8:00 Registration and breakfast

8:50 Welcome address:Craig Spielmann, Operational risk specialist and Former Global Head of Enterprise Risk Management Strategy, First Data

9:00 Regulatory keynote: Coming together to address systemic risks: examples of collaboration

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
Nehalkumar (Nehal) Bharodia, Senior Analytical Consultant, SAS

10:20 Plenary session: Cloud IS the "tech" in regtech

  • Why is the cloud relevant in the new era of risk management and compliance?
  • GRC use cases in the cloud (today)
  • How customers are handling security & compliance and running mission critical risk workloads on the cloud
  • Artificial intelligence & risk management

Nitin Gupta, Global Head, Financial Services Partners, AMAZON WEB SERVICES

Follow-on Panel Discussion:

Moderator: Peter Williams, Global Technology Lead, Financial Services Partners, AMAZON WEB SERVICES
Andrew Eisen, Managing Director, EDM Product Management and Cloud Strategy, IHS MARKIT
Amit Gupta, Managing Director of Capital Markets, ACCENTURE
Cenk Ipeker, Head of NICE, ACTIMIZE CLOUD
Ash Majid, Head of Risk Management, SUMITOMO MITSUI BANKING CORPORATION

11:20 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. CCAR and stress testing led by Hakan Danis, Director, Economic Stress Test Manager, Credit Strategies Group, MUFG
2. Data science and machine learning led by Elliott Noma, Founder, GARRETT ASSET MANAGEMENT and Lecturer, COLUMBIA UNIVERSITY
3. Macro view led by Steven Geovanis, Managing Director and Chief Risk Officer, LYXOR ASSET MANAGEMENT
4. CECL led by led by Stevan Maglic, Senior Vice President, Quantitative Risk Analytics, REGIONS BANK

 

Stream One: Data science and machine learning
How artificial intelligence, machine learning and robotics are revolutionizing risk management

Stream two: Cleared and non-cleared derivatives
Experts discuss the evolution of the SIMM, the emergence of MVA, and optimizing margin across cleared and non-cleared portfolios

Stream three: Current Expected Credit Loss (CECL)
Risk and accounting experts share tips and techniques for modelling expected loan losses

Stream four: CCAR and stress testing
US and foreign bank share their feedback on the Fed's 2017 stress tests and preparations for next year

Chairman: Rayne Gaisford, Founding Partner, OLIVE STREET

Chairman: Nikhil Dighe, Vice President, Quantitative Analyst, STATESTREET

Chairman: Stevan Maglic, Senior Vice President, Quantitative Risk Analytics, REGIONS BANK

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

11:50

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, Director, Markets Quantitative Analysis and Data Science, CITIGROUP  
Rayne Gaisford, Founding Partner, OLIVE STREET
Elena Kvochko, CIO - Group Security Division, BARCLAYS BANK

Extended session: 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, Quantitative Risk Analytics, REGIONS BANK

 

Effective review and challenge

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

 

12:30

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 

Elliott Noma, Founder, GARRETT ASSET MANAGEMENT and Lecturer, COLUMBIA UNIVERSITY

Margin Valuation Adjustment: Overview and methods

  • Initial margin requirements for cleared and non-cleared trades
  • Hedging non-cleared trades with cleared trades and other non-cleared trades 
  • Capturing the cost of initial margin funding with the margin valuation adjustment (MVA)
  • Simulating future initial margin requirements with an emphasis on future sensitivities
  • Numerical examples for swaptions and Bermudans

Andrew McClelland, Director, Quantitative Research, NUMERIX

Linkage between stress testing and CECL

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

Bart Everaert,
Market Manager Risk & Finance - Americas, WOLTERS KLUWER

Sunil Gangwani, Co-founder, PLOOTUS

 

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

1:10 Lunch

2:10

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, former Head of Predictive Analytics, WELLS FARGO

The impact of the new margin rules for uncleared derivatives on regulatory capital

Michael Pykhtin, Manager Quantitative Risk Management Section Supervision and Regulation, FEDERAL RESERVE BOARD

Current ALLL approach for loan quality assessment

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

 

Tail risk management, stress testing and capital optimization

Shahed Shafi, Director, Market Risk Group Manager, Global Counterparty Portfolio Optimization, CITIGROUP

 

 

 

2:50

Big data and machine learning

Terry Benzschawel, Managing Director, Cedit Quantitative Analysis and 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

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

Market risk representation and model risks

  • To explore drivers of the change that can modify the market risk representation
  • 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

3:30 Afternoon coffee break

3:50 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 Macro Risk Management , BANK OF AMERICA

4:30 Closing address: Liquidity risk management framework and machine learning application

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

5:10 Closing remarks: Philip Alexander, Regulation Editor, Risk.net

5:20 End of the conference

 

SEE THE AGENDA FOR DAY ONE OF THE CONFERENCE