8:00 Registration and breakfast

08:50 Welcome address: Philip Alexander, Regulation Editor, Risk.net

9:00 Keynote address: Establishing a risk-focused culture

Mark Carawan
, Chief Compliance Officer, CITIGROUP

9:40 Guest speaker: Cyber threats, response, and collaboration

  • Cyber threats of today and tomorrow and how the FBI is addressing them in collaboration with the intelligence community and law enforcement partners around the world
  • The FBI's response to an incident and what victims of a cyberattack can expect from the U.S. government
  • Best practices and the FBI's efforts to collaborate more effectively with the private sector through formal partnerships and the exchange of information

Mike Dvilyanski, Supervisory Special Agent at the Cyber Branch, FBI New York

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

Moderator: Philip Alexander, Regulation Editor, Risk.net
John A. Ikard, Board Member and former Chief Executive Officer, FIRST BANK
Manish Nagar, Principal and Global Head of Investment Risk, VANGUARD
Jeff Samuel, Managing Director, Americas Head Group Regulatory and Governance, UBS
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
Cindy Williams, former Chief Risk Officer, Regulatory Coordinator for Americas, CREDIT SUISSE

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. FRTB led by Hany Farag, Senior Director and Head of Risk Methodology and Analytics, CIBC
  2. Capital allocation led by Shahed Shafi, Director, Market Risk Group Manager, Global Counterparty Portfolio Optimization, CITIGROUP
  3. IRRBB and Basel IV led by Roberto Virreira, Lead in Group IRRBB Policy, STANDARD CHARTERED

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 opening remarks: Hany Farag, Senior Director and Head of Risk Methodology and Analytics, CIBC

Chairman's opening remarks: Joshua Kotok, Chief Risk and Compliance Officer, FIRST SAVINGS

Chairman's opening remarks: Dmitry Green, Managing Director, Chief Risk Officer, MARINER INVESTMENT GROUP 

Chairman's opening remarks: Roberto Virreira, Lead in Group IRRBB Policy, STANDARD CHARTERED

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?

Moderator: Robert Cranmer, FRTB US and Canada, DELOITTE
Hany Farag, Senior Director and Head of Risk Methodology and Analytics, CIBC
Richard O'Connell, ‎Global Markets Lead for Risk, Capital, and Regulatory Change, CREDIT SUISSE
Alexey Smurov, Senior Director, CAPITAL ONE
Charles Tao, Director, CITI

 

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?

Moderator: Joshua Kotok, Chief Risk and Compliance Officer, FIRST SAVINGS
Sandeep Maira, ‎Global Head, Enterprise Risk Technology, BNY MELLON
Mandar Rege, Enterprise Head of Technology Risk, TD BANK

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

  • Challenges in implementing the new SEC rule and solutions
  • Compare SEC rule to regulations in other countries
  • Impact on liquidity risk management for mutual funds

Moderator: Leon Xin, Executive Director, Head of Risk, Portfolio Construction and Hedge Fund, EFG, JP MORGAN ASSET MANAGEMENT
Charles Bragg, Managing Director, Americas Head of Risk Control and Global Head of Credit Risk Control, UBS ASSET MANAGEMENT
Lori M. Evangel, Executive Vice President and Chief Risk Officer, GENWORTH
Matthew Halperin, Senior Vice President, Independent Global Risk Officer, MFS INVESTMENTS

Interest rate risk in a banking book

Kevin Walsh, Deputy Comptroller for Market Risk, OCC

12:20

 

Putting business strategy at the centre of delivering FRTB

  • Why Front Office should be central to the FRTB programme
  • The IMA vs SA business case: Bankwide and desk by desk
  • Restructuring desks to meet the challenge of FRTB
  • Hedging and trading strategies under the new models
  • Understanding and mitigating the NMRF charge
  • Tools and functionality the business will need to succeed

Daniel Mayer, Global FRTB Lead, DELOITTE
Udit Mahajan, Global FRTB lead, DELOITTE
 

The next evolution in AML: Using AI to create intelligent segmentation, rules and thresholds

  • Utilizing Enterprise AI to optimize creation of intelligent, granular segments for better rules and thresholds
  • Identifying weaknesses of traditional statistical techniques in segmentation
  • Moving beyond false positives to capture false negatives

Alex Baghdjian, Financial Services Strategy Lead, AYASDI

Panel: Market liquidity concerns and provision

  • 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

Moderator: Ed Kim, Risk Expert
Andrew Auslander, Head of Risk Governance and Disclosure, Enterprise Risk Management, AIG
Said Haidar, President and CEO, HAIDAR CAPITAL MANAGEMENT
Sahil Kapoor, ‎Vice President, STATESTREET GLOBAL EXCHANGE
Julie Sherratt, Managing Director, TD ASSET MANAGEMENT

