RISK APPETITE FRAMEWORKS AND STRESS … risk appetite frameworks and stress testing models to enhance their businesses. This timely seminar will examine the emerging trends in risk

IIF GLOBAL SEMINAR

RISK APPETITE FRAMEWORKS AND STRESS TESTING

September 28-29, 2016 | London

IN COOPERATION WITH

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COURSE DESCRIPTION


IIF GLOBAL SEMINAR:

Risk Appetite Frameworks & Stress Testing

We are delighted to welcome you to the IIF Global

Seminar on Risk Appetite Frameworks and Stress

Testing, offered by the Institute of International

Finance (IIF) in cooperation with EY.

Globally, bank executives and boards are focused on

embedding risk appetite frameworks and stress testing

models to enhance their businesses. This timely

seminar will examine the emerging trends in risk

appetite framework development, implementation,

and stress testing as practiced by leading experts.

The first day's sessions will address, from industry and

regulatory viewpoints, how to overcome challenges

related to designing and implementing a risk appetite

framework. On day two, experts will discuss the latest

industry trends and techniques on stress testing and

how to best integrate these into both group-wide and

subsidiary risk management strategies. Leadership

approaches will be a key discussion theme, as well as

the evolving role of board and risk management

functions.

With a focus on practical examples from global firms

and an emphasis on interactive dialogue, this seminar

will provide excellent opportunities to network,

benchmark, and exchange sound practices.

LEARNING

OBJECTIVES

Discuss global trends in

risk appetite frameworks

and stress testing

Consider policy and

regulatory developments

related to risk appetite

and stress testing

Overcome leadership

challenges and emerging

risks

Compare and benchmark

change management and

implementation strategies

This seminar will be eligible for 12 CPD/CE credits through the Chartered Institute for Securities & Investment (CISI), the CFA Institute, the Global Association of Risk Professionals (GARP), the International Compliance Association (ICA) and the Chartered Banker.

THANK YOU FOR JOINING US IN LONDON.

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3 RISK APPETITE FRAMEWORKS AND STRESS TESTING

WEDNESDAY

SEPTEMBER 28

8:30 am—9:00 am REGISTRATION

9:00 am—9:15 am WELCOME AND INTRODUCTION

Kate Hudson, Director of Global Seminars, IIF

Patricia Jackson, Senior Advisor, Ernst & Young

9:15 am—10:30 am SESSION 1: DESIGNING RISK APPETITE EFFECTIVELY AND EMBEDDING IT Better aligning risk appetite, strategy and capital allocation; Considering important linkages to reverse stress testing; Embedding risk appetite in day-to-day business decisions

Patricia Jackson, Senior Advisor, Ernst & Young

Johan Larsson, Head of Reporting, Stress Testing and Data Governance, Nordea

10:30 am—11:00 am COFFEE BREAK

11:00 am—12:00 pm SESSION 2: A REGULATORY VIEW OF RISK APPETITE Regulatory and policy overview; Links to overall risk governance and accountability; Q&A

Charlotte Gerken, Director, Supervisory Risk Specialists, Bank of England

12:00 pm—1:00 pm LUNCH

1:00 pm—2:00 pm SESSION 3: CONSIDERING STRATEGIES TO IMPLEMENT A RISK APPETITE FRAMEWORK

Appropriate competencies, governance and leadership approaches; Process, infrastructure, and environment, including risk culture; Group discussion

Moderated by: Patricia Jackson, Ernst & Young

Magnus Agustsson, Head of Group Risk, SEB

Carmen Hernansanz, Head of Risk Appetite & Macroprudential Surveillance, BBVA

Pieter Klaassen, Managing Director, Risk Methodology, UBS A.G.

2:00 pm—3:15 pm SESSION 4: PRACTICAL STEPS –INCLUDING NON-FINANCIAL RISK IN RISK APPETITE Designing non-financial risk appetite—can it be cascaded and embedded?

