ALIGN WITH BOTTOM TRIM EDGE Risk management and risk transfer for … · 2017-08-22 · Risk management and risk transfer for banks and the buy-side New York Marriott Marquis, October

Risk management and risk transfer for banks and the buy-side

New York Marriott Marquis, October 20–23

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riskusa.com

To registerJason CohenDelegate CoordinatorT: +1 (646) 755-7374E: [email protected]

Sponsorship opportunitiesMichael SimoneBusiness Development ManagerT: +1 646 736 1860 E: [email protected]

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Risk USA is Risk’s flagship annual conference for senior directors in risk management, derivatives trading and regulatory compliance. This 21st annual gathering is the eminent risk management event for top tier Wall Street banks, buy-side and regulators. The highest quality of content presented by the finest in the industry has been developed following months of meticulous research with senior executives and driven by the sophisticated editorial intelligence and insight for which Risk is renown.

Keynote speakers:

@RiskConfs

Repos market / Sefs and clearing / XVA trading / Investment risk / Resolutions / Market finance / Liquidity and stress testing / Risk culture and governance / Market structure / Bitcoin: risks and opportunities

Alex Batlin, Group Chief Technology Officer, Applied Innovation (R&D) and Market Research Director, UBS

Darrin Benhart, Deputy Comptroller for Supervision Risk Management, OFFICE OF THE COMPTROLLER OF THE CURRENCY

Timothy G. Massad, Chairman, U.S. COMMODITY FUTURES TRADING COMMISSION

Barbara G. Novick, Co-founder and Vice Chairman, Member of Global Executive and Global Operating Committees, Chair of the Government Relations Steering Committee, BLACKROCK

Patrick Pinschmidt, Deputy Assistant Secretary, U.S. TREASURY DEPARTMENT

Daniel Riordan, Chief Executive Officer, Global Corporate in North America, ZURICH INSURANCE

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#RiskUSA

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What’s in it for you? Who should attend?

• Be part of the leading risk management conference in the market• Learn from industry’s leading thought leaders • Hear about the latest challenges and best practices from your peers• Network and engage with over 350 senior risk directors • Strengthen your skills to better protect your organization • Learn about the senior management reporting expectations • Find out what are the true performance objectives • Discover the key areas to focus on in the next year • Hear from 80+ speakers • Take advantage of four days, eights streams, four workshops and a brand

new summit agenda• Hear from top US regulators on the latest initiatives impacting your

organization • Find out who are the new liquidity providers • Address your concerns around trading repos, swaps futures and MAC trades • Hear the latest quantitative research in XVA

This conference will be valuable to practitioners and will provide thought leadership in risk management, portfolio management and quantitative finance; it will be of the upmost relevance to those business leaders working in the following types of institutions:

• Top tier banks • Asset management firms • Hedge funds • Regional and community banks • Regulatory bodies• Institutional investors • Consultants and financial advisors • Software and technology providers

Hundreds will gather at Risk USA this October to debate the impact of changes to the market structure, liquidity provision and new market maker positions. Discussions will arise around the struggles in the repo market, swaps futures and market finance trading. Latest regulatory initiatives from the CFTC, OCC, The Federal Reserve Bank of New York, FDIC and US Treasury amongst many others are not to be missed … see overleaf for full conference program and NEW conference additions for this year!

What’s in it for you

350+attendees

8interchangeable

streams of content

80+speakers

9+networking breaks

6keynote speakers

4separately

bookable workshops

ERM & ALM forRegional Banks Summit



Speakers

Andrew Gracie, Executive Director, Resolution Directorate, BANK OF ENGLAND

Christopher Finger, Associate Director, FEDERAL RESERVE BOARD

Philippa Girling, Business Chief Risk Officer, CAPITAL ONE

Oliver Frankel, Managing Director, Head of Central Counterparty Risk, GOLDMAN SACHS

Chris Perkins, Managing Director and Global Head of OTC Clearing, CITI

Frederic Dassori, Head of US Principal Rates Electronic Trading, CREDIT SUISSE

Paul Bowmar, Managing Director, Head of Fixed Income, CVA Trading and Credit/Rates/FX Hybrid Trading, Americas, BNP PARIBAS

Hilmar Schaumann, Head of Risk Management, New York, BREVAN HOWARD

Ed Fishwick, Managing Director, and Global Co-Head of Risk & Quantitative Analysis, BLACKROCK

Margaret Kerins, Managing Director, Group Head Fixed Income Strategy, BMO CAPITAL MARKETS

