement to present many scenarios, processing several of scenarios and analyzing them
  • Optimizing accuracy vs. IT process time
  • Methodologies to aggregate data
  • Data input and output and data quality check technologies
  • New technologies and approaches to enhance processing capabilities
  • Interactions with CCAR enterprise wide stress testing

12:20

Technological solutions to FRTB big data volumes challenge

  • Data produced and data volume challenges
  • How to set up a front to back FRTB IT program?
  • What are the implementation issues in computational efficiency?
  • What processes and systems need to change in preparation for FRTB?

Innovation in the in-house built risk management framework

  • What are the most important recent risk framework innovations, and what are the current trends?
  • What are the infrastructure implications of these trends?
  • Innovation in risk systems - benefits vs cost of in-house risk framework development
  • Are banks right to give clients access to their in-house risk management and trading tools?

Panel: Market liquidity concerns and provision

  • Banks are not able to perform their traditional role. Who is now providing market liquidity and how is the market transforming?
  • Liquidity is still an issue but why was it an issue during the era of easy money?
  • Liquidity concerns and funds drying up
  • How systemic risk influences the derivatives market and illiquid instruments?
  • How is buy side dealing with market changes?
  • Non-traditional forms of liquidity

IRRBB Basel Standards and business strategy

  • IRRBB seen through the eyes of a the board
  • Implementation for management perspective
  • Linkages between IRRBB and strategy
  • Information flows within the organization

1:00 Lunch

2:00

Saving the PLA (Profit & Loss Attribution)

  • P&L attribution and obtaining permission to use models
  • Obstacles to internal model approach (IMA) and are they typical to what bank are seeing?
  • The PLA and non-modelable risk factors (NMRFs): what is wrong with the PLA?
  • If no changes come - what will pass/fail rate be?
  • How do PLA and NMRF rules conflict?
  • The coming together of finance and risk functions together and ensuring cooperation in terms of staff, systems and data models

Machine learning - Applications in risk management and surveillance

Portfolio attribution: why, when and how

  • Theme based attribution: supporting the portfolio manager; informing the investor
  • Risk based attribution: supporting the risk manager; protecting the business
  • Dealing with change: trading, non-linearity, market events, corporate actions
  • Stress testing and liquidity risk: are you being rewarded for the risks you are taking?
  • Keeping up with the market: understanding in real time

 

Challenges in Governance of IRRBB models and assumptions

  • Historical information, is it reflective of future scenarios?
  • Quantitative vs qualitative techniques, when and how?
  • Running dynamic scenarios vs. Stressing assumptions
  • Setting up overall model and assumptions governance

2:40

Creating a trading desk structure that complies with new regulations

  • Where are the hidden complexities in FRTB's definition of a desk?
  • The sensitivity based approach (SBA) (where are the remaining issues/uncertainties?)
  • In the new IMA desk structure - how many desks will you be setting up?
  • Due to higher and punitive capital charges many complex products will not be traded - which products will remain?

Panel: With digital innovation comes cyber risk: How banks can build resilience?

  • What are institutions doing to protect themselves against new issues and vulnerabilities?
  • How companies can achieve a balance between innovation and cyber threat?
  • How firms can manage systems upgrades without the exposure to cyber risk?
  • How do you recover and respond to cyber-attacks? How do you ensure you have the right measures and continuity process?
  • Safety in information sharing via public clouds and security controls around them
  • The three lines of defense when it comes to cyber. Who manages that risk?

Opposing viewpoints debate: Principal vs agency trading

  • Different approaches taken by banks
  • Pre trade price transparency in fixed income markets
  • Bond market liquidity
  • Broker-dealers as agency trading providers and their successes with corporate bond trading
  • Regulatory developments and current political environment impact and upcoming changes

Benchmarks of how different banks are implementing Basel standards

  • Comparative analysis across governance, metrics, systems and models
  • Differences across groups of US banks
  • Differences between US banks and other regions'
  • Key Gaps as compared to BCBS standards

4:00 Afternoon coffee break

4:20 Plenary:

5:00

Roundtable 1: Life as a quant - What does it mean to be a quant today?

  • Skills learned in college vs what skills are desired by top financial institutions
  • How has the skill set changed and how it will transform over the next year to few years?
  • What types of quants are in demand today and how those skills can be obtained?
  • With the regulatory changes happening including FRTB or SEC liquidity rules - what new skills will be required in the new future?

Table lead speaker:

Roundtable 2: Interest rates and managing loans portfolios

  • Regulatory changes and concerns for baking book
  • Impact of raising interest rates
  • Interest rate risk in ALM and deposit of loans
  • Pricing loan portfolios and other interest rate derivatives

Table lead speaker:

Roundtable 3: The management of IRRBB

  • Regulatory concerns and the implementation of Basel principles
  • Methods to control IRRBB
  • Modeling interest rate risk
  • Pros and cons of income vs. value measures
  • How to capture changing interest rate in our models?

Table lead speaker:

Roundtable 4: Big data: Moving to a modern architecture

  • Case studies of innovative technologies being applied: real time architectures, data lakes and so on
  • The rise of the Internet of Things to detect new business opportunities
  • What are the implications for the enterprise in terms of issues, such as data management, governance, and security?
  • Data governance in the IoT

Table lead speaker:

Roundtable 5: How non cleared rules are pushing to trades to clearing

  • More and more products are now incentivized to clearing
  • Clearing houses challenges to clear the more complex products
  • How the non-cleared markets reacted to the push towards cleared products?

Table lead speaker:

Roundtable 6: Regulatory update for Dodd-Frank and the Volker rule

  • Will they be amended or changed over summer?
  • How the changes will affect derivatives markets?
  • US Treasury activity in terms of which regulations to keep and which to not

Table lead speaker:

Roundtable 7: Machine learning applications

  • Trading applications
  • Fraud detection
  • Compliance

Table lead speaker:

Roundtable 8: Online lending and peer to peer lending

  • Investor opportunities for non-prime lending
  • Lending process - how is it done?
  • Requirements and regulations
  • What is ‘mortgage streamlining'?

Table lead speaker:

5:10 HARVEST SESSION
Each host will summarise 5 key outcomes of the discussion and present it back to the table participants with comments

5:20 Closing remarks:

5:30 30 years of Risk.net celebratory drinks reception

>> View the agenda for day 2 of the conference