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