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Convegno

UNIONE BANCARIA E BASILEA 3

RISK & SUPERVISION 2016

Roma, Palazzo dei Congressi

21/22 giugno

Programma Provvisorio

In collaboration with

ROME

21●22 JUNE

PALAZZO

DEI CONGRESSI

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AGENDA STRUCTURE

TUESDAY 21 – MORNING (9.30 AM - 1.00 PM)

OPENING PLENARY SESSION

SUPERVISION AND RISKS: INSIDE THE SINGLE SUPERVISORY MECHANISM

Chair Giovanni Sabatini, ABI

TUESDAY 21 – AFTERNOON (2.30 PM - 5.30 PM)

PARALLEL SESSION A

LIQUIDITY RISK

Chair Giampaolo Gabbi, Università di Siena

PARALLEL SESSION B

CREDIT RISK

Chair Giacomo De Laurentis, Università Bocconi

PARALLEL SESSION C

RISK GOVERNANCE ORGANISATIONAL PROFILES

Chair Paola Schwizer, Università di Parma

PARALLEL SESSION D

RISK DATA AGGREGATION AND RISK REPORTING – PART ONE

Chair Severino Meregalli, SDA Bocconi

PARALLEL SESSION E

OPERATIONAL RISK - CYBER, MODEL, CONDUCT: NEW RISKS?

Chair Paolo Prandi, Università Cattolica - Sede di Brescia

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WEDNESDAY 22 – MORNING (9.15 AM - 1.00 PM)

PARALLEL SESSION F

SMALL BANKS AND SPECIALISED FINANCIAL INTERMEDIARIES

Chair Alessandro Carretta, Università degli Studi di Roma Tor Vergata

PARALLEL SESSION G

RECONCILING RISK MANAGEMENT AND ACCOUNTING

Chair Maurizio Comoli, Università del Piemonte Orientale

PARALLEL SESSION H

COUNTERPARTY AND MARKET RISK

Chair Mario Anolli, Università Cattolica del Sacro Cuore

PARALLEL SESSION I THE “NEW” SREP

Chair Giuseppe Lusignani, Università di Bologna

PARALLEL SESSION L

RISK DATA AGGREGATION AND RISK REPORTING – PART TWO

Chair Severino Meregalli, SDA Bocconi

PARALLEL SESSION M

OPERATIONAL RISK - SCENARIOS AND OPERATIONAL RISK RAF

Chair Marco Giorgino, Politecnico di Milano

WEDNESDAY 22 – AFTERNOON (2.15 PM - 4.30 PM)

CLOSING ROUNDTABLE

BUSINESS RISK FOR BANKS: TOWARDS NEW BUSINESS MODELS?

Chair Francesco Ninfole, MF - Milano Finanza

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TUESDAY 21 – MORNING (9.30 AM - 1.00 PM)

8.15 am Participant registration and welcome coffee in the exhibition area

OPENING PLENARY SESSION

SUPERVISION AND RISKS: INSIDE THE SINGLE SUPERVISORY MECHANISM Chair Giovanni Sabatini, ABI

9.30 am Opening and welcoming remarks Giovanni Sabatini, Direttore Generale ABI

The completion of the Banking Union, challenges and prospects Mario Nava, Direttore, Monitoraggio del sistema finanziario e gestione delle crisi Commissione Europea

Changes in the regulatory framework for banks: a review of future developments Paolo Angelini, Vice Capo del Dipartimento Vigilanza bancaria e finanziaria Banca d’Italia

11.00 am Coffee break and networking in the exhibition area

11.45 am SREP and ECB priorities Giovanni Pepe, Partner KPMG Advisory

Risk and regulation: a marriage to last? Pietro Penza, Partner PwC

12.30 pm Bank Capital Regulation: an academic perspective Kose John, Charles William Gerstenberg Professor of Banking and Finance Stern School of Business, New York University and Laura H. Carnell, Professor of Finance Fox School of Business, Temple University

1.00 pm Buffet lunch and networking in the exhibition area

2.00 pm Start of Parallel Sessions

Renato Maino Lecture

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TUESDAY 21 – AFTERNOON (2.30 PM - 5.30 PM)

