Global Risk Regulation Summit - Informa Connect · 17:15 Profitability Challenges in Banking and the Strategic Role of the Risk Management Function Overcoming IFRS9 and Regulatory

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Information Classification: General

Global Risk Regulation Summit Ballroom 1 & 2

Monday 2 December 2019

08:25 Registration & refreshments: Ballroom 4 & 5

08:55 Chair’s opening address Thomas Poppensieker, Senior Partner, Munich, McKinsey

Maintaining financial stability in light of political, technological and cultural developments

09:05 European Central Bank Address Forging a European banking market How can supervisors and banks promote a culture of strong governance and ethical behaviour? Stefan Walter, Director General, European Central Bank

09:35 FRB address Enhancing Transparency in Supervision Expectations Working together to create shared expectations, collaboration and communication to limit surprises, reduce risk and improve outcomes Michael Johnson, Executive Vice President, Supervision, Regulation & Credit, Federal Reserve Bank of Atlanta

10:15 AI in Financial Services – risks and opportunities Karen Croxson, Head of Research & Deputy Chief Economist, FCA

10:45 Morning break: Ballroom 4 & 5

Scanning the regulatory horizon

11:15 Practitioner panel Managing regulatory convergence Dealing with the interplay between Regulatory capital, IFRS9, FRTB, Stress testing Fernando de la Mora, Managing Director, Head of A&M Spain & Portugal, Alvarez & Marsal Adolfo Montoro, Director, Global Head of Market Data Strategy & Analytics, Deutsche Bank Adrian Docherty, Managing Director, Head of Bank Advisory, BNP Paribas Lorenzo Liesch, Head of Risk Methodology, UniCredit Richard Gray, Deputy Director, Regulatory Affairs Department, Institute of International Finance

11:45 Practitioner panel Basel IV & business as usual Overcoming implementation & interpretation challenges as we transition Basel IV into the firm’s business as usual Piet Mandeville, Product Director – Risk, Empyrean Frankie Phua, Head of Group Risk Management, UOB Kenji Fujii, Member of the Board of Directors & Head of Global Risk Management, Mizuho Securities Bo Boisen, Head of Strategic Projects, Nordea Bank Katherine Wolicki, MD, Head of Regulatory Strategy and Liaison for WMR, HSBC

12:15 The 2020 EU-wide stress test Understanding the next exercise and options for the future Mario Quagliariello, Director of Economic Analysis and Statistics, European Banking Authority

12:45 Lunch: Ballroom 4 & 5

Regulatory developments: getting down to the detail

13:45 Analysing the financial stability implications of innovation Klaas Knot, President, De Nederlandsche Bank

14:15 Looking Forward to Backward-Looking Rates: A Modelling Framework for Term Rates Replacing LIBOR Andrei Lyashenko, Head of Market Risk and Pricing Models, QRM



14:45 ISDA Address IBOR transition Exploring the technical challenges & understanding the fall-back arrangements of transitioning to the new risk-free rate Gregg Jones, Director, Risk & Capital, ISDA Rick Sandilands, Senior Counsel, Europe, ISDA

15:15 Practitioner panel Regulating robots… How can we effectively and ethically regulate Machine Learning and AI moving forward? Hedwige Nuyens, Managing Director, IBFed Peter Beardshaw, Managing Director Finance & Risk, Accenture Brad Carr, Senior Director, Digital Finance, Institute of International Finance Andrew Cross, Director of Financial Risk & Analytics, RBS Debbie Toennies, Managing Director – Head of Regulatory Affairs, J.P. Morgan

15:45 Afternoon break: Ballroom 4 & 5

16:15 US political risks in a disruptive age Jon Lieber, Principal, Economics and Statistics, Washington National Tax Service, PwC

16:45 Is clearing regulation done? Ulrich Karl, Head of Clearing Services, ISDA

17:15 Profitability Challenges in Banking and the Strategic Role of the Risk Management Function Overcoming IFRS9 and Regulatory Capital volatility issues & adapting business models and strategies for sustainable profitability Hanna Saraf, Group Chief Risk Officer, BankMed

