PLEASE NOTE THIS IS THE 2020 AGENDA - RiskMinds Main Conference Day 3Thursday, 10 December 2020 - CET/CEST (Cent Europe Summer, GMT+2)

08:00 - 09:45105 mins

Registration

Registration & welcome coffee

09:45 - 09:5510 mins

B - Model risk

Chair’s opening remarks

Thomas Wallace - Partner, Risk Dynamics, a McKinsey company

09:45 - 09:5510 mins

C - Capital, liquidity and credit risk

Chair's opening remarks

09:55 - 10:2530 mins

B - Model risk

Machine Learning and model risk

Peter Quell - Head of Portfolio Modelling for Market & Credit Risk, DZ BANK

09:55 - 10:2530 mins

C - Capital, liquidity and credit risk

How transformers help in automating qualitative credit risk analysis (and what Bert has to do with it)

Lars Popken - Global Head of Risk Methodology, Deutsche Bank

10:25 - 10:4015 mins

B - Model risk

Short break

10:25 - 10:4015 mins

C - Capital, liquidity and credit risk

Short break

10:40 - 11:1030 mins

A - Stress testing

Future Stress Testing for CROs: Principles, Challenges and Effective Technology

Alan Kelly - Global Head of Risk Product, Torstone Technology
Brian Collings - CEO, Torstone Technology

10:40 - 11:1030 mins

B - Model risk

Moving to a Strategic Management of Model Risk

Slava Obraztsov - Managing Director, Global Head of Model Risk, Nomura

10:40 - 11:1030 mins

C - Capital, liquidity and credit risk

Credit Risk Modeling between Fintech agility and Banking experience

Stefano Bonini - Professor at University of Bologna &, Lumsa University

11:10 - 11:4535 mins

Morning break & Showcase Session on Reacting to perpetual motion credit markets - a live demonstration of constant evolution in a loan approval process

Rostislav Cerny - Director, PwC
Vojtech Pistora - Manager, PwC

11:45 - 12:1530 mins

A - Stress testing

How stress testing helped or could have helped manage the Covid crisis

Valeriu Bajenaru - Global Head of Enterprise Strategic Risk, Credit Suisse

11:45 - 12:1530 mins

B - Model risk

Quantification of model risk for multi-labeling classification tasks

Alexey Masyutin - Managing Director, Validation Department, Sberbank

11:45 - 12:1530 mins

C - Capital, liquidity and credit risk

Equity-Credit portfolios modelling for counterparty risk and asset management. Do we confuse pertinent signal with noise?

Vladimir Chorniy - Senior Technical Lead, BNP Paribas
Mirela Predescu - Head, Risk Analytics and Modelling - Credit/Repo Stream, BNP Paribas

12:15 - 12:3015 mins

A - Stress testing

Short break

12:15 - 12:3015 mins

B - Model risk

Short break

12:15 - 12:3015 mins

C - Capital, liquidity and credit risk

Short break

12:30 - 13:0030 mins

A - Stress testing

Climate Risk & ESG Stress Testing: Scenario Design and Linkages to Risk Parameters

Olga Loiseau-Aslanidi - Director – Consumer Credit Analytics, Moody's Analytics
James Edwards - Director – Research, Moody's Analytics

12:30 - 13:0030 mins

B - Model risk

Actionable quantification of model risk and implications in a time of Covid-19

Rita Gnutti - Head of Internal Validation and Controls Department, Intesa Sanpaolo

12:30 - 13:0030 mins

C - Capital, liquidity and credit risk

Credit risk strategies in the new normal

Juan Antonio Bahillo - Partner, McKinsey & Company
Efi Koulouridi - Partner, McKinsey & Company
Fotini Ioannou - General Manager, National Bank of Greece

13:00 - 13:1515 mins

A - Stress testing

Short break

13:00 - 13:1515 mins

B - Model risk

Short break

13:00 - 13:1515 mins

C - Capital, liquidity and credit risk

Short break

13:15 - 13:4530 mins

A - Stress testing

Rethinking Credit risk modelling and stress testing: modeling COVID-19

Jorge Sobehart - Managing Director, Quantitative Risk and Stress Testing, Head of Credit and Obligor Risk Analytics, Citi