Andrew Duff, Risk Appetite Lead, Ernst & Young

3:15 pm—3:45 pm COFFEE BREAK

3:45 pm—5:00 pm SESSION 5: PANEL—OVERCOMING PRACTICAL CHALLENGES Challenges faced by the industry and remediation; Reporting and stakeholder management (internal and external); Ensuring compliance with additional supervisory and regulatory requirements and requests

Moderated by: Patricia Jackson, Ernst & Young

Pieter Klaassen, Managing Director, Risk Methodology, UBS A.G.

Johan Larsson, Head of Reporting, Stress Testing and Data Governance, Nordea

Benedict Wilkinson, Managing Director, Deputy Head of Enterprise Risk Management, Credit Suisse

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THURSDAY

SEPTEMBER 29


9:00 am—10:15 am SESSION 6: UK REGULATORY STRESS TESTING OVERVIEW Practical example of stress testing program

Michelle He, Senior Manager, Financial Service, Ernst & Young

10:15 am—10:45 am COFFEE BREAK

10:45 am—12:00 pm SESSION 7: INTEGRATING STRESS TESTING INTO RISK APPETITE AND GROUP-WIDE RISK MANAGEMENT

Governance approaches: a group approach for implementation; Case study and practical examples

Ilinka Kajgana, Head of Group ICAAP and RWA, Erste Group

12:00 pm—1:15 pm LUNCH

1:15 pm—2:00 pm SESSION 8: CHALLENGES TO IMPLEMENTING INTEGRATED STRESS TESTING IN A BRANCH

Governance approaches: a subsidiary approach for implementation; Case study and practical examples

Jeff Simmons, Managing Director, Head of Enterprise Risk Management, Bank of Tokyo Mitsubishi UFJ

2:00 pm—2:30 pm SESSION 9: GROUP DISCUSSION Comparing the group and subsidiary approaches; Navigating organizational structures to achieve the best outcome


Jeff Simmons, Managing Director, Head of Enterprise Risk Management, Bank of Tokyo Mitsubishi UFJ

2:30 pm—3:00 pm COFFEE BREAK

3:00 pm—3:45 pm SESSION 10: CONCURRENT AUDITING OF STRESS TESTING Role of audit in process (value and efficiency); What does good look like? (expectations of business and audit); Key challenges; Content review and benchmarking

Russell Brooks, Head of Stress Testing Assurance, RBS

Christopher Hall, Head of Model Risk, Internal Audit, HSBC

3:45 pm—4:45 pm SESSION 11: PANEL DISCUSSION—THE EVOLVING ROLE OF THE BOARD AND RISK MANAGEMENT FUNCTIONS

Moderated by: Kate Hudson, Director of Global Seminars, IIF

Russell Brooks, Head of Stress Testing Assurance, RBS


Hedwige Nuyens, Managing Director, IBFED

4:45 pm—5:00 pm CONCLUDING REMARKS AND WRAP UP

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SPEAKER PROFILES


Kate Hudson, Director, Global Seminars, Institute of International Finance Kate is the Director of IIF’s Global Seminars team, and previously a Policy Adviser for IIF’s Regulatory Affairs team. Prior, she was a senior manager at the RBS Group Holding Company and a member of the BBA’s Committee for Financial Inclusion. There she authored eleven new conduct risk policies (including the UK’s first ever corporate policy on dealing with customers in vulnerable situations”); and oversaw their implementation and training in their businesses (Coutts, Natwest, Citizens, M&IB etc). Contracting for ComPeer Ltd, on their project board she quantified the costs of compliance in the UK’s wealth management industry. Serving the UK’s WMA as Senior Policy Advisor, present on their Board she helped to secure their first early day motion in Parliament. Prior, a compliance planning officer for MMC, and here nominated a “Future City Leader” by the City of London Mayor’s office. A compliance manager for ACE Ltd, and a conduct policy development executive for BUPA Group- and then member of UK’s ILAG Regulatory Committee. Kate is a Mediator (DC Superior Court) and holds a Postgraduate Diploma in MSc Financial Regulation and Compliance Management at London Metropolitan University, and a L.L.B. in European Legal Studies from the University of Westminster. She is also fluent in Spanish. ________________________________________________________________________________________

