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RiskMinds Main Conference Day 3

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RiskMinds Main Conference Day 3

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08:00 - 08:5050 mins
Registration
Registration & welcome coffee
    08:50 - 09:0010 mins
    In the boardroom discussions
    Chair’s opening address
    • Steve Lindo - Course Designer & Instructor, Financial Risk Management, Columbia University
    09:00 - 09:2020 mins
    Plenary Sessions: Proactive risk management for our changing economic and regulatory environment
    Chair's opening address
    • Charles Richard III - Senior Vice President & Co-founder, QRM Inc.
    09:00 - 09:3030 mins
    In the boardroom discussions
    Corporate loans in 7 minutes - Sberbank experience in AI in lending
    • Olga Yudakova - CRO of Corporate Business, Sberbank
    • Dmitri Krainov - Chief Data Scientist at Risk Function, Sberbank
    • Victor Davydov - Executive Director, CIB Risks, Sberbank
    09:20 - 10:0040 mins
    Plenary Sessions: Proactive risk management for our changing economic and regulatory environment
    How emotions and ethics shape our economic decision making
    • Molly Crockett - Psychology professor at Yale University and a Distinguished Research Fellow, Oxford Centre for Neuroethics
    09:30 - 10:0030 mins
    In the boardroom discussions
    Calibration of the FRTB framework
    • Shearin Cao - Technical Specialist, Traded Risk Management, Standard Chartered Bank
    10:00 - 10:4040 mins
    Plenary Sessions: Proactive risk management for our changing economic and regulatory environment
    The dissonance of the short and long term
    • Jon Danielsson - Director, Systemic Risk Centre, London School of Economics
    10:00 - 11:1575 mins
    In the boardroom discussions
    Interconnected Risk Models vs. Aggregated Model Risk
    • Peter Quell - Head of Portfolio Modelling for Market & Credit Risk, DZ BANK
    10:40 - 11:1535 mins
    Plenary Sessions: Proactive risk management for our changing economic and regulatory environment
    Inventive Risk & Regulation
    • Ulrich Windheuser - Vice President Data, Risk and Regulation, Capgemini Invent
    • Omar Megzari - Managing Consultant – Lead Risk & Regulatory Anticipation, Capgemini Invent
    11:15 - 11:5035 mins
    Morning coffee & networking break
      11:50 - 11:555 mins
      A - Stress testing
      Chair’s opening remarks
      • Gilles Demeulenaere - Vice President, QRM Inc.
      11:50 - 11:555 mins
      B - Credit risk, XVAs & initial margin
      Chair's opening remarks
      • Olivier Miart - Head of Analytics, ISDA
      11:50 - 11:555 mins
      Capital & liquidity management
      Chair’s opening remarks
      • Ajay Raina - Director, PwC
      • Johannes Goldner - Senior Manager, PwC
      11:50 - 11:555 mins
      D - Conduct, Culture Compliance & Reputational Risk
      Chair’s opening remarks
      • Silvia Signoretti - Head of Business Transformation - Group Functions, Zurich Insurance
      11:50 - 11:555 mins
      E - Model risk
      Chair’s opening remarks
      • Thomas Wallace - Partner, Risk Dynamics, a McKinsey Company
      11:55 - 12:3035 mins
      A - Stress testing
      Incorporating climate change risk into your stress test
      • Amy Bone - Impairment & Stress Testing Director, Lloyds Bank
      11:55 - 12:3035 mins
      B - Credit risk, XVAs & initial margin
      A clearing member perspective: one year after a CCP member default, lessons learned and the path forward
      • Marnie Rosenberg - Managing Director, Clearinghouse Risk, Strategy & Advisory, J.P. Morgan Chase
      11:55 - 12:3035 mins
      Capital & liquidity management
      IRB strategy revamp
      • Marco Vettori - Partner, McKinsey & Company
      11:55 - 12:3035 mins
      D - Conduct, Culture Compliance & Reputational Risk
      Determining your risk culture: where we’re at, and where we want to be