Stefano Bellani, Managing Director, Global Head of Lending, JPMORGAN

Joseph Ceonzo, Head of Enterprise Risk Management, LAZARD

Tracy Rucker-Wilson, Head of Investment Risk, VANGUARD

Brian Weinstein,

Managing Partner, BLUE ELEPHANT CAPITAL MANAGEMENT

Art Murton, Director, Office of Complex Financial Institutions, FDIC

Kelsey Biggers, Global Head of Performance Analysis and Investment Risk (PAIR), FRANKLIN TEMPLETON

Patrick McKenna, Chief Risk Officer, CIBC WEALTH MANAGEMENT

Anthony Cucinotta, Head of Trading, CAPITAL ADVISORS GROUP

Paul Hamill,

Global Head of FICC, Execution Services, CITADEL

Stephan Meili, Managing Director, Risk Management, CITI



8:00 Registration and breakfast

8:50 WELCOME ADDRESS: Duncan Wood, Editor-in-Chief, RISK MAGAZINE

9:00 KEYNOTE ADDRESS: Timothy G. Massad, Chairman, U.S. COMMODITY FUTURES TRADING COMMISSION

9:40 KEYNOTE ADDRESS: The economic collapse of Greece and Puerto RicoDaniel Riordan, Chief Executive Officer, Global Corporate in North America, ZURICH INSURANCE

10:20 Five new investment trends and how they will affect how you manage risk Remy Briand, Managing Director, Global Head of Research, MSCI

11:00 Morning coffee break

SAVING THE REPO MARKET

SEFS AND CLEARING XVA INVESTMENT RISK

11:30 Chairman’s opening remarks: Chairman’s opening remarks: Chairman’s opening remarks: Chairman’s opening remarks:

11:40 Regulatory concerns around repo market• How to bring the buy-side

(non-dealer clients) to repo clearing (Repo CCP)?

• New risks of Triparty Repo Reform

• New market risks of bankruptcy stay (FDIC, SIFI, FSOC)

• Direct Lending, transacting securities borrows between collateral provider beneficial owners and outright shorts

• Synthetic repo• Participation in Fed’s RRPAntoine Martin, VP, Head of Money and Payments Studies Function, FEDERAL RESERVE BANK OF NEW YORK

PANEL: Reviving swap futures and MAC trading• Why are they not taking off?• MAC trades (Mutually

Agreed Coupon) – size, availability and standardized products

• What are the risks involved?Braj Agrawal, Managing Trader, Derivatives, COLUMBIA THREADNEEDLE INVESTMENTSVincent McGonagle, Director of the Division of Market Oversight, CFTCFurther speakers to be confirmed, please visit riskusa.com for updates

Challenges faced managing an XVA desk• Review of XVA• Different perspectives:

Accounting, capital, risk and return over life of trade

• Situations that challenge ‘standard’ pricing and hedging

Paul Bowmar, Managing Director, Head of Fixed Income, CVA Trading and Credit/Rates/FX Hybrid Trading, Americas, BNP PARIBAS

Machine intelligence for market regime detection• Identify analogues across

market regimes leveraging all available data

• Reveal market relationships and opportunities missed by specific queries

• Rapidly understand implications of today’s conditions for future risks and returns

Carl Dietz, Principal Solution Architect, Financial Services, AYASDI

Day 1, October 21, 2015



12:20 PANEL: Repo clearing for the buy-side Jeff Kidwell, Head of Repo, AVM LP Michael O’Brian, Director of Global Trading, EATON VANCEFurther speakers to be confirmed

PANEL: Operating in the new SEF world• Impartiality of access and

how this has changed the market?

• What technological innovations are being put forward to help source liquidity and reduce costs?

• What trading or access models from other markets can be adopted for swaps trading?

• How are firms determining which SEFs to connect to?

• What have we learnt in SEFs trading so far?

Speakers to be confirmed, please visit riskusa.com for updates

PFE, CVA and WWR analytics: making quants life easier without losing quality• Analytic formula for

“amortization” effect enabling generic PFE profiles

• Analytic expressions for CVA with/without correlation of exposure with the counterparty credit quality

• Simple analytic estimator for WWR impact on CVA and its upper and lower bounds

Mark Syrkin, Financial Institution Supervision Group, FEDERAL RESERVE BANK OF NEW YORKAli Shirazi, Senior Examiner, FEDERAL RESERVE BANK OF NEW YORK

PANEL: Cross asset risk aggregation• Best metrics• How to create an accurate

VaR?• How do you handle a

portfolio of fundamentally based assets idiosyncratic in nature?

