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Insights From Key Supervisors Choose From 4 In-Depth Summits & Workshops
Hear From 90+ Senior Industry Practitioners & Academics Including:
GUEST ACADEMIC ADDRESS
POLITICAL RISK INSIGHTS
GUEST ACADEMIC ADDRESS
Darrell Duffie Dean Witter Distinguished
Professor Of Finance GRADUATE SCHOOL
OF BUSINESS, STANFORD UNIVERSITY
Marvin Zonis Professor Emeritus BOOTH SCHOOL OF BUSINESS, UNIVERSITY OF CHICAGO
Robert Jarrow Ronald P. & Susan E. Lynch
Professor of Investment Management JOHNSON GRADUATE SCHOOL OF MANAGEMENT,
CORNELL UNIVERSITY
Tom Wilson Chief Risk Officer
ALLIANZ SE
Gary Mandelblatt Chief Risk Officer
NOMURA HOLDINGS AMERICA
William Dawson Executive Vice President, Chief Risk Officer,
Wealth, Brokerage & Retirement WELLS FARGO & COMPANY
Paige Wisdom Chief Enterprise Risk Officer
FREDDIE MAC
Peruvemba Satish Chief Risk Officer
ALLSTATE
Brenda Boultwood Senior Vice President & Chief Risk Officer
CONSTELLATION ENERGY
Jackson Gomes Risk Director
BANCO ITAÚ UNIBANCO
David Watts Chief Risk Officer
WESTPAC NEW ZEALAND
Michael Hofmann Chief Risk Officer
KOCH INDUSTRIES, INC.
Attilio Meucci Chief Risk Officer KEPOS CAPITAL
Stuart Lewis Deputy Chief Risk Officer
DEUTSCHE BANK
Sanjay Sharma Chief Risk Officer, Global
Arbitrage & Trading RBC CAPITAL MARKETS
Craig Lewis Chief Economist & Director Of The Risk, Strategy & Financial Innovation Division
SECURITIES & EXCHANGE COMMISSION
Karl Reitz Senior Policy Analyst
FDIC
Klaus Duellmann Head Of Banking Supervision Research,
Banking & Financial Supervision Department DEUTSCHE BUNDESBANK
Mark Carey Senior Adviser, Department
Of International Finance FEDERAL RESERVE BOARD
Evan Picoult Managing Director, Risk Architecture,
CITI & Adjunct Professor COLUMBIA BUSINESS SCHOOL
Christian Sewing Chief Credit Officer DEUTSCHE BANK
Daniel Egan Head Of Investment Philosophy &
Behavioral Finance, Americas BARCLAYS WEALTH
Darryll Hendricks Managing Director, Head Of Strategy
UBS
Peter Cai Managing Director, Portfolio
Risk Management MORGAN STANLEY
Victor Ng Managing Director, Global Head Of
Corporate Risk & Chief Risk Architect, Market Risk
GOLDMAN SACHS
Michel AratenManaging Director
JP MORGAN CHASE
John Hull Maple Financial Professor Of Derivatives
& Risk Management JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT,
UNIVERSITY OF TORONTO
What’s New For 2012?
June 4, 2012
The Global Risk Regulation SummitHear senior regulators & industry practitioners discuss the latest changes in financial regulation, including Dodd Frank, Basel III, central clearing, the
trading book review, macroprudential regulation & the impact they will have on risk management.
June 8, 2012
Innovations In CVA Modeling WorkshopLed by: Damiano Brigo, KING’S COLLEGE LONDON
June 8, 2012
Understanding & Managing Model Risk Workshop
Led by: Massimo Morini, BANCA IMIJune 8, 2012
The Fundamentals Of Risk Management Workshop
Led by: John Hull, UNIVERSITY OF TORONTO
The Global Risk Regulation Summit: June 4, 2012Main Conference: June 5-7, 2012In-Depth Technical Workshops: June 8, 2012Hyatt Regency Downtown Boston, MA, USA
Follow Us On
RiskMinds TV@RiskMinds #RMUSRiskMinds USARiskMinds Blog
Setting The Agenda For The Future Of Risk Management In The New Market & Regulatory EnvironmentCredit Risk ● Market Risk ● Operational Risk ● Liquidity Risk ● Stress Testing ● ERM ● Capital Management ● Modeling ● Strategic Risk Management
• NEW Speakers & NEW Perspectives This year’s event will feature more guest speakers, including political risk & behavioral finance experts, cutting-edge academic thinkers and risk managers from beyond financial services, providing invaluable insight to help you improve risk management in your organization.
• Our Most Diverse Speaker Line-Up Ever Meet & learn from senior risk practitioners from leading asset managers, energy companies, hedge funds, insurers, private equity firms, global investment banks, regional banks & GSEs as well as regulators, supervisors & academics.
• NEW Streams Dedicated streams on capital and liquidity management to allow more coverage of the latest advances and requirements in these key areas.
• NEW Sessions Covering The Latest Market Events Examine the latest regulatory requirements and modeling innovations such as CCAR, RWAs, FVA, sovereign risk, regulatory stress tests and more.
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For Latest Agenda & To Register: www.riskmindsusa.com Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected]
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Don’t Miss These Unrivalled Networking Opportunities Meet The Speaker Lunch Tables
This is your opportunity to have lunch with one of the world’s leading risk experts! Lunch tables will provide you with an informal environment where you can chat and ask questions as you enjoy lunch with a small group of your peers and one of the leading lights of the industry.
Sign up in advance to make sure you can reserve a space at your favourite speaker’s table.
Champagne RoundtablesChampagne roundtable discussion groups provide you with the ideal place to meet face-to-face with some of our key speakers, in small groups of about 15 people. You will be able to choose between the tables and discuss specific issues and ideas that have
arisen over the course of the day in a highly interactive environment.
The Risk Minds USA Drinks ReceptionMeet and network with hundreds of senior risk managers, regulators and academics from around the world.
Share war stories and learn from the experience of your peers.
CRO-Only Breakfast Briefing & Networking DinnerStrictly by invitation only. Please email [email protected] for more details.
THE GLOBAL RISK REGULATION SUMMIT Monday June 4, 2012
08.00 Registration & Welcome Coffee
08.25 Chairman’s Introductory WelcomeAndres Portilla, Director of Regulatory Affairs, IIF
08.30 SIFISHow Can We Prevent Sifis From Failing Without Creating Moral Hazard Or Increasing Systemic Risk?
09.10SPOTLIGHT ON BASEL III CAPITAL STANDARDS
Understanding Capital Buffers, Examining The Impact Of New Regulatory Capital Requirements & Assessing The Overall Regulatory Capital Implications
Karl Reitz, Senior Policy Analyst, FDIC
09.50REASSESSING BASEL III LIQUIDITY STANDARDS
Examining The Latest Changes To The LCR & NFSR: Are They Here To Stay?Kevin Buehler, Director, MCKINSEY & COMPANY
Chris Mazingo, Associate Principal, MCKINSEY & COMPANY
10.30 Morning Coffee
11.00PILLAR 2
Ensuring Risk Frameworks Capture Risks Not Included Under Pillar 1Christian Lajoie, Head Of Group Prudential Affairs, BNP PARIBAS
11.40MARKET RISK CAPITAL FRAMEWORK
Understanding The Key Features Of A Sound Market Risk Capital FrameworkVictor Ng, Managing Director, Global Head Of Corporate Risk & Chief Risk Architect, Market Risk,
GOLDMAN SACHS
12.20THE FUNDAMENTAL TRADING BOOK REVIEW
Exploring The Fundamental Trading Book ReviewJason Wu, Economist, Division Of Banking Supervision & Regulation, FEDERAL RESERVE BOARD
13.00 Networking Lunch
14.30CENTRAL COUNTERPARTY RISK
Are We Transforming Counterparty Risk Into Liquidity Risk, Are CCPs The Ultimate Sifis & Can A CCP Survive The Failure Of Multiple Members?
Ahmet Yetis, Director, BARCLAYS CAPITAL
15.10IMPLEMENTING REGULATION ON AN UNLEVEL PLAYING FIELD
Understanding How Basel 2.5, Basel III, Dodd Frank & Other Regulatory Initiatives Fit Together: Dealing With Discrepancies, Regional Interpretations & The Vulcanization Of Rules
15.50 Afternoon Tea
16.20REGULATORY STRESS TESTS
Examining The Results & Impact Of The Latest Regulatory Stress TestsPeter Cai, Managing Director, Portfolio Risk Management, MORGAN STANLEY
17.00MACROPRUDENTIAL SUPERVISION & REGULATION
The Impact Of Coming Changes In Macroprudential Regulation & The Opportunities They CreateMark Carey, Senior Adviser, Department Of International Finance, FEDERAL RESERVE BOARD
17.40
PRACTITIONER CHALLENGE & COMMENT SESSIONManaging Implementation In Practice: Dealing With Unintended Consequences, Coping With Regulatory
Burden & Bridging The Gap Between Regulatory Intention & The Market RealitiesAdam Gilbert, Managing Director, Head Of Regulatory Policy, Corporate Risk Management Group,
JP MORGAN CHASE Barbara Frohn, Managing Director, GRUPO SANTANDER
Steve Lindo, Director, Treasury Management & Mortgage Risk, FIFTH THIRD BANKFang Du, Executive Vice President, RBS CITIZENS FINANCIAL GROUP
18.20
Champagne Roundtables (Pre-Registration Required)
Ri$kMinds USA 2012 Main Conference Day 1CRO THOUGHT LEADERSHIP FORUM
Tuesday June 5, 2012
07.45 The CRO Breakfast Briefing - strictly by invitation onlyContact Marie Houghton on [email protected] for more details.
08.00 Registration & Welcome Coffee
08.25 Chairman’s Opening Address
08.30GUEST ACADEMIC ADDRESS
Detecting Asset Price Bubbles In Real TimeRobert Jarrow, Ronald P. & Susan E. Lynch Professor of Investment Management, JOHNSON GRADUATE SCHOOL OF MANAGEMENT, CORNELL UNIVERSITY
09.15SPOTLIGHT ON POLITICAL RISKInside The New Geopolitical Environment:
How Can Risk Management Prepare Itself For The Next Macro Event?Marvin Zonis, Professor Emeritus, BOOTH SCHOOL OF BUSINESS, UNIVERSITY OF CHICAGO
10.00Interrelationships Of Risks, Unintended Consequences
& Implications For Risk ManagementGary Mandelblatt, Chief Risk Officer, NOMURA HOLDINGS AMERICA
10.30 Morning Coffee
11.00 How To Take Risks More IntelligentlyMichael Hofmann, Chief Risk Officer, KOCH INDUSTRIES, INC.
11.30Positioning Risk Management As A Partner In Strategic Decision-Making
Successfully Partnering With Finance, Treasury, Business Planning & Audit To Drive Strategic Change Within The Organization
Tom Wilson, Chief Risk Officer, ALLIANZ
12.00
CRO THINKTANK I - With Electronic PollingRisk Culture
Creating & Maintaining A Culture Of Risk Management Throughout Your OrganizationBrenda Boultwood, Chief Risk Officer, CONSTELLATION ENERGY
Martha Cummings, Managing Director, BANCO SANTANDERStuart Lewis, Deputy Chief Risk Officer, DEUTSCHE BANK
Paige Wisdom, Chief Enterprise Risk Officer & Executive Vice President, FREDDIE MAC
12.45
Lunch - Plus Meet The CRO VIP Lunch Tables (Pre-Registration Required)
Marvin ZonisUNIVERSITY OF CHICAGO
Tom WilsonALLIANZ
14.00
GUEST SUPERVISOR ADDRESSQuantitative Risk Assessment At The SEC
Craig Lewis, Chief Economist & Director Of The Risk, Strategy & Financial Innovation Division, SECURITIES & EXCHANGE COMMISSION
14.35The Future Of The Euro & How To Prepare
Eckhart Windhagen, Director, MCKINSEY & COMPANY Theodore Pepanides, Principal, MCKINSEY & COMPANY
15.10NEW INSIGHTS IN BEHAVIORAL FINANCE
Understanding The Emotional Components Of RiskDaniel Egan, Head Of Investment Philosophy & Behavioral Finance, Americas, BARCLAYS WEALTH
15.55 Afternoon Tea
16.20
CRO THINKTANK II - With Electronic PollingRisk & The Board
Creating An Effective Risk Governance Framework: Educating & Enabling The Board To Own Risk Appetite
& Set A Clear Tone & “Direction Of Travel” From The TopModerator: Tony Santomero, Senior Advisor, MCKINSEY & COMPANY
Michael Hofmann, Chief Risk Officer, KOCH INDUSTRIES, INC.Peruvemba Satish, Chief Risk Officer, ALLSTATE
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETSDavid Watts, Chief Risk Officer, WESTPAC NEW ZEALAND
17.05RISK APPETITE
Ensuring Risk Appetite Is Properly Articulated, Embedded, Understood & Respected Throughout The Organization & Is Fully Integrated Into Strategic Planning & Decision Making
James Allison, Risk Manager, Natural Gas & Power, North America, CONOCOPHILLIPS
17.35
CRO THINKTANK III - With Electronic PollingManaging The Business Impacts Of Regulation
Examining The Impact Of Regulation On Future Growth, Profitability, The Practicality Of Certain Business Lines & The Relationship Between Banks & The Shadow Banking System:
Do We Need To Find New Ways Of Doing Business?William Dawson, Executive Vice President, Chief Officer, Wealth, Brokerage & Retirement,
WELLS FARGO & COMPANY Jackson Gomes, Risk Director, BANCO ITAÚ UNIBANCO
Darryll Hendricks, Managing Director, Head Of Strategy, UBS INVESTMENT BANK
18.20
CRO Strategy Roundtables (Pre-Registration Required)
Martha Cummings BANCO SANTANDER
Jackson Gomes BANCO ITAÚ UNIBANCO
Peruvemba SatishALLSTATE
David WattsWESTPAC NEW
ZEALAND
18.35 The Risk Minds USA 2012 Drinks Reception
Victor Ng GOLDMAN SACHS
Peter CaiMORGAN STANLEY
Fang DuCITIZENS BANK
For Sponsorship & Exhibiting Opportunities Please Contact – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] or Rob Schaeffer on +1 646 616 7627 or [email protected] Latest Agenda & To Register: www.riskmindsusa.com Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected]
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Ri$kMinds USA 2012 Main Conference Day 2 Wednesday June 6, 2012
08.15 Registration & Welcome Coffee
08.50 Chairman’s Opening Remarks
09.00GLOBAL CREDIT MARKET OUTLOOK
Examining The Future Outlook For Corporate & Sovereign Credit Markets & Implications for Risk Management Christian Sewing, Chief Credit Officer, DEUTSCHE BANK
09.40 Real Time Risk Aggregation – Its Not Just About AggregationBoris Lipiainen, Global Head Of Product & Development, TURAZ
10.20 Morning Coffee
Stream AModeling Credit & Market Risk
Chaired By: MCKINSEY & COMPANY
Stream BEffective Capital
Management & Modeling
Stream CNew Advances In
Stress Testing & Model Risk
Stream DStrategic
Risk Management In The New Regulatory Environment
10.50
The Changing World Of Risk Management In A Post
Financial Crisis EraJames Costa
PNC FINANCIAL SERVICES
CCAR MASTERCLASS
Session 1Examining The Latest
Updates To The CCAR Process
Tim ClarkFEDERAL RESERVE BOARD
Session 2Strategies For Effective & Efficient Capital Planning
Bruce StevensonHSBC
Examining The Role Of Stress Testing & The Latest Innovations In Best Practice
Sanjay SharmaRBC CAPITAL MARKETS
EXTENDED SESSIONTesting The Foundations Of
Risk Measurement
Evan PicoultCITI & COLUMBIA
BUSINESS SCHOOL11.30
Risk Model Performance: Creating Value Through Better Performing Credit
Risk Models
Vivek WadhwaMCKINSEY & COMPANY
Rajesh GazulaMCKINSEY & COMPANY
New Techniques For Developing Portfolio-Wide
Stress Tests
Thorsten LauterbachBARCLAYS CAPITAL
12.10
Recent Advances in Risk Measurement for Structured
Finance PortfoliosDavid SaundersUNIVERSITY OF
WATERLOO
Keeping Capital Models In Perspective
How Should Capital Models Deal With
Uncertainty & Assumption Mismatches?Gary Wilhite
WELLS FARGO
A Foundation For Stress Testing: From Macro Correlations To Fundamentals
ForecastingThomas Yagel
S&P CAPITAL IQ
A New Methodology for Allocating Systemic Risk
Klaus DuellmannDEUTSCHE BUNDESBANK
12.50
Lunch - Plus Meet The Speaker Lunch Tables (Pre-Registration Required)
Martyn BrushRBS
Klaus DuellmannDEUTSCHE
BUNDESBANK
Evan PicoultCITI & COLUMBIA
BUSINESS SCHOOL
14.20
“Thinking The Unthinkable”: The Importance Of Stress Testing, Scenario Analysis & Active Imaginations In Managing The Risk Of A
Sovereign Default, Second-Order Impacts & Domino
Effects
RWAs MASTERCLASSSession 1
Exploring Divergence In RWA Calculations:
How Comparable Are Calculations Across
Different Organizations & Jurisdictions?Barbara FrohnSANTANDER
Session 2Developing Meaningful
Ways To Reduce RWAsAhmet Yetis
BARCLAYS CAPITAL
Meeting The Computational Challenges Of
Macroeconomic Stress TestingEvan Sekeris
FEDERAL RESERVE BANK OF RICHMOND
TAIL RISK MASTERCLASS
• Tail Wagging The World: Tail risk and the global financial crisis
• The “dark nature” of tail risk
• How does a tail risk crisis develop and what are its drivers?
