monday 4 december 2017 the global risk regulation summit · pdf file12:45 guest political...

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Monday 4th December 2017 The Global Risk Regulation Summit

07:50 Registration & coffee – Foyer

08:25 Chairman’s opening address Sarah Dahlgren, Partner, Risk Practice (New York), MCKINSEY & COMPANY

Structural Reform In A World Of Increasingly Deglobalised Regulation 08:35

Setting the scene practitioner panel discussion Exploring the ‘what if’’ scenarios in our ever-changing regulatory landscape Reacting to upcoming regulation: Brexit, deglobalisation, IFRS 9, FRTB, resolution planning & stress testing Moderator: Mattia Rattagi, Expert in Internal Controls Systems and Banking Regulatory Affairs; former Head Group Regulatory Relations at UBS Tom Duff-Gordon, Managing Director, Head of Public Policy Europe and UK, CREDIT SUISSE David Watts, General Manager, Portfolio Integrity, WESTPAC BANKING CORPORATION Debbie Toennies, Managing Director, Head of Regulatory Affairs, Corporate and Investment Bank, JP MORGAN CHASE Katherine Wolicki, Head of Regulatory Strategy, Global Risk Analytics, HSBC

09.15

Basel Committee address “Basel IV”: What are the next steps? Understanding the final shape of the new rules and their capital impacts for banks across credit, market and operational risk Neil Esho, Deputy Secretary General, BASEL COMMITTEE ON BANKING SUPERVISION

09:45 10:15

ECB address Evaluating the safety & soundness of the SSM’s supervisory objectives Identifying current frameworks for supervision and laying out future policy Stefan Walter, Director General Micro-Prudential Supervision I, EUROPEAN CENTRAL BANK

Chairman of the board address Financial risk & the evolving regulatory landscape A chairman’s assessment of the key regulatory trends shaping global risk management Sir Howard Davies, Chairman, RBS

10:45 Morning coffee & networking break – Foyer

Capital Market Development: Balancing Supervision & Stability With Economic Prosperity 11:15

Federal Reserve address Perspectives on the current dynamic supervisory landscape & potential macroprudential implications Adopting examination approaches to access effective risk management and reach boards of directors Michael Johnson, Executive Vice President Supervision & Regulation, FEDERAL RESERVE BANK OF ATLANTA

11:45 Bank of England address Andrew Gracie, Executive Director for Resolution, BANK OF ENGLAND

12:15

Single Resolution Board address Resolution Planning – Clarifying minimum debt requirements for banks Examining the minimum amount of capital requirement that banks must have on Tier 3 debt and how they are planning to phase this minimum requirement into their overall processes Dominique Laboureix, Director of Resolution Planning and Decisions, SINGLE RESOLUTION BOARD

12:45 Guest political address The future of Europe Examining the next practical steps and operational challenges for Europe, the UK and the rest of the world Guy Verhofstadt, Brexit Negotiator for the European Parliament & Former Belgian Prime Minister

https://finance.knect365.com/riskminds-international/

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13:15

Lunch

Lunch + Q&A with your speakers

Sign up to join special hosted Q&As with one of two key speakers from the day. These sessions enable you to put your questions to the speakers in a relaxed, informal environment operating under Chatham House Rules

Guy Verhofstadt, Brexit Negotiator for the European Parliament & Former Belgian Prime Minister Moderated by Hedwige Nuyens, Managing Director, INTERNATIONAL BANKING FEDERATION

Sir Howard Davies, Chairman, RBS

Expert Perspectives On The Impact Of The Latest Regulatory Developments 14:15 Emerging risk perspective

The FCA on emerging risks & financial trends for the next 20 years How will Data, fintech and digitisation change the face of financial risk and banking as we know it? Barbara Frohn, Director of Risk & Compliance Oversight Division, FCA

14:45

An update in top regulatory debates impacting bank strategy Progress to date of prudential and conduct regulation and the way forward Fernando de la Mora, Managing Director, Spain & Portugal, ALVAREZ & MARSAL Paul Sharma, Managing Director, ALVAREZ & MARSAL David Lawton, Managing Director, ALVAREZ & MARSAL

