Program 2021

Program 2021

2021 Agenda

08:5009:00

Risk.net Welcome Address
Opening remarks

08:50 - 09:00

09:0009:30

Fattening Tails: has the pandemic changed the way we conduct risk modeling?

09:00 - 09:30

Nicholas Silitch

Chief Risk Officer

PRUDENTIAL

Nick Silitch is senior vice president, chief risk officer of Prudential Financial, Inc. In this role, Silitch oversees Prudential’s risk management infrastructure and risk profile across all business lines and risk types. Under his direction, his team develops models, metrics, frameworks and governance to manage risk, and works with internal corporate partners and business groups to identify, assess and prioritize risk across the company. He is chairman of the organization’s Enterprise Risk Committee that evaluates current and emerging risks relevant to the company, and is a member of Prudential’s Senior Management Council.

Silitch also works with external stakeholder groups to forward industry interests. He is head of the International Affairs Committee for the North American Chief Risk Officers’ Council, and is a member of the Advisory Council for the International Association of Credit Portfolio Managers.

Silitch joined Prudential in 2010 as chief credit officer and head of investment risk management, overseeing Prudential’s general account and other proprietary investment risks globally, as well as maintaining and approving Delegations of Authority and Investment Policy Statements.

Prior to joining Prudential, Silitch held the position of chief risk officer of the Alternative Investment Services, Broker Dealer Services and Pershing businesses within Bank of New York Mellon. He also served on the Pershing Executive Committee.

Silitch joined Bank of New York Mellon in 1983 as a credit trainee. Throughout his career at the bank, he held senior positions in client management, investor relations, risk management, loan restructuring, credit portfolio management and Basel compliance.

He received a bachelor’s degree in economics from Colby College.

09:4510:30

Enterprise Management: visualizing all facets of risk and testing accordingly

09:45 - 10:30

  • Risk strategy – setting an organizations risk appetite
  • Monitoring strategy – developing a system for maintaining key risk levels
Pooja Rahman

CRO

Protective Life

In June 2021, Pooja Rahman was named Chief Risk Officer at Protective Life Corporation. She is responsible for leading the Company’s Enterprise Risk Management (ERM) program and overseeing implementation of the Company’s strategic risk appetite.

Prior to joining Protective, Ms. Rahman served as Head of Financial Risk at New York Life. Prior to New York Life, she worked in international policy and analysis at the National Association of Insurance Commissioners. Ms. Rahman’s previous experience also includes Director & Senior Corporate Counsel at Aviva, In-house Counsel at Iowa Insurance Division and Lead Technical Analyst at Principal Financial Group.

Ms. Rahman earned her JD from Drake University Law School, her MBA from the University of New Orleans, and her Bachelor of Commerce from the University of Mumbai.

Fabrice Fiol

Managing director enterprise risk management Americas, deputy head

Societe Generale

Fabrice Fiol is a Managing Director and Deputy Head of the Enterprise Risk Management Americas division. In this capacity, he co-manages a team responsible for risk appetite statement and reporting, risk identification, enterprise wide stress testing and governance including regulatory oversight for the Americas.

He was previously in charge of the market risk cross-asset team overseeing regional limit framework, Market Risk Stress Testing and various regulatory market risk initiatives. His prior role was heading the Equity/Fixed Income/Commodity market risk teams for SG in the Americas, including NY, Canada and Brazil trading platforms.

Fabrice Fiol joined Societe Generale NY in 2009. Prior to SG, Mr. Fiol was a Senior Vice President at Natixis-NY in charge of Trading Risk Management on a U.S Agency MBS portfolio.  Prior to Natixis, Mr. Fiol was a Vice President at the reinsurance company SwissRe-NY where he was initially in charge of front-office quantitative pricing and subsequently joined the U.S Rates Derivative Desk trading.

He graduated from ENSAE (National School of Statistics and Economics) in 1998 and holds a Degree (DEA) from Paris VII University. 

Fabrice Fiol has participated as a speaker and panelist at various risk conferences (Bloomberg,Risk.Net,Cefpro) and has co-authored an article in the RMA Journal in 2017 “Risk Appetite: How Banks are responding to risk in a new regulatory environment”

Professional Affiliations

  • Member, RMA Risk Management Association (2012– Present)

10:4511:15

Fed Tapering: adjusting for increases in yields

10:45 - 11:15

11:3012:15

Derivatives Risk Management – understanding and coming to compliance with SEC Rule 18f-4

11:30 - 12:15

12:1513:00

Lunch and Networking

12:15 - 13:00

13:0014:45

Stream

Regulation

Government Intervention: how does public and fiscal policy change the way you model for risk?