PARALLEL SESSION A

LIQUIDITY RISK

Chair Giampaolo Gabbi, Università di Siena

2.30 pm

5.30 pm

Opening speech by the Chair Giampaolo Gabbi, Professore Ordinario di Economia degli Intermediari Finanziari Università di Siena ILAAP process and waiting for supervision Alessandro Allegri, Funzionario Banca d'Italia

ILAAP and SREP assessment on liquidity Francesca Scaglia, Group Head of Liquidity & Interest Rate Risk Management – Senior Vice President UniCredit

The Net Stable Funding Ratio (NSFR), liquidity planning and ALM Luigi Mastrangelo, Partner Deloitte Consulting The Liquidity Risk Management Model Alberto Mietto, Responsabile Modelli Rischi Tassi e Liquidità Banco popolare

Liquidity: a building site with work in progress Carla Ghidinelli, Senior Consultant Engineering

ILAAP: an integrated and perspective approach to liquidity risk Carlo de Bernardi, CFA, Head of Liquidity and Interest Rate Risk Banca Popolare di Milano

Liquidity Stress Testing Daniela Migliasso, Responsabile ufficio “Monitoraggio Rischio Liquidità di Gruppo”, Direzione Rischi Finanziari e di Mercato Intesa Sanpaolo

Closing of the first day of the conference

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PARALLEL SESSION B

CREDIT RISK

Chair Giacomo De Laurentis, Università Bocconi

2.30 pm

6.00 pm

Opening speech by the Chair Giacomo De Laurentis, Professore Ordinario di Finanza Università Bocconi

The estimation of RWAs on defaulted assets: regulatory requirements, system best practices and a possible method of estimation Fabio Salis, Responsabile Risk Management Banco Popolare

IFRS 9 & Stress Testing: requirements and impacts of an integrated framework Anselmo Marmonti, Regional Leader Risk&Finance Intelligence - Central East Europe SAS

IFRS 9: new accounting standards, the most advanced risk metrics and impacts on credit processes Francesco Grande, Responsabile Unità di Consulenza Cerved Carlo Gabardo, Head of Analytics Experian

The revision of the standardised approaches for credit risk: the new risk drivers and the possible impact on credit allocation choices Aldo Letizia, Responsabile Risk Management Banca Popolare Pugliese

The experience of an AIRB validation in the ECB era Marino Ranzieri, Responsabile Risk Management Credito Emiliano

Prevention and management of problem credit: end-to-end management and the role of the servicer Giorgio Costantino, Management Consulting - Senior Director CRIF Credit Solutions Alberto Sondri, Director Crif Servicing

From the new standard model to the modelling review: developments in credit risk management and measurement procedures Daniele Monzali, Director EY

New European Scenarios for Credit Risk Modelling Giovanni Gandini, Managing Director Accenture Stefano Bonini, Senior Manager Accenture

Credit Risk Validation: new challenges in SSM framework Lucia Ghezzi, Head of Group Internal Validation UniCredit Vincenzo Molè, Head of Local Credit Risk Validation UniCredit

Closing of the first day of the conference

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PARALLEL SESSION C

RISK GOVERNANCE ORGANISATIONAL PROFILES

Chair Paola Schwizer, Università di Parma

2.30 pm

5.30 pm

Risk governance organisational profiles: introduction to the topic Paola Schwizer, Professore Ordinario di Economia degli Intermediari Finanziari Università di Parma

The internal audit function and the expectations of its stakeholders Ettore Corsi, Capo Servizio Internal Audit Credito Emiliano - Credem

Banks and risk culture Fabio Arnaboldi, Head Country Italy Audit UniCredit

Risk Culture as an enabler of Bank Governance: scope, application and...SREP expectations Luca Galli, Partner EY

Effective coordination among business control functions: the value of cooperation Maria Martinelli, Responsabile Area Compliance UBI Banca

The board of auditors in relation to ICAAP and SREP Roberto Dal Mas, Consulente Senior della Direzione Federazione Lombarda delle BCC

The internal control system and corporate governance in the perspective of the new European Banking Supervision Valerio Pesic, Professore aggregato di Private equity e Venture Capital Università La Sapienza di Roma