Patricia Jackson, Senior Advisor, Ernst & Young Patricia Jackson is a member of the EY Global Regulatory Network in the Financial Services Risk Management Group. Patricia joined EY in 2004 as the Partner leading the banking risk practice and then later financial regulatory advice. She was involved in projects with the major banks globally on all the risk types as well as Basel III and stress testing. She is also increasingly involved in risk governance issues including developing an approach to setting and embedding risk appetite and risk culture. She is now a strategic adviser to EY. Prior to this she was the Head of the Financial Industry and Regulation Division in the Bank of England and represented the UK on the Basel Committee for Banking Supervision for 7 years, leading the global QIS studies and calibration of Basel II. Patricia has published a wide range of papers on market and credit risk and bank capital. She is a non-executive director on the board of the digital challenger bank Atom and is involved in setting their strategy going forward. ________________________________________________________________________________________

Johan Larsson, Head of Reporting, Stress Testing and Data Governance, Group Risk Management, Nordea Johan leads the team responsible for holistic risk reporting to the Nordea board and executive management. Besides risk reporting he is responsible for managing the group risk appetite framework, data governance and ad hoc stress testing. Johan chairs the risk data council which governs group wide risk data. Prior to his current position he has been Head of Nordea’s equity derivatives trading in Stockholm and Copenhagen. Johan Larsson holds a Master of laws from University of Lund and a Bachelor in Economics from the University of Stockholm. ________________________________________________________________________________________

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SPEAKER PROFILES


Charlotte Gerken, Director of Supervisory Risk Specialists (SRS), Prudential Regulation Authority, Bank of England Charlotte Gerken is currently Director of Supervisory Risk Specialists (SRS), the directorate within the Prudential Regulation Authority (PRA) that provides risk specialist expertise to PRA supervisors, as well as to Prudential Policy and the rest of the Bank of England. Prior to her current role, Charlotte was Head of Traded Risk within SRS (2013-2015) advising Supervision and other Bank colleagues on market and counterparty credit risk identification, assessment and mitigation, including firms’ controls surrounding Traded Risk. Charlotte is also a former head of SRS’s Risk Infrastructure, Liquidity and Capital (RILC) division (2012-2013). Charlotte worked for RBS before joining the Bank of England in 1995 in banking supervision, then joined the FSA to supervise US Investment banks. Charlotte undertook manager roles within the Risk Review Department (forerunner to SRS), leading on traded and then insurance and operational risks (2000-2004), before becoming manager within Insurance, supervising Aviva, Pearl (Phoenix) and Friends Provident during the period 2004-2010. Charlotte then led the prudential and conduct supervision of Royal Bank of Scotland Group as Manager, UK Banking Groups (2010-2012). ________________________________________________________________________________________

Magnus Agustsson, Head of Group Risk, SEB Magnus joined SEB in 2009 and was appointed Head of Group Risk in 2014. Magnus is responsible for identifying, measuring, aggregating and controlling Credit, Market, Liquidity and Operational as well as all other risk types across the Group. In his earlier role, Magnus was the Head of Risk Centre and was responsible for aggregation of risks for the group as well as modelling credit risks. Earlier, he was Head of Risk Management in the Baltic Division of SEB during the crisis. Before joining SEB in 2009, Magnus was Head of Risk Methods at DEPFA and Head of Strategy at the Nordic Investment Bank. Magnus holds a degrees in Mechanical Engineering and Economics. ________________________________________________________________________________________

Carmen Hernansanz, Head of Risk Appetite & Macroprudential Surveillance, BBVA Carmen has a degree in Economic Analysis and Quantitative Economics at the Complutense University of Madrid (Spain). In addition, she took the Postgraduate courses on Financial and Monetary Economics at Center of Monetary and Financial Studies (CEMFI), dependent on the Bank of Spain, the Spanish central bank. After working as economist at the research department of Banco Español de Crédito (Banesto), she joined the Macroeconomic & Fixed Income Research Department of Merrill Lynch in 1995. In 1999 Carmen joined BBVA where she headed the unit responsible for the analysis of international capital market trends, the development of financial scenarios and financial systems research at the Research Department. In February 2008 she was appointed Head of Investor Relations of BBVA Group and in 2010 Head of Liquidity and ALM Risks in BBVA’s Global Risk Management Department. Since 2016 she is the Head of Risk Appetite & Macroprudential Surveillance for BBVA Group. ________________________________________________________________________________________