15:15

Supervisory stress testing – Same old same old? Is the stress testing routine adding real value in terms of new insights into capital adequacy? Have we moved too much towards robust complacency at the expense of challenging new scenarios? Gernot Stania, Head of the Quantitative Risk Analysis Section, EUROPEAN CENTRAL BANK

15:45

US regulatory rollback Assessing the legal possibilities and ramifications for repealing large-scale US regulation including Dodd-Frank PwC

16:15

Panel discussion

Balkanisation of global regulatory regimes

How will the divergence of international regulatory standards impact financial risk management and banking

competitiveness?

Moderator: Hedwige Nuyens, Managing Director, INTERNATIONAL BANKING FEDERATION

Peter Beardshaw, Managing Director, Finance & Risk, ACCENTURE

Beth Cleland, Executive Director, Office of Regulatory Affairs, JP MORGAN CHASE

Annelie Schnaar-Campbell, Head of the Financial Impact and Strategy Unit, STANDARD BANK GROUP

Frankie Phua, Managing Director, Head Credit & Country Risk Management, UOB

16:45 Chairman’s closing plenary remarks

16:50 Afternoon tea & networking break

Implementation Working Groups Benefit from practical perspectives on pressing regulatory challenges

Regulatory Review Sessions Hear an expert present on key regulatory developments followed by a closed-door audience discussion

17.20 FRTB – The last hurdles in implementation? Examining best behavioural practice in adopting FRTB and the resulting outcomes. Chatham House Rules observed. Moderator: Bo Boisen, Head of Strategic Projects, NORDEA BANK Derek Nesbitt, Head of Market and Counterparty Credit Risk Policy, Prudential Regulation Authority, BANK OF ENGLAND Karsten Stickelmann, Advisor Internal Models Division, EUROPEAN CENTRAL BANK Alysa Shcherbakova, Banking Supervision & Regulation, FEDERAL RESERVE BOARD Mikael Katz, National seconded expert, EUROPEAN COMMISSION

Understanding the strategic implications of new and emerging regulatory capital requirements for the banking industry Hanna Sarraf, Head of Risk Strategy, BANK OF IRELAND


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17:55 IFRS 9 – Getting the infrastructure right How successfully are financial institutions managing the relationship between risk management and accounting and what are the biggest hurdles? David Grünberger, Head, Accounting & Regulatory Monitoring, AUSTRIAN FMA

TRIM developments Examining the balance between internal data/models/practices and supervisory standards/benchmarks. What are the first lessons in terms of project organization? Guillaume Figer, Deputy Head Global Risk Monitoring, SOCIÉTÉ GÉNÉRALE

18.30 19:30

Drinks reception & regulatory roundtables 1. Global regulatory divergence - David Watts, General Manager, Portfolio Integrity, WESTPAC BANKING

CORPORATION

Close of The Global Risk Regulation Summit

Risk Culture and Transformation Workshop Corporate scandals and financial crises can be traced back to a long line of systemic weaknesses in

organisational cultural and leadership behaviour, which have either been tolerated or ignored. The purpose of this workshop is to teach you how you can efficiently join the front office with the back office drawing on real

case studies of successful implementation.

Workshop Leader: Ian Oliphant-Thompson, CEO, Generation Safe

13.00 Lunch & networking

14.00 Introductions & context of the risk professional in banking & finance

Lessons learnt from the construction & energy industries

Culturally joining the front & back office

15.00 Afternoon tea & networking break

15.30 How to move culture from one of risk cops and tick box paperwork to an integrated part of

the business

16.30 How to change and improve your own personal impact in the role of risk

17.30 Drinks reception & networking


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Tuesday 5th December 2017 The CRO Forum: RiskMinds Main Conference Day 1

07.30 – 08:15

CRO-only breakfast briefing Mastering leadership in the face of threats, vulnerabilities and risks Former head of MI5

07:45 Registration & coffee

08:35 08:45

Chairman’s opening address RiskMinds Technical Lecture Series CRO panel with polling