Closing of the first day of the conference

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PARALLEL SESSION D

RISK DATA AGGREGATION AND RISK REPORTING – PART ONE

Chair Severino Meregalli, SDA Bocconi

2.30 pm

5.30 pm

Opening speech by the Chair Severino Meregalli, Lecturer SDA Bocconi Risk Data Aggregation: an opportunity to transform processes Roberto Monachino, Group Chief Data Officer UniCredit

International best practices in BCBS 239, Risk Data Aggregation and Data Quality Luca D’Amico, Director Italy Moody’s Analytics

“B I R D” on the Anvil - The proposed data centric European Reporting Framework Saloni Ramakrishna, Senior Director Oracle

A step forward: Business Data Quality & KQI Renato Valera, Head of Consulting & Delivery Irion BCBS 239 in the SSM context: Rethinking the foundations among compliance, business and income statement constraints Sergio Gianni, Partner Avantage Reply

Synergies between “Big Data” and Risk Data Aggregation: the Intesa Sanpaolo project initiatives Domenico Fileppo, Responsabile Servizio Sistemi Applicativi Dati e Rischio – Direzione Sistemi Informativi Intesa Sanpaolo

Credit Risk Management and Data integrity Natale Schettini, Responsabile Credit Risk Management Banca Popolare di Milano

Closing of the first day of the conference

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PARALLEL SESSION E

OPERATIONAL RISK - CYBER, MODEL, CONDUCT: NEW RISKS?

Chair Paolo Prandi, Università Cattolica di Milano - Sede di Brescia

2.30 pm

5.30 pm

Opening speech by the Chair Paolo Prandi, Professore di Risk Management Università Cattolica di Milano - Sede di Brescia

SMA – The latest revision of the new and single approach to OR capital requirements Michael Schöppe, Senior Officer BaFin

IT, Model & Conduct Risk: areas of overlap and possible methodological approaches Domenico Pepe, Responsabile Funzione Operational & IT Risks UBI Banca

Operational Risk: back to basics? Veruska Orio, Responsabile Servizio Operational e Reputational Risk Intesa Sanpaolo

Cyber Risk in the Digital Age: identifying and managing the new forms of emerging operational risks Nicasio Muscia, Senior Manager Accenture Diego Travaini, Senior Manager Accenture

Mitigating Cyber Risk: integration between risk management and security in the BPER Group Daniele Tassile, Responsabile Rischi Operativi BPER Banca Christian Ciceri, Responsabile Architetture e Sicurezza ICT BPER Banca

Refocusing Operational Risk: from the measurement to the modern management of operational risks in business Matteo Coppola, Partner & Managing Director The Boston Consulting Group

Corporate strategies and approaches for Conduct Risk Governance and the viewpoint of senior bodies Paola De Martini, Consigliere di Gestione Banca Popolare di Milano

Closing of the first day of the conference

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WEDNESDAY 22 – MORNING (9.15 AM - 1.00 PM)

PARALLEL SESSION F

SMALL BANKS AND SPECIALISED FINANCIAL INTERMEDIARIES

Chair Alessandro Carretta, Università degli Studi di Roma Tor Vergata

9.15 am

11.00 am

11.45 am

1.00 pm

Opening speech by the Chair Alessandro Carretta, Professore Ordinario di Economia degli intermediari finanziari Università degli studi di Roma Tor Vergata

Once upon a time there was proportionality... now: feasibility and sustainability of business models Marco Corbellini, Vicedirettore Generale Federazione Lombarda delle BCC

Performance and risks in regional and local banks Lorenzo Rigodanza, Docente a Contratto Università degli Studi di Parma

Rehabilitating the Bank through Basel-compliant Tools and credit advisors Alessio Balduini, CEO Credit Data Research Carlo Spagliardi, Direttore Generale Eurocons

Coffee break and networking in the exhibition area

The new proposals from the Basel Committee on the standardised approach for credit risk. The effects on risk management in small banks Vittorio Vecchione, Responsabile Risk Management Istituto per il Credito Sportivo e Professore di Risk Management LUISS Guido Carli