13:00 - 13:45

  • Where does it help?
  • Where does it hinder?
Basel III: shifting away from internal models

14:00 - 14:45

  • Capital Requirements – preparing your balance sheet
  • Leverage Ratio – maintaining the federal requirement of 5% or 6%
  • Net Stable Funding Ratio – keeping banks prepared for stress-induced environments

Stream

Operations

Human vs. Machine: how to avoid an over-reliance of softwares and complement it with skilled individuals

13:00 - 13:45

  • Drawing the line – where does the machine end and human begin?
  • Training the Machine – who in addition to a coder or statistician should be developing the ML model?
Sven Sandow

Global head of credit and operational risk analytics

Morgan Stanley

Sven Sandow is the Global Head of Credit and Operational Risk Analytics at Morgan Stanley. During his 20-year career in the financial industry, Sven has worked in various quantitative modeling, risk management, and capital management capacities. Prior to Morgan Stanley, he worked at Merrill Lynch and Standard & Poor’s. Before he joined the financial industry, Sven worked as a physicist at the Virginia Polytechnic Institute and the Weizmann Institute of Science. He has been an active researcher in physics, finance, and machine learning. His research has been published in academic journals, and he coauthored a book on learning from data. Sven holds a Ph.D. in physics from the Martin-Luther-University Halle-Wittenberg in Germany.

Costs of Operations: managing risk on a budget

14:00 - 14:45

  • Regulation – are governing rules or risk of fines pricing firms out the certain markets?
  • Vendor relationships – technologies assisting in risk efficiency

15:0015:30

Human Capital: are we at risk of losing risk professionals?

15:00 - 15:30

15:4516:30

US Treasury Market Structure Modernization

15:45 - 16:30

  • Central Clearing
  • Public Reporting
  • Trading Venue Oversight
  • Standing Repo Facility
  • SLR
Priya Misra

Head, global rates research

TD Securities

Andrew Auslander

Managing principal

Agile Financial LLC

Andrew Auslander has over 20 years of experience in the global financial markets. He has spent half his career as an enterprise risk manager experienced in developing risk frameworks to support overall business strategy for asset management, private banking, and investment banking. During this time, he managed market, traded credit, counterparty credit, liquidity, operational, vendor, and model risks. He has taught the benefits of risk culture in various countries. He is effective at communicating risks and mitigators to senior management, internal audit, and regulators.  Previously, Andrew was the Head of Risk Governance and Disclosure at AIG and led the risk management and trading teams at international banks and asset managers.

Andrew earned a Bachelor of Science degree from the United States Merchant Marine Academy. He holds a Master of Science degree in Computer Science and Information Systems from Rensselaer Polytechnic Institute and studied Finance at New York University's Stern School of Business. Andrew is a CFA Charterholder and a Financial Risk Manager (FRM) certified by the Global Association of Risk Professionals. Mr. Auslander holds FINRA Series 7, 24, and 63 licenses.

 

08:5009:00

Day 2 Opening Remarks

08:50 - 09:00

09:0009:30

Emerging markets: how to manage cross-asset portfolios including variations in Covid recovery from the western world and emerging markets

09:00 - 09:30

09:4510:30

Libor 2023: modeling for future rates

09:45 - 10:30

  • Fund type – how will your trading strategy impact which rates are used?
  • Arbitrage
  • Caps and floors

10:4511:15

Inflation Environment: how to minimize inflation risk through hedging and new product conception

10:45 - 11:15

  • Typical approaches to existing asset classes
  • Assessing the need for new products
  • Creating new asset classes
Michael Ashton

Managing principal

Enduring Investments LLC

Mr. Ashton is a pioneer in the U.S. inflation derivatives market. Prior to founding Enduring Investments, Mr. Ashton worked in research, sales and trading for several large investment banks including Bankers Trust, Barclays Capital, and J.P. Morgan. Since 2003, when he traded the first interbank U.S. CPI swaps, and 2004 when he was the lead market maker for the CME’s CPI Futures contract, he has played an integral role in developing new instruments and methods for accessing and hedging various inflation exposures. In 2016, Mr. Ashton publishedWhat’s Wrong With Money? The Biggest Bubble of All. He is a graduate of Trinity University and lives in Morristown, New Jersey.