What keeps the CRO awake at night? CROs discuss their chief pain points and respond to audience quick-fire polling on the top challenges facing the risk management function for 2018 Moderator: Mark Faulkner, Co-Founder, CREDIT BENCHMARK Mark Smith, Global Chief Risk Officer, STANDARD CHARTERED Daniel Moore, Chief Risk Officer, SCOTIABANK Steven Rijswijk, Chief Risk Officer, ING BANK Jean-Jacques Van Helten, Managing Director & Chief Risk Officer, Europe, BANK OF MONTREAL Lewis O'Donald, Chief Risk Officer, NOMURA

09.25 – 10.00 Chairman’s introduction: How is tech changing the way we think about risk?

We Live In Interesting Times…

09:25 10:00

Economic briefing First Brexit & then Trump… What’s next? Gerard Lyons, Former Chief Economist, STANDARD CHARTERED

10.00 – 10.30 Unified liquidity risk management framework Stefano Pasquali, BLACKROCK

Human Risk: Leading in Uncertain Times How to minimise risk under pressure and lead from the front under difficult circumstances Former head of MI5

10.30 – 11.10 Trading activities at systemically important banks Diana Iercosan, FEDERAL RESERVE BOARD

10:30 The RiskMinds 2017 CRO Interview What is on the mind of today’s experienced CRO? Keishi Hotsuki, Executive Vice President and Chief Risk Officer, MORGAN STANLEY

11:10 Morning coffee & networking break

Is The Financial Business Model As We Know It Facing An Existential Crisis?

11.45 – 12.15 How to make stress testing work in practice: Meeting the engineering challenges Riccardo Rebonato, EDHEC

11:45 Innovation briefing What does Innovation mean for financial services? Delving into practical fintech opportunities and assessing their risk-reward value PwC

12:15 CRO perspective Digitisation & big data: A case study How is big data and advanced analytics changing the way we do risk management in the next 5 years? Marcus Chromik, Chief Risk Officer & Board Member, COMMERZBANK

12.15 – 12.45 Can central bank independence survive in an age of populism? Jakob De Haan, De Nederlandsche Bank


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12:45 CRO panel Is risk management reacting to change quickly enough? The shift of banking as we know it – assessing the challenges and opportunities of digital transformation, new market entrants and regulatory change Moderator: Ian Oliphant-Thompson, CEO, GENERATION SAFE Rafael Salinas, Chief Risk Officer, BBVA Bruce Fletcher, Chief Risk Officer, Global Retail Banking & Wealth Management, HSBC Rahul Dhumale, Chief Risk Officer UK & Head of Risk Methodology, UBS Trevor Adams, Chief Risk Officer, NEDBANK GROUP

12.45 – 13.20 What can you learn about risk management from NASA? Jeevan Perera, NASA

13:20 Lunch – network over lunch in the exhibition area or join one of the following: Women in Risk Networking Lunch

Managing known unknowns and surviving unknown unknowns 14.30 – 15.00 Is Brexit Still a Bubble? Marco Bianchetti, INTESA SANPAOLO

14:30 2017 Accenture global risk study: Exposing the hidden value of risk The evolving landscape of the Risk professional: past, present and future Steve Culp, Senior Managing Director – Financial Services, Management Consulting, ACCENTURE

15:00 My Risk? Your Risk? How should risk shape the business? Lewis O'Donald, Chief Risk Officer, NOMURA

15.00 – 15.30 How to organise around the trading and banking book boundary under FRTB Thomas Hougaard, NORDEA

15:30 Lessons every firm should learn from an insider trader… How to identify and mitigate fraud before it’s too late

15.30 – 16.00 Observability: IFRS vs FRTB NMRF Milena Imamovic-Tomasovic, DEUTSCHE BANK

16:00 CRO panel I’d stake my reputation on it… Determining the biggest threats to your firm’s reputation and building a proactive reputational risk management strategy Moderator: Kanwardeep Ahluwalia, Head of Global Markets Risk (EMEA) & Deputy Chief Risk Officer (EMEA), BANK OF AMERICA MERRILL LYNCH Paul Berry, Chief Risk Officer, Mizuho International Bruce MacLaren, Chief Risk Officer Europe, RBC Jacques Beyssade, Group CRO, BPCE Alexander Vedyakhin, Senior Vice-President, Chief Risk Officer, SBERBANK