But is Italy a country for asset based lending? Diego Tavecchia, Responsabile Commissioni Tecniche e Relazioni Internazionali Assifact Beatrice Tibuzzi, Responsabile Relazioni Istituzionali, Vigilanza, Studi e Statistiche Assilea

Buffet lunch and networking in the exhibition area

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PARALLEL SESSION G

RECONCILING RISK MANAGEMENT AND ACCOUNTING

Chair Maurizio Comoli, Università del Piemonte Orientale

9.15 am

11.00 am

11.45 am

1.00 pm

Reconciling risk management and accounting: two parallel lines? Maurizio Comoli, Professore Ordinario di Economia Aziendale Università del Piemonte Orientale

Credit risk measurement for accounting and prudential purposes: common input data and differentiated calculation processes GianPietro Val, Dirigente preposto Banco Popolare

IAS-IFRS system and the management of credit risk: peculiarities in the field of Consumer finance Federico Lusian, Manager Parva Consulting

IFRS 9 and the transition from incurred loss to expected loss and the impact in determining the so-called generic reserve: current trends Bruno Picca, Membro del Consiglio di Amministrazione e Comitato Rischi Intesa Sanpaolo

IFRS 9 challenges and solutions: the approaches and putting them into practice Marco Macellari, Management Consulting - Manager CRIF Credit Solutions Daniele Vergari, Management Consulting - Principle CRIF Credit Solutions

When IFRS 9 meets P&L: the implications of credit risk for banks Cristiano Zazzara, Managing Director, Head of Relationship Management, Global Risk Services S&P Global Market Intelligence

Coffee break and networking in the exhibition area

The relationship between risk management and accounting: evolution of the regulatory framework, current trends and empirical evidence Elisabetta Stegher, CFO UBI Banca

Credit risk measurement for prudential and accounting purposes: what will change with the application of IFRS 9? Francesco Zeigner, Director Deloitte Consulting

ABI's IFRS 9 Project and the work of the European Banking Federation: state of the art in implementing the standard Luca Giannini, Ufficio Tributario, Bilancio e Vigilanza ABI

Banks and SMEs struggling with IFRS 9. How to organise change in the current context Alessio Balduini, CEO Credit Data Research Carlo Spagliardi, Direttore Generale Eurocons

Buffet lunch and networking in the exhibition area

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PARALLEL SESSION H

COUNTERPARTY AND MARKET RISK

Chair Mario Anolli, Università Cattolica del Sacro Cuore

9.15 am

11.00 am

11.45 am

1.00 pm

Opening speech by the Chair Mario Anolli, Professore Ordinario Università Cattolica del Sacro Cuore

The new framework of market risk published by the Basel Committee in January 2016: standardised models, capital floors and sovereign bond weighting Rita Gnutti, Head of Market and Counterparty Risk Internal Models Intesa Sanpaolo

XVAs: market standards, hedging and future developments Niccolò Cottini, VP Financial Risk Methodologies UniCredit

Coffee break and networking in the exhibition area

Importance of the Independent Price Verification process for the purposes of proper management of market risk in terms of implementing the Fundamental Review of Trading Book regulations Paolo Brognara, Managing Director Accenture Abulenta Librazhdi, Manager Accenture

When a regulatory requirement becomes an opportunity: a new approach to risk model validation Marco Polito, Chief Risk Officer CC&G e Montetitoli Silvia Sabatini, Risk Policy Manager Cassa Compensazione e Garanzia

Buffet lunch and networking in the exhibition area

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PARALLEL SESSION I THE “NEW” SREP

Chair Giuseppe Lusignani, Università di Bologna

9.15 am

11.00 am

11.45 am

1.00 pm

Opening speech by the Chair Giuseppe Lusignani, Professore di Economia degli Intermediari Finanziari Università di Bologna

The SREP approach on Governance and Risk Appetite: a holistic approach to bank sustainability Aurelio Maccario, Head of Group Regulatory Affairs UniCredit

The role of the SREP in light of developments proposed by the Basel Committee Giulio Mignola, Head of Enterprise Risk Management Intesa Sanpaolo