17:45 Chairman’s closing remarks

17:50 -

19:30

Summit drinks reception: Twenty Third Bar Champagne roundtables - Meerman 1 & 2 1. Managing bank’s business model risks in changing competitive environments - Tomoaki Takahashi, Sumitomo Mitsui Trust Bank 2. Fundamentals and psychology of crisis management – a state of readiness, Dominic Polisano, Group Head of Enterprise Risk Management, Hong Kong Exchanges and Clearing Limited



The Technology Risk and Operational Resilience Summit Ballroom 3

Monday 2 December 2019

08:00 Registration & refreshments: Ballroom 4 & 5

09:05 Chair’s opening address Bjorn Lenzmann, Group Head of Operational Risk, Emirates NBD

Keeping your house in order: managing the internal threats

09:15 Meeting Regulatory expectations How are supervisors approaching technology risk and what are their expectations from risk management? Holger Harreis, Senior Partner, McKinsey Gerald Chappell, Partner, McKinsey

09:45 What is Operational Resilience? Mihai Popa, IT Area Lead Continuous IT Operations, ING Bank

10:15 Stress testing your operational resilience – crisis management in action. Are you prepared? Managing critical national infrastructure through civil unrest and political crisis – Experience from Hong Kong Dominic Polisano, Group Head - Enterprise Risk Management, Hong Kong Exchanges and Clearing Limited


Structuring your business around new risks

11.15 CRO case study Are we ready to use AI and Big Data to manage risk in the recession scenario? Marcus Chromik, Chief Risk Officer, Commerzbank

11:45

Independent but connected Examining the optimal working relationship between IT and Risk and evaluating the effectiveness of the ‘3 lines of defence’ approach for IT risk Gavin Slater, Former Head of Trading & Risk Programme, Nordea Bank

12:15 Industry Risk Ecosystems How collaboration across banks will improve risk management standards and lower costs Amit Prakash, Head of Market Utilities, CRISIL


Examining the technologies changing the face of banking

13:45 NEW TECHNOLOGY BRIEFINGS Experts will brief the audience on key fintech developments and then gather together to answer questions from our CRO panel Expert briefings Briefing 1: Fraud prevention (20mins) Barry Bowen, Global Head of Sales, fcase Briefing 2: Compliance (20mins) CRO evaluation panel: 50mins Exploring the opportunities and risks of disruptive technology and innovation CROs will question the technology experts on how to manage the risk of these new technologies exploring the ethical considerations understanding the opportunities these technologies present for the bank determining the cost to the business Richard Lumley, Chief Risk Officer, City of London Group Daniel Moore, Group Head & Chief Risk Officer, Scotiabank Pierpaolo Montana, Group Chief Risk Officer, Mediobanca Jeff Simmons, Chief Risk Officer, MUFG Securities (Europe) N.V. Barry Bowen, Global Head of Sales, fcase



15.15 3rd party & vendor management How to outsource effectively whilst keeping oversight and control Patricia Everingham, Senior Vice President, Operational Risk, GRM, RBC


Cyber security: protecting your most precious assets

16:15 Cyber Risk Management in Focus Cyber risk has been an increasing focus at Board level over the past few years. The session will address:

• Establishing a common approach to cyber risk measurement and management

• The role of industry collaboration in understanding risk exposure

• How financial institutions are managing board level expectations

Roland Kennett, Head of Membership and Service Development, ORX Dr Luke Carrivick, Head of Research and Information, ORX Evan Sekeris, Partner - Financial Services, Finance & Risk and Digital, Oliver Wyman Esperanza Cerdan, UK Chief Risk Officer, Global Head of Enterprise Risk Management, DWS

17:15 Practitioner evaluation panel

Determining the 10 things every risk manager needs to know about protecting the business from technology risk

Lewis O’Donald, Trustee, GARP Sarah Owen Jones, Chief Risk Officer, Rathbones

Trevor Adams, Group Chief Risk Officer, Nedbank

Marcus Chromik, Chief Risk Officer & Board Member, Commerzbank Alexey Bogatov, Senior Managing Director, Head of Integrated Risk Management Department, Sberbank

