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8:30am - 9:00am

Registration and welcome coffee

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9:00am - 9:10am

Chairman’s opening address

  • Brad Carr - Senior Director, Digital Finance Regulations and Policy, IIF
  • Antonio Giannino - Chief Risk Officer, Amagis Capital
More
9:10am - 9:50am
Info

Audience polling panel: What keeps CROs awake at night?

CROs respond to audience quick-fire polling on the top challenges facing risk management

  • Stephanie Bontemps - Executive Vice President, Chief Risk Officer, First Republic Bank
  • Daniel Moore - Chief Risk Officer, Scotiabank
  • David Hernandez - Chief Risk Officer, BAC Florida Bank
  • Moderator Til Schuermann - Partner, Oliver Wyman
  • Yury Dubrovsky - Chief Risk Officer, Lazard Ltd
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9:50am - 10:20am
Info

Fireside chat: Leading by example

Are risk management and business culture where we want them to be?

  • Stephanie Bontemps - Executive Vice President, Chief Risk Officer, First Republic Bank
  • Ken Abbott - Former Chief Risk Officer Americas, Barclays
  • Al Hamdani - Senior Vice-President and Chief Risk Officer, Global Risk Management, EDC
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10:20am - 10:50am
Info

Improving finance and risk management foresight abilities

Growing past the ‘black swan’ mindset through integrative assessment


  • Guntram Werther - Professor, Fox School of Business , Temple University
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10:50am - 11:20am

Networking coffee break

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11:20am - 11:50am
Info

Solving BCBS-185 with machine learning

The Basel directive, BCBS-185, outlines sound practices for back-testing counterparty risk models to ensure they are effective. Here, we will argue that it essentially reduces to one tricky requirement: capturing the ‘black-swans’ or jumps. Taking fixed income as an example, we will show that machine learning can, not only identify the jumps, but recognize clustering within those jumps that correspond to actual events in the market. This leads to new insights into how to build risk models that incorporate the features of the machine learning. It also calls into question some of the most basic assumptions in finance theory, which we will also explore.

  • Peter Zeitsch - Solution Architect, Calypso Technology
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11:50am - 12:30pm

Guest geopolitical briefing: The world in the US: the US in the world

What are the emerging local and global risks that every bank should have on their risk radar?

  • John Hulsman - Geopolitical Expert & Life Member, U.S. Council On Foreign Relations
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12:30pm - 1:00pm
Info

Quantifying cybersecurity risk

  • Loss distribution approach
  • Cyber VaR and Economic Capital
  • Structured scenario analysis
  • Ashish Dev - Principal Economist, Federal Reserve Board
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1:00pm - 2:25pm

Lunch

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Showing of Streams
4:00pm - 4:30pm

Networking coffee break

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Showing of Streams
5:30pm - 6:30pm

Networking drinks reception

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8:30am - 9:00am 30 mins
Registration and welcome coffee
9:00am - 9:10am 10 mins
Chairman’s opening address
  • Brad Carr - Senior Director, Digital Finance Regulations and Policy, IIF
  • Antonio Giannino - Chief Risk Officer, Amagis Capital
9:10am - 9:50am 40 mins
Info
Audience polling panel: What keeps CROs awake at night?
  • Stephanie Bontemps - Executive Vice President, Chief Risk Officer, First Republic Bank
  • Daniel Moore - Chief Risk Officer, Scotiabank
  • David Hernandez - Chief Risk Officer, BAC Florida Bank
  • Moderator Til Schuermann - Partner, Oliver Wyman
  • Yury Dubrovsky - Chief Risk Officer, Lazard Ltd

CROs respond to audience quick-fire polling on the top challenges facing risk management

9:50am - 10:20am 30 mins
Info
Fireside chat: Leading by example
  • Stephanie Bontemps - Executive Vice President, Chief Risk Officer, First Republic Bank
  • Ken Abbott - Former Chief Risk Officer Americas, Barclays
  • Al Hamdani - Senior Vice-President and Chief Risk Officer, Global Risk Management, EDC

Are risk management and business culture where we want them to be?

10:20am - 10:50am 30 mins
Info
Improving finance and risk management foresight abilities
  • Guntram Werther - Professor, Fox School of Business , Temple University

Growing past the ‘black swan’ mindset through integrative assessment


10:50am - 11:20am 30 mins
Networking coffee break
11:20am - 11:50am 30 mins
Info
Solving BCBS-185 with machine learning
  • Peter Zeitsch - Solution Architect, Calypso Technology

The Basel directive, BCBS-185, outlines sound practices for back-testing counterparty risk models to ensure they are effective. Here, we will argue that it essentially reduces to one tricky requirement: capturing the ‘black-swans’ or jumps. Taking fixed income as an example, we will show that machine learning can, not only identify the jumps, but recognize clustering within those jumps that correspond to actual events in the market. This leads to new insights into how to build risk models that incorporate the features of the machine learning. It also calls into question some of the most basic assumptions in finance theory, which we will also explore.

11:50am - 12:30pm 40 mins
Info
Guest geopolitical briefing: The world in the US: the US in the world
  • John Hulsman - Geopolitical Expert & Life Member, U.S. Council On Foreign Relations

What are the emerging local and global risks that every bank should have on their risk radar?