16.00 – 16.35 Improving executive data governance Kathryn Kerle, RBS

16:35 16.45

Chairman’s closing remarks Afternoon tea & networking break


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Strategy In Practice Working Groups Put the theory into practice in these interactive CRO-led boardroom discussions

17:15 The US & Europe: The Crucible of Uncertainty How to manage risk in this unstable political and regulatory environment? Moderator: Richard Nesbitt, CEO, GLOBAL RISK INSTITUTE Nicola Wickes, Chief Risk Officer Europe & Asia, CIBC Jason Drysdale, Senior Vice President Enterprise Wide Risk, RBC Simon Nye, General Manager & Head of Risk London Branch, NAB

What can we learn from challenger banks? How are challenger banks breaking traditional boundaries and what does that mean for risk management? Peter Rossiter, Chief Risk Officer, STARLING BANK Ian Wilson, Chief Risk Officer, MONZO BANK Mark Thundercliffe, Chief Risk Officer, CYBG

Cyber risk: measure, mitigate, manage What can risk managers do to proactively tackle cyber threats? Moderator: Antonio Giannino, Chief Risk Officer & Compliance Officer, AMAGIS CAPITAL Colin Church, Chief Risk Officer EMEA, CITIGROUP Kenji Fujii, Head of Global Risk Management, MIZUHO SECURITIES COMPANY LIMITED Jaco Grobler, Group Chief Risk Officer, FIRSTRAND LIMITED Pierpaolo Montana, Chief Risk Officer, MEDIOBANCA

How will global demographic shifts change the face of financial risk? Examining human trends and their economic drivers to determine how we manage risk for the next generation Moderator: Martha Cummings, Senior Vice President, FEDERAL RESERVE BANK OF NEW YORK Serge Wibaut, Board Member CIGNA INSURANCE EUROPE Sykes Wilford, Professor, THE CITADEL UNIVERSITY Cosimo Pacciani, Chief Risk Officer, EUROPEAN STABILITY MECHANISM

18.00 RiskMinds 2017 Welcome Drinks


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Wednesday 6th December 2017 RiskMinds Main Conference Day 2

08:00 Registration & welcome coffee

08:30 Chairman’s opening address: Daniel Butler, Managing Director, AON In The Boardroom Risk Discussions First-come first-served

Managing Non-Financial Risks

08:30 – 08:40

Chairman’s address: Steve Lindo, COLUMBIA UNIVERSITY

08.40 Panel Discussion Latest innovations in the risk management, mitigation and transfer of conduct and cyber exposures Daniel Butler, Managing Director, AON Rachel Conran, Chief Underwriting Officer, SCOR GROUP

08:40 – 09:20

Ethics, risk culture & licence to

operate – Improving

customer, regulatory and

shareholder outcomes

Peter Deans,

BANK OF QUEENSLAND

09.20 Cyber hacker address How I rob banks Explore how you can use the hacker mindset to better defend your organization and hear anecdotes from a 20+ year career in ethical hacking, social engineering and physical assessments Freakyclown, Co-Founder, Ethical Hacker, Social Engineer

09:20 – 09:55

FRTB - Action stations or wait and see? Paul Jones, IHS MARKIT

09.55 Managing operational risk in today's environment Thomas Poppensieker, Senior Partner (Munich), MCKINSEY & COMPANY

09:55 – 10:30

Stresses and strains: Stress testing and society Alan Smith, HSBC

10:25 Guest ‘Narcos’ address Decision making in extreme conditions What can risk managers learn from bringing down Pablo Escobar? Javier Peña & Steve Murphy, Former DEA Special Agents & Inspiration for the Hit Netflix Original Series NARCOS

10:30 – 11:05

Business model risk – Staying relevant in today and tomorrow’s climate Martha Cummings, FEDERAL RESERVE BANK OF NEW YORK


STREAM A Accounting & IFRS 9

STREAM B Operational & Emerging Risks

STREAM C Recovery, Resolution

& Liquidity

STREAM D Model Risk

STREAM E Central Clearing, CCPs

& Initial Margin

11:40 11.45

Chairman’s opening remarks


PwC


Gilles Demeulenaere, QRM Inc.