17:45 Chairman’s closing remarks

17:50 -

19:30

Summit drinks reception: Twenty Third Bar



RiskMinds Invest Summit Griffioen

Monday 2 December 2019 08:25 Registration & refreshments: Ballroom 4 & 5

08:55 Chair’s opening address

09:15

Assessing the investment environment Examining the core investment risks that are challenging the buy-side Richard Gray, Deputy Director, Regulatory Affairs Department, Institute of International Finance Gilbert Dunlop, Conducting Officer for Investment Management Oversight, JP Morgan Asset Management Margaret Ammon, Chief Risk Officer, M&G Investments Saurabh Rastogi, Managing Director, Head of Investment Risk, Ontario Teacher’s Pension Plan

10:00

Fireside Chat: Managing liquidity How do we think about liquidity risk and liquidity leverage from a portfolio point of view? Nasreen Kasenally, Group Managing Director & Chief Risk Officer, UBS Asset Management Saurabh Rastogi, Managing Director, Head of Investment Risk, Ontario Teacher’s Pension Plan


11:15 What gets in the way of rational decision making? Katja Rieger, Managing Director, Ripple Effect

11:45

Machine Learning for portfolio optimisation Where can ML & AI add value and what are the governance implications? Neil Evans, Head of Credit Risk, OakNorth

12:15 Conducting business with emerging markets Opportunities or hinderances? Jean Devlin, Partner, Control Risks


13:45 How do you measure geopolitical risk? Gianluca Cantalupi, Head of Enterprise Risk for the International Wealth Management, Credit Suisse

14:15

Principles for Responsible Investment Generating sustainable profits Julie Sherratt, Head of Investment Risk, TD Securities

14:45

ESG as an important component to risk Don Gerritsen, Head of Benelux, United Nations-supported Principles of Responsible Investing

15:15 Sustainable Investments: Operational impact on the value chain Consequences of the inclusion or sustainability factors for fund operations such as: Risk management, Distribution and Reporting, Depositary and Audit David Suetens, Executive Vice President CEO, State Street Bank Luxembourg


16:15 Conducting business in a changing world Looking for profitability in the new norm



Nick Silitch, Chief Risk Officer, Prudential Financial

16:45

Japan's prolonged low interest rate environment and its impact on the Japanese banking system Shigeo Kawauchi, Director of Financial System and Bank Examination Department, Bank of Japan

17:15 Getting Extreme VaR Right Eliminating Convexity and Approximation Biases from Heavy-tailed, Moderately Sized Samples J.D. Opdyke, Vice President, Enterprise Risk and Return Management, Financial Risk and Measurement, Allstate

17:45 Chair’s closing remarks

17:50 -

19:30

Summit drinks reception: Twenty Third Bar



Main Conference Day 1 The CRO Forum: Being Tomorrow’s Firm Today

Tuesday 3 December 2019 07:30

-08:15

CRO breakfast briefing: Otter & Esperance (invite only) Inga Beale, Former CEO, Lloyd’s of London

07:30 Registration & refreshments: Foyer, Ballroom 4 & 5

Navigating challenging times: making sense of our changing world

08:10 Chairman’s opening address: Ballroom 1, 2 & 3 Karyn Daud, Partner, FS Risk & Regulation, PwC

08:20 CRO Polling Panel What keeps you awake at night? Recession readiness, reputational risk, regulation, the future workforce, cyber security CROs discuss the biggest challenges and the most exciting opportunities impacting financial risk management today Heather Gentile, Director of Regulatory Offerings, IBM Steven van Rijswijk, Chief Risk Officer, ING Bank JF Bureau, Senior Vice President & Chief Risk Officer, PSP Investments Terri Duhon, Non-Executive Director & Risk Chair, Morgan Stanley Stuart Lewis, Chief Risk Officer and Member of the Management Board, Deutsche Bank

09:00 Economic briefing Where are we in the credit cycle? Outlook for global credit markets Ed Altman, Professor, Stern School of Business, New York University

Technical lectures: Heian 1

9:20: Chairman opening remarks Albert van Heijningen, Business Development Manager Analytics, Experian