• Solutions, methods and processes included in the tail risk management architecture
Evgueni IvantsovHSBC
15.00
Dynamic Hedging Of Counterparty Exposure
Tomasz BieleckiILLINOIS INSTITUTE OF
TECHNOLOGY
Next Generation Quantitative Techniques For
Stress Tests: Entropy Based Measures,
Bayesian & Network TechniquesAttilio Meucci
KEPOS CAPITAL
15.40 Afternoon Tea
16.10Global vs Integrated
Fixed Income Risk ModelYingjin Gan
BLOOMBERG
Session 3Source Of RWA
Inconsistencies Among Firms
Michel AratenJP MORGAN CHASE
Building A Model Validation Framework
Fang DuCITIZENS BANK
Understanding The Challenges In Forward-
Looking Stress Simulations Martyn Brush
RBS
16.50
Predicting The Probability Of Default From Market
Spreads & Spread Volatility
Terry BenzschawelCITI
Exploring The Growing Divergence Between
Economic & Regulatory Capital & The Impact This
Has On The Way You Manage Your Portfolio
Rick HamiltonPNC FINANCIAL SERVICES
Determining The Most Effective Techniques For
Managing Model Risk: Examining The Role Of
Holding Reserves, Stress Testing & Other Techniques
Douglas GardnerWELLS FARGO
Forecasting The Next Crisis:Where Is the Next Bubble
Going To Be?Steve Lindo
FIFTH THIRD BANK
17.30
Evolving Credit Risk Modeling Challenges:
From The Banking Book To The Trading Book
Mark StaleyTD BANK
Making Sense Of The Increased Capital
RequirementsJoe Rizzi
CAPGEN FINANCIAL
Practical Techniques In Quantifying Model Risk
Daniel TuCITIZENS BANK
Practical Techniques For Corporate Control Function Collaboration To Achieve Effective Enterprise Wide Risk
ManagementNancy Loucks
STATE STREET
18.10 Chairman’s Closing Remarks Chairman’s Closing Remarks Chairman’s Closing Remarks Chairman’s Closing Remarks
18.15
Champagne Roundtables (Pre-Registration Required)
Edward DumasBANK OF AMERICA
Evgueni IvantsovHSBC
Gary WilhiteWELLS FARGO
Keep Up To Date With The Latest News
Join the RiskMinds USA LinkedIn Group to connect with your peers, share ideas and discuss the latest news and industry developments.
Search for #RMUS on Twitter or follow @RiskMinds or @MarieHoughton for the latest updates.
Watch interviews with key speakers & highlights from our past events on the RiskMinds TV YouTube channel.
Ri$kMinds USA 2012 Main Conference Day 3 Thursday June 7, 2012
08.15 Registration & Morning Coffee
08.45 Chairman’s Opening Remarks
08.50SPECIAL GUEST ACADEMIC ADDRESSRemaking Our Financial System: Uneven Progress
Darrell Duffie, Dean Witter Distinguished Professor Of Finance, GRADUATE SCHOOL OF BUSINESS, STANFORD UNIVERSITY
09.40
THE RISK MINDS USA 2012 ‘FINANCIAL MINDS’ THINKTANKManaging Complexity In Models, Products, Institutions & Regulation:
Can We Improve Risk Management By Reducing Complexity?Martyn Brush, Global Head, GBM Market Risk, RBS
John Hull, Maple Financial Professor Of Derivatives & Risk Management, JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT, UNIVERSITY OF TORONTO
Evan Picoult, Managing Director, Risk Architecture, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOL
10.20 Morning Coffee
Stream AModeling Credit & Market Risk
Stream BThe Latest Innovations In Liquidity Risk Management & Funding OptimisationChaired By: MCKINSEY & COMPANY
Stream CThe Latest Thinking
In Operational & Business Risk
10.50
Successfully Integrating Credit & Market Risk Modeling & Management:
A Validation PerspectiveKenneth Wee
S&P CAPITAL IQ
NEW RESEARCHLIBOR vs. OIS
John HullUNIVERSITY OF TORONTO
Managing The Operational Risks Of Massive Regulatory Change
Beth RudofkerJP MORGAN
11.30
Strategies For Taking CVA From A Valuation Tool To A Risk
Management ToolAnders Wulff-Andersen
UBS
Developing Effective Funding Optimisation Strategies
Examining The Role Of Op Risk In Major Systemic Risk Crises
Gus FelixCITI
12.10Building A CVA/ DVA/ FVA System
In PracticeAndrew Green
LLOYDS BANKING GROUP
Building A World-Class Treasury Function
Max NeukirchenMCKINSEY & COMPANY
Matthias HeuserMCKINSEY & COMPANY
Embedding Capital Optimization Into Strategic Decision Making Enhancing ROE Via Capital &
Business Mix OptimizationBogie Ozdemir
SUN LIFE
12.50
Lunch - Plus Meet The Speaker Lunch Tables (Pre-Registration Required)
Andrew GreenLLOYDS TSB
Dan RosenR² FINANCIAL
TECHNOLOGIES & UNIVERSITY OF
TORONTO
Gus FelixCITI
John HullUNIVERSITY OF
TORONTO
14.20
Overcoming The Challenges Of Modeling Wrong Way Risk In CVA
CalculationsDan Rosen
R² FINANCIAL TECHNOLOGIES & UNIVERSITY OF TORONTO
ALMStrategies For Restructuring Bank Balance Sheets In The Light Of
Basel III RequirementsAndreas Bohn
DEUTSCHE BANK
Developing & Implementing A RAROC-Based Profitability
Framework For The Commercial Line Of Business
Mircea PigliFIFTH THIRD BANK
15.00
Counterparty Credit Risk Capital Under Wrong Way Risk
Examining Ways Of Accounting For General Wrong Way Risk In
Conventional Counterparty Credit Risk Capital Models
Michael PykhtinFEDERAL RESERVE BOARD
A New Approach To Incorporating The Cost Of Funding & Liquidity
Into PricingMassimo Morini
BANCA IMI
Exploring Ways To Motivate Better Operational Risk Management
Across The BusinessJack Gomez
BNY MELLON
15.40 Afternoon Tea
16.10Measuring Counterparty Risk &
Calculating CVA For CCPsEdward Dumas
BANK OF AMERICA
Managing Liquidity Exposure With Tradable AssetsTerry Benzschawel
CITI
New Practical Techniques For Identifying, Measuring & Managing
Reputational Risk
16.50Calculating & Managing FVA
Dongsheng LuBNY MELLON
Next Generation System-Wide Liquidity Stress Testing
Heiko HesseIMF
Reducing Information Technology Operational RiskMichael ZanaglioWELLS FARGO
17.30 Chairman’s Closing Remarks Chairman’s Closing Remarks Chairman’s Closing Remarks
17.40 End Of Day 3
For Sponsorship & Exhibiting Opportunities Please Contact – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] or Rob Schaeffer on +1 646 616 7627 or [email protected] Latest Agenda & To Register: www.riskmindsusa.com Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected]
Maximise Your Learning At These In-Depth Technical Workshops Friday June 8, 2012
Innovations In CVA Modeling Led by Damiano Brigo Gilbart Professor Of Mathematical Finance KING’S COLLEGE LONDON
Damiano Brigo is Gilbart Professor of Mathematical Finance at King’s College, London. Formerly Managing Director of Fitch Solutions, during his 14 years in the industry Damiano published more than 50 works in Mathematical Finance, Probability and Statistics, and field reference books in stochastic interest rate and credit modeling. He is Managing Editor of the International Journal of Theoretical and Applied Finance, and is a member of the Fitch Advisory Board and in the Scientific committees for conferences occurring at several academic institutions worldwide. He holds a Ph.D. in stochastic filtering with differential geometry.
1. CDS & Bondsl Credit default swaps (CDS); defaultable bonds
2. Single Name Credit Modelsl Reduced form models, hazard rate and Intensityl Calibration: CDS’s with examples; Parmalat and Lehmanl Modeling credit volatility with stochastic intensity Firm Value Models and CDS calibration
3. Multi Name Reduced Form Models & Copulasl The copula idea: pros and consl Gaussian and t copulasl One factor Gaussian Copulal Copulas for credit: CDO’s and problemsl Dynamic loss models: Hint at GPL model for simultaneous CDO tranche calibration
across attachments AND maturityl Back to copulas: the alarming problems when neglecting credit volatility
4. CVA: Introductionl Initial Q&Al Unilateral CVA and unilateral DVAl Default modellingl Exposures
5. Bilateral CVAl General formula for bilateral CVAl Impact of closeout conventionsl Contagionl First to default riskl Approximated bilateral formula using the unilateral case
6. CVA Across Asset Classesl Impact of volatilities and correlationsl Wrong way risk profilesl CVA on interest rate swaps with nettingl CVA for oil swapsl CVA on credit default swapsl CVA on equity return swapsl Wrong way risk in the above casesl Precise valuation vs. Basel deduced multipliers
7. Netting, Collateral, Rehypothecation & Funding Costs In CVA Calculationsl Collateral modeling and CSAl The impact and risks of rehypothecationl CSA and Collateral do not kill CVA: gap riskl A case with relevant gap riskl Hint at the inclusion of funding costs and related problems
8. Restructuring Counterparty Credit Risk: CCDS & Margin Lendingl Basel IIIl Contingent credit default swaps (CCDS): pros and consl Margin lendingl Conclusions
Understanding & Managing Model Risk Led by Massimo Morini Head Of Interest Rate & Credit Models,Coordinator Of Model Research BANCA IMI
Massimo holds a PhD in Mathematics and a MSc in Economics. He is Head of Interest Rate & Credit Models and Coordinator of Model Research at IMI Bank. Massimo is Professor of Fixed Income at Bocconi University and was Research Fellow at Cass Business School of London City University. He regularly delivers advanced training on model risk management, credit modeling, interest rate market models and correlation modeling. His papers appeared on journals including Risk Magazine, Mathematical Finance and the Journal of Derivatives.l Understanding model risk: model uncertainty, consensus changes, accountancy
constraints and regulator prescriptions. The role of illiquidity and the lessons from past crises.
l A current example on fundamental risks: how the interest rates market changed with the crisis. Discounting, funding, basis spreads and new relationships for forward rates. Analysis and solutions.
l A current example on technical risks: how the crisis broke the foundations of most approximations for Libor Market Model, CMS and SABR. Analysis and solutions.
l The difference between model risk in pricing and model risk in hedging. An example on Stochastic vs Local Volatility models
l When the payoff is wrong. Examples on credit index options and bilateral counterparty risk.
l Model risk in statistical arbitrage: capital structure arbitrage and cap-swaption discrepancies. The difference between uncertainty and arbitrage
l Benchmarking for the quantification of model risk: examples on liquidity, CVA, mappingl The comparison of models and the computation of provisions: model reserves, model
limits, quantitative triggersl A practical scheme on model validation and model risk management with three real-
world examples for equity, rates and credit.
