8:00 Registration and breakfast

8:50 Welcome address: Duncan Wood, Editor-in-Chief, RISK

9:00 Keynote speech:

09:40 Panel: Enterprise wide CCAR governance best practice under high regulatory expectations

  • What best practice can you share to govern and manage enterprise wide multiple teams on the tightest deadlines and how do you synergize these teams?
  • Part of the CCAR requirement is to challenge the process and results. How senior management tests these and what techniques they use?
  • Evidencing the SR15-18 break out compliance in RWA including the board level effective CCAR challenge
  • What advice can you give to the new banks that are doing CCAR for the first time this year?
  • How can you create enterprise wide CCAR machinery that can be part of your daily process and applied next year?
  • How do you factor in changes that occurred while you prepare CCAR, for example if the bank decides to increase dividends?
  • New stress testing, capital planning and model validation rules and best practice

10:20 All-star panel: How do non-financial corporates manage their financial risks

  • The nature of risks in corporate world by comparison with financial firms
  • Implications for risk management practices
  • Areas for greatest and least opportunity for sharing practices

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. CCAR and stress testing
  2. Data science and machine learning
  3. Cleared and non-cleared derivatives
  4. CECL

 

Stream one: CCAR and stress testing

Stream Two: Data science and machine learning

Stream three: Cleared and non-cleared derivatives

Stream four: Current Expected Credit Loss (CECL)

11:30

Chairman's opening remarks: 

Chairman's opening remarks: 

Chairman's opening remarks:

Chairman's opening remarks:

11:40

Stress loss modelling and revenue forecasting

  • Risk identification and scenario design
  • Approaches and challenges for loss modeling
  • Approaches and challenges for revenue projections
  • Managing multiple regulatory requirements

Panel: Different data visualization heat maps for a risk manager and a portfolio manager

  • What does the visualization of a data heat map looks like?
  • How to read data to identify value and customers?
  • Turning data into practical implementation
  • Applications enabling banks to identify data from the structured and unstructured data
  • New ways how to visualize data

 

Struggles with expanding SIMM initial margin model

  • Buy side solution to two sets of margin rules (the old and the new after regulations)
  • Approaches to resolve the documentation and administrative burdens
  • Posting of variation margins and SIMM - developed by ISDA
  • Process and initial margin models generation, methodology and testing

Regulation of new models and impact on P&L

  • Changing of accounting rules
  • How to interpret the new rules?
  • Current Expected Credit Loss (CECL) modelling and regulatory compliance
  • How banks record the quality of loans?
  • CECL - the risk side of stress testing

12:20

Liquidity stress testing and Comprehensive Liquidity Analysis and Review (CLAR)

  • Overcoming the challenges in monitoring and reporting
  • Understanding the key complex regulatory requirements
  • Assessment of whether a bank can be in adverse conditions
  • Liquidity and resolution planning

How to achieve data quality your regulator can trust?

  • When data becomes information?
  • How do you decide which is the relevant information?
  • Adding data and not diluting previous data
  • In house and outsource tools available
  • How to transform 4-5million of data records into meaningful information?

Panel: Recent clearing requirements for trading swaps and push towards listed derivatives

  • Pricing impacts for clearing vs not clearing
  • Uncleared swap margin phase-in including variation margin
  • Swap market standardisation and central clearing: an opportunity for systematic investors?
  • Trading challenges for managed futures firms in ‘new' markets compared with futures
  • Trend following in markets where central banks dominate
  • How is the new structure shaping up? Is MiFID likely to be dead or alive?
  • New buy-side clearing models in the U.S. and strategies for CCP risk

Forecasting the chances of credit loss

  • Forecasting the default and when
  • Lifetime of a loan loss
  • Plausible projections based on the economy
  • How to rebuild credit models?
  • Look of a lifetime projection

1:00 Lunch

2:00

Behavioural analytics and stress testing

 

Data: Intellectual property vs benefit of sharing

Margin Valuation Adjustments (MVA) for non-cleared trades

  • Will or should the margin costs be put onto the client?
  • Fintech in initial and variation margin and Standardized Initial Margin Model (SIMM) model
  • How to calculate SIMM margin to reflect specific asset classes risk

Quality of loans

  • How banks record loans
  • Governance of loans

 

2:40

Market risk representation and model risks

  • To explore drivers of the change that can modify the market risk presentation
  • To understand the resulted risks via Stress Testing
  • To classify the risks: Risk Factor Not In Model, Risk Sensitivity Not In Model, and Proxy

Public trade reporting exploitation with machine learning and data analysis

  • New regulatory requirement to report trades publicly and in real time
  • Pattern information that can be learned from the records
  • How sell side can exploit this good data to determine market movements and demand?
  • Block trades and machine learning

Looking at credit counterparty risk in light of new regulations

  • Concentration risk and consequences
  • Liquidity risk and concentration risk issues
  • Holding collateral to cover initial margin
  • Impact of CCPs
  • Finding and posting cash to clearing houses
  • Lack of clear regulatory framework
  • Does initial margin eliminate counterparty risk?

Linkage between stress testing and CECL

  • Capital planning integrated with the business
  • Expected results
  • Implementation in 2019

3:20 Afternoon coffee break

3:40 Keynote address: How is blockchain changing?

  • Challenges that financial institutions struggle with including financial crime, regulation and internal structures that might be helped with blockchain technology
  • How institutions are transitioning to blockchain and what capabilities does blockchain have to make your business more efficient?
  • Why is blockchain safe and what are the volumes traded?
  • Costs of trading on blockchain and investment strategy
  • Risks to consider and due diligence to perform

4:20 Political economy panel: Business strategy in current political landscape in the US

  • Global economic outlook, strategy and impacts on global markets
  • Current regulatory update: what's on hold or cancelled and what's new?
  • Are we looking at Presidential roll back of regulations?
  • How will Brexit impact the US markets?
  • How will the future regulatory regime impact derivatives trading?

5:40 Closing remarks: Duncan Wood, Editor-in-Chief, RISK MAGAZINE

5:50 End of the conference