09:30 Geo-political briefing Slowbalisation? Understanding the rising tide of nationalism & political volatility John Hulsman, Geopolitical Expert & Life Member, U.S. Council on Foreign Relations

(09.30-10.10) New generation machine learning models for regulatory analytics Davide Boselli, Experian

10:00 CRO panel Resilience during volatility All good things must end—and perhaps soon, the 10-year-old US economic expansion may run out of steam. But not many have paused to consider what happens after the economy tips into recession. How bad will it be? And how can companies prepare for and manage a downturn? Cindy Levy, Senior Partner, McKinsey Bruce Fletcher, Group Chief Risk Officer, RBS Nick Silitch, Chief Risk Officer, Prudential Financial Keiran Foad, Group Chief Risk Officer, Santander

(10.10-10.40) 50 Years of Z-Scores: What Have We Learned? Ed Altman, Stern School of Business, New York University

10:40 Morning break: Foyer, Ballroom 4 & 5

Bank to the future: a return to the business of banking Technical lectures: Heian 1 11:10 Guest Leadership briefing

Turning Challenge into Opportunity Successful businesses will be those who turn challenges into opportunities and they need bold business leaders to play their part Inga Beale, Former Chief Executive Officer, Lloyd’s of London

Risk managing algo’s. Is it an op risk or a model risk? Jie Ding, Morgan Stanley

11:40 CRO interview Risk Management in a Digital Age What does good 1st line risk management look like in a digital operation? What does the Risk function of the future look like?

The Danske Bank SuperFly One Risk Engine Setup Ove Scavenius, Danske Bank



Bruce Fletcher, Chief Risk Officer, RBS Frans Woelders, Chief Digital Officer, Personal Banking, RBS Dan Wong, Head of Innovation Risk Oversight, NatWest

12:10 Managing Climate Risk: do you have all the tools in the box? Jon Williams, Partner Sustainability & Climate Change, Member of the FSB Task Force on Climate-related Financial Disclosures (TCFD), PwC

Differences between Risk Theoretical and Hypothetical P&L, and how problematic are these likely to be? Jochen Theis, Deutsche Bank

12:40 CRO panel Going back to basics: returning the bank to profitability & customer-centricity How can risk management act as a business enabler to help meet customer needs and drive product innovation? Brad Carr, Senior Director, Digital Finance, Institute of International Finance Mark Smith, Group Chief Risk Officer, Standard Chartered Jeremy Arnold, Chief Risk Officer, NatWest Markets Jacques Beyssade, Group Secretary General, Groupe BPCE Julia Dunn, Chief Risk Officer, Nationwide

How to automate model validation Ian Shipley, Stuart Cockburn, Oliver Wyman

13:15 Lunch: Foyer, Ballroom 4 & 5

Smooth operators: becoming a future-ready risk management function Technical lectures: Heian 1

14:30 Guest Futurist Briefing Scenarios of the Future Leo Johnson, Partner, Disruption Lead, PwC

Credit spread risk in the banking book – where are we and what to expect? Hanane Saih, NatWest Markets

15:00 Findings of the Accenture Global Risk Study Steve Culp, Senior Managing Director, Financial Services, Accenture

IRRBB implementation challenges – combining the economic and accounting world Monika Baczynska, mBank

15:30 CRO interview Mapping the risk universe How achievable is a real-time risk dashboard? Keiran Foad, Group Chief Risk Officer, Santander Mark Faulkner, Co-Founder, Credit Benchmark

IRRBB Behavioural Modelling Flavia Barsotti, ING Bank

16:10 Whose risk is it? AI & Ethics (15 minute presentation) Aimee van Wynsberghe, Senior Advisor, Deloitte CRO panel (25 minutes) Cyber attack, climate change, business disruption risk … How are we redrawing risk management frameworks and operating models across the firm to account for growing emerging risks? Aimee van Wynsberghe, Senior Advisor, Deloitte Kanwardeep Ahluwalia, co-Chief Risk Officer for Global FICC and Deputy Chief Risk Officer for EMEA, Bank of America Merrill Lynch Paul Kennedy, Chief Risk Officer, National Bank of Kuwait International