• How do you integrate risk in the portfolio?

Moderator: Wayne Dahl, Chief Risk Officer, PROSIRIS CAPITAL MANAGEMENTTim Grant, Managing Director, UBS O’CONNOR Stephan Meili, GManaging Director, Risk Management, CITIHilmar Schaumann, Head of Risk Management, New York, BREVAN HOWARD

1:00 Lunch

2:00 PANEL: Banks on the future of repos market and securities lending• The future for repos market

and securities lending• Why is the financing market

shrinking? How is regulation changing the way we think about this business ?

• What is driving the funding and the financing activity from banks? What about expected impacts from LCR, Leverage Ratio and NSFR implementation?

• Are the low interest rates impacting the market functioning?

• What about cleared repo and securities lending?

• Is there a different business model to manage capital allocation?

Stefano Bellani, Managing Director, Global Head of Lending, JPMORGANMaureen Coen, Managing Director, FID Treasurer and Head of Repos, CREDIT SUISSEFurther speakers to be confirmed, please visit riskusa.com for updates

PANEL: Banks vs. clearing houses • Should banks have more

‘skin in the game’?• When things go wrong, why

should bank be charged the most?

• Should risk be neutralized and the default system reformed?

Massimo Cutuli, Senior Risk Manager, Global Head of Derivatives Clearing Risk, GOLDMAN SACHS Chris Perkins, Managing Director and Global head of OTC Clearing, CITIFurther speakers to be confirmed, please visit riskusa.com for updates

Evolution of the capital standards for the trading book• Expected shortfall• Backtesting• P&L attribution• The standardized approachChristopher Finger, Associate Director, FEDERAL RESERVE BOARD

New regulations for asset management products and services • The Financial Stability

Oversight Council new regulations in Notice (seeking public comment)

• Public comment regarding potential risks to U.S. financial stability from asset management products and activities – what are those?

• Potential risks associated with liquidity and redemptions, leverage, operational functions, and resolution in the asset management industry – what is our input to far?

Speaker to be confirmed, please visit riskusa.com for updates




2:40 The state and the future of the repo market • How has the repos market

transformed• Why is the market

shrinking?• The impact of new

regulation on the repo market

• Distortions in the repo market

• The future of the repo market

Scott E.D. Skyrm, Managing Director, Fixed Income Financing, Futures, And Rates, WEDBUSH SECURITIES

CCP waterfalls: resilience and recovery• A CCP is a mutualized

enterprise, supported by the willingness and ability of its members

• How resilient are CCP waterfalls, and how can they be strengthened?

• What are the options for recovery tools if a member default exhausts resources?

• How is member willingness and ability to support the CCP maintained in recovery?

Oliver Frankel, Managing Director, Head of Central Counterparty Risk, GOLDMAN SACHS

Valuations from a swap dealer perspective • Pricing risk for CVA, FVA,

DVA, KVA• How do you predict long

terms capital consumption?• Are all valuations important

at various level of maturity?• How much capital will your

trades consume and how will your models adapt

• What would be your guess work for the next 10 years in terms of capital requirements?

Speakers to be confirmed, please visit riskusa.com for updates

CASE STUDY: Non-traditional approach to risk models • The analysis of a well-

diversified fund of funds portfolio and its behavior under different volatility levels

• How do they behave in high and low volatility levels?

• How do they behave independently?

• What are the underlying economic factors?

Amit Deshpande, Head of Investment Risk, CHARLES SCHWAB INVESTMENT MANAGEMENT

3:20 PANEL: New details on how repo CCPs would work?• Benefits offered by the CCP• Regulatory point of view• What are the limitations it

may bring: costs, limitation of types of collateral assets, may not be suitable for all players (e.g. Repo market impacts)

• Who will use and who will not and why? What are the circumstances?

