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2nd Annual

QUANT RISK AMERICAS 2015

November 3–4 | New York City

Overcoming The Impacts Of Regulatory
Changes On The Quant Risk Professional
Highlights For 2015 Include:
MODEL VALIDATION & DEVELOPMENT

§§ Join the discussion to determine whether validation is
hindering development
§§ Learn how to effectively model risk in the current low
rate and volatility environment
§§ The latest in managing Model Risk enterprise-wide

CCAR & DFAST
§§ Determine the effectiveness of CCAR and DFAST
scenarios in a higher rate economy
§§ Minimize the complexity and take away industry best
practices for CCAR/DFAST submission

PPNR

§§ Understand how to project losses and connect
revenue and risk projections

FUNDAMENTAL REVIEW OF THE TRADING BOOK

Hear From More Than 20 Senior
Risk Professionals Including:
Robert Kula, EVP, Group Head of Quantitative Risk
Analysis, KeyCorp
Leif Andersen, Global Co-Head of the Quantitative
Research Group, Bank of America Merrill Lynch
Andrew Chin, CRO & Head of Quantitative Research,
AllianceBernstein
Viktor Ziskin, Head of Quantitative Strategies, CIT
Lourenco Miranda, Head of Quantitative Analytics, AIG
Craig Friedman, Head of Quantitative Risk Management,
TIAA-CREF
Eugene Shuster, Chief Risk Officer, Nomura Asset
Management N.A.

§§ Take away a review of the latest developments,
impacts and what is still to come

Anand Nandy, Head of ERM and Stress Testing for
Americas, Credit Suisse

VALUE ADJUSTMENTS

Michael Pykhtin, Manager, Quantitative Risk Management,
Federal Reserve Board

§§ Gain an understanding of how to incorporate Capital,
Margin and Liquidity into derivatives pricing

DATA QUALITY & CONSISTENCY

§§ Best practices for improving data quality and
consistency for model uses

#QuantRisk

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Denis O’Donoghue, SVP, Head of Enterprise Risk
Management, TD Bank
Katie Hysenbegasi, MD, Quantitative Risk manager, BNY
Mellon

info@cfp-events.com T: +1 888 677 7007

www.cfp-events.com/qra15

Why Attend
With recent, current and
future regulatory changes and
oversight, the role of the Quant
Risk Professional is changing
significantly. Due to these changes,
the knowledge base, skillsets and
responsibilities have also greatly
enhanced and to ensure profitability
and compliance, institutions need to
make sure they have knowledgeable
and experienced quants in place.
CFP’s Quant Risk Americas 2015
tackles the key challenges facing
quantitative risk managers and the
industry now, and in the foreseeable
future. Key highlights for 2015
include:

§§ 2015 PRESENTERS: 20+ CROs
and Heads of Quantitative Risk
Departments from 15+ financial
institutions and regulators
§§ NETWORKING & LEARNING:
Over 10 hours of interactive panel
discussions, presentations and case
studies and more than 4 hours of
networking
§§ MODEL RISK & VALIDATION:
Discuss whether validation is
hindering development, gain
insights on how to model risk in
the current low rate and volatility
environment, understand how to
manage model risk enterprisewide and gain best practices from
Developers and Validators on how
to effectively document model risk
management
§§ CCAR & DFAST: Determine the
effectiveness of CCAR and DFAST
scenarios in a higher rate economy

plus take away industry best
practices fro CCAR and DFAST
submission
§§ PPNR: Understand how to project
losses and connect revenue and
risk projections to bring risk and
finance views together
§§ FUNDAMENTAL REVIEW OF
THE TRADING BOOK: Take away
a review of the latest developments,
impacts and what is still to come
§§ VALUE ADJUSTMENTS: Assess
how to effectively incorporate
Capital, Margin and Liquidity into
derivatives pricing and whether the
adjustments are a real number and
needed
§§ DATA QUALITY AND
CONSISTENCY: Best practices,
tools and techniques for improving
data quality and consistency for
model uses

Who Should Attend?
Investment Banks, Private Banks,
Commercial Banks, Retail Banks,
Hedge Funds, Building Societies, Asset
Management Companies, Insurance
Companies, Pension Funds and Other
Financial Institutions.
CEOs, Finance Directors, CRO along with
the Directors, Heads and Managers of:
§§ Risk Methods/Methodology
§§ Model Control
§§ Counterparty Exposure