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SPEAKER PROFILES


Pieter Klaassen, Managing Director, Risk Methodology, UBS A.G. Pieter Klaassen is Managing Director in Risk Methodology at UBS A.G.. He and his team own the statistical and scenario-based stress testing frameworks that are used in UBS Group and its main legal entities. In addition, he supports the establishment of quantitative risk appetite objectives and coordinates the risk assessment of the annual business plans for UBS Group and its main legal entities. Before joining UBS in 2008 he worked for 10 years at ABN Amro N.V as Head of Enterprise Risk Modeling with responsibility for the banks counterparty credit risk and economic capital models. Until 1998, Pieter worked at Rabobank International as Head of Derivatives Research. He held a part-time appointment at Vrije Universiteit in Amsterdam, and (co)authored various articles on asset-liability management, credit risk modelling and economic capital. In addition, he is co-author of the book "Economic Capital: How it works and what every manager needs to know", published by Elsevier in 2009. Pieter holds a Ph.D degree in operations research from the MIT Sloan School of Management, and a Master's degree in Econometrics from Erasmus University. ________________________________________________________________________________________

Andrew Duff, Risk Appetite Lead, Ernst & Young Andrew leads EY’s Governance and Risk Frameworks competency team within EY’s London Financial Services Risk Advisory practice. Prior to joining EY in 2010, Andrew worked in credit risk for a major bank. Andrew has worked with a wide range of global financial institutions to assess, design, implement and embed risk appetite frameworks at the parent holding company and subsidiary levels, both in Europe and the US. Andrew’s experience has covered risk appetite approaches for both financial and non financial risks, metric selection, methodologies to allocate appetite and link appetite to underlying limit frameworks as well as linking risk appetite with stress testing at the enterprise and portfolio levels. Andrew was a member of the IIF Working Group on Risk Appetite in 2011. ________________________________________________________________________________________

Benedict Wilkinson, Managing Director, Deputy Head of Enterprise Risk Management, Credit Suisse Ben Wilkinson is a Managing Director of Credit Suisse in the Enterprise Risk Management Group of the Chief Risk Office function, based in London. In his current role he is responsible for Enterprise Strategic Risk and is Deputy Head of Enterprise Risk Management. Ben has overall accountability for looking at risk across the bank and coverage of the bank-wide risk frameworks including: Risk reporting and analysis, Risk Appetite Framework and Economic Capital, Economic Risk Capital (ERC) and Scenario analysis and Stress Testing. Prior to assuming his current role, Mr. Wilkinson held positions in Market and Liquidity Risk Management and Strategic Risk Management that have included responsibility for Global Equities, EMEA Region Market Risk, Quantitative Modeling Team, Commodities and the APAC Region Market Risk. Mr. Wilkinson joined Credit Suisse in November 2009. Prior to joining Credit Suisse, he was employed by Bank of America where he worked for five years in a number of positions including: Head of Global Equity Derivative Trading and Risk, Head of Structured Credit Trading, Head of European Equities and Head of European Structured Products. Before Bank of America he worked for 12 years in Equity Derivatives at JP Morgan and AIG Financial Products. Mr. Wilkinson holds a degree in Economics from Pembroke College, Cambridge. ________________________________________________________________________________________

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SPEAKER PROFILES


Michelle He, Senior Manager, Financial Services, Ernst & Young Michelle He works in the EY Quantitative Advisory Service team. She has over 10 years experience in consulting and banking in addition to 4 years PhD research experience in data mining. She focuses on finance and risk management including stress testing, IFRS 9, risk modelling, and finance change. Michelle recently led several stress testing projects for UK banks. Examples are managing key components of the overall regulatory (PRA, EBA) submission, acting as the global delivery lead for ad-hoc sensitive analysis requested by regulators, building the central stress testing team for Investment Banking unit, leading the final result review and challenge etc. Her experience covers the end-to-end delivery of stress testing including setting up a large global programme, designing target operating model and implementation roadmap, developing technical methodology, result review and challenge and documentation. ________________________________________________________________________________________