Robert P. Burke, Managing Director, Head of Global OTC Clearing, BANK OF AMERICA MERRILL LYNCHChris Perkins, Managing Director and Global head of OTC Clearing, CITIFurther speakers to be confirmed, please visit riskusa.com for updates

Bilateral OTC derivatives: termination, valuation, netting, closeout, netting opinions• Netting opinions and

jurisdictional considerations • Valuation at termination:

case law issues; regulated aspects

• Other issues Speaker to be confirmed, please visit riskusa.com for updates

Adding KVA and MVA to XVA framework• XVA framework• Economic and accounting

FVA • Capital and KVA • Margin and MVASerguei Issakov, Global Head of Quantitative Research, NUMERIX

LCR, banking supervision and capital buffers to withstand serious economic shock• Loss absorbing capital

calculation• Long term capital needs

under different scenariosJimmy Yang, Managing Director, Credit and Operational Risk Analytics, BMO FINANCIAL GROUP

4:00 Afternoon coffee break

4:20 KEYNOTE ADDRESS: Addressing risks in asset managementBarbara G. Novick, Co-founder and Vice Chairman, Member of Global Executive and Global Operating Committees, Chair of the Government Relations Steering Committee, BLACKROCK

5:00 KEYNOTE ADDRESS: Changes in the market structure and their implications for financial stability Patrick Pinschmidt, Deputy Assistant Secretary, U.S. TREASURY DEPARTMENT

5:40 CLOSING REMARKS: Duncan Wood, Editor-in-Chief, RISK MAGAZINE

5:50 Drinks reception




7:45 BREAKFAST BRIEFING: Applications of algorithmic differentiation to portfolio risk management Optimal hedging; Risk reprojection; Hedging stabilityRussell Goyder, Director of Quantitative Research and Development, FINCAD



9:00 KEYNOTE: Settlement for digital currency • Payment vs payment losses and settlement issues• Reducing average settlement time and ways to reduce that• Bitcoins settlement and transformation the way they are being traded, cleared and settledAlex Batlin, Group Chief Technology Officer, Applied Innovation (R&D) and Market Research Director, UBS

9:40 PANEL: Bitcoin on Wall Street – risks and opportunities • How do digital currencies fit into the modern investment portfolio?• Understanding bitcoin derivatives and asset-backed coins • Technology underpinning the use of the virtual currency• Lessons learnt in the post-trade derivatives space• Exchanges and CCPs views• Current use and future potential for bitcoin transactionsBrian Kelly, Investor, Author and Financial Markets Commentator, BRIAN KELLY CAPITALJoshua Lim, Head of Treasury and Trading Operations, CIRCLE INTERNET FINANCIALTim Swanson, Blogger and Author of ‘The Anatomy of a Money-like Informational Commodity: A Study of Bitcoin’Further speakers to be confirmed, please visit riskusa.com for updates

10:20 Evolution of model risk management in banks• Regulatory expectations• Strengthening defence mechanisms and creating the right culture• Quantifying model risk• Model documentation: and its importance as an effective MRM tool• Challenges and key futuristic trendsAnshuman Prasad, Director, Risk and Analytics, CRISIL GLOBAL RESEARCH AND ANALYTICS


RESOLUTIONS MARKET FINANCE LIQUIDITY RISK AND STRESS TESTING

RISK CULTURE AND GOVERNANCE

11:30 Chairman’s opening remarks: Chairman’s opening remarks: Chairman’s opening remarks: Chairman’s opening remarks:

11:40 CCP resolution • What is the plan for CCP

resolution?• Central counterparty recover

process • Key principlesAndrew Gracie, Executive Director, Resolution Directorate, BANK OF ENGLAND

PANEL: Regulatory response to market finance• Growing risks and effects

of non-dealers providing liquidity

• Liquidity mismatch in mutual funds’ portfolios

Maggie Sklar, Senior Counsel, Office of Commissioner Wetjen, CFTCJustin Slaughter, Chief Policy Adviser and Special Counsel, Office of Commissioner Bowen, CFTCFurther speakers to be confirmed, please visit riskusa.com for updates

PANEL: Bond market behavior and managing the impact of an interest rate hike• What does a normal rate

look like?• How big of a disruption

should we expect? • Stress testing for the best

and worst case scenario• What will happen to asset

correlations and their prices?• Assumptions you need to

makeMichael Cloherty, Head of U.S. Rates Strategy, ROYAL BANK OF CANADAMargaret Kerins, Managing Director, Group Head Fixed Income Strategy, BMO CAPITAL MARKETS Brian A. Kinney, Managing Director, Global Head of Fixed Income Beta, Global Fixed Income, Cash and Currency, STATE STREET GLOBAL ADVISORSFurther speakers to be confirmed, please visit riskusa.com for updates

PANEL: Measuring and demonstrating value of the risk department• How much risk are you willing

to tolerate?• How many details should

you share with senior management?

• What senior management wants from risk department?