The Fundamentals Of Risk Management Led by John Hull Maple Financial Professor Of Derivatives & Risk Management UNIVERSITY OF TORONTO
John Hull is an internationally recognized authority on derivatives and risk management. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull-White interest rate model and was in 1999 voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has written three books “Risk Management and Financial Institutions” (third edition to be published shortly by Wiley), “Options, Futures, and Other Derivatives” (now in its eighth edition) and “Fundamentals of Futures and Options Markets” (now in its seventh edition). The books have been translated into many languages and are widely used in trading rooms throughout the world, as well as in the classroom. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye award. Dr. Hull is co-director of Rotman’s Master of Finance program. In addition to the University of Toronto, Dr. Hull has taught at York University, University of British Columbia, New York University, Cranfield University, and London Business School. He is an Associate Editor of nine academic journals.
The Credit Crisisl Examining the credit crisis and the key lessons it can teach us: securitization, tail risk,
incentives, the role of models, liquidity risk, transparency etc
The Regulatory Responsel Basel 2.5: examining stressed VaR, IRC and CRMl Basel III: understanding the capital, liquidity and leverage requirementsl Legislation from national governments
Market Riskl VaR vs expected shortfalll Extensions of the standard historical simulation approachl Extreme value theoryl Stressed VaRl Regulatory requirements
Credit Riskl Default probabilities: real world vs risk-neutral probability measuresl The expected cost of counterparty defaults: CVA and DVAl What copulas are and how they are usedl Regulatory requirements
For Sponsorship & Exhibiting Opportunities Please Contact – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] or Rob Schaeffer on +1 646 616 7627 or [email protected] Latest Agenda & To Register: www.riskmindsusa.com Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected]
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Global Risk Regulation Summit
Monday June 4, 2012
08.00 Registration & Coffee
08.25
Chairman’s Opening Address
Andres Portilla, Deputy Director, Regulatory Affairs, IIF
08.30
SIFIS How Can We Prevent Sifis From Failing Without Creating Moral Hazard Or Increasing Systemic Risk?
09.10
SPOTLIGHT ON BASEL III CAPITAL STANDARDS
Understanding Capital Buffers, Examining The Impact Of New Regulatory Capital Requirements & Assessing The Overall Regulatory Capital Implications
Karl Reitz, Senior Policy Analyst, FDICKarl R. Reitz is a Senior Policy Analyst at the Federal Deposit Insurance Corporation, where he has worked since 2004. Mr. Reitz has worked on Basel Committee publications and regulations
related to Basel II, Basel III and the Market Risk Rule. Mr. Reitz has also worked on regulations related to the Volcker Rule, Stress Testing Requirements and other areas of Dodd-Frank. Mr. Reitz has a B.A. in Economics and a B.S. in Electrical Engineering from Washington University in St. Louis.
09.50
REASSESSING BASEL III LIQUIDITY STANDARDS
Examining The Latest Changes To The LCR & NFSR: Are They Here To Stay?
Kevin Buehler, Director, MCKINSEY & COMPANYKevin is a senior partner in the New York office of McKinsey & Company and co-leader and cofounder of McKinsey’s global Risk practice. Kevin’s thinking on risk has appeared in the American Banker,
the Harvard Business Review, the Economist, The Wall Street Journal, and the McKinsey Quarterly. His recent experience includes working with 11 U.S. banks with over $9 trillion in assets to assess the likely impact of proposed Basel III capital and liquidity requirements, developing and implementing the strategy for the wind-down of a large and complex derivatives portfolio, assisting two leading banks on their stress testing efforts, and serving a central bank on the extension of one of its liquidity support programs.
Chris Mazingo, Associate Principal, MCKINSEY & OFFICEMr. Mazingo is an Associate Principal in the New York office of McKinsey & Company, where he co-leads McKinsey’s risk and regulation service line in North America, focusing on the impacts of Basel
III and Dodd-Frank on US financial institutions. Chris has led recent research on the impacts of the Financial and Economic Crisis on the banking sector, including helping top US institutions develop their loss estimates and submissions materials for the US Federal Reserve stress test (S-CAP in 2009) and Capital Plan Review (CPR) in 2010. Prior to joining McKinsey & Company, Chris was a project leader with Dean & Company Strategy Consultants, based in Washington DC.
10.30 Morning Coffee
11.00
PILLAR 2Ensuring Risk Frameworks Capture Risks Not Included Under Pillar 1
Christian Lajoie, Head Of Group Prudential Affairs, BNP PARIBASChristian Lajoie began his career at BNP in 1974 and since then has held various business and senior management positions. After taking responsibility for
the Group Credit Policy and Risk Reporting in 1999, he was nominated Basel II Group Coordinator in 2002, with the responsibility to coordinate the implementation of Basel II for the BNP Paribas Group. He was thereafter appointed to a transversal position, in the capacity of Head of Group Prudential Affairs. He reports to the CEO with close links with the CRO, the CFO and the Head of Group Compliance. He is member of the Group of Experts of Banking Issues of the European Commission; of the Banking Stakeholder Group de l’EBA; he is Co-Chair of the CEBS Consultative panel; he is member of the Advisory Council of Prudential Affairs of the ACP, the French Banking and Insurance Authority.
11.40
MARKET RISK CAPITAL FRAMEWORKUnderstanding The Key Features Of A Sound Market Risk Capital Framework
Victor Ng, Managing Director, Global Head Of Corporate Risk & Chief Risk Architect, Market Risk, GOLDMAN SACHSVictor Ng joined Goldman in 1995. Before his current role, he worked in fixed income research and FICC strategy areas.
Prior to joining Goldman, Victor was an economist at the International Monetary Fund and before that, he was a finance faculty at the University of Michigan at Ann Arbor. Victor holds a PhD in Economics from the University of California at San Diego. Victor is a member of the ISDA Capital Accord Steering Committee. He co-heads the ISDA market risk fundamental review working group. He is also member of a number of other industry working groups on capital and risk issues. Victor is a member of the GARP FRM committee.
12.20
THE FUNDAMENTAL TRADING BOOK REVIEW
Exploring The Fundamental Trading Book Review
Jason Wu, Economist, Division Of Banking Supervision & Regulation, FEDERAL RESERVE BOARD Jason is an economist in the Quantitative Risk Management section at the
Federal Reserve Board. He is a member of the Trading Book Group in Basel and is actively involved in the Fundamental Review. Jason is a frequent participant on bank examinations at large, complex banks. His Ph.D in economics is from the University of Wisconsin, and his academic research focuses on risk, banking, and econometrics.
13.00 Lunch
14.30
CENTRAL COUNTERPARTY RISKAre We Transforming Counterparty Risk Into Liquidity Risk, Are CCPs The Ultimate Sifis & Can A CCP Survive The Failure Of Multiple Members?
Ahmet Yetis, Director, BARCLAYS CAPITALAhmet is the regulatory and Basel II strategist at Barclays Capital in New York. He advises clients on regulatory developments and capital management. Prior to joining Barclays, Ahmet spent
three years in Japan advising Asian banks on capital management. Ahmet is an engineer and holds an MBA degree from Carnegie Mellon University.
15.10
IMPLEMENTING REGULATION ON AN UNLEVEL PLAYING FIELD
Understanding How Basel 2.5, Basel III, Dodd Frank & Other Regulatory Initiatives Fit Together: Dealing With Discrepancies, Regional Interpretations & The Vulcanization Of Rules
15.50 Afternoon Tea
16.20
REGULATORY STRESS TESTSExamining The Results & Impact Of The Latest Regulatory Stress Tests
Peter Cai, Managing Director, Portfolio Risk Management MORGAN STANLEYPeter Cai is the Managing Director responsible for portfolio risk management at Morgan Stanley. In this role, Peter leads a global team aggregating, analyzing and
stress testing Morgan Stanley’s risk exposures, spanning all of the firm’s businesses and operations. He plays a pivotal role in advising senior management and the Board of Directors related to market risk management and governance. Previously Peter was a risk strategist at Lehman Brothers (subsequently Barclays Capital) Fixed Income Division. Prior to this, Peter was the Global Director of Consulting at Askari, a boutique risk solutions firm. Peter holds a PhD degree in materials science from Pennsylvania State University.
17.00
MACROPRUDENTIAL SUPERVISION & REGULATION
The Impact Of Coming Changes In Macroprudential Regulation & The Opportunities They Create
Mark Carey, Senior Advisor, Department Of International Finance, FEDERAL RESERVE BOARDMark Carey is Senior Advisor in the Division of International Finance at the Federal Reserve Board in Washington,
DC. He is also co-director of the National Bureau of Economic Research’s Risks of Financial Institutions Working Group, which is a mixed group of academics and financial professionals that focuses on risk management at financial firms. He was a founding-father of Basel 2, and though he is a research economist, he has frequently worked closely with bank examiners. He has written a lot of technical papers about credit risk and also about corporate debt and corporate finance. His Ph.D in economics is from Berkeley.
17.40
PRACTITIONER CHALLENGE & COMMENT SESSION
Managing Implementation In Practice: Dealing With Unintended Consequences, Coping With Regulatory Burden & Bridging The Gap Between Regulatory Intention & The Market Realities
Adam Gilbert, Managing Director, Head Of Regulatory Policy, Corporate Risk Management Group, JP MORGAN CHASEAdam is responsible for developing
the firm’s strategic response to various regulatory initiatives, including analyzing the impact of regulatory proposals, developing the firm’s positions and preparing for the implementation of final rules. Adam is a leader in the firm’s capital management process through his co-chairmanship of the Economic Capital Working Group, chairmanship of the Regulatory Capital Policy Committee and oversight of the firm’s Basel capital implementation. Adam is a member of the firm’s Risk Management Executive Team, Asset Liability Committee and North America Reputation Risk Committee. He advises lines of business on supervisory and regulatory matters affecting them as well as their clients.
Fang Du, Executive Vice President, RBS CITIZENS FINANCIAL GROUPFang leads the Division of Risk Capital, Reserve and Portfolio Management, which includes Basel II Program Management Office, Risk Data Platform, Reserves,
Portfolio Analytics, Economic Capital, Stress Testing, Quantitative Analytics, and Risk Reporting. Prior to this, Fang spent more than six years at Banking Supervision & Regulation in the Board of Governors of the Federal Reserve and has led numerous Basel II related projects. Before working at the Fed, Fang spent seven years in various risk leadership positions at FleetBoston, four years as an adjunct professor at the University of Rhode Island’s Business School and was a Visiting Assistant Professor at the Rutgers University. Fang received her M.S. and Ph.D. in economics from the University of Massachusetts, Amherst.
Barbara Frohn, Managing Director, GRUPO SANTANDERBarbara Frohn acts as personal advisor to the group’s CEO focusing in particular on Santander´s European operations and integration projects, regulatory and supervisory issues as well as all
matters pertaining to Risk. Before that, she headed up the Global Internal Validation team within the Risk Division. In addition, Barbara Frohn represents Grupo Santander in various international forums and is advisor to the European Parliament. Preceding her move to Madrid, Barbara fulfilled during 15 years of employment at ABN AMRO various roles in a.o. Global Relationship Management, Energy Finance, Asset Securitisation & managing the Basel II Knowledge Center.
Steve Lindo, Director, Treasury Management & Mortgage Risk, FIFTH THIRD BANKSince January 2011 Mr. Lindo has been working as Director of Treasury Management and Mortgage Risk at Fifth Third Bancorp. Before this he completed
a two-year engagement as CEO of PRMIA. Previously Mr. Lindo was Head of Risk Capital Management at GMAC Financial Services LLC, responsible for the capital measurement and modeling of GMAC’s automotive loan, lease, insurance and residential mortgage portfolios. Before that, he held a number of risk management roles in Cargill’s proprietary financial trading group. Mr. Lindo spent his early career with Lloyds TSB Bank and First National Bank Of Chiacgo.
18.20
Champagne Roundtables
Main Conference Day 1
Tuesday June 5, 2012
07.45
THE CRO BREAKFAST BRIEFING Strictly by invitation onlyContact Marie Houghton on [email protected] for more details.
08.00 Registration & Coffee
08.25 Chairman’s Opening Address
08.30
GUEST ACADEMIC ADRESSDetecting Asset Price Bubbles In Real Time• Defininganassetpricebubble• Pricebubblesandnoarbitrage• Stochasticpropertiesofpricebubbles• Derivativesandpricebubbles• Detectingbubblesinrealtime• Illustrativeexamples
Robert Jarrow, Ronald P. & Susan E. Lynch Professor Of Investment Management, JOHNSON GRADUATE SCHOOL OF MANAGEMENT, CORNELL UNIVERSITY &
Director Of Research, KAMAKURA CORPORATIONProfessor Jarrow is a co-creator of both the Heath-Jarrow-Morton model for pricing interest rate derivatives and the reduced form credit risk models employed for pricing credit derivatives. In commodities, his research was the first to distinguish between forward/futures prices, and he is the creator of the forward price martingale measure. These tools and models are now the standards utilized for pricing and hedging in major investment and commercial banks. He has been the recipient of numerous awards including the CBOE Pomerance Prize for Excellence in the Area of Options Research, the Graham and Dodd Scrolls Award, the Bernstein Fabozzi/Jacobs Levy Award, and the 1997 IAFE/SunGard Financial Engineer of the Year Award. He is on the advisory board of Mathematical Finance and is an associate or advisory editor for numerous other journals. He serves on the board of directors of several firms and professional societies. He is currently both an IAFE senior fellow and a FDIC senior fellow. In 2009 he won Risk Magazine’s Lifetime Achievement Award. He is included in both the Fixed Income Analysts Society Hall of Fame and the Risk Magazine’s 50 member Hall of Fame. He has written four books as well as over 170 publications in leading finance and economic journals.
Global Risk Regulation SummitMonday June 4, 2012
For Sponsorship & Exhibiting Opportunities Please Contact – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] or Rob Schaeffer on +1 646 616 7627 or [email protected] Latest Agenda & To Register: www.riskmindsusa.com Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected]
“I Immensely Enjoyed The Event Which Provided A Very High
Standard Of Presentations And In-Depth Discussions.”
Evgueni Ivantsov Head Of Portfolio Risk & Strategy
HSBC
5
09.15
SPOTLIGHT ON POLITICAL RISKInside The New Geopolitical Environment: How Can Risk Management Prepare Itself For The Next Macro Event?