Trevor Adams, Chief Risk Officer, Nedbank

Mirel ter Braak, Senior policy advisor – Innovation & Fintech, Netherlands Authority for the

Financial Markets

Implementing real earnings at risk and its impacts on P&L Andreas Ahrens, NORD/LB

16:50 Chairman’s closing remarks Chairman’s closing remarks

16:50 Afternoon break: Foyer, Ballroom 4 & 5

Strategy in practice working groups: Put the theory into practice in these interactive CRO-led boardroom discussions

CYBER RISK CLIMATE CHANGE FINTECH CHALLENGER BANKS



Working group A: Ballroom 1 & 2 Working group B: Ballroom 3 Working group C: Heian 1 Working group D: Heian 2

17:20-

18:00

Cyber security vs innovation. Risk vs return Striking the right balance between digital innovation and security Simon Wills, Executive Director, ORX Jaco Grobler, Chief Risk Officer, FirstRand David Clarke, Chief Risk Officer, Queensland Investment Corporation Kevin O’Rourke, Managing Director & Chief Risk Officer (EMEA), Mizuho Bank

Optimising the risk and return of climate change How should climate change be reflected in your risk management Miroslav Petkov, Climate Risk Expert, Parker Fitzgerald Kuangyi Wei, Executive Director, Parker Fitzgerald Marcus Chromik, Chief Risk Officer & Board Member, Commerzbank Nicola Wickes, Managing Director, Acting Chief Risk Officer, MUFG, EMEA, Bruce MacLaren, Chief Risk Officer & APAC, RBC

Data science, machine learning & the CRO Getting past the hype and determining the real opportunity cost Nalin Miglani, EVP & Chief Human Resources Officer, EXL Stuart Lewis, Chief Risk Officer Member of the Management Board, Deutsche Bank Dzhangir Dzhangirov, Senior Vice-President, Group Chief Risk Officer, Sberbank Lewis O’Donald, Trustee, GARP

NEW boardroom simulation Building your own ‘challenger’ bank - Consumerisation - Digitisation - Product differentiation What would we do differently? Ian Wilson, Former Chief Risk Officer, Non-Executive Director and Risk Committee Chair, FinTech Startups Ebbe Negenman, Chief Risk Officer, Aegon Bank Peter Rossiter, Chief Risk Officer, Anglo-Gulf Trade Bank Idzard Van Eeghen, Chief Finance and Risk Officer, bunq

18:15 -

19:00

RiskMinds International Awards at Beurs van Berlage Coaches leave for Awards from 18:15 – 19:00

Return coaches to Hotel Okura will be from 22:30 – 23:00



Main Conference Day 2 Wednesday 4 December 2019


08:30 Chairman’s opening welcome: Ballroom 1, 2 & 3 Daniel Butler, Managing Director, Aon

Boardroom discussions Limited space: First-

come first-served!

Chatham House Rule

Meerman 1 & 2

Steve Lindo, Columbia

University

08.40 Emerging Risk Briefing Thriving in a downturn A recession is too high probability and impact to plan on continuation of the current expansion. How can firms critically evaluate vulnerabilities whilst having a strong offensive playbook prepared for unexpected opportunities. Are you ready to thrive in uncertain times? Doug Elliott, Partner, Oliver Wyman

The Future of Regulatory Reporting Rafael Gomes, Callum Farrell Morris, Accenture Matt Pitchford, Amazon Web Services

09.15 Ethical Hacker Inside the mind of a hackers Dr Jessica Barker, Co-Chief Executive Officer, Socio-Technical Lead, Cygenta

The GFMA and ICMA Repo Market Study Jouni Aaltonen, AFME Andy Hill, ICMA

09.55 Industry Panel Discussion The changing profile of operational risk management In a world of increasing emerging risks, how can the firm’s operational and ERM function evolve to meet the new normal? Daniel Butler, Managing Director, Aon Mark Cooke, Group Head of Operational Risk, HSBC Nathan Swain, Chief Information Security Officer, ADSS