• How regulations are changing current risk management practices

Moderator: Greg Strassberg, Managing Director, Head of Risk, ARDEN ASSET MANAGEMENT Saad P Aslam, Global Head Credit Risk Review, Chief Risk Officer Division, CREDIT SUISSEJoseph Ceonzo, Head of Enterprise Risk Management, LAZARDTracy Rucker-Wilson, Head of Investment Risk, VANGUARDPatrick Trew, Chief Risk Officer, CQS




12:20 Structural changes in bank resolution • ISDA resolution protocol• Writing down liabilities• What happens when a bank

fails?• Resolution proceedings

and the bankruptcy process - how do they work in practice?

Art Murton, Director, Office of Complex Financial Institutions, FDIC

PANEL: Has Peer-to-Peer lending turned into hedge fund to customer lending? – risks and opportunities • What are the risks

implications• Market demand• Trends, customer credit and

exit strategies• Tried and true methodologies• High frequency lending and

providing trading securitiesRob Snow, Co-Founder, Managing Member, CARILLON CAPITALBrian Weinstein, Managing Partner, BLUE ELEPHANT CAPITAL MANAGEMENTFurther speakers to be confirmed, please visit riskusa.com for updates

Liquidity in fixed income portfolios• Liquidity in bond portfolios

and how to measure it? • Regulators vs what firms

are doing • How do I know how liquid my

position is?• Guess work and intelligent

estimates• New regulatory expectations

to develop better estimates • Industry standardsKelsey Biggers, Global Head of Performance Analysis and Investment Risk (PAIR), FRANKLIN TEMPLETON

Model risk appetite, management and governance • Regulatory compliance and

model validation techniques • Justifying assumptions

made • When and how escalate and

inform management Speaker to be confirmed, please visit riskusa.com for updates

1:00 Lunch

2:00 Resolution: What financial interconnections exist between an asset manager and the investment vehicles it manages• To what extent could it result

in the transmission of risk?• Do market practices

ensure that any financial interconnections are sufficiently documented?

• If an asset manager or affiliate were to become insolvent do they declare bankruptcy, or announce intent to close?

Lourenco Miranda, Managing Director, Global Head of Operational Risk Quantification, Economic Capital, Loss Data Collection and CCAR, AIG

SiFi regulation and requirements• Requirements by FSOC,

Fed, Basel• New rules for asset

managers• Are the big asset

management firms also too big to fail?

• Buy-side view on the new market structure

• The future for buy-side firmsAnat R. Admati, George G.C. Parker Professor of Finance and EconomicsGraduate School of Business, STANFORD UNIVERSITY

Liquidity risk management for investment funds• Why liquidity has become

such an important issue• Reconciling the views of

compliance vs portfolio management functions· Liquidity Risk Management Framework

• Asset Liquidity Profile• Investor Liquidity Profile and

Redemption Analysis• Reporting and Stress TestingRoderick Fisher, Head of Regulatory and Industry Standard Risk Solutions, STATE STREET GLOBAL EXCHANGE

PANEL: Standardized regulatory risk reporting• Regulatory standards

recommended to everyone • Heightened standards for

the buy-side with limited resources and meeting these demands

• What can the buy-side do meet these multiple requests?

• How to measure and report liquidity?

• Each institution has its own platform what creates difficulty to create a uniform framework and oversight in risk reporting. How can we overcome that?

Massimo Cutuli, Senior Risk Manager, Global Head of Derivatives Clearing Risk, GOLDMAN SACHSPatrick McKenna, Chief Risk Officer, CIBC WEALTH MANAGEMENTFurther speakers to be confirmed, please visit riskusa.com for updates




2:40 US orderly resolution (ORL) and what it means for banks• What does it mean for a bank

to be subject to resolution?• How can a bank failure be

managed without hiccups?• SEC new rules for the

buy-side• Obstacles to an orderly

resolution?’Speaker to be confirmed, please visit riskusa.com for updates

PANEL: The future of credit markets • New capital rules • Platform types. styles of

trading and trading protocols • New credit markets • Are we about to jump into

dark pools? • Cross border trading • Nishant Upadhyay, Portfolio

Manager, PIMCO Anthony Cucinotta, Head of Trading, CAPITAL ADVISORS GROUP Zack Ellison, Director, U.S. Public Fixed Income, SUN LIFE INVESTMENT MANAGEMENTMichael Nappi, Senior Investment Grade Trader, EATON VANCE

Effective stress scenario design• Scenario design for stress

testing• What to stress in a stress

scenario?• Performance measurement

in the CCAR WorldAtul Gupta, Managing Director, Risk Capital and Stress Testing, MUFG UNION BANK, N.A.