§§ XVA, CVA, DVA, FVA, KVA, MVA and
LVA
§§ Quantitative Risk
§§ Quantitative Modeling
§§ Quantitative Strategies
§§ Quantitative Research
§§ Quantitative Analysis
§§ Model Risk
§§ Market Risk
§§ Credit Risk
§§ Global Credit Products
§§ Counterparty Risk Management

§§ Funding Methodology
§§ Product Control Valuations
§§ VAR Model Testing
§§ Interest Rate Risk
§§ Inflation Model Validation
§§ Exposure Analytics
§§ Data Management & Governance
§§ Stress Testing
§§ CCAR
§§ DFAST
§§ Capital Management

Sponsorship & Exhibition Opportunities At Quant Risk Americas 2015
For further information, please contact Andreas Simou: andreas.
simou@cfp-events.com or call +1 888 677 7007.

Advance Your Branding, Awareness, Industry Expertise,
Thought-Leadership And Lead-Generation
Does your organization need to generate new sales leads,
launch a new product or service, engage with key decision
makers, build future business relationships or simply educate the
industry?
Sponsorship and exhibition with CFP Events offers unique
networking, brand recognition and thought-leadership
deliverance opportunities with senior risk professionals from
around the world. Whether you want full branding across an
event or simply a well-positioned exhibition stand, our business
development team will tailor the right package for you. We do
everything we can to help you get your marketing message
across and also to benchmark the return on your investment.

#QuantRisk

E:

Stand

Stand

Stand

Refreshment / Luncheon station

Stand

Stand

Stand

info@cfp-events.com T: +1 888 677 7007 www.cfp-events.com/qra15

QUANT RISK AMERICAS 2015 NOVEMBER 3
08:00 Registration & Networking
08:50 Chair’s Opening Remarks
KEYNOTE PANEL DISCUSSION
09:00 Effectively Complying To Rigorous Regulatory
Requirements Now And In The Future
§§ Understanding what the regulators are asking for
§§ Determining how to keep up to date and compliant
§§ Preparing for the future and what is still to come
§§ Overcoming different interpretations
–– Institutional, External and Regulatory
–– Assessing the impact of regulation on the quant risk
professional and how the role will differ in 2020
§§ Finding new staff with the appropriate background and
experience: Quantitative risk management + Regulation +
Specific model expertise
§§ Reviewing the implications on smaller banks
Anna Shender, MD, Regulatory Capital Policy, Bank of America
Merrill Lynch
Eugene Shuster, Chief Risk Officer, Nomura Asset Management
North America
MODEL DEVELOPMENT AND VALIDATION
MODEL DEVELOPMENT
09:45 Effectively Modeling Risk In The Current Low Rate And
Volatility Environment
§§ Assessing what risks should be reviewed and capital should
be held for
§§ Determining whether current trends and recent history can be
expected to continue and how long for
§§ Reviewing what are appropriate scenarios and models to be
applying in the current environment
§§ Effectively choosing the right data and getting the right amount
§§ Understanding regulator expectations
§§ Modeling for specific risk types
Viktor Ziskin, Head of Quantitative Strategies, CIT
10:25 Determining How To Model For The Future With Limited
Data
§§ Understanding how to model what is now and what may be
possible in the future
§§ Modeling probability for the future – the limitation of stress tests
§§ Implementing predictive adaptive volatility correlation
expectations beyond VaR
§§ Analyzing the limitations of available data
§§ Assessing the links to both economic and regulatory capital
11:05 Morning Refreshment Break & Networking
DATA QUALITY AND CONSISTENCY
11:35 Effectively Improving Data Quality And Consistency For
Model Uses
§§ Understanding tools and techniques available for managing
data quality
§§ Determining what controls are there to cleanse and scrub the
data
§§ Measuring the trade off between accuracy and timeliness
§§ Developing algorithms for detecting outliers
§§ Gaining input from the Model Users
§§ Assessing the limitations of data and reliability of the results
§§ Using the data effectively
Ulku Rowe, MD, Head of Credit Risk Technology, JP Morgan