Thomas Wallace, Risk Dynamics


Simulation-based vs scenario-based approach to IFRS 9 – Exploring the dichotomy Scott Aguais, Z-RISK ENGINE

Branchification & the business model

Making resolvability a

business as usual

process

Daniel McCarthy,

SINGLE RESOLUTION

BOARD

TRIM: Practical experience and implications Thomas Miehe, DEUSTCHE BANK

CCP supervision: Is relocation necessary Ulrich Karl, ISDA


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12:20 Forward looking expected credit losses, model risk and uncertainty – A foundational approach for IFRS9 and CECL Jorge Sobehart, CITIGROUP

Risk management of economics: The next frontier Alan Smith, HSBC

Saving capital and

liquidity: Insights

from resolution plans

globally

Sebastian Schneider

& Alexis Trittipo,

MCKINSEY &

COMPANY

TRIM Implementation – Managing convergence successfully Burcu Guner, MOODY’S ANALYTICS

Are CCPs the new “Too Big to Fail”? David Blache, ACPR

12:55 Lunch + Learning, discussions & networking Presentation (13.00 – 13.30) Taming the ghost in the machine? Managing the limitations of machine learning models Marc Taymans, Managing Partner, RISK DYNAMICS

14:35 IFRS 9: A revolution in economic forecasting Jeroen Van Doorsselaere, WOLTERS KLUWER

Operational risk capital – do we need it?

Scenario analysis for recovery planning Rutang Thanawalla, STANDARD CHARTERED BANK

How to choose a return process for interest rates in a VaR model Colin Burke, LLOYDS BANKING GROUP

CCP resiliency, recovery and resolution – A clearing membership perspective Marnie Rosenberg, JP Morgan Chase

15:10 Cross-sector panel Pinpointing the methodological challenges and uncertainties within IFRS 9 -Regulator Perspective David Grünberger, AUSTRIAN FMA -Bank Perspective: Christian Düsterberg, ERSTE GROUP -Auditor Perspective

Articulating risk appetite for non-financial risk Wilhelm Koch, ERSTE GROUP

The international implications of OLA Matthew Ekberg, IIF

Panel discussion Good & bad model risk practice Moderator: Keith Garbutt, CREDIT SUISSE Julian Phillips, GE CAPITAL Klaus Böcker, DEUTSCHE PFANDBRIEFBANK

Calculating future initial margin (MVA) – Made simple! Robert McWilliam, ING BANK

15:45 IFRS 9/CECL and macroeconomic scenarios Cristiano Zazzara & Giorgio Baldassarri, S&P GLOBAL MARKET INTELLIGENCE

Managing regulatory risk – Blueprint for the analytical enterprise Saloni Ramakrishna, ORACLE

Panel discussion Recovery & resolution planning – current challenges for Eurozone banks Moderator: Monika Mars, MM RISK ADVISORY SERVICES Harry Petersen, RABOBANK Boudewijn Berger, ABN AMRO Matthijs van Oers, ING BANK

Predicting future

Basel 5: Potential

evolution of internal

models and

regulatory

environment

Vladimir Chorniy,

BNP PARIBAS

Backtesting the live SIMM: From theory to practice Eduardo Epperlein, NOMURA


16:50 IFRS 9 ECL implementation – insights from modelling and parallel runs Diana Kapsa, UBS

Identification of operational risk and related drivers as the foundation for risk measurement Nedim Baruh,

RAF and recovery plan: An integrated view Diego Onorato, INTESA SANPAOLO

Handling Negative Rates & P vs. Q Measure Issues John Hull, UNIVERSITY OF TORONTO

Managing Initial Margin implications effectively Tomo Kodama, BANK OF AMERICA MERRILL LYNCH


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JP Morgan Chase

17:25 The implementation of IFRS: iterations and challenges CFO vs. CRO Andrea Cremonino, UNICREDIT

Fixing Operational Risk capital Michael Grimwade, MITSUBUSHI UFJ SECURITIES INTERNATIONAL

Tackling the unwinding challenges Simon Mew STANDARD CHARTERED BANK

Model governance best practice Konstantina Armata, DEUTSCHE BANK

How are CCPs Embracing blockchain?

