Day Two – November 10

10/11/2016

Day 2 Risk USA 2016 – November 10

What can you expect from the second day of Risk.net’s flagship conference?

08.30- 08.50

Registration and continental breakfast

08.50- 09.00

Opening address: Duncan Wood, Editor-in-Chief, Risk.net

Hear from Risk.net’s Editor-in-Chief, Duncan Wood, as he opens the second day of Risk USA 2016.

9:00- 9:40

Guest address: Farewell to Libor?

  • Will we stop using libor?
  • How do you migrate this big market away from libor especially when the contracts had been already signed and terms agreed?
  • What should the new benchmark be?
  • What will this new change mean for swaps users?
  • What have the banks, clearers and dealers recently concluded?
David Bowman
Special Advisor to the Board - FEDERAL RESERVE BOARD

9:40- 10:20

Plenary address: Transforming the end-to-end risk and regulatory compliance lifecycle with cognitive

  • How can cognitive technologies be applied to streamline and reduce the costs of compliance?
  • Identify and understand obligations from constantly changing regulations
  • Link control requirements to regulations for end-to-end view of compliance
  • Go beyond rules to identify new patterns of misconduct and anti-money laundering
  • Understand behaviors for improved surveillance of employee activities
Marc Andrews
VP of Industry Analytics Solutions - IBM

10:20- 11:00

Panel: Leveraging regulatory mandates to add value in managing risk and guiding enterprise strategy

  • Standards of conduct from legal to conduct risk
  • BCBS: balancing risk sensitivity, simplicity and comparability
  • A robust approach to stress testing
  • Holistic approach to balance sheet management
  • Overarching enterprise risk technology and governance architecture
Ji Li
Vice President, Risk and Analytics, Product Management - OPENLINK
Jim Costa
Chief Risk Officer - TCF BANK
Don Mumma
Managing Director - AXIOMSL

11.00- 11.30

Morning coffee break


Stream One: Risk management in the banking book

11.40- 12.20

Interest rate risk in a banking book

  • How banks set aside capital to cover the impact of rate raises?
  • Framework, identification, measurement, mitigation and governance techniques
  • Repricing risk, basis risk, yield curve risk
Michael Soccio
Managing Director – Balance Sheet Modeling, GECC Treasury Risk Management - GE CAPITAL

12.25- 1.05

BCBS IRRBB pillar 2: The new standard for the banking industry

  • Insights into the consultation discussions between Basel and the banking industry
  • IRRBB in a changing environment
  • Basel rules and complexities of one size fits all approach to cover the loses
  • New rules shaping up and coming out in 2018 – forwarding looking approach

1:05- 2:05

Lunch

2:05- 2:45

Financial stability risks: taking stock of post-crisis reforms and looking ahead to the next administration

2.50- 3.30

Panel: Understanding the effect of rising rates on different products

  • Examine your core deposits and strengthen them to withstand rising interest rates
  • Maximize your balance sheet management to profit as rates rise
  • Evaluate your modeling methods to account for rising interest rates
  • Adapt your product mix to best manage your interest rate risk
Michael Huff
Director, Portfolio Management and Asset Allocation - TIAA CREF
Ashu Tripathi
Portfolio Manager - AFLAC

Stream Two: Liquidity risk management and stress testing

11:40- 12;20

Panel: The buy-side response to the new SEC proposed rules

  • How easy will it be to implement swing pricing?
  • What are the key elements of a robust liquidity risk management program?
  • Are there any standard models to reliably estimate stressed liquidation periods?
  • Could we see a race to the bottom, where some funds are using less robust estimates to create a more favorable liquidity profile?
Roderick Fisher
Head of Risk Solutions and Reporting, - STATE STREET GLOBAL EXCHANGE
Paul H. Diouri
Head of Risk, Americas - SCHRODERS
Tilak Lal
Chief Risk Officer - K2
Alec Crawford
Partner and Chief Risk Officer - LORD ABBETT

12:25- 1:05

Liquidity in fixed income

Tilak Lal
Chief Risk Officer - K2

1:05- 2:05

Lunch

2:05- 2:45

Integrating stress testing into business as usual (BAU) processes

  • Where does it make the most sense to leverage the stress testing infrastructure
  • How does this impact capital and business management
  • What are the key synergies gained and where are the largest challenges
  • Path to 2017 and beyond
Manan N. Rawal
Senior Vice President, Head of Scenarios & Modeling, CCAR and Stress Testing, HSBC NORTH AMERICA - HSBC NORTH AMERICA