Macro trading and political risk• Chinese bubble• Turmoil in Greece• Swiss/Euro peg• Fed tightening (?)Steven Geovanis, Managing Director, Chief Risk Officer, LYXOR ASSET MANAGEMENT


3:40 AFTERNOON KEYNOTE: Key risks facing the banking sectorDarrin Benhart, Deputy Comptroller for Supervision Risk Management, OFFICE OF THE COMPTROLLER OF THE CURRENCY

4:20 PANEL: Navigating market liquidity • New swap market makers, liquidity providers and their shifting roles• How different are the new market makers to traditional bank providers?• How much bank liquidity vanished fromb the market since 2008?• Future of the market, opportunities and concerns • Efficient and practical solutions to ensure the buy side can trade in and out of large positionsModerator: Roderick Fisher, Head of Regulatory and Industry Standard Risk Solutions, STATESTREET GLOBAL EXCHANGE Frederic Dassori, Head of US Principal Rates Electronic Trading, CREDIT SUISSE Paul Hamill, Global Head of FICC, Execution Services, CITADELUzi Rosha, Global Chief Compliance Officer, CARGILL RISK MANAGEMENT


End of the Risk USA conference

riskusa.com


October 20, New York



9:00 KEYNOTE: Adapting to changing market structureSpeaker 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


10:50 Living and breathing risk appetite and risk policies in the first linePhilippa 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 testingJonathan G Harris, VP-Quantitative Modeling Balance Sheet Management, CAPITAL ONE

12:10 PANEL: 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 toleranceHeyna Deepa Patel, Senior Vice President, Senior Segment Risk Manager, THE HUNTINGTON NATIONAL BANKFurther speakers to be confirmed, please visit regional-bank-summit.com for updates

12:50 Lunch

1:50 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 modelsPiero Monteverde, Vice President, Divisional Model Risk Officer, Model and Data Risk Management, CAPITAL ONE

2:30 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 standardsDan Takah, Senior Risk Director, ALLY BANK


3:30 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 toleranceRobert J. Gerden, Global Financial Services Risk Executive and Author

4:10 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 FINANCIALPhilippa Girling, Business Chief Risk Officer, CAPITAL ONE Further speakers to be confirmed, please visit regional-bank-summit.com for updates


5:00 End of summit

regional-bank-summit.com





Pre-conference workshops: October 20, New York

WORKSHOP 1: XVA


9:00 CCR analytics: heuristics, estimates and exact solutions (Historical perspective and recent results)• Potential exposure estimation: discrete vs

continuous models• Measure choice: historical vs artificial/implied• From VaR to EST• Adjustments: the world of XVAs (CVA, FVA, etc.)• Correlations: • Exposure-default correlations: WWR models• Default-default correlations: portfolio effectsMark Syrkin, Financial Institution Supervision Group, FEDERAL RESERVE BANK OF NEW YORKAli Shirazi, Senior Examiner, FEDERAL RESERVE BANK OF NEW YORK


11:00 The black art of FVA/KVA• Capital impact of aggregation choices: Funding

sets versus netting sets• Wealth conservation: CVA/DVA and FVA/FDA• KVA: profit provisioning and reported earnings• Funding curves: internal blend or a CDS spread

curve?Claudio Albanese, Chief Executive Officer, GLOBAL VALUATIONS LIMITED

12:30 Lunch

1:30 XVA systems for front desk applications• CVA, FVA, MVA, LVA• Netting-set versus funding-set level aggregation• Incremental XVA metrics• Batch and cubes versus real time in-memory

systemsClaudio Albanese, Chief Executive Officer, GLOBAL VALUATIONS LIMITED


3:30 XVA systems for risk management applications• Economic Capital models and KVA• Reverse stress testing and credit limits• Model risk• Orchestrating nested simulationsClaudio Albanese, Chief Executive Officer, GLOBAL VALUATIONS LIMITED

5:00 End of workshop

WORKSHOP 2: KEY COMPONENTS OF AN EFFECTIVE OPERATIONAL RISK FRAMEWORK

Rajat Baijal, Head of Operational Risk and Control, CANTOR FITZGERALD / BGC PARTNERS


9:00 Introduction• Background on operational risk• Operational risk evolution, recent industry events• Key challenges in the global landscape• Regulatory concerns• Risk reward argument• Conduct Risk / culture of the firm