Martin Hopkins, Head of Security Research & Solutions, Innovation Cyber Security, Aon

Giles Chapman, FI Senior Underwriter, Munich RE

Defining the role of the 1st and 2nd lines of defence: providing an effective challenge Bob Kahn, Automated Financial Systems JF Bureau, PSP Investments Gilles Artaud, Credit Agricole Maciej Lewandowski, European Central Bank Thomas Dodd, Moneta Money Bank

10:25 Guest Cyber Security Address Catch Me If You Can Frank Abagnale, Renowned cybersecurity and fraud prevention expert, bestselling author, Catch Me If You Can

Regtech – getting to first base Peter Deans, The Regtech Association in Australia

11:05 Morning break: Foyer & Ballroom 4 & 5

A: FRTB & market risk Ballroom 1 & 2

B: Operational & emerging risks

Ballroom 3

C: IFRS 9 & beyond Heian 1

D: Data, disruption & innovation

Heian 2

E: Leadership in Risk Griffioen

11:40

Chair’s opening remarks Eduardo Epperlein,

Nomura

Chair’s opening remarks

Adolfo Perez, Accenture


Jose Canals-Cerda, Federal Reserve Bank

of Philadelphia


Jeroen Van Doorsselaere,

Wolters Kluwer

Chair’s opening remarks Edward James, RCQ

Associates

11.45 FRTB panel: how much are business models going to change? Xavier Bellouard, Activeviam Eduardo Epperlein, Nomura

Impacts of an economic shock on Op Risk losses Michael Grimwade, ICBC Standard Bank

IFRS 9 and its impact on stress tests under different scenarios Gera Kiewiet, ECB

Ethics & AI – knowing the boundaries Lisa Bechtold, Zurich Insurance

Diversity in risk management – route to progress Katja Riegler, Ripple Effect Bonnie Frank, PSP Investments



Thomas Hougaard, Nordea, Panayiotis Dionysopoulos, ISDA, Britta Achmann, Deutsche Bank Suman Datta, Lloyds Bank

Nicola Wickes, MUFG, EMEA Saurabh Rastogi, Ontario’s Teacher Pension Plan

12.20 A new CVA risk framework Nicola Mariano, ISDA & Shearin Cao, Standard Chartered

A sit-down with Valerie Villafanca of Société Générale on Innovation in KYC Daniel Mikkelsen, McKinsey & Valerie Villafranca, Societe Generale

Leveraging IFRS 9 implementation lessons to solve CECL requirements? Jorge Sobehart, Citi

What underpins disruption? Ian Wilson, FinTech Start Ups Jacqui Colwell, Judo Bank Michael Hurup Andersen, Fintech Solutions Richard Lumley, City of London Group

Catch Me If You Can Q&A Frank Abagnale, Catch Me If You Can

12.55 Lunch: Foyer & Ballroom 4 & 5

13:15 -

13:45

Risk Dynamics Open Technical Lecture: Heian 1

14:30 Non-modellable risk factors: the FRTB elephant in the room Lorenzo Liesch, UniCredit

Why tax and operational risk should be high on the CRO agenda? Emmet Bulman, PwC

Building CECL by leveraging IRBA and IFRS9 ECL – The use case challenge for integrated models frameworks Lars Popken, Deutsche

Introduction to reinforcement learning and the development of hedging strategies John Hull, University of Toronto

What can finance learn from other industries about leadership? Jeevan Perera, NASA

15:05 Passing the P&L Attribution test under the new guidelines Rita Gnutti, Intesa Sanpaolo

3rd party risk – creating a clear line of communication Jelena Zelenovic Matone, European Investment Bank

IFRS 9 expected credit loss disclosures Elena Minduksheva, International Investment Bank

Basel’s Fawlties, Playing Defense with the Denominator Richard Moss & Harry Chopra, AxiomSL

15:40 Streamlining data sources: data pooling and collaboration

Automating and industrializing risk controls and testing Rafael Gomes, Accenture

A Forensic Analysis of Allowances for Credit Cards Portfolios under CECL Jose Canals-Cerda, Federal Reserve Bank of Philadelphia