Marvin Zonis, Professor Emeritus, BOOTH SCHOOL OF BUSINESS, UNIVERSITY OF CHICAGOAt Chicago Booth, Prof. Zonis has taught courses on International Political Economy, Leadership, and E-Commerce. He also
consults to corporations throughout the world, helping them to identify, assess, and manage their political risks in the changing global environment. He is a member of the Board of Directors of CNA Financial, and a Fellow of OmniPoint U.S.LLC. He is a member of the U.S. Comptroller General’s Board of Advisers at the GAO and serves on the Board of the Institute for Psychoanalysis, Chicago and the Fondation Etats Unis, Paris. Prof. Zonis has written extensively on globalization, digital technologies, emerging markets, Middle Eastern politics, the oil industry, Russia, and U.S. foreign policy. He is a leading authority on the Middle East, and has spent the last 50 years studying the volatile mix of Islam, terrorism, and the Middle East. His writings have been published, among other places, in The Financial Times, The New York Times, The International Herald Tribune and Chief Executive Magazine. His latest book is Risk Rules: How Local Politics Threaten the Global Economy (May 2011). His other books include The Kimchi Matters: Global Business and Local Politics in a Crisis Driven World and The Eastern European Opportunity. Prof. Zonis has appeared on numerous network television news programs, including Nightline, and CNN’s Larry King Live, as well as a commentator on National Public Radio. He was educated at Yale University, Harvard Business School, Massachusetts Institute of Technology, where he received a Ph.D. in Political Science, and the Institute for Psychoanalysis, Chicago.
10.00
Interrelationships Of Risks, Unintended Consequences & Implications For Risk ManagementGeopolitical events, regulatory requirements, current capital markets issues and financial industry concerns collide to create powerful unintended consequences. The interrelationships of these forces are examined through leveraging the audience’s experiences to explore the implications for improving all disciplines of risk management.
Gary Mandelblatt, Managing Director, Chief Risk Officer, NOMURA HOLDING AMERICA INC.Gary Mandelblatt is a Managing Director and Chief Risk Officer for the Americas, Nomura Holding America Inc., and is a
member of the firm’s Executive Management Committee in the Americas. He is responsible for managing all credit, market and operational risk, and new product approvals, for the Americas businesses. Previously, Gary was a senior manager at the Lehman Brothers Estate where he was responsible for building the transaction valuation capabilities, hedging the open transactions and designing the processes for unwinding OTC derivatives contracts. Prior to that, Gary was the Head of Global Fixed Income Strategy at Lehman where he helped build the Commodities and Emerging Markets businesses. Prior to joining Lehman, Gary was a Managing Director in Fixed Income Risk Management at Smith Barney, Salomon Smith Barney and Citigroup. Before joining Smith Barney, Gary was a management consultant with Coopers & Lybrand and First Manhattan Consulting Group.
10.30 Morning Coffee
11.00
How To Take Risks More Intelligently
Michael Hofmann, Chief Risk Officer, KOCH INDUSTRIES, INC.Michael Hofmann is chief risk officer of Koch Industries, Inc., one of the largest private companies in the World. Koch companies are involved in refining and
chemicals; process and pollution control equipment and technologies; minerals; fertilizers; polymers and fibers; commodity trading and services; forest and consumer products; and ranching. Koch companies have a presence in nearly 60 countries and about 67,000 employees. Mr. Hofmann serves on the Federal Reserve Bank of Kansas City Economic Advisory Council and as trustee, member of the executive committee, and chair of the audit and risk management committee of the Global Association of Risk Professionals.
11.30
Positioning Risk Management As A Partner In Strategic Decision-Making:Successfully Partnering With Finance, Treasury, Business Planning & Audit To Drive Strategic Change Within The Organization
Thomas Wilson, Chief Risk Officer, ALLIANZ SETom is the Chief Risk Officer for Allianz Group, responsible for global risk controlling and risk management policies and guidelines. Prior to joining Allianz in 2008, Tom was the Chief Risk Officer for
ING’s global insurance operations. Prior to joining ING in 2005, Tom was the Global Head, Finance & Risk Practice at Oliver Wyman & Company (OWC), a consulting firm specializing in serving financial services firms in risk, strategy and organization. Prior to joining OWC in 2002, Tom was the CFO & CRO for Swiss Re New Markets (SRNM), responsible for the risk management, financial / management reporting, treasury and back-office operations for the alternative risk transfer and capital markets activities of Swiss Re. Prior to joining SRNM in 1998, Tom was the Global Head, Risk Management Practice, at McKinsey & Company. Tom earned his PhD in Economics from Stanford University.
12.00
CRO THINKTANK IRISK CULTURE
Creating & Maintaining A Culture Of Risk Management Throughout Your Organization
Brenda L. Boultwood, Senior Vice President & Chief Risk Officer, CONSTELLATION ENERGY Brenda Boultwood leads risk management activities for Constellation Energy and its businesses, including defining and
assessing enterprise-wide business risks and facilitating proactive decision-making. Prior to joining Constellation Energy, Boultwood served as global head of strategy, Alternative Investment Services for J.P. Morgan Chase & Company. While at J.P. Morgan Chase, she also served as global head, strategic risk management for its Treasury Services group and as global business head, Global Derivative Services of its Alternative Investment Services group. Prior to this, she held risk management positions with Bank One Corporation. Boultwood also worked with PricewaterhouseCoopers and Chemical Bank Corporation. In addition, she spent six years teaching in the University of Maryland’s MBA program. Boultwood is a member of the CFTC Technology Advisory Committee, as well as the Boards of the Committee of Chief Risk Officers (CCRO), Global Association of Risk Professionals (GARP) and Komen Maryland, where she chairs the Strategy Committee. Boultwood earned a Ph.D. in economics from the City University of New York.
Martha Cummings, Managing Director, BANCO SANTANDERMartha Cummings is Head of Client Coverage for Financial Sponsors North America. Ms. Cummings joined the Financial Sponsors group in May of 2011, having been Chief Risk Officer for Banco
Santander in New York since 2006. Ms Cummings has been with Santander for 9 years, having also served as Risk Manager for North and South American capital markets operations. Prior to joining Santander, Martha was Head of Equity Capital Markets for Latin America at Bankers Trust, where she had previously served as Head of Corporate Finance for the Southern Cone of South America. Previously, Martha consulted to Wharton Executive Education and assisting in business development for a private equity fund. Ms. Cummings has also worked with Citibank in Mexico.
Stuart Lewis, Deputy Chief Risk Officer, DEUTSCHE BANKStuart was appointed Chief Risk Officer for CIB in March 2011. He is also the Deputy Chief Risk Officer of Deutsche Bank. Before assuming these functions, Stuart held the role of Chief Credit Officer since
December 2006. He was previously Global Head of Loan Exposure Management Group (LEMG) since July 2005. Prior to this, from July 2003, Stuart headed the European function of LEMG. Stuart’s history with Deutsche Bank includes the roles of Deputy Chief Credit Officer of CIB within Credit Risk Management and a member of the Group Risk Committee. Stuart has previously been Chief Credit Officer for Asia and a member of the Bank’s Group Credit Committee from 1996 to 1998. Prior to joining Deutsche Bank, he was Head of European Credit Risk Management at Credit Suisse Financial Products. Previously, he has worked in leveraged finance origination at Continental Illinois National Bank.
Paige Wisdom, Chief Enterprise Risk Officer & Executive Vice President, FREDDIE MAC Paige Wisdom was appointed Freddie Mac’s chief enterprise risk officer on April 1, 2010, and is a member of the company’s senior leadership team,
reporting directly to the CEO. In this role, Wisdom is responsible for providing the overall leadership, vision and direction for enterprise risk management and leads an integrated risk management framework for all aspects of risk across the company. Previously, Wisdom served as Freddie Mac’s Business Unit CFO, and earlier in her career held senior finance and risk-management positions with Bank of America, Bank One Corporation/J P Morgan, UBS/Warburg Dillon Read, Citibank Salomon Smith Barney, and Swiss Bank Corporation. She holds an MBA from The University of Chicago’s Graduate School of Business.
12.45
Lunch & Meet The CRO VIP Lunch Table 14.00
GUEST SUPERVISOR ADDRESSQuantitative Risk Assessment At The SEC
Craig Lewis, Chief Economist & Director Of The Risk, Strategy & Financial Innovation Division, SECURITIES & EXCHANGE COMMISSIONCraig M. Lewis is currently on leave
from Vanderbilt University where he is the Madison S. Wigginton Professor of Finance at the Owen Graduate School of Management. He first served at the SEC as a visiting Economic Fellow from January 2010 through July 2010, and subsequently returned in the same capacity in January 2011. Lewis has conducted research in many areas of finance, including both theoretical and empirical work. His has written on volatility in stock and futures markets, margin adequacy, corporate earnings management, corporate financial policy, executive compensation, selective disclosure, and herd behavior by equity research analysts. His research has been published in the Journal of Financial Economics, Review of Financial Studies, Journal of Econometrics, Journal of Financial and Quantitative Analysis, among other places. His work has been featured in the Wall Street Journal, Financial Times, CNN News, and National Public Radio. He is associate editor of the Journal of Corporate Finance, Journal of Business Accounting and Finance, and the North-American Journal of Economics and Finance. Lewis has taught a wide range of classes and has won multiple awards for teaching excellence. He has been a visiting professor at Dartmouth College’s Tuck School of Business, Donau University in Austria, and Goethe University in Frankfurt, Germany.
14.35
The Future Of The Euro & How To Prepare
Eckhart Windhagen, Director, MCKINSEY & COMPANY Eckart Windhagen is a senior partner in the Frankfurt office of McKinsey & Company and one of the leads of Europe´s financial institutions practice. He is serving a portfolio of leading banks in Europe across
a range of strategic and operational themes with a focus on market- and client oriented topics and innovation. Eckart is leading McKinsey´s special initiative on the Future of the Euro.
Theodore Pepanides, Principal, MCKINSEY & COMPANYTheodore Pepanides is a Partner of McKinsey & Company in the Firm’s Athens Office. He joined McKinsey & Company in 2000 in Brussels and moved to Athens in 2001. In his 11 years with McKinsey
& Company, he has worked primarily with financial institutions, public administration entities and telecom operators in Greece, Turkey and Southern Europe, on topics ranging from restructuring and operational efficiency to growth strategy and risk management. He is leading the Greek Financial Institutions and Public Sector practices and is among the leaders of McKinsey’s Banking Risk Practice, with a focus on credit risk management, credit operations, stress testing and capital management.
15.10
NEW INSIGHTS IN BEHAVIORAL FINANCE
Understanding The Emotional Components Of Risk
Daniel Egan, Head Of Investment Philosophy & Behavioral Finance, Americas, BARCLAYS WEALTH Daniel Egan is responsible for the practical application of Behavioral Finance to investing. Mr. Egan joined Barclays Wealth in February 2007. Prior to Barclays, he
worked as a Financial Economist at Chiliogon Ltd where he valued unlisted equity and derivatives, and assisted with potential IPOs. Previously, he worked as an economic data analyst at the University of Pennsylvania. Mr. Egan holds BA with distinction in Economics and Psychology from Boston University and a M.Sc. in Decision Science from the London School of Economics. He has authored several papers on investor decision-making and behavior including, most recently, “Comparisons of Risk Attitudes Across Individuals,” with Peter Brooks and Greg Davies. He also presents regularly on Behavioral Finance at the LSE and London Business School.
15.55 Afternoon Tea
16.20
CRO THINKTANK IIRISK & THE BOARD
Creating An Effective Risk Governance Framework: Educating & Enabling The Board To Own Risk Appetite & Set A Clear Tone & “Direction Of Travel” From The Top
Tony Santomero, Senior Advisor, MCKINSEY & COMPANYAnthony M. Santomero is a Senior Advisor in McKinsey & Company’s New York Office. Dr. Santomero was the ninth President of the Federal Reserve Bank
of Philadelphia. He holds the title of Richard K. Mellon Professor Emeritus of Finance at the Wharton School of the University of Pennsylvania, and is on the Boards of Citicorp, Renaissance Reinsurance Company Ltd, the Penn Mutual Life Insurance Company, and the Columbia Funds.
Michael Hofmann, Chief Risk Officer, KOCH INDUSTRIES, INC.Bio available to the left
Peruvemba Satish, Managing Director & Chief Risk Officer, ALLSTATEPeruvemba Satish is the chief risk officer at Allstate Investments, LLC, overseeing $100 billion investments in fixed income, equities and alternative strategies. He has
held senior leadership positions in the areas of research, portfolio management, and risk management for over 15 years. Satish joined Allstate from Jamison Capital Partners, where he was CRO responsible for portfolio construction and risk management of commodity and macro strategies. Earlier, he was a partner and the CRO at DKR Capital Partners LP. Prior to joining DKR, Satish was director of risk management at Soros Fund Management. Satish received his PhD in Finance from the University of Texas at Austin and is also a CFA charter holder.
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETSBefore joining RBC Capital Markets, Sanjay Sharma was the Chief Credit Officer of Natixis Capital Markets for five years. Prior
to his tenure at Natixis he held investment banking and risk management positions at Merrill Lynch, Goldman Sachs, Moody’s, and Citigroup respectively. At Merrill he headed the ratings advisory practice for the Americas and also advised the firm’s clients on issues related to liability management and capital structure. At Goldman he advised the firm’s clients on issues related to capital structure and ratings. Prior to his career in the financial services industry, he worked as a marine engineer. He holds a Ph.D. in Finance and International Business from New York University. He holds the CFA charter and is the Founder and Board Member of Green Point Technology Services, a provider of online education.
David Watts, Chief Risk Officer, WESTPAC NEW ZEALANDDavid Watts joined the Executive Team of Westpac New Zealand Ltd in 2009 taking on the position of Chief Risk Officer. David is responsible for all aspects of risk management, including credit
risk, credit restructuring, operational risk, market risk, funding & liquidity risk, compliance and security. He is a member of the Executive Management Team, Chairman
Tuesday June 5, 2012
MAIN CONFERENCE DAY ONE DAY 1
For Sponsorship & Exhibiting Opportunities Please Contact – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] or Rob Schaeffer on +1 646 616 7627 or [email protected] Latest Agenda & To Register: www.riskmindsusa.com Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected]
6
“I Really Enjoyed Risk Minds USA 2011.