      • Silvia Signoretti - Head of Business Transformation - Group Functions, Zurich Insurance
      11:55 - 12:3035 mins
      E - Model risk
      Tackling reproducibility and interpretability in model risk management
      • Paul Peeling - Senior Technical Consultant, MathWorks
      12:30 - 13:0535 mins
      A - Stress testing
      Modeling NMDs for Behaviors Under Stress
      • David Green PhD, CFA - Founder, David Green Advisors
      12:30 - 13:0535 mins
      B - Credit risk, XVAs & initial margin
      Climate - how can a voluntary regulation turn into strategy
      • Valeriu Bajenaru - Global Head of Enterprise Strategic Risk, Credit Suisse
      12:30 - 13:0535 mins
      Capital & liquidity management
      Liquidity Risk: Beyond regulatory compliance
      • Jeroen Van Doorsselaere - VP - Global Risk and Finance, Wolters Kluwer
      12:30 - 13:0535 mins
      D - Conduct, Culture Compliance & Reputational Risk
      Advanced Techniques for Managing Model Risk
      • Ian Francis - Principle Solution Consultant, IBM
      12:30 - 13:0535 mins
      E - Model risk
      Model Risk Framework: efficient rather than redundant
      • Gilles Artaud - Head of Model Risk Audit, Crédit Agricole
      13:05 - 14:1570 mins
      Lunch - Future RiskMinds Networking Lunch
        14:15 - 14:5035 mins
        A - Stress testing
        Stress test challenges into 2020; what are they and how to address them?
        • Nigel Milbank - Head of Stress Testing Delivery, RBS
        14:15 - 14:5035 mins
        B - Credit risk, XVAs & initial margin
        Optimizing credit portfolios
        • Tony Van Gestel - Director of Risk Modelling & CEO, Dexia Netherlands
        14:15 - 15:2570 mins
        Capital & liquidity management
        Liquidity-at-Risk: joint stress testing of solvency and liquidity risk
        • Rama Cont - Chair of Mathematical Finance, University of Oxford
        14:15 - 14:5035 mins
        D - Conduct, Culture Compliance & Reputational Risk
        Climate scenarios: exploring climate analysis as a tool for banks
        • Gaurav Ganguly - Head, Group Risk Economics, HSBC
        14:15 - 14:5035 mins
        E - Model risk
        Advancements in model risk
        • Zahra Elmenyawy - Senior Manager, Risk Consulting, PwC
        • Luca Dominedo - Senior Manager, Risk Consulting, PwC
        14:50 - 15:2535 mins
        A - Stress testing
        Integrating EBA Stress Test into Balance Sheet Management Practices
        • Savaiz Khawaja - Client Management Team Co-Leader, QRM
        14:50 - 15:2535 mins
        B - Credit risk, XVAs & initial margin
        Assessing Forecasted Initial Margin in a Production Environment
        • Vladimir Chorniy - Senior Technical Lead, BNP Paribas
        • Sergii Arkhypov - Risk Specialist, Independent
        14:50 - 15:2535 mins
        D - Conduct, Culture Compliance & Reputational Risk
        Climate change scenarios: Competitive advantage through better analytics
        • James Belmont - Director, Baringa Partners
        14:50 - 15:2535 mins
        E - Model risk
        The Future of Model Risk Management
        • Thomas Wallace - Partner, Risk Dynamics, a McKinsey Company
        • Slava Obraztsov - Global Head of Model Risk, Nomura
        • Roman Tikhonov - Senior MD, Head of Model Risk Management, Sberbank
        • Gilles Artaud - Head of Model Risk Audit, Crédit Agricole
        15:25 - 16:0035 mins
        A - Stress testing
        Stress Testing: A prescriptive exercise or a risk management tool
        • Jo Paisley - Co-President, GARP Risk Institute
        • Dimitrios Asvestis - Head of Treasury and Stress Testing Model Risk Management, Deutsche Bank
        • Anant Saxena - Director, Head of Stress Testing Methodology, Credit Suisse
        15:25 - 16:0035 mins
        B - Credit risk, XVAs & initial margin
        A forensic approach to Wrong Way Risk (WWR) for CVA, FVA, and PFE: exact minimal models
