Enterprise risk management & Asset Liability Management for regional banks Summit
October 20th, New York

8:30 Registration and breakfast

8:50 Welcome address: Risk Magazine

9:00 Keynote address: Adapting to changing market structure
Speaker to be confirmed

9:40 Regulatory stress testing update

  • Observations from 2015 $10-50B DFAST submissions
  • Differences between stress testing expectations for regional and large banks

Matthew White, National Bank Examiner, DFAST Analyst, Midsize Bank Supervision, OFFICE OF THE COMPTROLLER OF THE CURRENCY

10:20 Morning coffee break

10:50 Living and breathing risk appetite and risk policies in the first line

Philippa Girling, Business Chief Risk Officer, CAPITAL ONE

11:30 Positioning your portfolio for a higher interest rate environment

  • Looking at various facets of interest rate risk: balance sheet analysis
  • Key assumptions used in modeling
  • The use of interest rate-risk monitoring reports and establishing risk-mitigation strategies
  • Evaluating Value-at-Risk (VaR): with emphasis on the concept, parameters, Monte Carlo approach and back testing

Jonathan G Harris, VP-Quantitative Modeling Balance Sheet Management, CAPITAL ONE

12:10 Aligning ERM governance with your risk appetite framework

  • Looking at how to successfully manage your institution's risk
  • Defining the roles and responsibilities for personnel involved in the lines of defense
  • How to mitigate risks and define your company's risk toleranced

Speaker to be confirmed

1:00 Lunch

2:00 Enhancing the ALM process

  • Definition and typology of vendors models used in ALM
  • Myths, realities and opportunities in vendor model validation
  • Performance monitoring of vendor models

Piero Monteverde, Vice President, Divisional Model Risk Officer, Model and Data Risk Management, CAPITAL ONE

2:40 Outsourcing and vendor risk management

  • Looking at the main issues of outsourcing major functions: namely complexity of vendors, testing their performance, right to audit, due diligence around vendors, compatibility of different classifications
  • How to evaluate third party services
  • How to be sure we have a process that meets regulatory standards

Dan Takah, Senior Risk Director, ALLY BANK

3:20 Afternoon coffee break

4:10 ERM evolution or revolution: A better way forward for increasing enterprise value and alignment with risk appetite

  • Incorporating top down systems/holistic view when diagnosing your ERM is today vs the future
  • Adaptive risk management culture that is flexible and durable
  • Shared vision and linkage with strategic objectives, including balancing risk/reward as well management/measurement
  • Defining the roles and responsibilities for personnel involved in the lines of defense across all risks
  • How to mitigate risks and define your company's risk appetite and tolerance

Robert J. Gerden, Global Financial Services Risk Executive and Author

4:50 CRO PANEL: Adding value to the business under high regulatory pressures

  • Sharing experiences in meeting regulatory demands
  • Exploring the accountability and responsibility of IRR and how to prepare for regulatory scrutiny
  • How to implement new model theory and validation, new COSO rules and use specialized trainers under limited resources?
  • How to define and articulate added value to the business?

James Costa, Chief Risk Officer, TCF FINANCIAL
Philippa Girling, Business Chief Risk Officer, CAPITAL ONE
Further speakers to be confirmed

17:00 End of summit

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