I Thought It Was Very Well Organized, With A Great Line-Up
Of Speakers.”
David Saunders Assistant Professor, Department Of Statistics
& Actuarial Science UNIVERSITY OF WATERLOO
Tuesday June 5, 2012 & Wednesday June 6, 2012
MAIN CONFERENCE DAY ONE & TWO DAY 1&2
of the Executive Risk and Audit Committee, Chairman of the Assets & Liabilities Committee, a Director of 9 affiliate boards and a Trustee for the Westpac Employees Superannuation Scheme. Before joining Westpac David had a successful 17 year career at National Australia Bank where he was Chief Risk Officer for Australia. Prior to entering banking, David enjoyed 10 years as a Certified Practising Accountant. He has studied at the Wharton Business School, INSEAD, Deakin University and the Royal Melbourne Institute of Technology. 17.05
Ensuring Risk Appetite Is Properly Articulated, Embedded, Understood & Respected Throughout The Organization & Is Fully Integrated Into Strategic Planning & Decision Making
James Allison, Risk Manager, Natural Gas & Power, North America, CONOCOPHILLIPSJim Allison has been the risk manager for the ConocoPhillips natural gas and power commercial activities in North America since the merger of Conoco and Phillips in 2002.
Jim joined Conoco in 1982, and spent most of his career in the strategic planning area, focusing on decision analysis and performance evaluation, including issues around the consistent incorporation of risk into all corporate decisions. He has an MBA from the University of Virginia, and an undergraduate degree in Mathematics from Princeton University. Since the financial crisis of 2008 he has been actively engaged in the legislative and regulatory policy discussions regarding responses to the crisis, and he is now spending a substantial portion of his time interacting with legislators and regulators who are working on these issues.
17.35
CRO THINKTANK IIIMANAGING THE BUSINESS IMPACTS OF
REGULATIONExamining The Impact Of Regulation On Future Growth, Profitability, The Practicality Of Certain Business Lines & The Relationship Between Banks & The Shadow Banking System: Do We Need To Find New Ways Of Doing Business?
William Dawson, Executive Vice President, Chief Risk Officer, Wealth, Brokerage & RetirementWELLS FARGO & COMPANYWilliam L. Dawson assumed his role in 2009. Bill provides management oversight
and is responsible for credit, market and operational risk, including compliance for the following business lines within this division: Wealth, Family Office Services, Brokerage (Wells Fargo Advisors) and Retirement. Bill has over 35 years’ experience in the financial services industry. Prior to joining Wells Fargo, Bill, an 8-year veteran of Wachovia Corporation, most recently held the position of Chief Risk Officer, Capital and Wealth Management, for Wachovia.
Jackson Gomes, Risk Director, BANCO ITAÚ UNIBANCOJackson Gomes is the director in charge of Risk Control at Banco Itaú Unibanco and is a permanent member of the executive committees responsible for Credit, Operational, and Insurance Risk
Management, for the entire financial holding group. He coordinated the implementation of one of first risk management structures in the Brazilian banking system. Jackson has also been involved in several working groups, at the IIF and the Brazilian Bank Federation, in charge of discussing regulatory changes since the conception of Basel 2. He holds an MBA from The University of Chicago GSB.
Darryll Hendricks, Head Of Strategy, UBS INVESTMENT BANKSince August 2011, Darryll Hendricks is Head of Strategy for UBS Investment Bank, where he is responsible for IB strategic plan development, preparations for investor
communications, and monitoring of plan execution and business segment resource. He is also responsible for coordinating UBS IB’s efforts related to Regulatory Reform, including Basel 3 compliance and mitigation programs, TBTF and recovery/resolution plans, Volcker Rule implementation, and Swap Dealer registration. Previously he was Managing Director and Global Head of Risk Methodology for UBS Investment Bank. Since fall 2009, he has also served as the chair of the US industry task force on tri-party repo infrastructure. Before joining UBS, Darryll worked at the Federal Reserve Bank of New York for 13 years where he focused on capital regulation and the risk assessment of clearing and settlement infrastructure. He has a PhD from Harvard University.
18.20
CRO Strategy Roundtables 18.35
The Risk Minds USA 2012 Drinks Reception
Main Conference Day 2
Wednesday June 6, 2012
08.15 Registration & Coffee
08.50 Chairman’s Opening Address
09.00
GLOBAL CREDIT MARKET OUTLOOKExamining The Future Outlook For Corporate & Sovereign Credit Markets & The Implications For Funding Strategies & Business Models
Christian Sewing, Chief Credit Officer, DEUTSCHE BANKChristian Sewing is the Chief Credit Officer for Deutsche Bank AG. He joined DB in 1989 at the age of 19. Since then he has fulfilled a variety of roles for the Bank, including Head of Credit Risk Management
(CRM) for European MidCaps, Chief Credit Officer for Japan, and Global Head of Operational Risk Management. In 2005, he joined DG HYP Bank to become Chief Risk Officer and a Member of the Board. Christian rejoined DB in April 2007 and was appointed Global Head of CRM Portfolio Management and Ratings before becoming Deputy Chief Credit Officer in May 2009. He was promoted to Chief Credit Officer in February 2010. He is a member of the board of Frankfurt based Risk Institute (newly established university program to provide academic education for young risk managers and research of international standing) and a Member of the Supervisory Board of BHF Bank Aktiengesellschaft.
09.40
Real Time Risk Aggregation – Its Not Just About Aggregation
Boris Lipiainen, Global Head Of Product & Development, TURAZBoris Lipiainen joined Reuters’ Trade and Risk Management business in 2007 as the Global Head of Product Management and Strategy. In 2008 he also took responsibility for the R&D and since then leads the
product side of the business as the Global Head of Product and Development. Prior to that Mr. Lipianen was an associate principal in McKinsey Business Technology Office in London, where his primary focus was on the banking and securities industry and software. In this role he served several global financial services firms and technology providers. Before this, Mr. Lipiainen was a CIO and COO of a Russian bank. Mr. Lipiainen started his professional career in 1990 as a software engineer, after obtaining a Masters Degree in Applied Mathematics. He also earned a Masters Degree in Management and Finance from the MIT Sloan School of Management in 1998.
10.20 Morning Coffee
Stream A: Modeling Credit & Market Risk
10.50
The Changing World Of Risk Management In A Post Financial Crisis Era • Riskmitigation/hedging/portfoliomanagement• Capitalplanning&theroleofstresstesting• BIIIliquidity-riskpricing• NewaccountingstandardsforM&Aloanvaluation
James Costa, Executive Vice President, Risk & Head Of Enterprise Portfolio Management, PNC FINANCIAL SERVICESJames Costa is responsible for providing portfolio oversight and development of capital management strategies for all credit
exposures at the bank. Jim has been with PNC since September 2010. Previously Jim was principal and founder of Risk Insight, an independent consulting firm. Prior to Risk Insight, Jim was Senior Vice President and Head of Credit Strategies at Wachovia Bank where his primary responsibilities were the development and execution of enterprise wide credit strategies across Wachovia’s commercial, consumer and commercial real estate portfolios. As part of that effort, Jim chaired Wachovia’s credit portfolio committee and ran and developed the bank’s macro hedging program. Prior to joining Wachovia Jim held similar roles at SunTrust Banks and FleetBoston Financial where he developed credit portfolio management functions and risk analytics teams to support Basel compliance. Jim conducted his doctoral studies at the University of Minnesota where he was an adjunct professor of finance and economics.
11.30
Risk Model Performance: Creating Value Through Better Performing Credit Risk Models
Vivek Wadhwa, Principal, MCKINSEY & COMPANYVivek is a Principal in McKinsey’s New York Office. He is a member of the Risk practice and leads McKinsey’s global credit risk service line. Vivek has worked with retail and commercial banking
clients in areas including Enterprise Risk management, retail distribution, consumer and small business credit (cards, auto, home equity), business strategy, credit risk management and anlaytics, and regulations and capital management. Before joining McKinsey, Vivek worked in the banking technology field at CS First Boston, IBM and other organizations where his responsibilities included global strategy and business development in Europe and Latin America.
Rajesh Gazula, Associate Partner, MCKINSEY & COMPANY
12.10
Recent Advances In Risk Measurement For Structured Finance Portfolios
David Saunders, Assistant Professor, Department Of Statistics & Actuarial Science, UNIVERSITY OF WATERLOO David Saunders is an Assistant Professor in the Department of Statistics and Actuarial Science at the University
of Waterloo, and a Senior Research Consultant at R2 Financial Technologies. He is the author of many articles on the subjects of risk management, portfolio optimization and derivatives pricing. Dr. Saunders holds a Ph.D. in Mathematics from the University of Toronto, and is a Research Fellow of the HERMES European Centre of Excellence on Computational Finance and Economics at the University of Cyprus, and the Waterloo Institute for Quantitative Finance and Insurance at the University of Waterloo.
12.50
Lunch Plus Meet The Speaker Lunch Tables 14.20
“Thinking The Unthinkable”: The Importance Of Stress Testing, Scenario Analysis & Active Imaginations In Managing The Risk Of A Sovereign Default, Second-Order Impacts & Domino Effects
15.00
Dynamic Hedging Of Counterparty Exposure• Masterequationforcounterpartyriskycumulativecash-
flows• ModelfreerepresentationofCVAintermsofpotential
future exposure at default• ModelfreedynamicsforCVA• DynamicsofCVAinaMarkovianmodel• DynamichedgingofCVAinaMarkovianmodel
Tomasz R. Bielecki, Professor Of Applied Mathematics, ILLINOIS INSTITUTE OF TECHNOLOGYTomasz R. Bielecki is an author of numerous research papers in the areas of stochastic analysis, stochastic
control, manufacturing systems, operations research and mathematical finance. He is a co-author of the monographs “Credit Risk: Modeling, Valuation and Hedging” (with Marek Rutkowski) and “Credit Risk Modeling” (Monique Jeanblanc and Marek Rutkowski). The areas of his current research interests include valuation and hedging of convertible securities, valuation and hedging of credit derivatives, modeling of dependence between stochastic processes, as well as applications of stochastic control to optimal portfolio selection. Tomasz Bielecki received his Ph.D. degree in game theory in 1987. He has previously held academic positions in the Warsaw School of Economics, University of Kansas, University of Illinois at Chicago, Northeastern Illinois University, and a visiting position in the New York University. He currently serves as an associate editor of Mathematical Finance and SIAM J. Control and Optimization and International Journal of Portfolio Analysis and Management. He consulted for Argonne National Laboratory, Bank One, Quantitative Risk Management, among others.
15.40 Afternoon Tea
16.10
Global vs Integrated Fixed Income Risk Model
Yingjin Gan, Senior Quantitative Researcher, BLOOMBERGYingjin Gan is a senior quantitative researcher at Bloomberg portfolio and risk analytics group. She is currently leading the effort on building the fixed income factor models. She is also responsible
for the development of performance measurement and performance attribution models. She joined the team in December 2008. Prior to Bloomberg, Yingjin worked at Lehman Brothers’ Fixed Income Research Department since 2005. Her role was to develop the performance attribution capabilities of Lehman’s portfolio management platform (POINT), and market the platform to asset managers, hedge funds and insurance companies. Yingjin graduated from the Wharton school, University of Pennsylvania with a Ph.D in Applied Economics in 2005.
16.50
Estimating Default Probabilities (PDs) From Credit Spreads• Introduction-theneedforforward-lookingPDmodels• Ataxonomyofexistingcreditriskmodels• Theneedformarket-basedPDs• Thecreditriskpremium• PDs,creditspreads,andspreadvolatilities• Modelformarket-basedPDs• Calibratingthemodel• Applications
Terry Benzschawel, Managing Director, Bond Portfolio Analysis, CITI INSTITUTIONAL CLIENTS GROUPTerry heads the Portfolio Analysis and Quantitative Strategies group which develops and implements quantitative
tools and strategies for credit market trading and risk management, both for Citi’s clients and for in-house applications. Terry joined Salomon Brothers in 1992 after six years of post-doctoral research and two years in commercial banking. At Salomon, Terry built models for proprietary arbitrage trading in bonds, currencies and derivative securities in emerging markets in the Fixed Income Arbitrage Group. He moved to the Fixed Income Strategy department in 1998, with a focus on all credit markets. Terry received his Ph.D. in Experimental Psychology from Indiana University. Terry has done post-doctoral fellowships in Optometry at the University of California at Berkeley and in Ophthalmology at the Johns Hopkins University School of Medicine and was a visiting scientist at the IBM Thomas J. Watson Research Center prior to embarking on a career in finance.
17.30
Evolving Credit Risk Modeling Challenges: From The Banking Book To The Trading Book • ReviewofIRBmodelstodate• TopvalidationissuesforIRBmodels• ChallengesinmodelingtheIncrementalRiskCharge• Newfrontiersintrading-bookcreditrisk• Istherearisk-freeinterestrate?
Mark Staley, Head Of The Risk & Capital Modeling Group, TD BANKDr. Mark Staley joined TD bank in 2004 as Head of the Risk and Capital Modeling Group within Quantitative Analysis, Trading Risk Management. His main focus is on developing credit risk and trading risk models in support of Basel II regulatory requirements. His group also builds models used for economic capital and general loan-loss provisions. Prior to joining TD bank, he spent eight years at CIBC building trading risk models. Mark holds a Ph.D. in Physics and is an adjunct professor of mathematics at the University Of Ontario Institute Of Technology.
18.10 Chairman’s Closing Remarks
18.15
Champagne Roundtables
For Sponsorship & Exhibiting Opportunities Please Contact – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] or Rob Schaeffer on +1 646 616 7627 or [email protected] Latest Agenda & To Register: www.riskmindsusa.com Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected]
7
“I Look Forward To Attending Future
Risk Minds USA Conferences.”
Evan Picoult Managing Director, Risk Architecture,
CITI & Adjunct ProfessorCOLUMBIA BUSINESS SCHOOL
Stream B: Effective Capital Management
& Modeling
10.50
CCAR MASTERCLASS
Session 1: 40 minutesExamining The Latest Updates To The CCAR Process
Timothy P. Clark, Senior Advisor, Banking Supervision & Regulation, FEDERAL RESERVE BOARD OF GOVERNORS
Session 2: 40 minutesStrategies For Effective & Efficient Capital Planning
Bruce Stevenson, Senior Vice President, Economic Capital & ICAAP, HSBC NORTH AMERICA
12.10
Keeping Capital Models In Perspective:How Should Capital Models Deal With Uncertainty & Assumption Mismatches?