        • Chris Kenyon - Head of XVA Quant Modelling, MUFG Securities EMEA
        15:25 - 16:0035 mins
        Capital & liquidity management
        Pillar 2 capital buffers
        • Jesse Kaijser - Section Head, ABN AMRO
        15:25 - 16:0035 mins
        D - Conduct, Culture Compliance & Reputational Risk
        Building an operational resilience framework
        • Patrick Moynihan - Managing Director, Group Head of Operational Risk, Barclays
        15:25 - 16:0035 mins
        E - Model risk
        Model Risk and Artificial Intelligence
        • Peter Plochan - Principal Risk Management Advisor, SAS
        16:00 - 16:3030 mins
        Afternoon tea & networking break
          16:30 - 17:0535 mins
          A - Stress testing
          Moving towards an integrated capital-liquidity stress testing framework
          • Anant Saxena - Director, Head of Stress Testing Methodology, Credit Suisse
          16:30 - 17:0535 mins
          B - Credit risk, XVAs & initial margin
          SIMM Governance and phases 5, 6 implementation
          • Olivier Miart - Head of Analytics, ISDA
          16:30 - 17:0535 mins
          Capital & liquidity management
          Aligning Risk and Profitability Management through Funds Transfer Pricing
          • David Green PhD, CFA - Founder, David Green Advisors
          16:30 - 17:0535 mins
          D - Conduct, Culture Compliance & Reputational Risk
          Tackling Financial Services Culture
          • Elizabeth Sheedy - Professor, Macquarie University Business School
          16:30 - 17:0535 mins
          E - Model risk
          Dynamic management of model risk: quantification, monitoring & reporting
          • Slava Obraztsov - Global Head of Model Risk, Nomura
          17:05 - 17:4035 mins
          A - Stress testing
          Supervisory Stress Testing – Quo Vadis?
          • Gernot Stania - Head of the Quantitative Risk Analysis Section, ECB
          17:05 - 17:4035 mins
          B - Credit risk, XVAs & initial margin
          Efficient calculation techniques for credit exposure in the presence of initial margin
          • Michael Pykhtin - Manager, Quantitative Risk, U.S. Federal Reserve Board
          17:05 - 17:4035 mins
          Capital & liquidity management
          Expectations for Banks: the SRB roadmap to resolvability?
          • Boudewijn Berger - Head Recovery & Resolution Planning, ABN AMRO
          17:05 - 17:4035 mins
          D - Conduct, Culture Compliance & Reputational Risk
          IFRS 16 economic and capital impacts on banks. Towards a change of strategy
          • Andrea Cremonino - Head Capital Optimisation, Capital Management, UniCredit
          17:05 - 17:4035 mins
          E - Model risk
          Model risk monetization
          • Roman Tikhonov - Senior MD, Head of Model Risk Management, Sberbank
          17:40 - 17:455 mins
          A - Stress testing
          Chair's closing remarks
          • Gilles Demeulenaere - Vice President, QRM Inc.
          17:40 - 17:455 mins
          B - Credit risk, XVAs & initial margin
          Chair's closing remarks
          • Olivier Miart - Head of Analytics, ISDA
          17:40 - 17:455 mins
          Capital & liquidity management
          Chair's closing remarks
          • Ajay Raina - Director, PwC
          • Johannes Goldner - Senior Manager, PwC
          17:40 - 17:455 mins
          D - Conduct, Culture Compliance & Reputational Risk
          Chair’s closing remarks
          • Silvia Signoretti - Head of Business Transformation - Group Functions, Zurich Insurance
          17:40 - 17:455 mins
          E - Model risk
          Chair's closing remarks
          • Thomas Wallace - Partner, Risk Dynamics, a McKinsey Company
          17:45 - 18:4560 mins
          End of RiskMinds 2018 Main Conference & survivor drinks!
            RiskMinds Main Conference Day 2
            NextMachine Learning in Finance Workshop

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