11:00 RCSA• Critical aspect of operational risk framework• What does a good RCSA look like?• Management buy in / cultural issues• Tackling the ‘self-assessment’ issue• “Don’t Reinvent The Wheel” - avoid silos; work with

other risk and control functions• Key Risk Indicators

12:30 Lunch

1:30 Risk event management • Challenges around measuring op risk• Big data analytics and how do you use it for

operational risk• How business units run RCSA based on the loss

distribution process?• Analytics for best operational risk execution, how

data is being factored and being remediated by business units

• Why risk event quality and quantity is critical• What does a robust risk event management

process look like• Importance of external data


3:30 Scenario analysis• Quantifying operational risk, regulatory

requirements• Operational risk modeling• How does RCSA and risk event management help?• Assisting good risk management• Governance and senior management buy in




WORKSHOP 3: MODEL RISK MANAGEMENT

Led by: Agus Sudjianto, Ph.D, EVP Head of Corporate Model Risk, WELLS FARGO


9:00 Setting enterprise model risk management framework• Background on model risk management• Governance structures, organization, roles and

responsibilities• Policy and standards• Managing model inventory• Model risk management system• Risk appetite and management reporting• Incentive and model risk management culture


11:00 Model development and validation• Model development standard and requirement• Model validation standard and approach• Enhancing credible challenge through independent

testing and benchmarking• Issue management • ·Peer review• ·Resource and project management

12:30 Lunch

1:30 Managing model use risk • On-going monitoring and annual review• Oversight of model use: model mandate and its

oversight • Change control• Managing overlay for risk in model and risk not in

model


3:30 Stress testing and CCAR• Managing models to support CCAR process• Boundary of quantitative tools (models and non-

models) in CCAR submission• Champion and challenger models• Key attributes and characteristics of stress test

models• Validating stress test models• Model and result challenge process• Model risk narratives


WORKSHOP 4: COLLATERAL RISK MANAGEMENT


9:00 Accommodating new and existing regulations for margin rules • How are we going to address new regulations?• Solutions to reduce margin calls• Best practices for non-cleared margin• Best practices for compliant operationsAamer H. Quadri, SVP, Global Head of Collateral Management, NORTHERN TRUST


11:00 Aligning the internal interests and governance • Capital leverage, liquidity and the need to optimize

processes across the enterprise before you can optimize collateral

• Managing front-to-back, across silos and pools• Managing the conflicts – the changing treasury

functions and collateral needs of the business lineSpeaker to be confirmed, please visit riskusa.com for updates

12:30 Lunch

1:30 Best practice for better collateral management • CCP and client collateral• Operational trends for margin operations on the

buy-side, internally or outsourced solutions?• Best practice for the initial margin process for

uncleared trades, especially the impact on the buy-side

• Benchmark best practices in centralization of the view and supply of available assets across the organization for most effective allocation

Speaker to be confirmed, please visit riskusa.com for updates


3:30 Worry-free liquidity • Identify and understand the drivers of an evolving

liquidity landscape• What and where is the entwinement of collateral,

data, and liquidity?• What are the potential problems and negative

externalities of a more regulated marketplace?• Best practice for strategic implementation of robust

liquidity solutionsMichael Landolfi, Product Development and Strategy Manager – Markets Group, BNY MELLON


Post conference workshops: October 23, New York



Sponsors

Lead sponsor MSCI Inc. is a leading provider of investment decision support tools to investors globally,

including asset managers, banks, hedge funds and pension funds. MSCI products and services include indexes, portfolio risk and performance analytics, and ESG data and research. The company’s flagship product offerings are: the MSCI indexes with over USD 9 trillion estimated to be benchmarked to them on a worldwide basis1; Barra multi-asset class factor models, portfolio risk and performance analytics; RiskMetrics multi-asset class market and credit risk analytics; IPD real estate information, indexes and analytics; MSCI ESG (environmental, social and governance) Research screening, analysis and ratings; and FEA valuation models and risk management software for the energy and commodities markets. MSCI is headquartered in New York, with research and commercial offices around the world. 1As of March 31, 2014, as reported on June 25, 2014, by eVestment, Lipper and Bloomberg. msci.com

Presentation sponsors

Ayasdi is on a mission to make the world’s complex data useful by automating and accelerating insight discovery. The company’s Machine Intelligence software employs Topological Data Analysis (TDA), to simplify the extraction of knowledge from even the most complex data sets confronting organizations today. Developed by Stanford computational mathematicians, Ayasdi’s approach combines machine learning algorithms, abundant compute power and topological summaries to revolutionize the process for converting data into business impact. Ayasdi is funded by leading venture capitalists including Khosla Ventures, Institutional Venture Partners, FLOODGATE, Kleiner Perkins, Citi Ventures, Centerview Capital and Draper Nexus. The company counts many of the Fortune 500 as clients. ayasdi.com