Gary Wilhite, Senior Vice President, Corporate Credit & Risk Management, WELLS FARGOGary Wilhite has been involved with quantitative credit risk management for nearly 20 years with Wells Fargo,
Wachovia, and predecessors. This has included responsibility for estimating commercial loan default probabilities, loss given default, and usage given default rates; the bank’s allowance for loan losses; economic capital modeling and the credit portion of the bank’s Basel efforts. Publications include a chapter in the book Economic Capital: A Practitioner Guide and articles in the RMA’s Journal. He has presented to the Institute of International Finance, the Risk Analysis Division of the OCC, the Chicago Fed’s Conference on Bank Structure and Competition, the Bank of Japan, various Basel-related regulatory groups, IACPM, the KMV user group, the American Enterprise Institute and the Federalist Society. He holds an MBA from the University of Virginia’s Darden School.
12.50
Lunch Plus Meet The Speaker Lunch Tables 14.20
RWAS MASTERCLASS
Session 1: 40 minutesExploring Divergence In RWA Calculations: How Comparable Are Calculations Across Different Organizations & Jurisdictions?
Barbara Frohn, Managing Director, GRUPO SANTANDERBio available on pg. 5
Session 2: 40 minutesDeveloping Meaningful Ways To Reduce RWAs
Ahmet Yetis, Director, BARCLAYS CAPITALBio available on pg. 5
15.40 Afternoon Tea
16.10
Session 3: 40 minutes
Source Of RWA Inconsistencies Among Firms
Michel Araten, Managing Director, JP MORGAN CHASEMichel Araten is Managing Director at J.P.Morgan Chase with special focus on Basel II and JPM’s Strategic Risk Grading Task Force. For the last 12 years he has developed credit risk capital models for
global retail, wholesale, and capital markets, and has completed a number of historical studies supporting these models. His previous assignments over the last 35 years at J.P.Morgan Chase include Manager, Management Science, Group Executive in Real Estate Finance responsible for high profile workout problems, Secretary of the Credit Policy Committee, Director of Insurance Income Products, and Managing Director, Mezzanine Finance. He has published widely in journals and authored chapters in books. He is Chairman of the Data and Models Committee of the IACPM and on the Editorial Board of the Journal of the RMA. He has been an Adjunct Lecturer at Columbia University, Fordham Graduate School of Business, and at Polytechnic Institute and holds a PhD in Operations Research from Columbia University.
16.50
Exploring The Growing Divergence Between Economic & Regulatory Capital & The Impact This Has On The Way You Manage Your Portfolio
Rick Hamilton, Senior Vice President, Economic Capital & ICAAP Analytics, PNC FINANCIAL SERVICESFollowing the merger of PNC and National City in January 2009, Rick assumed leadership of the Economic Capital and
ICAAP Analytics functions for the combined entity. In this role, he manages the process for estimating both current and prospective economic capital requirements for the firm and leads the Economic Capital Working Group. He is currently co-leading initiatives relating to Pillar II capital modeling methodology and capital planning and is an active participant in the firm’s stress testing and risk weighted asset calculator efforts.
17.30
Making Sense Of The Increased Capital Requirements• Thechange• Theindustryreaction - Cost - Credit• Thereality - Return on equity - Function of capital • Thesensibleresponse - Business model - Capital management
Joseph Rizzi, Senior Investment Strategist, CapGen FinancialJoseph V. Rizzi is Senior Investment Strategist for CapGen Financial, a private equity firm focusing on financial institutions. Prior to that, he worked at ABN AMRO for a number of years in the
areas of risk management, structured finance, acquisition finance and asset liability management. The author of numerous articles on lending, risk management, and financial accounting, he is also a frequent lecturer to academic and professional groups. He holds an MBA from University of Chicago, and a JD degree from Notre Dame University Law School (magna cum laude). See JoeRizzi.com for a complete list of publications and presentations.
18.10 Chairman’s Closing Remarks
18.15
Champagne Roundtables
Stream C: New Advances In Stress Tesing
& Model Risk Management
10.50
Examining The Role Of Stress Testing & The Latest Innovations In Best Practice
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETSBio available on pg. 6
11.30
New Techniques For Developing Portfolio-Wide Stress Tests
Thorsten Lauterbach, Director, Risk Analytics, BARCLAYS CAPITALThorsten is responsible for leveraging the existing Barclays risk framework to further the holistic understanding of the portfolio risk profile in the US and globally. He
joined the firm in August 2010 after three years at Bank of Tokyo-Mitsubishi UFJ (BTMU), where he headed the market risk management department. Prior to BTMU, Thorsten spent eight years at Commerzbank New York with responsibility for credit risk management, operational risk management and finance.
12.10
A Foundation For Stress Testing: From Macro Correlations To Fundamentals Forecasting
Thomas Yagel, Associate Director, Solutions Architects, S&P CAPITAL IQ Since joining S&P Capital IQ in 2006, Thomas has held several analytical and client development positions. Most recently, he has been involved in
innovating cross-product solutions and executing client education and development. Thomas has an extensive background in structured finance covering credit and legal analysis and cash flow modeling for structured finance securities and derivatives including RMBS, CMBS, ABS and CDOs. Thomas has over twelve years of industry experience in positions focusing on consulting, project management, software development and product design. Thomas holds an MBA with honors in finance and accounting from NYU Stern School of Business.
12.50
Lunch Plus Meet The Speaker Lunch Tables 14.20
Meeting The Computational Challenges Of Macroeconomic Stress Testing
Evan Sekeris, Assistant Vice President, Bank Supervision & Regulation Department, FEDERAL RESERVE BOARD OF RICHMONDEvan Sekeris is a member of the Supervision and Regulation Department focusing on the internal risk modeling and capital allocation at large banking organizations. His current research interests are in asset pricing with particular emphasis on the role of information on the cross section of assets and in operational risk.
15.00
Next Generation Quantitative Techniques For Stress Tests: Entropy Based Measures, Bayesian & Network Techniques
Attilio Meucci, Chief Risk Officer, KEPOS CAPITALAttilio Meucci is the chief risk officer at Kepos Capital LP. Concurrently he is adjunct professor at the Master’ in Financial Engineering - Baruch College - CUNY. Previously, Attilio was the head of
research at ALPHA, Bloomberg LP’s portfolio analytics and risk platform; a researcher at POINT, Lehman Brothers’ portfolio analytics and risk platform; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co, a strategic consulting firm. Concurrently he taught at Columbia, NYU-Courant, and Bocconi University. Attilio is the author of Risk and Asset Allocation - Springer and numerous other publications in practitioners and academic journals. He holds a PhD in Mathematics from the University of Milan and he is CFA chartholder.
15.40 Afternoon Tea
16.10
Building A Model Validation Framework• Modelriskmanagementfundamentals• Modeldefinition• Modelingprocesses• Modelriskmanagementgovernance
Fang Du, Executive Vice President, RBS CITIZENS FINANCIAL GROUPBio available on pg. 5
16.50
Determining The Most Effective Techniques For Managing Model Risk: Examining The Role Of Capital, Stress Testing & Other Techniques• Developinganeffectivegovernancestructure• Evolvingregulatoryexpectations• Modelriskandeconomiccapital• Modelriskandstresstesting
Douglas Gardner, Managing Director, WELLS FARGODoug leads a team that oversees model risk across Wells Fargo and which is responsible for the validation of a wide variety of models, including those used to assess market risk, counterparty risk,
credit risk, interest rate risk, and regulatory and economic capital. Previously he led a team that reviewed and approved all derivative pricing models used within the firm, covering foreign exchange, commodities, equities, credit and rates. Prior to joining Wells Fargo, Doug headed the Financial Engineering team at Algorithmics. Doug has a Ph.D. in Operations Research from the University of Toronto and has completed a post-doctoral research fellowship at the Schulich School of Business, York University.
17.30
Practical Techniques In Quantifying Model Risk
Daniel Tu, Senior Vice President, Director Of Model Validation, RBS CITIZENS BANKDaniel has over 15 years of industry and consulting experience including credit risk modeling and validation, economic capital management, ALLL methodology,
Basel II quantification, ICAAP, stress testing, risk based performance measurement, and pricing and profitability analysis. Prior to joining Citizens he was an Advisory Director at PricewaterhouseCoopers, advising clients on model validation and other quantitative credit risk matters for large banks. He also worked at Bank of American and its predecessor banks in retail credit product/risk management areas. Daniel holds an M.S. in Finance and M.A. in Economics (ABD) as well as CFG, FRM and PRM designations.
18.10 Chairman’s Closing Remarks
18.15
Champagne Roundtables
Stream D: Strategic Risk Management In The
New Regulatory Environment
10.50
EXTENDED SESSION
Testing The Foundations Of Risk Measurement• Areviewandanalysisofwhatwentwrongduringthe
crisis• Lessonslearnedwithrespecttoimprovingthe
measurement of market risk, counterparty credit risk and the importance of stress testing
• CommentsontheimplicationsofBaselII.5,BaselIIIand the DFA regarding the calculation of RWA, changes in the definition of capital and higher minimum capital requirements and the new Basel liquidity rules
Evan Picoult, Managing Director, Risk Architecture, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOLOver the last few years Evan Picoult has focused on firm-wide projects regarding Basel II, stress testing and the
enhancement of the measurement, implementation and use of Economic Capital. Evan joined Citibank in 1980 in systems development, transferred to a trading desk in 1986 and has worked in internal risk management since 1988. He has led the development of the methods used at Citi for measuring market risk and counterparty credit risk. He is on the Advisory Board of the IAFE (International Association of Financial Engineers) and is co-head of the IAFE Credit Risk Committee. He was the North American co-chair of ISDA’s Risk Management Committee from the mid-1990’s until last year, and is still active on ISDA risk committees. For the last 16 years he has very actively worked on Basel issues as a member of several industry associations’ working groups. For several years, until 2008, he was also on the board of directors of the IACPM (International Association of Credit Portfolio Managers). Evan has a Ph.D. in experimental particle physics from the Columbia’s Physics Department, did post-doctoral research on visual perception and taught in Columbia’s Psychology Department, and, after joining Citibank, he returned to Columbia part time to obtain an MBA in finance. Since 2006 he has been an Adjunct Professor in the Decision, Risk and Operations department of Columbia’s Business School where he teaches the Risk Management course.
Wednesday June 6, 2012
MAIN CONFERENCE DAY TWO DAY 2
For Sponsorship & Exhibiting Opportunities Please Contact – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] or Rob Schaeffer on +1 646 616 7627 or [email protected] Latest Agenda & To Register: www.riskmindsusa.com Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected]
8
“RiskMinds Offers The Best Line-Up Of The Leading Thinkers In Risk
Management”
Dan Rosen Chief Executive Officer
R2 FINANCIAL TECHNOLOGIES & Adjunct Professor
UNIVERSITY OF TORONTO
Wednesday June 6, 2012 & Thursday June 7, 2012
MAIN CONFERENCE DAY TWO & THREEDAY 2&3
12.10
A New Methodology For Allocating Systemic Risk • Howtomeasureextremelossesofthebankingsystem• Computingsystemicriskcontributionsofindividual
banks consistently under the full allocation principle • Exploringthemaindriversofsystemicriskinan
empirical example• Mitigatingpro-cyclicaleffectsofarisk-sensitive
measure of systemic risk
Klaus Duellmann, Head Of Banking Supervision Research & Deputy Head Of The Research Centre, Central Office, DEUTSCHE BUNDESBANKKlaus Duellmann is Head of Banking
Supervision Research and Deputy Head of the Research Centre in the central office of the Deutsche Bundesbank in Frankfurt. He represents the Deutsche Bundesbank in international working groups on banking regulation and chairs the “Capital Monitoring Group” of the Basel Committee on Banking Supervision. He is responsible for financial risk modeling, research on the impact of regulatory minimum capital standards and stress testing.
12.50
Lunch Plus Meet The Speaker Lunch Tables 14.20
TAIL RISK MASTERCLASS• TailWaggingtheWorld:Tailriskandtheglobalfinancial
crisis• The“darknature”oftailrisk• Howdoesatailriskcrisisdevelopandwhatareits
drivers?• Hownewregulationaddressessystemicandtailrisk• Tailriskmanagementframeworkanditsdefencelines• Solutions,methodsandprocessesincludedinthetail
risk management architecture• Stressingfortailrisk:“heads”or“tails”• Implementationofcomprehensivetailriskcrisis
mitigating approach
Evgueni Ivantsov, Head Of Portfolio Risk & Strategy, HSBCDr Evgueni Ivantsov is responsible for reshaping the risk management approach and development and implementation of strategic solutions to improve the risk/ return profile of portfolios across
HSBC European region. Specifically, he is in charge of development and implementation of the Risk Appetite framework, setting risk appetite limits and targets for countries and customer groups and portfolio stress testing. In addition, he is a member of the Advisory Board for European Capital Markets of The Economist magazine and the Chairman of the European Risk Management Council. Previously, Dr Ivantsov was the Head of Global Analytics at HSBC Group. Prior to HSBC, he worked for ING Group as a Senior Manager of the Credit Portfolio Group and for BBL (Banque Bruxelles Lambert) as a Senior Financial Analyst. He holds an MBA and a Ph.D. in Economics.
15.40 Afternoon Tea
16.10
Understanding The Challenges In Forward-Looking Stress Simulations• Marketrisksimulationisoftena‘riskneutral’spot
shock,whatotherchoicesareavailable?• Tradedriskportfolioevolutionovermedium-termstress
horizons • Econometricmodelsasaninputandcalibrationtoolfor
integrated stress
Martyn Brush, Global Head Of GBM Market Risk, RBSMartyn joined RBS in Jan 2010 after running a private equity fund focused on distressed US Banks. Prior to this he worked for 15 years at HSBC with the last 5 years in the US. Martyn’s roles for HSBC included Global Head of Foreign Exchange Derivatives, Head of Derivative Strategy, Americas Head of Market Risk and COO for Americas Global Banking & Markets and Global Asset Management. Prior to that, he ran various trading business for different banks.
