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RiskMinds Main Conference Day 3
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RiskMinds Main Conference Day 3
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08:00 - 08:3030 mins
Registration
Registration & welcome coffee
09:00 - 09:2020 mins
Plenary Sessions
Chair's opening address
09:20 - 09:3515 mins
Plenary Sessions
Short break
09:35 - 09:405 mins
A - Stress testing
Chair’s opening remarks
09:35 - 09:405 mins
B - Model risk
Chair’s opening remarks
09:35 - 09:405 mins
C - Capital, liquidity and credit risk
Chair's opening remarks
09:40 - 09:5515 mins
A - Stress testing
Short break
09:40 - 09:5515 mins
B - Model risk
Short break
09:40 - 09:5515 mins
C - Capital, liquidity and credit risk
Short break
09:55 - 10:2530 mins
A - Stress testing
Simulating the spread of Coronavirus and best strategies to stop it
- Awat Rahimi - Quantitative Risk Analyst, Supervision - Investment, Wholesale & Specialists, Financial Conduct Authority
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
Automated news scoring for the purpose of credit risk assessment
- Lars Popken - Global Head of Risk Methodology, Deutsche Bank
10:25 - 10:4015 mins
A - Stress testing
Short break
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
Creating a pandemic stress test from scratch in the middle of a crisis
10:40 - 11:1030 mins
B - Model risk
Moving in a Strategic Management of Model Risk
- Slava Obrastov - Managing Director, Global Head of Model Validation, Nomura
10:40 - 11:1030 mins
C - Capital, liquidity and credit risk
How to model repayment holidays in credit risk
11:10 - 11:4535 mins
Morning break
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
Analysing pro cyclical behaviour of models during high volatility
11:45 - 12:1530 mins
C - Capital, liquidity and credit risk
Assessing Forecasted Initial Margin in a Production Environment
- Vladimir Chorniy - Senior Technical Lead, 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
Stress testing your supply chain
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 Market and Counterparty Risk Internal Models, Intesa Sanpaolo
12:30 - 13:0030 mins
C - Capital, liquidity and credit risk
CRD V & CRR II – the road to adoption
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
Interconnectivity of your model risk between the portfolio model, pricing, risk and governance
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
15:00 - 15:3030 mins
A - Stress testing
Leveraging stress testing to building resilience against earnings volatility
15:00 - 15:3030 mins
B - Model risk
Applying risk models to model risk
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
Incorporating behavioural assumptions (both clients and firms) under stress
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 - 16:3015 mins
A - Stress testing
Short break
16:15 - 16:3015 mins
B - Model risk
Short break
16:15 - 16:3015 mins
C - Capital, liquidity and credit risk
Short break
16:30 - 16:355 mins
A - Stress testing
Chair's closing remarks
16:30 - 16:355 mins
B - Model risk
Chair's closing remarks
16:30 - 16:355 mins
C - Capital, liquidity and credit risk
Chair's closing remarks
16:35 - 17:0530 mins
Boardroom A
Hedge accounting: transition from IAS39 to IFRS 9 – why, how and why not?
16:35 - 17:0530 mins
Boardroom B
Causes of variance between different institutions with IFRS 9
16:35 - 17:0530 mins
Boardroom C
What IFRS 9 changes need to be considered because of the crisis?
16:35 - 17:0530 mins
Boardroom D
Analysing the relationship between GDPR and working from home
17:05 - 18:0560 mins
End of RiskMinds 2020 Main Conference & survivor drinks!
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