Day 2 Program November 10th, 2016


8:00 Registration and breakfast

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

9:00 Keynote speech: Applying Bitcoin to settlement risk

  • How it works and the definition
  • Challenges and regulatory standpoint
  • Assumptions vs realities and actual results
  • Blockchain smart contracts to trade derivatives
  • Can blockchain replace CCP?

09:40 CRO panel: Just how much has the stress testing stressed the industry?

  • Is the stress testing process getting any easier and is it reaching the BAU stage yet, or even coming close?
  • Regulators are raising the bar and introducing new variables that create new challenges with each interaction - how do you cope with that?
  • Are there any long lasting benefits that have come out of regulatory actions?
  • In the regulatory search for "credible challenge" can you provide a few examples of how this takes place in your firm?
  • What part of our job is most effective in keeping you up at night?

10:20 Panel: From compliance to performance using technology to drive value from regulatory initiatives

  • Standards of conduct from legal to conduct risk
  • BCBS: balancing risk sensitivity, simplicity and comparability
  • A robust approach to stress testing
  • Holistic approach to balance sheet management
  • Overarching enterprise risk technology and governance architecture

11:00 Morning coffe break


Stream one: Risk management in banking book

Stream Two: Liquidity risk management and stress testing 

Stream three: MVA and other VAs

Stream four: The future of capital models  


Chairman's opening remarks: 

Chairman's opening remarks: 

Chairman's opening remarks:

Chairman's opening remarks:


Interest rate risk in a banking book

  • How banks set aside capital to cover the impact of rate raises?
  • Framework, identification, measurement, mitigation and governance techniques
  • Repricing risk, basis risk, yield curve risk



Meeting the new Dodd-Frank requirements for the buy-side

  • CoVar model to measure portfolio losses
  • SEC's proposed rules
  • Capital estimations and modeling for the possibility of big client redemption
  • Redemption obligations and practices

Pricing: KVA/MVA and bilateral margin rules

  • September deadline and developments since
  • New pricing adjustment


New operational risk capital models - SMAs

  • Advantages and disadvantages of standardization vs internal modelling
  • Problems of AMA as it stands and analysis of costs vs benefits
  • Can the standardized approach sufficiently capture ba nks' risk profiles
  • Implications of removing internal modeling on risk management practices


BCBS IRRBB pillar 2: The new standard for the banking industry

  • Insights into the consultation discussions between Basel and the banking industry
  • IRRBB in a changing environment
  • Basel rules and complexities of one size fits all approach to cover the loses
  • New rules shaping up and coming out in 2018 - forwarding looking approach

Build on liquidity coverage ratio (LCR) approaches to implementation and exposure

  • Highlight the integration of liquidity transfer pricing and aligning it with risk appetite
  • Leverage treasury analytics through cash and balance sheet management systems and tools

Basel update on allowing modelling for CVA

  • Proposals to modify the CVA risk framework
  • Progress in the elimination of internal model approach
  • Standardized approach or basic approaches to CVA models


Panel: New capital modelling for banks - Let's stop and analyse what this really means for banks

  • Will risk be managed better or worse?
  • What does this mean for your career prospects as a risk manager?
  • What does this mean for risk model vendors?

1:00 Lunch


Loan loss accounting

  • Expected loses accounting for assets subject to impairment such as loans
  • Different adverse scenarios and ensuring enough reserve is set aside to cover them
  • Banks, regulators and auditors agreement and potential capital impact

Panel: The buy-side response to the new SEC proposed rules

  • How easy will it be to implement swing pricing?
  • What are the key elements of a robust liquidity risk management program?
  • Are there any standard models to reliably estimate stressed liquidation periods?
  • Could we see a race to the bottom, where some funds are using less robust estimates to create a more favorable liquidity profile?


The proposed CVA capital framework

  • A look towards the future finalized rules and outstanding issues
  • Challenges resulting from the proposed framework
  • Rationale and general features of the new approach
  • Basic CVA and FRTB framework

Capital modeling for market risk

  • Regulatory progress so far
  • Getting models approved at the desk level
  • Approval process for the trading desks and approval migrations
  • Options, flexibility and standardization


Understanding the effect of rising rates on different products

  • Examine your core deposits and strengthen them to withstand rising interest rates
  • Maximize your balance sheet management to profit as rates rise
  • Evaluate your modeling methods to account for rising interest rates
  • Adapt your product mix to best manage your interest rate risk

What are the costs of liquidity risk management?

  • Opportunity, compliance/reporting
  • What are its constraints? Lack of usable data, different modeling, regulation implementation
  • Impact of liquidity regulations

Component-based infrastructure debt valuation framework and implementation modeling blocks

Corporate perspective on the changes to credit risk models

  • Increased funding costs after BCBS announcements
  • Calculating credit risk capital exposures

3:20 Afternoon coffee break

3:40 Keynote address: What does the SEC have in store for the buy-side in the next few months?

  • New SEC reforms for derivatives and liquidity for the buy-side
  • New proposed rules and the potential impact on the market
  • Market risk concerns
  • Litigation support
  • Cross-border security based swaps regulations

4:20 Panel discussion: Organizational change risk management and heightened operational resiliency risk

  • Concept of change management for people, processes and systems
  • Good practice for emerging risks that will change your business
  • Regulatory resolutions directions
  • Mergers, restructuring, spin-offs and shut downs on various business lines
  • How to manage risk during restructure to improve profitability
  • How to manage legal entity and offshore assets during that change

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

5:50 End of the conference


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