16.50
Forecasting The Next Crisis: Where Is the Next Bubble Going To Be?Exploring paths to new crises which today’s risk management methods and systems are ill-equipped to predict:• “BlackClouds”• “PerfectStorms”• “Pandemics”
Steve Lindo, Director, Treasury Management & Mortgage Risk, FIFTH THIRD BANKSince January 2011 Mr. Lindo has been working as Director of Treasury Management and Mortgage Risk at Fifth Third Bancorp. Before this he completed
a two-year engagement as CEO of PRMIA. Previously Mr. Lindo was Head of Risk Capital Management at GMAC Financial Services LLC, responsible for the capital measurement and modeling of GMAC’s automotive loan, lease, insurance and residential mortgage portfolios. Before that, he held a number of risk management roles in Cargill’s proprietary financial trading group. Mr. Lindo spent his early career as an international banking and credit officer with Lloyds TSB Bank and then First National Bank of Chicago.
17.30
Practical Techniques For Corporate Control Function Collaboration To Achieve Effective Enterprise Wide Risk Management
Nancy Loucks, EVP, Enterprise Risk Management, STATE STREETState Street’s Enterprise Risk Management’s programs are designed to identify, assess, measure, manage, control, and report on State Street’s risk exposures globally. Ms. Loucks’ recent activities have focused on risk management governance and program evolution in the wake of recent market events. Ms. Loucks serves on a number of corporate risk management committees at State Street as well as a number of affiliate bank boards.
18.10 Chairman’s Closing Remarks
18.15
Champagne Roundtables
Main Conference Day 3
Thursday June 7, 2012
08.15 Registration & Morning Coffee
08.45 Chairman’s Opening Remarks
08.50
GUEST ACADEMIC ADDRESSRemaking Our Financial System: Uneven Progress
Darrell Duffie, Dean Witter Distinguished Professor Of Finance, GRADUATE SCHOOL OF BUSINESS, STANFORD UNIVERSITYDarrell Duffie is the Dean Witter
Distinguished Professor of Finance at The Graduate School of Business, Stanford University, where he has been a member of the finance faculty since receiving his Ph.D. at Stanford in 1984. Among other books, Duffie is the author of Dynamic Asset Pricing Theory and a co-author of The Squam Lake Report: Fixing the Financial System. His recent research focuses on asset pricing, credit risk, fixed-income securities, and over-the-counter markets. Duffie is a Fellow and member of the Council of the Econometric Society, a Research Associate of the National Bureau of Economic Research, a member of the Financial Advisory Roundtable of the New York Federal Reserve Bank, and a Fellow of The American Academy of Arts and Sciences. He was the President of The American Finance Association for 2009.
09.40
THE RISK MINDS USA 2012 ‘FINANCIAL MINDS’ THINKTANK
Managing Complexity In Models, Products, Institutions & Regulation:Can We Improve Risk Management By Reducing Complexity?
Martyn Brush, Global Head, GBM Market Risk, RBSBio available to the left
John Hull, Maple Financial Professor Of Derivatives & Risk Management, JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT, UNIVERSITY OF TORONTOBio available on pg. 10
Evan Picoult, Managing Director, Risk Architecture, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOLBio available to the left
10.20 Morning Coffee
Stream A: Modeling Credit & Market Risk
10.50
Successfully Integrating Credit & Market Risk Modeling & Management: A Validation Perspective
Kenneth Wee, Director, Solutions Architects, S&P CAPITAL IQKenneth Wee is a Solutions Architect at S&P Capital IQ, specializing in risk ratings, portfolio management, economic capital, risk-adjusted pricing, limit setting, stress testing, and loss forecasting and
provisioning. He has performed numerous projects with dozens of banks internationally utilizing cutting-edge and robust methodologies and is a regular speaker at events as well as published in several journals. He has worked at SunGard ERisk, Barclays Capital, Moody’s KMV and Morgan Stanley. He has three degrees from Stanford University and was awarded Phi Beta Kappa and Tau Beta Pi.
11.30
Strategies For Taking CVA From A Valuation Tool To A Risk Management Tool
Anders Wulff-Anderson, Head Of Counterparty Credit Risk Analytics, Risk Control, UBS INVESTMENT BANKAnders is head of Counterparty Credit Risk Analytics, Risk Control at UBS Investment Bank. He was previously head of Risk
Methodology Model Development and before that he held various senior roles in the risk methodology area.
12.10
Building A CVA/ DVA/ FVA System In Practice• CVA,DVAandFVAthroughexposuremethodology• Theengineeringproblem• Choosingamodelingframework:choiceofcalibration,
interest rate model and other asset classes• TradevaluationinsideaMonteCarlosimulation• Computationalperformance:distributedcomputingand
workflow management• Calculatingsensitivities
Andrew Green, Head Of Quantitative Research - Credit Risk, LLOYDS BANKING GROUPDr Andrew Green has been involved in CVA field since 2003. He currently heads the Quantitative Research credit risk team at Lloyds Banking Group where he is responsible for the modeling of CVA and unsecured funding costs and is also interested in asset-liability models. Prior to joining Lloyds in 2008, Andrew spent twelve years at Barclays Capital. He headed the DCRM quant modeling team from its foundation in 2005 and previously worked in quantitative roles in both fixed income and equity derivatives. Andrew has a BA in Physics and a DPhil in Theoretical Physics from the University of Oxford and the Certificate of Advanced Study in Mathematics (Part III) from the University of Cambridge.
12.50
Lunch Plus Meet The Speaker Lunch Tables 14.20
Overcoming The Challenges Of Modeling Wrong Way Risk In CVA Calculations
Dan Rosen, Chief Executive Officer, R2 FINANCIAL TECHNOLOGIES & Adjunct Professor, UNIVERSITY OF TORONTODr. Rosen acts as an advisor to institutions around the world and lectures extensively on valuation of structured finance and derivatives; counterparty credit risk; risk management; and economic and regulatory capital. He has authored numerous risk management and financial engineering publications, and serves on the editorial board of several industrial and academic journals. Prior to founding R2 in 2006, he was at Algorithmics, where had responsibility for variety of functions including research and financial engineering, strategy and business development, and product marketing. In 2010, Dr. Rosen was inducted a fellow of the Fields Institute for Research in Mathematical Sciences.
15.00
Counterparty Credit Risk Capital Under Wrong Way Risk: Examining Ways Of Accounting For General Wrong Way Risk In Conventional Counterparty Credit Risk Capital Models • Generalwrongwayrisk(WWR)inBaselII&III• DoesstresscalibrationofexposureinBaselIIIaddress
generalWWR?• ModelinggeneralWWRunderasymptoticsinglerisk
factor framework• CalculatingconditionalEADfromunconditionalexposure
distribution
Michael Pykhtin, Senior Economist, THE FEDERAL RESERVE BOARDMichael Pykhtin is a Senior Economist in the Quantitative Risk Management Section at the Federal Reserve Board. He is responsible for carrying out policy analysis
and independent research related to financial markets, risk management and regulation of financial institutions. Prior to joining the FRB in 2009, Michael had had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael has edited “Counterparty Credit Risk Modeling”, published by Risk Books in 2005. He is also a contributing author to several recent edited collections. Michael has extensively published in the leading industry journals. He is an Associate Editor of the Journal of Credit Risk. Michael holds a Ph.D. degree in Physics from the University of Pennsylvania.
15.40 Afternoon Tea
16.10
Measuring Counterparty Risk & Calculating CVA For CCPs• Bestpracticesforestimatingcreditexposures• Incorporatingnettingandcollateraleffects• DeterminingCVAfor1-sidedversus2-sideddefaultrisk• Impactofwrongwayrisk• CapitaladequacyforCVAexposure
Edward Dumas, Director Of Enterprise Capital Management Quality Assurance, BANK OF AMERICAEdward B. Dumas is responsible for demonstrating the completeness and effectiveness of capital management
processes, including all 3 Pillars of Basel II, the Market Risk Amendment, and Basel III. Previously, Mr. Dumas was Senior Director of Global Treasury Risk Management & Head of Quantitative Research and Analysis for Finance at State Street Corporation. Prior to joining State Street, Mr. Dumas was Chief Risk Officer at the Federal Home Loan Bank of Boston. Among his other professional activities, Mr. Dumas was Director of Capital Markets Analytics at FleetBoston Financial. Mr. Dumas also worked at the Office of the Comptroller of the Currency where he was a principal contributor to supervisory policies for financial derivatives and trading activities for national banks. He also served as Head of Risk Solutions, North America at DST Global Solutions. Mr. Dumas is Regional Director for the Boston Chapter of PRMIA. He holds a Ph.D. in Economics.
For Sponsorship & Exhibiting Opportunities Please Contact – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] or Rob Schaeffer on +1 646 616 7627 or [email protected] Latest Agenda & To Register: www.riskmindsusa.com Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected]
9
WOULD YOU LIKE TO RAISE YOUR PROFILE AT RISK MINDS USA 2012?
There are a number of opportunities at the event for you to showcase your expertise and gain access to our audience of leading risk management professionals.
We can tailor specific packages to suit your specific objectives and budget. For more details on how we can help you benefit from this fantastic audience, please do not
hesitate to get in touch.
Please contact Rustum Bharucha on +44 (0)20 7017 7225 or [email protected] or Rob Schaeffer on +1 646 616 7627 or [email protected]
“RiskMinds Is The Best Place To Hear The Latest Research & Thinking
In Risk Management!”
Eduardo Epperlein Managing Director, Global Head Of Risk
Methodology NOMURA
10
16.50
Calculating & Managing FVA • TheMarketTrend:CVA&FVA• Fundingcostprimer:borrowingandlendingwith
collateral • ConsistentFVAcalculationwithCVA• FVAmanagement:practicalexamples
Dongsheng Lu, Managing Director & Head Of Quantitative Research, BNY MELLONDongsheng Lu is currently Managing Director and Head of Quantitative Research at BNY Mellon’s Derivatives Trading Unit. His group is responsible for
developing derivatives trading/pricing models and building trading/risk management infrastructure for interest rate, equity and foreign exchange derivatives trading business. Before joining BNY Mellon in 1998, he did two years of postdoctoral research at University of Pennsylvania on quantum mechanical calculations and molecular simulations of biological enzymes. He holds a PhD in Theoretical Chemistry from the Ohio State University.
17.30 Chairman’s Closing Remarks
17.40 End Of Day 3
Stream B: The Latest Innovations In Liquidity Risk Management & Funding Optimisation
10.50
LIBOR vs. OIS• Whatisthecorrectdiscountrateforderivatives?• Shouldthediscountratedependonwhether
transactionsarecollateralized?• TheroleofCVAandDVA• Ismarketpracticecorrect?
John Hull, Maple Financial Professor Of Derivatives & Risk Management, UNIVERSITY OF TORONTOJohn Hull is an internationally recognized authority on derivatives and risk management. He was, with Alan White,
one of the winners of the Nikko-LOR research competition for his work on the Hull-White interest rate model and was in 1999 voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has written three books “Risk Management and Financial Institutions” (third edition to be published shortly by Wiley), “Options, Futures, and Other Derivatives” (now in its eighth edition) and “Fundamentals of Futures and Options Markets” (now in its seventh edition). The books have been translated into many languages and are widely used in trading rooms throughout the world, as well as in the classroom. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye award. Dr. Hull is co-director of Rotman’s Master of Finance program. In addition to the University of Toronto, Dr. Hull has taught at York University, University of British Columbia, New York University, Cranfield University, and London Business School. He is an Associate Editor of nine academic journals.
11.30
Developing Effective Funding Optimisation Strategies
Speaker tbc
12.10
Building A World-Class Treasury Function
Max Neukirchen, Partner,MCKINSEY & COMPANY
Matthias Heuser, Expert Partner, MCKINSEY & COMPANY
12.50
Lunch Plus Meet The Speaker Lunch Tables
14.20
ALMStrategies For Restructuring Bank Balance Sheets In The Light Of Basel III Requirements
Andreas Bohn, Head Of Asset & Liability Management, Global Transaction Banking, DEUTSCHE BANKDr. Andreas Bohn started his career at Deutsche Bank Fixed Income Research in 1993. He held several roles such as market
maker for short-term interest rate derivatives, structurer for interest rate notes, and market risk manager for interest rate derivatives as well as banking books. Since 2004 he runs the Asset & Liability Management as well as overall Balance Sheet Management for Global Transaction Banking of Deutsche Bank with presences in Frankfurt, London, New York and Singapore.
15.00
A New Approach To Incorporating The Cost Of Funding & Liquidity Into Pricing
Massimo Morini, Head Of Interest Rate & Credit Models, Coordinator Of ModelResearch, BANCA IMIMassimo holds a PhD in Mathematics and a MSc in Economics. He is Head of Interest Rate & Credit Models and
Coordinator of Model Research at IMI Bank. Massimo is Professor of Fixed Income at Bocconi University and was Research Fellow at Cass Business School of London City University. He regularly delivers advanced training on model risk management, credit modeling, interest rate market models and correlation modeling. His papers appeared on journals including Risk Magazine, Mathematical Finance and the Journal of Derivatives.
15.40 Afternoon Tea
16.10
Managing Liquidity Exposure With Tradable Assets• Introduction,definitions,andbriefhistory• Anindexformarketliquidity-theCLX• Dailymonitoringofmarketliquidity• Applications-hedgingliquidityexposure• Makingmarketsinliquidity• Implicationofliquidityriskforfinancialmarketsand
institutions
Terry Benzschawel, Managing Director, Bond Portfolio Analysis, CITI INSTITUTIONAL CLIENTS GROUPBio available on pg. 7
16.50
Next Generation System-Wide Liquidity Stress Testing• Developingaframeworktorunsystem-wide,balance
sheet data based liquidity stress tests• Theliquidityframeworkincludesfourelements: - a module to simulate the impact of bank-run type
scenarios; - a simplified module to assess risks arising from
maturity transformation and rollover risks; - a fully-fledged cash flow based approach to simulate
liquidity shortfall at different maturity buckets; - a framework to link liquidity and solvency risks. • Simulatinghowbankscopewithupcomingregulatory
changes (Basel III) and accounting for the fact that data availability differs widely.
