8:00 Registration and breakfast

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

9:00 Regulatory keynote: Regulatory update
Jeanmarie Davis
, Senior Vice President, Supervision Division, FEDERAL RESERVE BANK OF NEW YORK

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

Moderator: Michelle Hubertus, Managing Director, Head of CCAR for Risk, DEUTSCHE BANK
Robert Linklater, ‎Head of Stress Testing, TD BANK
Julia Litvinova, Head of Model Validation and Analytics, Managing Director, STATESTREET
Manan N. Rawal, Head of Scenarios and Modeling - CCAR and Stress Testing, HSBC

10:20 Plenary session - to be confirmed

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 led by Hakan Danis, Director, Economic Stress Test Manager, Credit Strategies Group, MUFG
  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)

Chairman's opening remarks: Craig Spielmann, Operational risk specialist and Former Global Head of Enterprise Risk Management Strategy, First Data

Chairman's opening remarks: Rayne Gaisford, Founding Partner, OLIVE STREET

Chairman's opening remarks: Nikhil Dighe, Vice President, Quantitative Analyst, STATESTREET

Chairman's opening remarks: Stevan Maglic, Senior Vice President, Risk Analytics, REGIONS BANK


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

Moderator: Rod Lowe, Risk Management Executive, VANGUARD
Alok Dutt, Vice President, CITI
Rayne Gaisford, Founding Partner, OLIVE STREET
Elena Kvochko, CIO - Group Security Division, BARCLAYS BANK


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

Julia Litvinova, Head of Model Validation and Analytics, Managing Director, STATESTREET
Nikhil Dighe, Vice President, Quantitative Analyst, STATESTREET

Current state of CECL implementation

  • Key interpretation considerations relating to the new standard
  • Highlights of progress made towards leveraging CCAR for CECL implementation
  • Remaining challenges: impact and unintended consequences
  • Challenges involved in the CECL production process

Stevan Maglic, Senior Vice President, Risk Analytics, REGIONS BANK


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

Gus Koutsoumbelas, Director, Model Risk Management, MUFG UNION BANK

Managing the third part risk in a changing regulatory environment

  • What are the current third party risks the industry is facing? How to identify which risks are the most critical?
  • Risk based due diligence testing
  • Disciplined governance and escalation processes
  • Integrated management reporting, workflow process and tools

Speaker to be confirmed

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

Linkage between stress testing and CECL

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

Will Newcomer, Vice President Strategy and Market Management, WOLTERS KLUWER

1:00 Lunch


Think you know what bad behavior is?

  • Measuring and understanding the impact of behavior
  • Being cognizant of and Assessing incentives
  • Is it really possible to "nudge" behavior

Jimmie H. Lenz, Head of Predictive Analytics, WELLS FARGO

How AI is changing risk management : automate, control, adapt

  • More effective limit specification and violation detection
  • Better market risk estimators
  • Improved liquidity risk management
  • More complete credit underwriting





Margin Valuation Adjustment (MVA) for non-cleared trades: efficient numerical methods

Andrew McClelland, Director, Quantitative Research, NUMERIX


Quality of loans

  • How banks record loans
  • Governance of loans

Saad P Aslam, Credit Risk Review, Independent Risk Management, PNC



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

Oscar Zheng, Head of Global Market Risk Model Validations, BNP PARIBAS US

Big data and machine learning

Terry Benzschawel, Managing Director, Cedit Quantitative Analysis & Data Science, Citi Fixed Income, Currency and Commodities, CITI


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?

Gonzalo Kenny, Managing Director, Head of Portfolio Optimization Desk, CITI GLOBAL MARKETS

Preparing for CECL, modeling challenges for retail portfolios

  • Challenges of implementation of CECL in terms of data, assumptions and methodology
  • Analysis and implications of the CECL framework across retail portfolios
  • Analysis of the Expected impact of CECL over the business cycle.

Jose Canals-Cerda, ‎Special Advisor in Supervision, Regulation and Credit, FEDERAL RESERVE BANK OF PHILADELPHIA

3:20 Afternoon coffee break

3:40 Plenary address: Liquidity risk management framework and machine learning application

  • Market liquidity
  • Redemption forecast
  • Portfolio liquidity optimization

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

4:20 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?

Moderator: Ted Carter, Business Line Risk Officer, Investments and Trading, Enterprise Risk Management Office, T. ROWE PRICE
John Briggs, Head of Strategy, Americas, NatWest Markets RBS
Steven Geovanis, Managing Director and Chief Risk Officer, LYXOR ASSET MANAGEMENT
Hilmar Schaumann, Head of G10 Rates and FX Risk Management, BANK OF AMERICA

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

5:50 End of the conference