13:15 - 13:4530 mins

B - Model risk

Model Risk 2.0: from risk management to resilience

Frederic Van Weyenbergh - Partner, Risk Dynamics, a McKinsey company
Marie-Paule Laurent - Partner, Risk Dynamics, a McKinsey company

13:15 - 13:4530 mins

C - Capital, liquidity and credit risk

Liquidity-at-Risk: joint stress testing of solvency and liquidity risk

Rama Cont - Chair of Mathematical Finance, University of Oxford

13:45 - 15:0075 mins

Lunch & Boardroom discussion

Evan Sekeris - Head of Model Validation, PNC
Jose Canals-Cerda - Senior Special Advisor, Supervision, Regulation and Credit, Federal Reserve Bank of Philadelphia

15:00 - 15:3030 mins

A - Stress testing

Leveraging stress testing to building resilience against earnings volatility

Roberto Virreira - Risk Director IRRBB, STATE STREET

15:00 - 15:3030 mins

B - Model risk

Applying risk models to model risk

Ian Francis - Principle Solution Consultant - GRC, IBM

15:00 - 15:3030 mins

C - Capital, liquidity and credit risk

Basel 4 delay – what next for banks?

Jesse Kaijser - Section Head, ABN AMRO

15:30 - 15:4515 mins

A - Stress testing

Short break

15:30 - 15:4515 mins

B - Model risk

Short break

15:30 - 15:4515 mins

C - Capital, liquidity and credit risk

Short break

15:45 - 16:1530 mins

A - Stress testing

Data risk & trust

Elisabeth Bechtold - Head of Data Risk & Digital Policy, Zurich Insurance

15:45 - 16:1530 mins

B - Model risk

Modelling historical data in unprecedented times

Jose Canals-Cerda - Senior Special Advisor, Supervision, Regulation and Credit, Federal Reserve Bank of Philadelphia

15:45 - 16:1530 mins

C - Capital, liquidity and credit risk

Managing the SRB’s “Expectations for Banks”: first experiences

Boudewijn Berger - Head Recovery & Resolution Planning, ABN AMRO

16:15 - 16:205 mins

A - Stress testing

Chair's closing remarks

16:15 - 16:205 mins

B - Model risk

Chair's closing remarks

16:15 - 16:205 mins

C - Capital, liquidity and credit risk

Chair's closing remarks

16:20 - 16:3010 mins

A - Stress testing

Short break

16:20 - 16:3010 mins

B - Model risk

Short break

16:20 - 16:3010 mins

C - Capital, liquidity and credit risk

Short break

16:30 - 17:0030 mins

Boardroom A

Hedge accounting: transition from IAS39 to IFRS 9 – why, how and why not?

Elena Minduksheva - Deputy CFO, International Investment Bank
Maria Kuzyakova - Senior Economist, International Investment Bank

16:30 - 17:0030 mins

Boardroom B

Testing COVID-19 Decisions Using U.S. Intelligence Methods

Steve Lindo - Course Designer & Instructor, Financial Risk Management, Columbia University

16:30 - 17:0030 mins

Boardroom C

The Challenges of IFRS 9 in the time of COVID: Unifying data Flows and Coping with Increased Volatility for a Clear Picture

Cedric Cavallier - Business Development Principal Consultant, ActiveViam

17:00 - 18:0060 mins

End of RiskMinds 2020 Main Conference & survivor drinks!

PLEASE NOTE THIS IS THE 2020 AGENDA - RiskMinds Main Conference Day 3Thursday, 10 December 2020 - CET/CEST (Cent Europe Summer, GMT+2)

PLEASE NOTE THIS IS THE 2020 AGENDA - RiskMinds Main Conference Day 3Thursday, 10 December 2020 - CET/CEST (Cent Europe Summer, GMT+2)

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