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

Yujush Saksena, Managing Director, Market Risk, GE CAPITAL

1:00 Lunch

2:00

PLA and NMRF: Data considerations and challenges

  • What does PLA and Modellability tests mean for capital calculation?
  • Data used in PLA and Modellability tests and their alignment
  • Other main challenges in this area
    o PLA test alternative metrics
    o Risk modelling on NMRF - proxies

Han Zhang, ‎Managing Director, Head of Market Risk Analytics, WELLS FARGO

Machine learning - recent trends and applicability to risk and related areas

  • Supervised, unsupervised, Reinforcement
  • Deep learning, feature Learning, incremental learning
  • Predictive power and robustness
Suhail Shergill, Director, Data Science and Model Innovation, SCOTIABANK

 

SEC liquidity rule - impact on liquidity risk management

Tilak Lal, Head of Risk - Alternatives, FRANKLIN TEMPLETON INVESTMENTS

 

IRRBB standards under the microscope (tbc)

Yujush Saksena, Managing Director, Market Risk, GE CAPITAL

 

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?

Wei Zhu, Managing Director, CITI

Leveraging advanced technology to address increasing regulatory demands

 

  • Applying high-performance technology to improve model execution and implementation
  • Using interactive tools to perform scenario-based risk management
  • Integrating risk and finance platforms to meet compliance requirements like CECL
  • Better collateral valuation using even streaming processing and machine learning

Murilo Brizzotti, Principal Industry Consultant, SAS

Extended session: WAR GAMES - Multi Event Scenario Session (MESS)
geopolitical/climate impact on liquidity

 

In this scenario, workshop participants are introduced to an operational risk scenario 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.

 

Led by Craig Spielmann, Operational risk specialist and Former Global Head of Enterprise Risk Management Strategy, First Data

 

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

Roberto Virreira, Lead in Group IRRBB Policy, STANDARD CHARTERED

 3:20

Nuances of the FRTB Approaches (SA and IMA): anomalies, asymmetries, and proposed remedies

  • We discuss some mathematical anomalies in the SA and IMA of relevant capital consequences (beyond PLA), and we propose simple remedies
  • IMA - Anomalies in backtesting in the presence of non-modellable risk factors
  • IMA - Ambiguities with impact on computational complexity in Expected Shortfall
  • SA - Asymmetries in FX with respect to reporting currencies
  • SA - Ambiguities in FX Vega
  • SA - Anomalies in the Default Risk Charge
  • SA - Anomalies in the granularity assignment of the Vega Charge
  • SA - Anomalies in commodity Delta Charge

Hany Farag, Senior Director and Head of Risk Methodology and Analytics, CIBC

Machine learning for trading

Gordon Ritter, Senior Portfolio Manager, GSA CAPITAL

 

 

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?

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

4:00 Afternoon coffee break

4:30 Interactive roundtable discussions and speaker Q/A: Bring your questions, leave with your answers!

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: Julia Litvinova, Head of Model Validation and Analytics, Managing Director, STATESTREET

 

Roundtable 2: Nonmodellabe risk factors in modellability tests and capital calculations

  • NMRFs in PLA
  • NMRFs in Backtesting
  • NMRFs and proxy ambiguities

Table lead speaker: Hany Farag, Senior Director and Head of Risk Methodology and Analytics, CIBC

 

Roundtable 3: How banks are incorporating economic scenario analysis into CECL?

  • How that is integrating with existing CCAR/DFAST exercises?
  • How their corporate financial forecasts?

Table lead speaker: Meaghan Fine, FVP - Risk Research, Enterprise Risk Services, SUNTRUST

 

Roundtable 4: Operational risk management and setting risk appetite for the business

Table lead speaker: Ed Kim, Risk Expert

 

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: Dilip K. Patro, Chief, QMA (Quantitative Model Analysis), RMS Complex Financial Institutions, FDIC

 

Roundtable 6: Machine learning applications

  • Trading applications
  • Fraud detection
  • Compliance

Table lead speaker: Gus Koutsoumbelas, Director, Model Risk Management, MUFG UNION BANK

 

Roundtable 7: Buy side - navigating volatility through macro lens

  • What's the next macro risk that presents the greatest concern?
  • How to manage and control macro risk?
  • Important regime changes in the past 5-10 years and the changes in risk management in response

Table lead speaker: Leon Xin, Executive Director, Head of Risk, Portfolio Construction and Hedge Fund, EFG, JP MORGAN ASSET MANAGEMENT

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: Philip Alexander, Regulation Editor, Risk.net

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

 

SEE THE AGENDA FOR DAY TWO OF THE CONFERENCE