CRISIL Global Research & Analytics (GR&A) is the world’s largest and top-ranked provider of high-end research and analytics services. We are the world’s largest provider of equity and credit research services. We are also the foremost provider of end-to-end risk and analytics services to trading and risk management functions at world’s leading financial institutions and corporations. We offer corporate strategy, competitive intelligence and key account management support to corporations globally. We operate from research centers in Argentina, China, India and Poland, working with our clients across several time zones and in multiple languages. We are proud to be an organization that has the vision to proactively investing in its people and get them future-ready. We are committed to delivering cutting-edge analysis, opinions, and solutions. This is in line with our goal of ‘making markets function better’. We have the largest teams of equity and fixed income analysts, quantitative, regulatory, risk and actuarial specialists in the world outside of banks. Our employee base comprises over 2300 people, 75% of whom hold advanced degrees in finance, accounting (CFAs), risk management (FRM etc.), quantitative techniques, pure sciences (PhDs) and management (MBAs). crisil.com

Numerix is the leading provider of analytics software and services for structuring, pre-trade pricing and analysis, trade capture, valuation, and risk management, with support for commodities, credit, equities, fixed income, foreign exchange, inflation, and hybrid instruments. Founded in 1996, Numerix has over 700 clients and 50 partners across more than 25 countries.

For more information please contact [email protected] numerix.com

Protiviti is a global consulting firm that helps companies solve problems in finance, technology, operations, governance, risk and internal audit. Through our network of more than 70 offices in over 20 countries, we have served more than 60 percent of FORTUNE 1000® and 35 percent of FORTUNE Global 500® companies. We also work with smaller, growing companies, including those looking to go public, as well as with government agencies. Named one of the 2015 Fortune 100 Best Companies to Work For®, Protiviti is a wholly owned subsidiary of Robert Half (NYSE: RHI). Founded in 1948, Robert Half is a member of the S&P 500 index. protiviti.com



State Street Global ExchangeSM combines information and insights, investment analytics and data solutions to help zero in on the opportunities and actions that will generate the most value. We provide tools to help asset owners and managers decide their strategy and put it into action. Our research and insights challenge investment approaches, while our information, data management and analytics tools show results and help manage risk. We’re also focused on using client insights to enhance our technology. By automating processes, we provide more real-time data and offer greater risk management across portfolios. Improving our own infrastructure not only enhances security: it helps us bring powerful, scalable tools to clients faster than ever. You need to identify those kernels of actionable insight that differentiate your offerings to those of your competitors. We’ll work closely with you to help mitigate risk, manage your data and put it to work. statestreet.com

Breakfast briefing sponsor

FINCAD provides innovative and trusted financial analytics software to organizations worldwide. With deep market understanding, a client-centered business approach, and unmatched quantitative and software engineering expertise, FINCAD is uniquely positioned to lead the market in enterprise valuation and risk technology. FINCAD serves more than 1,000 organizations across the globe. fincad.com

Co-sponsors

Axioma is a leading provider of decision support, risk analysis and portfolio rebalancing tools. The Axioma Robust Risk Model suite features daily updates of all model components, fundamental and statistical factors and complete factor transparency. Axioma Portfolio Optimizer is the most flexible portfolio construction and rebalancing tool available, offering hundreds of constraint and objective combinations, for any investment strategy. These products, along with the new Axioma Risk Model Machine, Axioma Backtester and Axioma Portfolio-Analytics, help clients to manage risk, increase returns and improve operational efficiency. Axioma is headquartered in New York with offices in Atlanta, Singapore, Hong Kong, San Francisco, London, Geneva and Sydney. axioma.com

Bosch Financial Software, a subsidiary of Robert Bosch, designs, develops, markets, and implements innovative software solutions and technologies for banks and insurance companies worldwide. Fields covered by the company include credit and risk management, compliance, financial spreading and stress testing as well as specific process solutions for insurance companies. Bosch Financial Software employs associates at locations in Chicago, Germany and Singapore. For information on our products and services please visit our website at bosch-fs.com.

Sponsors



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ALIGN WITH BOTTOM TRIM EDGE Risk management and risk transfer for … · 2017-08-22 · Risk management and risk transfer for banks and the buy-side New York Marriott Marquis, October