Machine Learning, Liquidity and new regulatory requirements Stefano Pasquali, BlackRock

Managing the risks of poor decision-making Christian Hunt, Human Risk

16:15 Afternoon break: Foyer & Ballroom 4 & 5

16.45 Synergies between FRTB & IFRS9 Adolfo Montoro, Deutsche

NextGen OpRisk, creating the foundation for effective ERM Erling Kvalheim & Christophe Delaure, IBM

Translating IFRS 9 pricing to business strategies

Deep analytics for regulatory constraints Antoine Savine & Brian Huge, Danske Bank

Managing stress during crisis situations Wanda Curreri, Control Risks

17:20 How are regulators responding to the implementation in their jurisdiction? Karsten Stickelmann, ECB

The Operational Impact of Real Cyber Attacks Nathan Swain, ADSS

Digitalization and competition: how data dynamics and financial regulation shape the provision of financial services



Dolores Ramos Martinez, Santander

17:55 Chair’s closing remarks Chair’s closing remarks

Chair’s closing remarks



18:00 -

19:30

Networking drinks reception: Foyer & Ballroom 4 & 5 Champagne roundtables - Meerman 1 & 2 1. James Moseley, PwC & Rubens Reis, PwC - The Risk Function's Role in Driving Profitability 2. Michael Pykhtin, Federal Reserve Board - Regulatory capital for counterparty risk and CVA risk Q&A 3. Dolores Ramos Martinez, Santander - Introducing activity-based criteria in prudential regulation 4. Sonia Sodhi, Aegon N.V. - Key Considerations & Practical Insights towards Setting up an Effective Model Risk Management



Main Conference Day 3 Thursday 5 December 2019


Proactive risk management for our changing economic and regulatory environment

In the boardroom risk discussions Limited space: First-come first-served! Chatham House Rule: Meerman 1 & 2 Steve Lindo, Columbia University

09:00 Chairman’s opening welcome: Ballroom 1, 2 & 3 Charles Richard III, Senior Vice President & Co-founder, QRM Inc.

(09:00-09:30)

Corporate loans in 7

minutes – Sberbank

experience in AI in

lending

Olga Yudakova, Dmitri

Kraynov, Viktor

Davydov, Sberbank

09:20 Guest Psychology Address How emotions and ethics shape our economic decision making Molly Crockett, Psychology professor, Yale University and a Distinguished Research Fellow at Oxford Centre for Neuroethics

(09:30-10:00)

Calibration for the

standardised approach

and capital output

floor

Shearin Cao, Standard

Chartered

10:00 Guest Academic Address The dissonance of the short and long term Jon Danielsson, Reader in Finance; Director of the Systemic Risk Centre, London School of Economics

(10:00-10:40) Interconnected Risk Models vs. Aggregated Model Risk Peter Quell, DZ Bank

10:40 Inventive Risk & Regulation Ulrich Windheuser, Vice President Data, Risk and Regulation & Matthieu Cirelli, Vice President Data, Risk and Regulation, Capgemini Invent

IFRS 16 economic and capital impacts on banks. Towards a change of strategy Andrea Cremonino, UniCredit

11:15 Morning break: Foyer, Ballroom 4 & 5

A: Stress testing Ballroom 1 & 2

B: Credit risk, XVAs & initial margin

Ballroom 3

C: Capital & liquidity management

Heian 1

D: Conduct, culture compliance &

reputational risk Heian 2

E: Model risk Griffioen

11:50 Chair’s opening remarks

Gilles Demeulenaere, QRM


Olivier Miart, ISDA


Ajay Raina & Johannes Goldner, PwC



Thomas Wallace, Risk Dynamics

11:55 Incorporating climate change risk into your stress test Amy Bone, Lloyds Bank

A clearing member perspective: one year after a CCP member default, lessons learned and the path forward Marnie Rosenberg, JP Morgan

IRB strategy revamp Marco Vettori, McKinsey

Determining your risk culture: where we’re at, and where we want to be Silvia Signoretti, Zurich Insurance