• Acasestudy
Heiko Hesse, Economist, Monetary & Capital Markets Department, INTERNATIONAL MONETARY FUNDHeiko Hesse is an Economist on (Eastern) European banking issues- especially funding- in the Monetary and Capital
Markets Department at the IMF after having worked in the Middle East Department and on the IMF’s Global Financial Stability Report. Prior to that, he was an Economist at the World Bank on the Commission on Growth and Development; before which he was a Visiting Scholar at Yale University and a consultant at the World Bank. He also worked at McKinsey in their Financial Institutions Practice, NERA Economic Consulting and PwC. Some of his recent research work involved systemic risk, liquidity stress testing, sovereign wealth funds as well as spillovers to EM countries. He has published in a number of refereed academic journals and is a frequent speaker at central banks. Heiko obtained his PhD in Economics from Nuffield College, University of Oxford.
17.30 Chairman’s Closing Remarks
17.40 End Of Day 3
Stream C: The Latest Thinking In Operational &
Business Risk10.50
Managing The Operational Risks Of Massive Regulatory Change
Beth Rudofker, Managing Director, Head Of Operational Risk, JPMORGAN CHASE
11.30
Examining The Role Of Op Risk In Major Systemic Risk Crises
Gus Felix, Managing Director, Global Head Of Operational Risk Management, CITIGROUPGus Felix has worked for Citi for the past 33 years. Originally based out of New York, Mr. Felix covered assignments in Asia, Africa and South America, before
moving to Athens to work in Citibank’s Middle East/Africa Division. Following that post, he worked in Citibank Istanbul in corporate banking. He then moved to London where he worked in Citicorp Scrimgeour Vickers, the bank’s equity and fixed income brokerage, before moving to Madrid to manage Citi’s Securities Businesses, Broker/Dealer relationships, and banking products in Spain and Portugal. In 1997 Mr. Felix was seconded to the Saudi American Bank as the General Manager and Head of Corporate and Investment Banking. In 2002, he assumed a new role as Head of Citigroup in Israel before he was transferred to another dual role as Head of Citigroup South Africa, and South Africa Head of Markets and Banking. He assumed his current role in September of 2009, and is now based in New York. Mr. Felix received his finance degree from Manhattan College.
12.10
Embedding Capital Optimization Into Strategic Decision Making Enhancing ROE Via Capital & Business Mix Optimization• Situationanalysis:stressonROE,impactofthefinancial
crisis and unintended consequences of Basel II & III• Reconcilingeconomicandregulatorycapital• A3stepcapitalandbusinessmixplanningmodel• Empiricalanalysissupportingstrategicdirection• Developingroleoftheriskfunctionandanew
partnership between risk and finance
Bogie Ozdemir, Vice President, Economic Capital, SUN LIFE FINANCIALBogie Ozdemir is a Vice President in Sun Life Financial Group, responsible for Enterprise Economic Capital, Operational Risk, Model Vetting & Risk Analytics,
Risk Policy, Economic Scenario Generation groups. Previously he was a Vice President in BMO Financial Group responsible for Economic Capital, Stress Testing, and Basel Analytics. Before this he was a Vice President in Standard & Poor’s Risk Solutions group where he was globally responsible for engineering new products and solutions, business development and management. Papers he has authored have been published in The Journal of Credit Risk, Journal of Risk Model Validation, Journal of Risk Management in Financial Institutions and The Journal of Financial Transformation. Bogie also co- authored a book titled Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating System.
12.50
Lunch Plus Meet The Speaker Lunch Tables14.20
Developing & Implementing A RAROC-Based Profitability Framework For The Commercial Line Of BusinessMircea Pigli, Vice President, Credit Risk Analytics Manager, FIFTH THIRD BANKAfter pursuing his doctoral studies in Mathematical Physics at University of Chicago, Mircea Pigli joined the Credit Risk group at Bank One (currently part of JP Morgan Chase. After moving to Fifth third where he worked on various topics including PD modeling, LGD modeling, Portfolio Management and ALLL. After moving to Fifth Third, Mircea has been responsible for PD modeling for the Commercial portfolio, and later has been in charge of running the bank’s Economic Capital program. Following a brief interlude at Wachovia, during which he was responsible for estimating the bank’s Credit Risk Economic Capital, Mircea returned to Fifth Third Bank, where he is now responsible for the methodology behind the bank’s RAROC-based profitability and pricing tool for Commercial customers, as well as for the risk components of the bank’s enterprise-wide stress testing program and of any portfolio-specific stress. Mircea has been part of the working group coordinating the methodological work around the development and analysis of the results of the Economic Capital and Stress Testing survey undertaken by IACPM in 2011. Mircea is also a referee for The Journal of Credit Risk.
15.00
Exploring Ways To Motivate Better Operational Risk Management Across The Business• PracticaltoolsandprogramstoengageSeniorBusiness
Management • Establishingperformanceobjectivestomotivatebetter
risk management • Strengtheningtheriskculture-whatworksandwhat
doesn’t work • Theroleofoperationalriskcapitalinriskmanagement• Businessmanagement’sroleintheoperationalrisk
framework
Jack Gomez, Managing Director, Senior Operational Risk Manager, BNY MELLONJack is the Senior Risk Manager responsible for the US Pensions and Endowments, Canada, Asia and Latin America Asset Servicing businesses of
BNY Mellon. He manages a staff of risk professionals that are responsible for identifying, overseeing, and managing risks within the business. His responsibilities include implementing the enterprise risk framework within the business and assisting with the ongoing development of the framework. Prior to joining BNY Mellon Jack was President and CEO of Boston Institutional Services, a New York Stock Exchange member firm that provided securities trading and research services to institutional investors. Before that he held various positions at The Boston Company in areas of finance, asset/liability management and portfolio operations. Jack is a FINRA registered general securities principal and a financial and operations principal. He received an MBA from Boston University with concentrations in Finance and Economics.
15.40 Afternoon Tea
16.10
New Practical Techniques For Identifying, Measuring & Managing Reputational Risk
16.50
Reducing Information Technology Operational Risk
Michael Zanaglio, Director For Risk, Audit, Process & Governance, WELLS FARGODuring Michael’s tenure, he has served on a number of boards, such as Standards Review Board, IT Risk Information Technology Operating Model (ITOM),
Enterprise Compliance & Risk Portfolio Management, Architecture Review Board, Technology Council, Market Risk Steering Committee and Audit Committee. Additionally, Michael often represents his organization on a number of significant Governing bodies as the single point of contact to the SEC, OCC and FED. He recently received his CGEIT certification and certificate from Kellogg School of Management in risk Management. The Risk, Audit, Process and Governance disciplines have experienced significant improvements with Michael managing the team. The number of Key Issues in 2007 and to date is zero and all prior open items were resolved and closed. Prior to Wachovia, Michael was President of a services consulting firm for servicing the financial services industry.
17.30 Chairman’s Closing Remarks
17.40 End Of Day 3
Thursday June 7, 2012
MAIN CONFERENCE DAY THREEDAY 3
For Sponsorship & Exhibiting Opportunities Please Contact – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] or Rob Schaeffer on +1 646 616 7627 or [email protected] Latest Agenda & To Register: www.riskmindsusa.com Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected]
RISK MINDS USA VITAL STATISTICS
• Risk Minds USA attracted over 300 attendees from 15 different countries in 2011
• Learn from over 90 senior industry experts & academics
• 15 Chief Risk Officers already confirmed
• Choose from 7 streams, 3 workshops, 1 summit & over 70 sessions in the main conference
• Discuss the latest regulatory requirements with 8 representatives from regulatory bodies including the Federal Reserve, SEC, FDIC & Deutsche Bundesbank
• Hear from 9 guest speakers to offer new perspectives on risk, cutting-edge research and invaluable insights into risk management outside the financial services industry.
SPONSORSHIP
11For Sponsorship & Exhibiting Opportunities Please Contact – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] or Rob Schaeffer on +1 646 616 7627 or [email protected] Latest Agenda & To Register: www.riskmindsusa.com Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected]
About Your Sponsors
Principal Knowledge Partner
McKinsey & Company is a global management consulting firm. For more than 85 years, our mission has been to help our clients achieve distinctive, substantial and lasting improvements in their performance. We help companies worldwide to define their strategies, strengthen their organizations and improve their operations. We are the trusted advisor and counselor to many of the most influential businesses and
institutions in the world and our clients include more than two-thirds of the Fortune 1000. In Risk, McKinsey acts as prime counselor to clients in all industries, with particularly strong links to our financial services, energy and materials industry practices. Our practice consists of more than 80 partners, 350 consultants and 65 experts and specialists, supported by a global risk analytics team focused on modeling and tool development. We serve clients on topics including enterprise risk management and risk culture, risk and regulation, credit risk, market and trading risk, and operational risk. As an institution privately owned by its partners, McKinsey remains completely independent.
Co-Sponsors
Numerix is the global leader in cross-asset analytics for OTC derivatives and structured products, providing software and services for structuring, pre-trade pricing and analysis, trade capture, valuation, and risk management. Numerix offers a comprehensive model library and a transparent deal-definition architecture that allows the rapid modeling of any instrument, including commodity, credit, equity, fixed income, foreign exchange, and inflation derivatives, plus a unique hybrid model framework for exotics and structured products. Numerix analytics are available through Windows applications, Excel add-ins, developer kits and a
wide range of partner systems, with over 700 clients and 50 partners across more than 25 countries. Founded in 1996, Numerix is privately held, with offices in New York, Chicago, San Francisco, Vancouver, London, Paris, Tokyo, Hong Kong, Beijing, Singapore, Seoul, Sydney, Mumbai and Dubai.
TURAZ is the leading provider of trade and risk management software globally. It employs over 1,000 skilled professionals serving more than 600 financial institutions across 66 countries. Some 25,000 financial professionals rely on TURAZ’s flagship products including Kondor+, Kondor Trade Processing (KTP),
Kondor Global Risk (KGR) and Top Office to monitor and proactively manage risk across the enterprise. Founded in 1992, TURAZ was acquired from Thomson Reuters by Vista Equity Partners in January 2012. For more information visit: www.turazglobal.com
Associate Sponsors
Accenture is a global management consulting, technology services and outsourcing company, with approximately 236,000 people serving clients in more than 120 countries. Combining unparalleled experience, comprehensive capabilities across all industries and business functions, and extensive research on the world’s most successful companies, Accenture collaborates with clients to help them become high-performance businesses and governments. The company generated net revenues of US$25.5 billion for the fiscal year ended Aug. 31, 2011. Accenture Risk Management consulting services works with clients to create and implement integrated risk management capabilities designed to gain higher economic returns, improve shareholder value and increase stakeholder confidence. For more
information visit www.accenture.com/riskmanagement
Bloomberg, the global business and financial information and news leader, gives influential decision makers a critical edge by connecting them to a dynamic network of information, people and ideas. The company’s strength – delivering data, news and analytics through innovative technology, quickly and accurately – is at the core of the Bloomberg Professional service, which provides real time financial information to more than 310,000 subscribers globally. Fully integrated with
the Bloomberg Professional service, Bloomberg Trading Solutions delivers front-end portfolio, inventory, sales & trading, and middle & back office operations solutions. With these solutions, buy-side and sell-side firms gain unrivalled agility to respond to their changing business needs, and market regulations & innovations. Bloomberg’s Portfolio & Risk Analytics solution offers an enhanced series of customizable tools for the desktop. Features include intraday portfolio monitoring, characteristics, portfolio news alerts and multi-factor risk models. Headquartered in New York, Bloomberg employs more than 15,000 people in 192 locations around the world.
SEBA International is an executive search firm specializing in the recruitment of Finance, Risk and Go-To-Market professionals across the global financial services, technology and related industries. SEBA earns the loyalty of our clients through our ability to deliver outstanding results – not just once, but every time they need the best possible candidate for a strategically important position. Deep, trusted client relationships, complemented by extensive domain expertise and a global network, help us achieve close alignment between companies and candidates to ensure long-term retention and continued success. Our Finance & Risk practice recruits exclusively within the finance, risk, analytics and compliance disciplines serving clients across the global financial services sector and related industries. This dedicated focus on these
specific disciplines has allowed us to develop unsurpassed knowledge of the marketplace, which in turn, has translated into and continues to deliver faster results for our clients.
S&P Capital IQ is a leading provider of multi-asset class data, research and analytics to institutional investors, investment advisors and wealth managers around the world. We provide a broad suite of capabilities designed to help track performance, generate alpha, identify new trading and investment ideas, and perform risk analysis and mitigation strategies. Through leading desktop solutions, enterprise solutions, and research offerings, S&P Capital IQ provides market insight, credit information and analytical tools to help organizations evaluate the credit quality of clients, suppliers, and banking institutions and to better manage and mitigate counterparty credit risk.
Risk Minds USA 2012 Publishing Partner
Wiley Global Finance is a leading global publisher of finance and investment titles, offering critically acclaimed and best-selling books, subscription content, journals and information services written by the industry’s foremost thinkers and innovators. Our market-leading risk management content spans the professional and academic landscape in all sectors of market risk, modeling and quantitative finance. Leading Products Include: Wilmott
Magazine, Financial Risk Management Handbook, Encyclopedia of Quantitative Finance, Market Risk Analysis Vol. I-IV, Red Blooded Risk, and many more. Learn more about our products at www.wileyglobalfinance.com or visit our thought leading blog www.capitalexchangeblog.com for insights from our authors.
Exhibitors
Organizations That Have Already Confirmed Their Attendance At Risk Minds USA 2012 Include:• Allianz• Allstate• Banca IMI• Banco Itaú Unibanco• Bank Of America Merrill Lynch• Barclays Capital • BNP Paribas• BNY Mellon• CapGen Financial• Citi • Citizens Bank
• Columbia University• Conocophillips• Constellation Energy• Cornell University• Deutsche Bank• Deutsche Bundesbank• FDIC• Federal Reserve Board• Fifth Third Bank• Freddie Mac• Goldman Sachs
• HSBC• IIF• Illinois Institute Of Technology• International Monetary Fund• JP Morgan• Kepos Capital• Koch Industries, Inc.• Morgan Stanley • Nomura• PNC• RBC Capital Markets
• RBS• Santander • Securities & Exchange Commission• Stanford University• State Street• Sun Life Financial• TD Bank• UBS• University Of Toronto• Wells Fargo• Westpac
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Please do not cover VIP code
Conference Code: U2547 The Global Risk Regulation Summit: June 4, 2012
Main Conference: June 5-7, 2012
In-Depth Technical Workshops: June 8, 2012
Understanding & Managing Model Risk Workshop
Fundamentals Of Risk Management Workshop
Innovations In CVA Modeling
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