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V-Fi Americas 2020

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V-Fi Americas 2020

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10:00am - 10:25am25 mins
Networking
    10:25am - 10:30am5 mins
    Chair's Welcome
      10:30am - 11:20am50 mins
      Covid-19: Charting market recovery and the disruption upon valuations
      • Andreza Barbosa - Global Head of Model Governance, Goldman Sachs
      • Susan Malloy - Head of Accounting, Middle Office, and Control Services, Putnam Investments
      • CK Zheng - Global Head of Valuations, Credit Suisse
      • Justin Palmer - Global Head of Operations, Barings
      11:20am - 12:00pm40 mins
      Refreshment & Networking Break
        12:00pm - 12:45pm45 mins
        Structuring your valuations department to ensure a smooth IBOR transition
        • Natalia Hertel - Director, Global Valuation Oversight, DWS
        • Cosimo Ballerini - Managing Director, Controller, JP Morgan
        • Yuhong Liu - Director, Model Validation, BNP Paribas
        12:45pm - 1:30pm45 mins
        Increasing the adoption of machine learning
        • Andrew Green - Managing Director and XVA Lead Quant, Scotiabank
        • Gordon Liu - Managing Director, US Head of Global Risk Analytics, HSBC
        • Agostino Capponi - Associate Professor, University of Columbia
        1:30pm - 2:10pm40 mins
        FRTB: The role of valuations and market risk post-implementation
        • Hany Farag - Senior Director, Head of Methodology and Analytics, Capital Markets Risk Management, CIBC
        • Wei Zhu - Managing Director, Global Head of Market Risk Analytics, Citi
        2:10pm - 2:50pm40 mins
        ISDA: Expectations for SIMM compliance following the timescale deferral
        • Nnamdi Okaeme - Director, ISDA
        2:50pm - 3:15pm25 mins
        Networking
          NextV-Fi Americas 2020
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