Day 1: 24 October, 2018 


Registration and refreshments



Tanveer Bhatti, Member of the Board, RUTGERS BUSINESS SCHOOL



Dherminder Kainth, Senior Risk Specialist, Model Risk Management, PRA


Panel discussion: The impact of sweeping regulatory change : More speed, more power, more flexibility

  • From FRTB to TRIM to IFRS 9: where are the biggest demands coming from?
  • What is the starting-point for most banks, and for vendor systems?
  • Workarounds and shortcuts – how to get the most out of technology without wholesale change
  • What the future looks like – the possibility of more radical regulatory reform

Paul Burnett, Head of Traded Risk Analytics, Global Risk Analytics, HSBC


Spotlight on: Quantifying model uncertainty with AI

Jos Gheerardyn, Co-Founder and CEO, YIELDS.IO


Morning coffee and networking break


Panel discussion: TRIM

  • First-hand experience on the TRIM assessment, including model risk management / capital add-ons / quantification of model risk etc.
  • What are the lessons learned from banks who have been through the process which are the most relevant gaps that institutions have already discovered
  • Interactions with the ECB to date
  • What are the practitioners  views on the European alignment harmonisation
  • TRIM and validation and the implementation of test to check risk models.
  • Where tests are missing, what are the regulator’s requirements?  

Moderator: Philip Alexander, Editor, Regulation, RISK.NET

Lutz Weinert, Director-Group Market Risk, COMMERZBANK


Presentation: Managing model risks associated with VaR models

  • Managing Model Risks Associated with VaR Models
  • Building a validation framework for risk models
  • Model risk: Definition, mitigation and quantification issues
  • Experiences with the TRIM process so far. Are some model risk aspects missing in TRIM?
  • What lies ahead? Comments on risk models and risk model validation in the age of (big) data analytics and machine learning

Peter Quell, Head of Portfolio Analytics for Market and Credit Risk, DZ BANK AG




Panel discussion Minimizing NMRFs (non-modellable risk factors)

  • How can you support the identification of NMRFs?
  • How do you convert them into modellable risk factors, and failing that, how do you deal with them?
  • Which businesses are under the most pressure from NMRFs? What can be done to reduce the pressure on cost of capital?
  • What are the rules of the game around data pooling? What are the barriers to entry for external data providers? Will data pooling offset capital charges and increase risk transparency for the industry, therefore making the internal models approach worthwhile?
  • How do P&L and NMRFs interact with each other?
  • How to include NMRFs in backtesting

Moderator: Nazneen Sherif, Associate Quant Finance Editor, RISK.NET

Azar Khurshid, Director – Global FRTB Programme, MIZUHO INTERNATIONAL

Suman Datta, Head, Portfolio Quantitative Research, LLOYDS BANK

Adolfo Montoro, Director, Market Risk Management & Risk Methodology - Global Head of Market Data Strategy & Analytics, DEUTSCHE BANK


Panel discussion: What are the challenges for model validation under the internal models approach?

  • What are the barriers to entry for the internal models approach?
  • What is the difference between the old and new internal models structure?
  • To what extent is the capital requirement for the internal models approach constrained by the standardised measure?
  • How to implement Default Risk Charge (DRC) in conversion from the Incremental Risk Charge (IRC)
  • Overcoming the loss of the full diversification benefit between expected shortfall and DRC
  • What are the most efficient processes for model validation?

Moderator: Mauro Cesa, Quant Finance Editor, RISK.NET

Marlene Lenarduzzi, Vice President, Head of Model Validation- Enterprise Risk, BMO

Vladimir Chorniy, Senior Technical Lead, BNP PARIBAS

Colin Burke, Head of Technical Model Validation and Market Risk Model Approval, LLOYDS BANKING GROUP


Afternoon refreshment and networking break


Panel discussion: Key behavioural and modelling assumptions in measuring IRRBB

  • What are the new behavioural assumptions in managing interest rate risk?
  • How can banks ensure behavioural assumptions affecting accounts with embedded customer optionality remain valid?
  • How can behavioural assumptions about the re-pricing characteristics of customer accounts without specific re-pricing dates remain ‘prudent’ and appropriate in balancing the benefits to longer-term earnings against the economic value at risk?
  • Option risk - prepayment risk, pipeline risk, early withdrawal risk

Roberto Virreira, Risk Director IRRBB, STATE STREET


All-star panel: The road to implementation: How to stay ahead of the FRTB curve in the trading business

  • To what extent are banks building FRTB solutions internally?
  • How to integrate and standardised across your risk function and front office to optimise your chances of passing the internal model eligibility tests
  • How to risk manage a business with potentially high capital volatility when dropping in and out of IMA
  • Does FRTB bring back much needed industry wide trading book standardisation?
  • Would you be better or worse off if you were 100% standardised? Can the standardised approach compute all portfolio types?

Britta Achmann, Head of Business Implementation, Market and Counterparty Credit Risk, DEUTSCHE BANK

Eduardo Epperlein, Managing Director, NOMURA



Tanveer Bhatti, Member of the Board, RUTGERS BUSINESS SCHOOL


End of day 1 and networking drinks 

Day 2: 25 October, 2018 


Registration and refreshments 



Tanveer Bhatti, Member of the Board, RUTGERS BUSINESS SCHOOL


KEYNOTE ADDRESS: The ECBs perspective on top down stress testing

Christoffer Kok, Deputy Head of Division- Stress Test Modelling Division, DG Macroprudential Policy and Financial Stability, EUROPEAN CENTRAL BANK


Panel discussion: Model Risk Management - Effective practices for stress testing

  • How can banks make their MRM function more efficient and ensure they have a robust framework in place to capture model risk across the whole organisation?
  • What is the impact of the PRA’s recent Supervisory Statement and its major challenges?
  • What does the future hold for MRM?

Slava Obraztsov, Global Head of the Model Validation Group, NOMURA

Christophe Drozo, Head of Model Risk Management, NATIXIS


Morning coffee and networking break



During this session delegates will gain practical skills responding and reacting to a simulated crisis scenario

  • Scenario One: How would you best react to mitigate the damage of the misuse of a pricing model?
  • Scenario Two: How would you respond to a misinterpretation of a market risk model?

Tanveer Bhatti, Member of the Board, RUTGERS BUSINESS SCHOOL




Live interview: IFRS 9 - an estimable challenge

  • How should banks come up with estimates of expected credit losses?
  • What methods for estimating credit losses will regulators expect?
  • How should models for estimating credit losses be constructed and calibrated?
  • What are the technological challenges the industry will face?

Moderator: Philip Alexander, Editor, Regulation, RISK.NET

Roberto Torresetti, Head of Risk Management, BANCA CARIGE

Anish Shah, Senior Audit Manager - Quantitative Models, RBS


Presentation: TOPIC TBC

Agus Sudjianto, EVP and Head of Model Risk, WELLS FARGO


Afternoon refreshment and networking break


Panel discussion: Machine learning (ML), the future for modelling?

  • The benefits of ML for modelling
  • The challenges of validating ML models
  • Will ML models mean a quicker, more responsive model validation process?
  • ML and stress testing models

Rajiv Sesodia, Managing Director, Head of Financial Markets Risk Models, STANDARD CHARTERED BANK

Keith Garbutt, Co-Head of Model Risk Management, CREDIT SUISSE



Take the event’s most contentious issues and fully engage with your peers in small interactive roundtable discussions to drill down, share best practices and take away diverse approaches to the same challenges from your fellow industry peers.



Tanveer Bhatti, Member of the Board, RUTGERS BUSINESS SCHOOL


End of conference and networking drinks