Tackling reproducibility and interpretability in model risk management Paul Peeling, MathWorks

12:30 Modeling NMDs for Behaviors Under Stress David Green, DGA

Climate - how can a voluntary regulation turn into strategy

Funding and liquidity in resolution:

Advanced Techniques for Managing Model Risk

Model Risk Framework: efficient rather than redundant



Valeriu Bajenaru, Credit Suisse

monitoring, reporting and estimating Jeroen Van Doorsselaere, Wolters Kluwer

Ian Francis & Rohan Vaidyanathan, IBM

Gilles Artaud, Credit Agricole

13.05 Lunch: Foyer, Ballroom 4 & 5 Future RiskMinds networking lunch: Otter & Esperance (invite only)

14:15 Stress test challenges into 2020; what are they and how to address them? Nigel Milbank, RBS

Optimizing credit portfolios Tony Van Gestel, Dexia Netherlands

Liquidity-at-Risk: joint stress testing of solvency and liquidity risk Rama Cont, Oxford University

Climate scenarios: exploring climate analysis as a tool for banks Gaurav Ganguly, HSBC

Advancements in model risk Ashutosh Nawani, PwC

14:50 Integrating EBA Stress Test into Balance Sheet Management Practices Savaiz Khawaja, QRM

Assessing Forecasted Initial Margin in a Production Environment Vladimir Chorniy, BNP Paribas & Sergii Arkhypov, Independent

Climate change scenarios: Competitive advantage through better analytics James Belmont, Baringa Partners

Explaining AI – theory and practice Daniel Mayenberger, Barclays

15:25 Prescriptive stress testing vs. leveraging stress testing as an internal risk management tool Dimitrios Asvestis, Deutsche Bank Anant Saxena, Credit Suisse Jo Paisley, GARP

A forensic approach to Wrong Way Risk (WWR) for CVA, FVA, and PFE: exact minimal models Chris Kenyon, MUFG Securities EMEA

Pillar 2 capital buffers Jesse Kaijser, ABN AMRO

Building an operational resilience framework Patrick Moynihan, Barclays

Model Risk and Artificial Intelligence Peter Plochan, SAS

16:00 Afternoon break: Foyer, Ballroom 4 & 5

16:30 Moving towards an integrated capital-liquidity stress testing framework Anant Saxena, Credit Suisse

SIMM Governance and phases 5, 6 implementation Olivier Miart, ISDA

Aligning Risk and Profitability Management through Funds Transfer Pricing David Green, DGA

Tackling Financial Services Culture Elizabeth Sheedy, Macquarie University Business School

Dynamic management of model risk: quantification, monitoring & reporting Slava Obraztsov, Nomura

17:05 Supervisory Stress Testing – Quo Vadis? Gernot Stania, ECB

Efficient calculation techniques for credit exposure in the presence of initial margin Michael Pykhtin, Federal Reserve Board

Expectations for Banks: the SRB roadmap to resolvability? Boudewijn Berger, ABN AMRO

Using innovation to mitigate culture risk Justin Greenstein, ANZ

Model risk monetization Roman Tikhonov, Sberbank

17:40 Chair’s closing remarks Chair’s closing remarks Chair’s closing remarks Chair’s closing remarks Chair’s closing remarks

17.45 -

18:30

End of main conference and survivors’ drinks: Registration foyer



Workshop: Friday 6 December

Machine Learning in Finance Workshop This workshop is designed for participants who are new to machine learning and want to acquire skills in this area. In order to succeed in finance, individuals need to understand enough about machine learning to use it as a tool. This means that they must (a) understand in a general way how the algorithms work, (b) know how to interpret machine leaning output and be able to make decisions on next steps in an analysis, and (c) communicate effectively with data-science professionals. The workshop will focus on developing these skills.

Workshop Leader: John Hull, Maple Financial Professor of Derivatives & Risk Management at Joseph L. Rotman School of Management, University of Toronto

Documents

Global Risk Regulation Summit - Informa Connect · 17:15 Profitability Challenges in Banking and the Strategic Role of the Risk Management Function Overcoming IFRS9 and Regulatory