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Informa
Dec 06
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08:30 - 09:00 30 mins
Registration & Refreshments
09:00 - 09:15 15 mins
Chairperson’s Welcome & Opening Remarks
  • Kevin Clarke - Executive Director, Group Regulatory and Governance - Americas, UBS
09:15 - 10:00 45 mins
IFRS 9 Modelling Lessons Learned and Refining Approaches in 2019
  • Alan Burke - IFRS 9 Programme Director, Santander UK
10:00 - 10:50 50 mins
Panel Discussion: Leveraging and Adapting Existing Models for CECL
  • Zhao Sun - Director, Model Risk Management, Bank of America
  • Fiona Zou - Vice President, Wholesale Credit Risk Analytics, HSBC
10:50 - 11:20 30 mins
Refreshment & Networking Break
11:20 - 12:10 50 mins
Panel Discussion: Key Lessons from IFRS 9 to Support a Successful CECL Implementation
  • Mohit Dhillon - Director, Barclaycard BCI Models, Barclays Risk Analytics
  • Valeriu Omer - SVP, Model Validation Manager, BNP Paribas Bank of the West
  • Fiona Zou - Vice President, Wholesale Credit Risk Analytics, HSBC
12:10 - 12:55 45 mins
CECL Implementation Governance and Accounting-Modelling Alignment
  • Michael Fehrman - Managing Director - Accounting Policy, Deutsche Bank
12:55 - 14:10 75 mins
Networking Lunch Break
14:10 - 14:55 45 mins
Info
Dynamically Integrating CECL into Forecasting and Stress Testing Processes
  • Maxwell Gunnill - Credit & Capital Practice Leader, QRM

- Significant operational efficiencies and computational accuracy when using consistent data and behavioral models to generate cash flows and ECLs

- Performing CECL calculations in a dynamic forecast facilitates more detailed and consistent output metrics including provision expense and ALLL contributions for the current and evolving balance sheet across varying (stressed) economic conditions

- Extend the process for consideration in strategic origination pricing and profitability analysis; use to produce business unit pricing tear sheets inclusive of CECL charges

- Naturally allows for the incorporation of management actions and response in order to optimize conditional capital adequacy given practical and regulatory constraints for each business strategy and what-if scenario

14:55 - 15:35 40 mins
Integrated Credit Modelling: From CCAR to CECL
  • Tao Pang - PhD, CFA, FRM, Director of Financial Mathematics Program, North Carolina State University
15:35 - 16:05 30 mins
Afternoon Refreshment & Networking Break
16:05 - 16:50 45 mins
Governing Overlays and Qualitative Adjustments
  • Kevin Clarke - Executive Director, Group Regulatory and Governance - Americas, UBS
16:50 - 17:00 10 mins
Chairperson’s Closing Remarks
  • Kevin Clarke - Executive Director, Group Regulatory and Governance - Americas, UBS