18:00 Chairman’s closing remarks

Chairman’s closing remarks




18:05 19.00

Drinks reception – Plus practitioner champagne roundtables: 1. Can smart contracts replace custodians, CCPs or banks? – Massimo Morini, Head of Interest Rate and Credit Models,

BANCA IMI 2. TRIM one year in: An opportunity to share experiences of the ECB review process so far – Marie-Paule Laurent,

Managing Partner, RISK DYNAMICS 3. IFRS 9, regulatory treatment and stress testing – David Grünberger, Head, Accounting & Regulatory Monitoring,

AUSTRIAN FMA The RiskMinds Movie Night Watch Star Wars: The Force Awakens ahead of the new Star Wars release this December! Popcorn, dinner and drinks will be served. Hosted by Accenture.


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Thursday 7th December 2017 RiskMinds Main Conference Day 3

08:00 Registration & welcome coffee

08:30 Chairman’s opening address: Charles Richard III, Senior Vice President & Co-Founder, QRM INC.

In The Boardroom Risk Discussions First-come first-served Risk & Financial Regulation: Where will we be in 10 years? 08.40 – 08.50

Chairman’s address:

Steve Lindo, COLUMBIA UNIVERSITY

08:50 A Darwinian view on financial regulation A critical appraisal of Basel III and beyond Paul Embrechts, RiskLab, ETH ZURICH & Senior SFI Professor

08.50 – 09.25

BAU Stress Testing in an

unpredictable world

Trevor Wells, HSBC

09:25 Simulating the financial system: Stress testing, systemic risk and housing markets Doyne Farmer, Institute of New Economic Thinking at Oxford Martin School and Professor at University of Oxford and the Santa Fe Institute

09.25 – 10.00

IFRS 9 – Impact on capital and the banking system

10:00 Existential risk: Managing the new threat landscape How have the biggest risks to bank business models evolved and how is the risk function navigating change? Andrew Cross, Director of Enterprise Wide Risk, RBS

10.00 – 10.35

Interpreting the final FRTB rules Bruce Broder, JP MORGAN CHASE

10:35 Harnessing AI & Machine Learning What will risk management look like in 2027?

10.35 – 11.10

Embedding RRP into through-the-cycle planning Caitriona O’Kelly, DEUTSCHE BANK


STREAM A FRTB & Market Risk

STREAM B Credit Risk, XVAs &

Pricing

STREAM C Stress Testing

STREAM D Conduct, Culture

Compliance & Reputational Risk

STREAM E Risk Management In

The Fintech Era

11:45 11:50


Peter Beardshaw, ACCENTURE




Brad Carr, IIF


Richard Bennett, WOLTERS KLUWER

Panel discussion How practitioners see the FRTB implementation hurdles Moderator: Bo Boisen, NORDEA BANK Bruce Broder, JP MORGAN CHASE Steven Jamieson, NOMURA

SA-CCR Final Implementation Rita Gnutti, INTESA SANPAOLO

Bank of England 2017

stress test and plans

for 2018

Richard Button &

Alison Scott,

BANK OF ENGLAND

Approaches to building a positive conduct risk culture Eavan Garvey, BANK OF IRELAND

The latest from the regulatory sandbox David Geale, FCA


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Volker Wellmann, BNP PARIBAS Panayiotis Dionysopoulos, ISDA

12:25 Building solutions for NMRF without high capital implications Christian Raubenheimer & Anke Raufuss, MCKINSEY & COMPANY

SA-CCR’s regulatory

applications are

multiple – What is the

actual impact?

Olivier Miart, ISDA

Aligning best

practices for IRRBB

with the disclosure

requirements for

BCBS 368

Henry Norwood &

Henry Lin, QRM Inc.

