Day 3 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
Day 3 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
RiskMinds Arora Ballroom
- Charles Richard III - Senior Vice President & Co-founder, QRM Inc.
Mindset & Ethos
- Attitude trumps talent
- Grow your 100% by raising the bar each day
- Do the things that others won't do - to have the success that others wont have!
Leadership
- Never ask someone to do something you wouldn't do yourself
- Inspire your people every single day
- Listen to your peoples good ideas, and act upon them...
- Scotty Mills - Former Royal Marine & Elite Team Coach, Never Give In
What credit risk adjustments are being made?
- Deirdre Hannigan - Independent Non-Executive Director, Advisor and former Group Chief Risk Officer, AIB
- Prince Adjei - Chief Risk Officer and Member of Executive Committee, Development Bank Ghana (DBG)
- Frank Versace - Chief Risk Officer, Judo Bank
- Michiel Haasbroek - Chief Risk Officer, Banque Internationale à Luxembourg (Suisse) SA
- Noel Gerald DCruz - Group Chief Risk Officer (GCRO), OCBC Bank
- Stephanie Ip-Lamusse - Chief Risk Officer Wholesale and Head of Wholesale Credit Risk Management, HSBC UK
Assessing recent market shocks & the management of measuring risk in the banking book
How could Basel have mitigated these risks?
- Sergio Cardona - Quant Lead, Mirai Advisory
- Luis Estrada - Co-Founder, Mirai Advisory
* How can we drive product innovations without compromising risk management practices?
* What measures could banks take to proactively identify and address emerging risks that could impact profitability and customer trust?
* How to integrate risk management practices into profitability and customer-centric strategies to ensure a balanced and sustainable approach to growth
* In times of crisis, how to prioritise customer support and risk management strategies to ensure both short-term resilience and long-term sustainability
* How is the market likley to differentiate banks in the future?
- Daniel Butler - Head of EMEA Financial Institutions Industry, AON
- Hanna Sarraf - Former Chief Risk Officer, Starling Bank International
- Mark Kandborg - Group Chief Risk Officer, Nordea
- Pierpaolo Montana - Group Chief Risk Officer, Mediobanca
- Lucy Spencer - Chief Risk Officer for Private Banking and Wealth, HSBC
SA-CCR
- Impacts of the Roll-out to the United States
- Optimisation – Importance of High-Quality Data
Modelling Limitations & New Developments
- Margin Driven Defaults
- Correctly capturing Wrong Way Risk – IMM & FRTB-CVA
- Aligning CVA and IMM Challenges and Successes
- Stuart Smith - Co-head Business Development, Acadia
- Roland Stamm - Partner – Quantitative Services, Acadia
- Fabrizio Anfuso - University lecturer in Counterparty Credit Risk Management, University of Zurich / ETH
- Giovanni Cesari - Managing Director - Head of Portfolio Traded Risk and Traded Risk Analytics, Standard Chartered Bank
Increasing interest rates, inflation, how lenders are coping?
- Jonathan Mascie-Taylor - Managing Director, Render
- Mark London - Chief Risk Officer, Abound
- Simon Groll - Co-Founder, Keyzy
- Main profitability & risks sources in going concern situation
- What legal doubts were raised regarding product design
- The butterfly effect itself, i.e. evolution of court rulings and simulation of potential impacts
- Jan Kowalski - Head of ALM, Bank Pekao
- Pedro Morales - Head of Enterprise Risk Management, Payments, Google
Arora 4
- Natalia Dobrinskaya - Head of EMEA Model Risk Management, Goldman Sachs
- Background and Rationale
- Preparation: Pitfalls and industry insights
- Going into execution: Scenarios, Deep Dives and Setup
- Quantification: how to derive structured financial loss estimates
- Philipp Schröder - Partner, Modelling & Valuation Leader, PwC
- Marcel Dahmen - Director, Cyber Security Financial Services - Regulatory Response, PwC
- Steve Lindo - Course Designer & Instructor, Financial Risk Management, Columbia University
- Megan Brown - Head of International Sales, LogicGate
Why is Operational Risk sensitive to economic shocks?
How will the current economic conditions drive Operational Risk losses?
What Operational Risk losses can arise from bank failures & rescues?
- Michael Grimwade - Head of Operational Risk, ICBC Standard Bank
Key Risk Drivers, their speed and impact on Commercial Real Estate Finance. Food-for-thought & Discussion on relevant topics to anticipate further and focus point to manage through the cycle.
- Juergen Wienes - Member of the Managing Board, Airbus Bank GmbH
- Blessing Mudavanhu - Group CEO and Executive Director, CBZ Holdings
- Overall idea of the Pooling Approach
- Case study ABN AMRO
- Applying a vendor model for an IRB-portfolio
- Preperational work for supervisory submission
- Model implementation
- Tobias Noll - Principal Relationship Manager – Deputy Head Marketing & Sales, RSU
- Eelco Lens - Team Lead Credit Risk Modelling – Specialized Redevelopments, ABN AMRO
- Rosamund de Sybel - Head of Geopolitical Risk, Financial Crime Compliance, ICBC Standard Bank
- Davide Venturelli - Fellow and Associate Director, Quantum Technologies, USRA
How are risk managers to incorporating this impending risk into their portfolios?
- Ulrich Karl - Head of Clearing Services, ISDA
- Sarah Crowley - Assistant Director – Clearing, ISDA
- Conclusive results on ES backtesting limitations: optimal, minimally biased ES backtest
- Measurement of realized tail risk made possible: observability of ES; unobservability of VaR
- Managing true risk (as opposed to predicted risk), at last
- Consequences for FRTB IMA model validation
We present a quantitative framework for the risk analysis of central counterparty (CCP) loss waterfalls. We show that commonly used designs for CCP loss waterfalls lead to a misalignment of incentives between the CCP and its clearing members, and we illustrate how this problem may be solved by introducing an appropriately sized capital contribution by the CCP to the loss waterfall.
We introduce an objective methodology for analyzing the risk of assets held by CCP Default Funds and for determining the magnitude of the 'skin-in-the-game' contribution of a CCP to its loss waterfall.
Our model underlines the role of two key factors in the risk analysis of the default fund: the heavy-tailed nature of default loss distributions and the concentration of clearing member exposures.
Finally, we illustrate how the introduction of a skin-in-the-game requirement for a profit-maximizing CCP provides incentives for prudent risk management of the default fund.
- Rama Cont - Professor of Mathematics and Chair of Mathematical Finance, University of Oxford
This talk will discuss key challenges in operational stress testing, including the lack of explicit measurement standards, the difficulties in selecting idiosyncratic risks within the broader stress narrative, and ensuring that results accurately reflect the material risk profile of the bank. A conceptual framework and methodology is presented for designing operational risk stress tests to a target likelihood, balancing idiosyncratic with systemic elements, and achieving a more comprehensive evaluation of material risks than standard scenario-selection methodologies.
- Sergio Caprioli - Model Validation Expert, Intesa Sanpaolo
An innovative framework for credit risk management to empower large corporates with pre-approved credit limits.
The presentation will offer a practical approach to financial risk managers seeking to improve efficiency and reduce risks associated with large credit exposures through diversification.
- Alvaro Chamizo Cana - Risk Solutions Principal Manager, BBVA