11:3012:15

Modeling risk in highly volatile markets

11:30 - 12:15

12:1513:00

Lunch and Networking

12:15 - 13:00

13:0014:45

Stream

Market Cautions

Credit Risk: preparing loan strategies for a potentially slowing economy

13:00 - 13:45

  • Higher rates – if interest increases due to less borrowers, how do you maintain the same level of credit risk?
  • Fed impact – is it safe to rely on regulation to step in anytime the economy slows?
Counterparty Risk: is the intersection of market, counterparty and hedge fund due for review?

14:00 - 14:45

  • Infrastructure – how are transactions being disrupted and what does that mean for trade/investment processes going forward?

Stream

Metrics

Valuation Adjustments: updates in the evolution of pricing

13:00 - 13:45

VaR and beyond: how are we recalibrating the whole risk system methodology?

14:00 - 14:45

  • Deterministic Stress Testing
  • Extreme Value Theory
  • Conditional Tail Expectation (CTE)

15:0015:30

Execution: using TCA to determine optimal trading decisions

15:00 - 15:30

15:4516:30

Entering Cryptocurrency Markets: does traditional risk modeling apply?

15:45 - 16:30

  • Exposure – how much of your portfolio should hold/trade cryptocurrencies?
  • Volatility – measuring good and bad risk to a highly fluctuating market
  • Technology – does blockchain and distributed ledger technology (DLT) ease the minds of risk managers?
Gabor Gurbacs

Director, digital asset strategy

VanEck

08:5009:00

Day three - Opening remarks

08:50 - 09:00

09:0009:30

Reactions to COP 26: how will the financial industry be priced in a low carbon world?

09:00 - 09:30

  • Regulatory implications: what sectors will be allowed to admit? 

  • Targets: how will nations hit their expected carbon reduction goals? 

09:4510:30

Transitional risk: as industries shift their practices due to climate change how will the financial industry react?

09:45 - 10:30

  • Financial repricing – taking another look at tangible assets and their prices 

  • Sector ratings – how are certain sectors impacted and how do you go about re-rating them for financial health? 

  • Value ratings – what are the implications from sector re-ratings? 

10:3010:45

Morning break

10:20 - 11:00

10:4511:15

Climate Modeling: changing the formula to recognize a shifting climate

10:45 - 11:15

11:3012:15

Best uses for alternative data for ESG modeling

11:30 - 12:15

Todd Arthur Bridges

Global head of sustainable investing and ESG research

Arabesque

Dr Todd Arthur Bridges joins Arabesque S-Ray GmbH from State Street Global Advisors, where he was Head of ESG Research and Development. Dr Bridges previously worked as Head of ESG Research at Ethic, and held the position of Research Managing Director at Cornell University. He is a member of the Sustainable Finance Advisory Committee of the UN-backed Principles for Responsible Investment (PRI), and holds a PhD in Socioeconomics, Organizational Behaviour and Research Methods from Brown University.

12:1513:00

Lunch break

12:20 - 13:00

13:4514:45

Community Engagement: analyzing firms’ impacts on the communities in which they reside

13:00 - 13:45

  • Pollution: how harmful is a firm to the people around them? 

  • Service: what activities does a firm take to lend a helping hand? 

Office Culture: assessing a firm’s relationship with its employees

14:00 - 14:45

  • Labor relations: how fair are wages and hiring practices? 

  • Work/Life balance: are policies in place to support a healthy co-existence? 

Stream

Governance

Vulnerable companies to climate change: who stands to be hit hardest by climate related events?

13:00 - 13:45

  • Looking at the supply chain 

  • Company locations  

  • Profit impacts 

Company performance: understanding the upside of good governance

14:00 - 14:45

  • Board makeup: helpful stewards, or friends of the C-Suite? 

  • Diversity: getting insight and having leadership from varying viewpoints  

  • Incentive structures: best motivation practices for workers 

14:4515:00

Afternoon break

15:00 - 15:30

15:0015:30

Financial Activism: the impact investing opportunity for deeper risk mitigation

15:00 - 15:30

Eva Helene Yazhari

Co-founder and CEO

Beyond Capital

Eva Yazhari is a seasoned investor, conscious entrepreneur, author, and the General Partner of Beyond Capital Ventures, an early-stage impact venture capital fund offering a diversified portfolio of early-stage purpose-driven companies in "need-to-have" sectors in emerging markets. Previously, Eva was Vice President at EnTrust Capital Inc. Her team invested over $5 billion into top hedge funds. She specialized in due diligence, underlying fund portfolio analysis, and shareholder activism. 