Ilinka Kajgana, Head of Group ICAAP and RWA, Erste Group Bank AG Presently, Dr. Kajgana is responsible for the Group ICAAP and RWA. Dr. Kajgana and her teams focus primarily on standardization of these frameworks across Erste Group to attain permanent improvement in measurement and steering standards, to complement risk appetite, risk strategy and strategic limit framework. Over past 10 years Dr. Kajgana has executed various management functions in Strategic Risk Management introducing best practice and industry standards. Dr. Kajgana holds a PhD in Physics from the University of Technology in Vienna. ________________________________________________________________________________________

Jeff Simmons, Managing Director, Head of Enterprise Risk Management, Bank of Tokyo Mitsubishi UFJ Jeff Simmons joined the Bank of Tokyo Mitsubishi UFJ (“BTMU”) in June 2014 as the Head of Enterprise Risk, tasked with creating the function. Prior to joining the bank he spent some 20 years working in the Risk Management arena, this included Market Risk, Credit Risk, Risk Model Validation and Regulatory Risk consulting. At BTMU his responsibilities include the development of a Regional Risk Appetite Framework, including the design and implementation of a forward looking risk appetite framework which can be used for strategic decision making and control purposes. He is also developing an Integrated Stress Testing framework, and subsequently integrating this with the Risk Appetite framework including the analysis of the Banks forecast under varying macro economic environments. He is now working extensively with both the Tokyo based Head Office and the continental offices to develop a global framework in these 2 areas He is also responsible for the implementation of an EMEA Risk Governance framework, this involves him working closely with the Regional offices to ensure that there is a standardised and efficient Risk Framework across the region. ________________________________________________________________________________________

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SPEAKER PROFILES


Russell Brooks, Head of Stress Testing Assurance, Royal Bank of Scotland Russell started his career in the early to mid 1990s as a fixed income proprietary trader. After completing his MBA in financial information management he switched career in 2001 to hands-on risk management on the trading floor. Prior to joining RBS in 2011 the bulk of his risk management experience has been as head of risk at various option market makers. At RBS Russell started as central market risk’s subject matter expert on stress testing. Since 2014, Russell has been head of various risk assurance activities including market risk, controls testing and now stress testing. ________________________________________________________________________________________

Christopher Hall, Head of Model Risk, Internal Audit, HSBC Christopher Hall has been working in all areas of risk management since 1992. He is a Head of Model Risk, Internal Audit at HSBC. He has run many projects covering all aspects of risk management in financial institutions, including stress testing, ICAAP development, economic capital and performance measures, liquidity development and the integration into strategic planning & scenario analysis. Prior to HSBC, Christopher was Head of Market Risk Methodology, Stress Testing and IT Architecture, Risk Consulting and Training at Risk Advisors, CFO of a start up hedge fund and Head of Economic Capital at Barclays Bank. Christopher has a first class degree in Computing and Statistics, is a Chartered Accountant and has a Masters in Finance from London Business School. ________________________________________________________________________________________

Hedwige Nuyens, Managing Director, International Banking Federation (IBFED) Hedwige Nuyens has 30 years of experience in the Banking Industry and in Finance. She currently heads the International Banking Federation representing the banking industry at international level. Previously she was Head of Group Prudential Affairs within BNP Paribas, CFO of the Catholic University of Louvain and CRO of ABN Amro Bank in Belgium. Hedwige holds a Faculty of Law, a Master in Financial Sciences and a Master in Business Administration. ________________________________________________________________________________________

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RISK APPETITE FRAMEWORKS AND STRESS … risk appetite frameworks and stress testing models to enhance their businesses. This timely seminar will examine the emerging trends in risk