2:50- 3:30

Stress testing process and transition from DFAST to CCAR via acquisition

Stress testing process and transition from ICAAP to CCAR via acquisition

Robert Chan
SVP, Head of Quantitative Risk Analytics - CITY NATIONAL BANK

Stream Three: MVA and other VAs

11:40- 12:25

MVA and practical applications

  • Overview of MVA and common calculation issues
  • Non-cleared derivatives margin rules and the background for it
  • What are trading and structural impacts of these of new margin rules
  • Standard approach
  • Why do we need a common initial margin model?
  • Why to choose this model?
  • Margin funding and determining your FVA
  • Examples and actual numbers
  • High level market issues
  • How do innovations work and impact on clients cots
Tomo Kodama
‎Managing Director, Counterparty Portfolio Management - BANK OF AMERICA MERRILL LYNCH

12:25- 1:05

Innovations in technology, algorithms, and math for fast and effective risk management: GPU, AAD, and MVA

  • Recent (last 12 months) breakthroughs in GPU (jointly with Nvidia)
  • GPU acceleration of Monte Carlo simulation: double vs single precision, pseudorandom vs quasi-random numbers, capital markets vs insurance industry, application to XVA
  • New approaches to AAD to reduce time to market for fast price and XVA Greeks
  • MVA for the standardized approach to initial margin for bilateral trades (how to compute future Greeks)
Serguei Issakov
Global Head of Quantitative Research and Development - NUMERIX

1:05- 2:05

Lunch

2:05- 2:45

Uncleared OTC margining: impact and implementation

Arthur Rabatin
Head of Counterparty Credit and Funding Risk Technology - DEUTSCHE BANK

2.50- 3:30

Pricing IM funding costs/MVA

  • Client trade pricing with transferable IM cost
  • Covered trade pricing in bid/ask
  • Incorporating SIMM in models
Wujiang Lou
Director, Global Fixed-Income Trading - HSBC

Stream Four: The future of capital models

11:40- 12:20

Model risk management guidance five years on: Industry achievements and challenges

    • Refresh: what motivated the guidance? Do the same risks exist now?
    • What has the industry achieved across the model lifecycle?
    • What have been the challenges? Has model risk been reduced?
    • What do the next five years in model risk management hold?

 

Julian Phillips
Chief Model Officer - GE CAPITAL

12:25- 1:05

New demands of risk management and regulatory reporting and applying Big Data technologies

  • Understanding technical challenges of today’s demanding risk computation and regulatory data management
  • Power of Big Data Technologies to process large data in short timeframes
  • Strategies and architecture of Big Data Technology platform for enterprise level Risk Management and Regulatory reporting
Khader Shaik
Author of Managing Derivatives Contracts - A Guide to Derivatives Market Structure, Contract Life Cycle

1:05- 2:05

Lunch

2:05- 2:45

Analytical infrastructure – the next frontier of model risk management

  • Next step in the evolution of MRM
  • Infrastructure investment and architectural design in the context of  the networked analytical engines of the firm
  • Information circuit design at the firm level that addresses the fundamental strategic goals of the firm
Srikanth Ranganathan
Managing Director, Model Risk Management - AIG
James Barrett
Assistant Director, Model Risk Management - AIG

2:50- 3:30

Why is managing conduct risk critical for a firm’s Board?

  • Regulatory expectations
  • Customer impact and reputational damage
  • What does the Board need to know?
  • Good conduct risk MI
Rajat Baijal
Global Head of Enterprise Risk - CANTOR FITZGERALD

3.30- 3.50

Afternoon coffee break

4:30- 5:10

Panel: Just how much has the stress testing stressed the industry?

• Is the stress testing process getting any easier and is it reaching the BAU stage yet, or even coming close?
• Regulators are raising the bar and introducing new variables that create new challenges with each interaction – how do you cope with that?
• Are there any long lasting benefits that have come out of regulatory actions?
• In the regulatory search for “credible challenge” can you provide a few examples of how this takes place in your firm?
• What part of our job is most effective in keeping you up at night?

Stay tuned for speaker updates

Robert Chan
SVP, Head of Quantitative Risk Analytics - CITY NATIONAL BANK
Manan N. Rawal
Senior Vice President, Head of Scenarios & Modeling, CCAR and Stress Testing, HSBC NORTH AMERICA - HSBC NORTH AMERICA
Andrei Egorov
‎Managing Director, Risk Analytics/Stress Testing - CHARLES SCHWAB
Gary Tognoni
SVP - Head of Stress Testing Execution, Treasury & Balance Sheet Management - TD BANK

5.10- 5.20

Closing remarks: Duncan Wood, Editor-in-Chief, Risk.net