Programme

Agenda

Day 1: 24 October, 2018 

08:30

Registration and refreshments

9:05

WELCOME REMARKS

Mauro Cesa, Quantitative Finance Editor, RISK.NET

9:10

CHAIR’S OPENING REMARKS

Selwyn Blair-Ford, Regulatory Consultant, XENOMORPH

9:15

KEYNOTE ADDRESS: Observations on model risk management

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

9:45

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

Moderator: Philip Alexander, Regulation Editor, RISK.NET

Horst Kausch, Head of Model Monitoring, HSBC

Guillaume Figer, Head of Model Risk Management Department, SOCIETE GENERALE

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

Maurizio Garro, Senior Audit Manager, LLOYDS BANKING GROUP

10:30

Morning coffee and networking break

11:00

Spotlight on: Quantifying model uncertainty with AI

  • Quantifying model uncertainty
  • Machine learning techniques in model risk management
  • Regulatory frameworks (e.g. PS7/18 in the UK and SR11-7 in the US)

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

11:30

Presentation: 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?  

Lutz Weinert, Director-Group Market Risk, COMMERZBANK

12:00

Lunch 

13:00

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

Selwyn Blair-Ford, Regulatory Consultant, XENOMORPH

13:45

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, Quantitative 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

Raphael Albrecht, Head of IRC Methodology, CREDIT SUISSE

14:30

Afternoon refreshment and networking break

15:00

Presentation: 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

15:30

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 industry wide trading book modelled risk weight standardization and if so, is it desirable?
  • Would you be better or worse off if you were 100% standardised? Can the standardised approach compute all portfolio types?

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

Eduardo Epperlein, Managing Director, NOMURA

Neels Vosloo, Head of EMEA Regulatory Risk, BANK OF AMERICA MERRILL LYNCH

Raphael Albrecht, Head of IRC Methodology, CREDIT SUISSE

Bo Boisen, Head of Strategic Projects, NORDEA

16:15

CLOSING REMARKS

Selwyn Blair-Ford, Regulatory Consultant, XENOMORPH

16:20

End of day 1 

Day 2: 25 October, 2018 

8:30

Registration and refreshments 

8:55 

CHAIR'S OPENING REMARKS

Stuart MacDonald, Managing Partner, BRIDE VALLEY PARTNERS

9:00

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

09:30

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?

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

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

Christophe Drozo, Head of Model Risk Management, NATIXIS

Nigel Milbank, Head of Stress Testing Deliveryy and Control, RBS

10:15

Morning coffee and networking break

10:45

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

11:15

Panel discussion: 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, Regulation Editor, RISK.NET

Roberto Torresetti, Head of Risk Management, BANCA CARIGE

Guillaume Figer, Head of Model Risk Management Department, SOCIETE GENERALE

12:00

Lunch 

12:55

ROUNDTABLE DISCUSSION: 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.

  • Roundtable 1: How to control for model risk and how to backtest satellite models determining the scenario impact – Roberto Torresetti, Head of Risk Management, BANCA CARIGE
  • Roundtable 2: Machine learning in finance and their model risk lessons learned - Agus Sudjianto, EVP and Head of Model Risk, WELLS FARGO
  • Roundtable 3: MRM indicators for risk appetite framework and limit calibration -  Christophe Drozo, Head of Model Risk Management, NATIXIS
13:25

HARVEST SESSION: Each roundtable host will share 4  key outcomes following their roundtable discussion

Stuart MacDonald, Managing Partner, BRIDE VALLEY PARTNERS

13:40

Presentation: Explainable AI 

  • Machine learning applications in banking
  • Model risk in machine learning
  • Explainable machine learning: interpreting machine learning models
  • Recent advancements in machine learning interpretability techniques

Agus Sudjianto, Executive Vice President and Head of Model Risk, WELLS FARGO

14:10

Afternoon refreshment and networking break

14:40

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

Moderator: Keith Garbutt, Head of Independent Model Review, HSBC

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

Giles Spungin, Managing Director, Global Head of Regulatory Compliance and Operational Risk Analytics, HSBC

Agus Sudjianto, Executive Vice President and Head of Model Risk, WELLS FARGO

Nadia Daneva, Senior Quantitative Expert, ADDIKO BANK

15:25

CLOSING REMARKS

Stuart MacDonald, Managing Partner, BRIDE VALLEY PARTNERS

15:30

End of conference