Eva is an active investor and is pioneering equity and power transformation in venture capital at Beyond Capital Ventures, giving ownership to every founder in the portfolio. She is a member of YPO and co-chairs the YPO Impact Investing Initiative, in addition to serving on the executive committee of the Personal Investing Network. She serves on corporate boards including Viebeg Medical, Karma Healthcare, Redwing Labs, and Frontier Markets, along with the Barnard Athena Center. Eva is also the co-host of the Beyond Capital Podcast, founder of The Conscious Investor online magazine, and author of ‘The Good Your Money Can Do.’

15:4516:30

Net-Zero Portfolios: eliminating CO2 from your investments profile

15:45 - 16:30

  • Sector analysis: understanding some of the biggest emitters by industry 

  • Active management: stock selection based on ESG criteria 

  • Carbon offset: balances your portfolios emitters and reducers 

Mike Chen, PhD

Director, dynamic equity & lead portfolio manager, global sustainable equity

PanAgora Asset Management

Dr. Chen is a Director of Portfolio Management at PanAgora, and the lead portfolio manager for Global Sustainable Strategy. In this role, he is responsible for leading the development of PanAgora’s ESG strategy, including alpha research, portfolio management, and model and product development. He is also responsible for novel ML alpha research and model development in the Dynamic team and across the wider Equity group, and daily management of firm’s Dynamic portfolios. Dr. Chen’s research interests are in the areas of machine learning, ESG, and alternative datasets. In this capacity, Dr. Chen developed a novel ESG portfolio construction framework for which patent has been filed. Previously, he was a portfolio manager at PanAgora’s Stock Selector team.

Prior to joining PanAgora, Dr. Chen was a Portfolio Manager at BlackRock’s Scientific Active Equity (SAE) team, where his responsibilities include portfolio management and research into alpha insights for use across the entire SAE platform. While at SAE, Dr. Chen won “Signal of the Year” award for an alternative data signal he researched and developed. Prior to BlackRock, Dr. Chen worked at Google where he was a member of the team that managed Google’s fixed income investment portfolio. Dr. Chen started his career at Morgan Stanley in New York where he traded exotic US rates derivatives. While at Morgan Stanley, Dr. Chen researched, developed and patented a framework that allowed for pricing of derivatives based on two rate curves with dynamic multiplicative spread, one of the first such models on the street. 

Dr. Chen graduated from the University of Illinois in 2005 with a Ph.D. in Electrical and Computer Engineering, and has 14 years of financial industry experience. He has published in leading engineering and applied mathematics journals, and had been invited to talk at numerous academic and industry conferences.

 

               

08:5009:00

Day four - Opening remarks

08:50 - 09:00

09:0009:30

ML Modeling: what new innovations are improving risk management processes?

09:00 - 09:30

09:4510:30

Big Data Analytics: structuring a steady flow of information to optimize risk/reward

09:45 - 10:30

  • Data storage and connectivity
  • Data cleaning
  • Modeling outputs

10:3010:45

Morning break

10:20 - 11:00

10:4511:45

Fintech Pitches

10:45 - 11:45

Three pre-selected Fintech companies will have a chance to present in front of a panel of judges.  Each company will have ten minutes to present and then the panel will have ten minutes to ask questions.  At the end of all the presentations, the panel will suggest a winner.

12:0012:45

Lunch break

12:20 - 13:00

12:4513:30

Intraday capabilities: advancing to newly developed mid-day risk assessments

12:45 - 13:30

  • How is technology providing more insight to daily risks?
  • How will mid-day risk assessments change overall risk management strategies?

13:4514:15

Next-gen Stress Testing: how to automate further the modeling of doomsday events

13:45 - 14:15

14:1514:30

15-minute break

14:45 - 15:00

14:3015:15

Quantum possibilities: exploring the potential for quantum applications with the development of qubits

14:30 - 15:15

  • Real-time adaptation – how close are we to being able to adjust strategies to remain optimal in the face of market changes?
  • Cybersecurity – what sort of impacts will quantum computing have on data protection?