12:30pm - 1:00pm 30 mins
Info
Quantifying cybersecurity risk
  • Ashish Dev - Principal Economist, Federal Reserve Board
  • Loss distribution approach
  • Cyber VaR and Economic Capital
  • Structured scenario analysis
1:00pm - 2:25pm 85 mins
Lunch
2:25pm - 2:30pm 5 mins
Track A: Risk modelling & Accounting
Chairman's opening remarks
  • Periklis Thivaios - Researcher, IE Business School
2:25pm - 2:30pm 5 mins
Track B: Capital management, liquidity & FRTB
Chairman's opening remarks
  • Matthew Halperin - Senior Vice President Independent Global Risk Officer, MFS Investment Management
2:25pm - 2:30pm 5 mins
Interactive Geopolitical War Game
Chairman's opening remarks
  • John Hulsman - Geopolitical Expert & Life Member, U.S. Council On Foreign Relations
2:30pm - 3:00pm 30 mins
Track A: Risk modelling & Accounting
Implementing CECL and IFRS9 successfully
  • Jimmy Yang - Managing Director Credit & Operational Risk Analytics, BMO Financial Group
  • Andreea Pantchev - Managing Director, Wholesale Credit Analytics and Solutions - Head of Wholesale Allowance, JP Morgan
  • Moderator Prasad Palla - Head of Wholesale & Markets Risk Control, HSBC
2:30pm - 3:00pm 30 mins
Info
Track B: Capital management, liquidity & FRTB
Developing an efficient risk appetite framework in a constantly changing world
  • Alper Corlu - Senior Vice President, Credit Risk Portfolio Analytics, Citizens Bank

Incorporating capital and growth measures into your risk framework whilst keeping up with adjustments in the market

2:30pm - 4:00pm 90 mins
Info
Interactive Geopolitical War Game
Russia war game
  • John Hulsman - Geopolitical Expert & Life Member, U.S. Council On Foreign Relations

Join our geopolitical expert for a unique session on forecasting & ‘war gaming’. Through looking at the major players in the Russia – US conflict. Our war game will look at the key analytical hinge points, drivers that will determine the controversy’s outcome, expertly simulating what it is like to make decisions at the highest governmental level

3:00pm - 3:30pm 30 mins
Info
Track A: Risk modelling & Accounting
Incorporating CECL into your earnings forecasting process and reviewing the impact of economic changes and scenarios on CECL reserves
  • Maxwell Gunnill - Credit & Capital Practice Leader, QRM
  • What is needed for forecasting?
  • Consistency concerns
  • Impacts of economic changes on CECL reserves, forecasted allowance, and capital adequacy
  • Ensuring consistency across teams
3:00pm - 3:30pm 30 mins
Info
Track B: Capital management, liquidity & FRTB
Impact of new reforms on capital adequacy
  • Stéphane Gagne - Senior Director, Enterprise Stress Testing, RBC Royal Bank

Discussion about impact of regulatory and accounting reforms, such as Basel IV, IFRS 9, and CECL, on capital adequacy, on an actual and stressed basis

3:30pm - 4:00pm 30 mins
Info
Track A: Risk modelling & Accounting
Forward-looking expected credit losses, model risk and uncertainty – A foundational approach for CECL and IFRS 9
  • Jorge Sobehart - Managing Director Credit and Operational Risk Analytics, Citigroup
  • Understanding forward looking loss estimation, its benefits and limitation
  • Analyzing the impact of credit cycles, financial crises and uncertainty on credit losses
  •  Creating a model uncertainty framework for adjusting ECL estimates
3:30pm - 4:00pm 30 mins
Info
Track B: Capital management, liquidity & FRTB
IRRBB, CCAR and liquidity stress
  • Dirk Schumann - Americas Head of Banking Book and Asset Liability Management, Head of Latin America Treasury, Deutsche Bank

How to bring the various tests together to make better risk and business management decisions

4:00pm - 4:30pm 30 mins
Networking coffee break
4:30pm - 5:00pm 30 mins
Track A: Risk modelling & Accounting
Use of internal risk ratings for CECL EL methodology
  • Eugenia Walton - Supervision, Regulation and Credit, Risk and Policy Analyses, Federal Reserve Bank of Boston
4:30pm - 5:00pm 30 mins
Track B: Capital management, liquidity & FRTB
Market liquidity risk: Large, misunderstood and misregulated
  • Sorina Zahan - Partner & CIO, Core Capital Management
5:00pm - 5:30pm 30 mins
Track A: Risk modelling & Accounting
Assessment of model risk in the aggregate: Contributions of quantification
  • Liming Brotcke - Quantitative Manager, Model Risk Oversight , Federal Reserve Bank Of Chicago
5:00pm - 5:30pm 30 mins
Track B: Capital management, liquidity & FRTB
Investment and liquidity processes revisited
  • Timothy Corbett - Senior Managing Director and Global Head of Investment & Liquidity Risk, State Street Global Advisors
5:30pm - 6:30pm 60 mins
Networking drinks reception