Coffee break and networking in the exhibition area

Methods of integration between strategic planning and RAF Patrizia Michela Giangualano, Consiglio di Sorveglianza UBI Banca Emiliano Cerminara, Senior Manager PwC

L The liquidity component of the SREP: ILAAP as a strategic management tool Leonardo Bellucci, Responsabile Area Risk Management Banca Monte dei Paschi di Siena

RAF - ICAAP - ILAAP - BUDGET and Recovery Plan: the need of a general coherence Carlo Palego, Chief Risk Officer Banco Popolare

Buffet lunch and networking in the exhibition area

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PARALLEL SESSION L

RISK DATA AGGREGATION AND RISK REPORTING – PART TWO

Chair Severino Meregalli, SDA Bocconi

9.15 am

11.00 am

11.45 am

1.00 pm

Opening speech by the Chair Severino Meregalli, Lecturer SDA Bocconi

The centrality of the Information Framework to meet the management and regulatory needs of CRO-CLO-CFO Mario Calò Carducci, Product Management - Senior Manager CRIF Credit Solutions Giancarlo Montorsi, Management Consulting - Manager CRIF Credit Solutions

BCBS 239: witness account of the methodological approach of the FCA Bank Group Piergiorgio Foti, Group Risk Manager FCA Bank

Data culture: Governance, Aggregation and Reporting Cristina Gualerzi, Associate Director Protiviti

Coffee break and networking in the exhibition area

The impact of digital transformation in risk management Giovanni Paganini, Executive Director EY

RDA/RRF: a comprehensive approach José Luis Carazo, Partner GMS Management Solutions

New challenges and opportunities in the management of risk data: Big Data, Blockchain and Artificial Intelligence Paolo Ceschi, Managing Director Accenture Enzo Barba, Senior Manager Accenture

Buffet lunch and networking in the exhibition area

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PARALLEL SESSION M

OPERATIONAL RISK - SCENARIOS AND OPERATIONAL RISK RAF

Chair Marco Giorgino, Politecnico di Milano

9.15 am

11.00 am 11.45 am

1.00 pm

Opening speech by the Chair Marco Giorgino, Professore Ordinario di Finanza Aziendale e di Global Risk Management Politecnico di Milano

Operational Risks between Pillar 1 and Stress Test Marco Moscadelli, Direttore Vigilanza Creditizia e Finanziaria Banca d’Italia e Advisor ECB-SSM

Scenario Analysis and Stress Tests Marco Castellaneta, Responsabile Operational Risk Management Mediobanca Michele Treccani, Quantitative Analyst Mediobanca

IT Risk and Data Quality Risk

Claudio Ruffini, Presidente Augeos

Standardised Measurement Approach (SMA): some possible impacts Salvatore Spagnolo, Executive Director EY

Coffee break and networking in the exhibition area

Operational risk and RAF: some considerations Benedetta Mazzolli, Responsabile Rischi Operativi e Reputazionali Banca Monte dei Paschi di Siena

Operational Risk in a post AMA world: using risk appetite metrics to steer the operational risk profile of the business Gabriele Maucci, Head of Operational Reputational Risks UniCredit

Managing non-financial risks and the case study of Model Risk Andrea Colombo, Responsabile Operational & Reputational Risk KPMG Advisory

Buffet lunch and networking in the exhibition area

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WEDNESDAY 22 – AFTERNOON (2.15 PM - 4.30 PM)

CLOSING ROUNDTABLE

BUSINESS RISK FOR BANKS: TOWARDS NEW BUSINESS MODELS?

Chair Francesco Ninfole, MF - Milano Finanza

2.15 pm Panel:

Andrea Cremonino, UniCredit

Alessio De Vincenzo, Dirigente Servizio Regolamentazione e Analisi Macroprudenziale Banca d’Italia

Fabio Gasperini, Presidente Ernst & Young Financial-Business Advisors

Rainer Masera, Preside della Facoltà di Economia Università degli Studi Guglielmo Marconi

Gianfranco Torriero, Vice Direttore Generale ABI

4.15 pm PRIZE DRAW FOR THOSE PRESENT IN THE HALL

4.30 pm End of the conference. See you next year!

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