Is there a more efficient way to be compliant? Howard Copeland, STANDARD LIFE INVESTMENTS

Risk management in the digital world Ebbe Negenman, AEGON BANK

13:00 Lunch + Lunchtime Discussions: Enjoy a relaxed seated lunch away from the madding crowd whilst listening to expert risk management presentations.

14:20 P&L Attribution: Defining the test & the metric Mark Nyfeler, UBS

Cost of capital &

valuation: A target

performance

approach

Damiano Brigo, IMPERIAL COLLEGE LONDON

Improving International stress testing frameworks Trevor Wells, HSBC

Profitability vs social responsibility Bjorn Lenzmann, Emirates NBD

Collaborating with start-ups to develop innovative approaches to AML & KYC ACCENTURE

14:55 Passing the P&L attribution test Lars Popken, DEUTSCHE BANK

Challenges for

internal models:

Examining the

potential of pool

models

Hans Jörg Sellner,

RSU RATING SERVICE

UNIT

Stress testing: effective integration into risk & bank management Anne Kleppe, D-FINE

Reputational risk – Managing the root cause

Practical applications of machine learning Vivien Brunel, SOCIÉTÉ GÉNÉRALE

15:30 FRTB’s Impact on banking business models Jonathan Berryman, FIS

Supervised and Unsupervised methods for XVAs Massimo Morini,

BANCA IMI

Avoiding pitfalls in stress testing modelling Daniel Mayenberger CREDIT SUISSE

Risk ownership across all lines of defence Marie Lauri, DEUTSCHE BANK

The Rise of Regtech PwC


16:35 FRTB internal model waivers: Assuming P&L tests can be met; what else is needed? Joel van der Leest, ING Bank

The Impact of IM on credit risk & XVA Andrew Green, SCOTIABANK

Proactive risk management with stress testing Erkka Näsäkkälä, SEB

Operational controls – Industry efforts to increase efficiency and effectiveness Simon Wills, ORX Jens Falke, COMMERZBANK

Blockchain: Cutting through the hype Periklis Thivaios, IE BUSINESS SCHOOL

17:10 Defining optimal solutions for exhaustive risk factor modelling across various components of the FRTB's twisty puzzle Adolfo Montoro, DEUTSCHE BANK

The Revised Basel CVA Framework Michael Pykhtin, FEDERAL RESERVE BOARD

Reverse stress testing: Identifying future bank breaking events not covered by excessive regulation Andrea Burgtorf, ERSTE GROUP

The trilemma of capital allocation, performance management and shareholder value Idzard van Eeghen, RBS

Practitioner's approach for managing fintech risk Andrew Reilly, RBS


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17:45 17.50






End of RiskMinds 2017 Main Conference & survivor drinks!

Friday 8th December 2017 In-Depth Technical Workshops

Measuring Market Risk Workshop

This workshop covers the quantification of market risk and regulatory developments. The workshop will have four modules: Risk measures, calculating value at risk and expected shortfall, regulation and delta hedging.

Workshop Leader: John Hull, Maple Financial Professor Of Derivatives & Risk Management at Joseph L. Rotman School of Management, UNIVERSITY OF TORONTO

8.30 Registration, Breakfast & Networking Time

9.00 Workshop Leader’s Opening Remarks

9.05 Risk Measures VaR and expected shortfall Coherent risk measures Allocation and aggregation of risk measures Backtesting

10.30 Morning Coffee & Networking Break

11.00 Calculation Methods Historical simulation and its extensions Stressed VaR and expected shortfall Extreme value theory Model Building approach and its use in SIMM and FRTB

12.30 Lunch

13.30 Regulation The history: Basel I and Basel II.5 Standardised approach in FRTB Internal models approach in FRTB Trading book Vs banking book boundary

15.00 Afternoon Coffee & Networking Break

15.30 Optimizing Greek Letter Calculation Traditional approaches The correlation between volatility and asset price movements Recent research Results

17.00 Workshop Leader's Closing Remarks

17.15 End Of Workshop


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Capital Requirements from Basel 2.5 to FRTB Workshop This workshop covers the capital requirement framework for market risk in the trading book and the forthcoming

regulatory evolution with FRTB. It starts from the current framework to give an overview of its main features,

provides an update on Targeted Review of Internal Models (TRIM) and covers main findings relating to FRTB from a

practitioner perspective.

Workshop Leader: Rita Gnutti, Risk Management – Head of Internal Models Market and Counterparty Risk,

INTESASANPAOLO



9.05 Basel 2.5 Capital Charge and TRIM assessment VaR, Stressed VaR, and Incremental Risk Charge (IRC) Model Validation under Basel 2.5 and EBA/RTS/2016/07 Targeted Review of Internal Models (TRIM)


11.00 FRTB general framework FRTB Timeline: global adoption, EU Roadmap, FRTB global framework Trading Book / Banking Book Boundary; Internal Risk Transfers under FRTB Overview of main components of capital charge: internal model and standardized approach Model Validation process FRTB Expected Impacts Main features introduced with CRRII draft November 2016

12.30 Lunch

13.30 FRTB Internal Model

Expected Shortfall “Liquidity Adjusted” based on a stressed period

Capital Allocation Exercise on a simple portfolio

Default Risk Charge

Non Modellable Risk Factors

Model Validation Test under FRTB


15.30 FRTB Standardized Approach Sensitivities Based Approach (SBA) Business Case on SBA on a simple portfolio Default Risk Charge (DR) and Residual Risk AddOn (RRA) Reduced Sensitivity-based Method (R-SbM)




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Stress Testing: Theory and Practice Workshop This will be a highly interactive workshop focusing on the theory and practice of enterprise wide stress testing for

banks. It explains the history and development of stress testing over recent years to become one of the key tools for regulators to assess the resilience of individual institutions and the financial system. It compares the different

approaches of regulators and provides practical guidance for those involved in implementing stress testing programmes within banks.

Workshop Leader: Jo Paisley, Former PRA Director & Ex Global Head of Stress Testing at HSBC



9.05 History and Development of Stress Testing

Including an overview of some of the key concurrent stress testing regimes


11.00 Macro and Micro Perspectives of Regulators

We will consider scenario development, risk models, management actions and assess the impact of

stress

12.30 Lunch

13.30 Qualitative Standards

Choosing the right operating model for stress testing, model management, control framework,

governance and documentation


15.30 Common Stress Testing Challenges in Firms and How to Overcome Them

Embedding stress testing with a focus on alignment to other key processes such as planning and

future challenges including IFRS 9




15

Recovery and Resolution Planning Workshop This workshop will provide an overview of current practices and challenges in recovery and resolution planning. It gives

an overview of regulatory developments at global and European level, also touching on national approaches to recovery

and resolution planning, e.g. in the US, UK and Switzerland, before providing examples of recovery and resolution

planning from a practitioners’ perspective. The workshop will also include a specific session on TLAC, MREL and Bail-in.

Workshop Leader: Monika Mars, Managing Director

MM RISK ADVISORY SERVICES



9.05 Recovery and Resolution Planning – Regulatory Overview

FSB Key Attributes

European Bank Recovery and Resolution Directive (BRRD) and proposed amendments

Implementation in key jurisdictions, e.g. USA, UK, Switzerland, EU/SRM


11.00 Recovery Planning

Specific requirements for content of recovery plans

Recovery indicators and scenarios

Governance arrangements / Group recovery plans

Recovery measures

Feedback from supervisors on recovery plans and industry responses

12.30 Lunch

13.30 Resolution Planning

Implementation of resolution planning in key jurisdictions, e.g. USA, Switzerland, EU/SRM

Determination of appropriate resolution strategies

Information requirements for banking groups (e.g. EBA, SRB)

Interaction with resolution authorities, resolution colleges and CMGs

Industry responses to feedback / requests from resolution authorities


15.30 TLAC, MREL and Bail-In

The FSB TLAC Term Sheet and guidance on internal TLAC

TLAC vs. MREL and implementation in the European Union / the Banking Union

The Bail-in tool in resolution

Challenges in the operationalisation of bail-in




monday 4 december 2017 the global risk regulation summit · pdf file12:45 guest political...

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