DAY ONE

12:15 Effectively Managing Model Risk Enterprise-Wide
§§ Measuring and managing model risk across the enterprise
and different model types
§§ Determining how to aggregate the risk
§§ Ensuring standards and consistency across the enterprise
§§ Calibrating different models
§§ Making sure model risk judgment at different parts of the
enterprise is uniform but adaptive
Denis O’Donoghue, SVP, Head of Enterprise Risk Management,
TD Bank
Shannon Kelly, MD, Head of Model Risk Management, TD Bank
12:55 Lunch Break & Networking
MODEL RISK APPETITE
1:55 Establishing, Setting And Implementing A Model Risk
Appetite
§§ Understanding what risk is being managed and the capital
levels required to be set aside for model risk
§§ Addressing model risk across the institution
§§ Identifying simple and effective KPIs and KRIS that can be
reported on
§§ Determining how to interpret model risk appetite
§§ Effectively implementing model risk appetite
Mitchell Post, VP, Models and Methods, ERM, Freddie Mac
PANEL DISCUSSION
2:35 Model Validation And Model Development: Is Validation
Hindering Development?
§§ Understanding right balance between regulatory Vs. internal
needs and requirements
§§ Determining if there is too much focus on validation and not
enough on development
§§ Assessing where the focus is on revenue
§§ Analyzing the ‘new’ banking model in the post-crisis
regulatory world and what the challenges are
Katie Hysenbegasi, MD, Head of Credit Risk Modeling, BNY
Mellon
Sanjiv Talwar, MD, Risk Capital & Stress Testing, BMO (TBC)
Nav Vaidhyanathan, AVP, Model Risk Management, M&T Bank
Viktor Ziskin, Head of Quantitative Strategies, CIT
3:20 Afternoon Refreshment Break & Networking
DOUBLE SESSION: DOCUMENTATION
3:50 Effectively Documenting Model Risk Management – Views
From The Developer And The Validator
§§ Assessing what scope of models should be considered
§§ Understanding how much explanation is required
§§ Managing time and resource pressures
§§ Justifying why the model is being used and whether it works
§§ Determining where are the gaps within the model
§§ Supporting model us and choice through documentation
§§ SR-11/7
–– Meeting the requirements and reaching the appropriate level
§§ Documenting data inputs
§§ Preparing for regulatory questions and how to respond
§§ Managing different interpretations, expectations and
understanding from regulators
Anand Nandy, Head of Enterprise Risk Management and Stress
Testing for Americas, Credit Suisse
Nav Vaidhyanathan, AVP, Model Risk Management, M&T Bank
5:10 End Of Day One

#QuantRisk

E:

info@cfp-events.com T: +1 888 677 7007 www.cfp-events.com/qra15

QUANT RISK AMERICAS 2015 NOVEMBER 4
08:30 Registration & Networking
08:50 Chair’s Opening Remarks
CCAR AND DFAST
PANEL DISCUSSION
09:00 Determining The Effectiveness Of CCAR And DFAST
Scenarios In A Higher Rate Economy
§§ Understanding how to prepare for stress tests in a better
economy
§§ Assessing the predictability of the process
§§ Reviewing how prepared institutions are for the current stress
test scenarios and the value being added
§§ Determining how stress tests will function when ‘risky’
business resumes
§§ Analyzing the correlation between the economy and the
scenarios
§§ What risks have been added to the portfolio and how will this
impact the future
Robert Kula, EVP, Group Head of Quantitative Risk Analysis,
KeyCorp
Lourenco Miranda, Head of Quantitative Analytics, AIG
Anand Nandy, Head of Enterprise Risk Management and Stress
Testing for Americas, Credit Suisse
Fred Pergola, Director, US Stress Testing Methodology, UBS
PPNR
09:45 Effectively Projecting Losses And Connecting Revenue
And Risk Projections
§§ Understanding how to bring risk and finance views together
§§ Creating consistency between finance (revenue) and risk
forecasts
§§ Overcoming differences in the upside view from finance and
the downside view from risk
§§ Effectively aligning the views for a better business outlook
Gary Tognoni, SVP, Head of Stress Testing Execution, Treasury
and Balance Sheet Management, TD Bank
10:25 Morning Refreshment Break & Networking
EXTENDED SESSION
10:55 Minimizing The Complexity And Developing Industry Best
Practices For CCAR/DFAST Submission
§§ Determining what is acceptable and what is not
§§ Understanding where the focus should be and what
regulators want to see
§§ Choosing the right model
–– Top down Vs. Bottom up approaches
–– More complex or less complex
–– Qualitative Vs. Quantitative
§§ Assessing the submission process
–– What regulators want to see
–– What level of granularity is working
§§ Effectively projecting the balance sheet
§§ Setting up internally and engaging the business
§§ Understanding what are the major models and how to bring
them up to consistency
Robert Kula, EVP, Group Head of Quantitative Risk Analysis,
KeyCorp
Lourenco Miranda, Head of Quantitative Analytics, AIG
Fred Pergola, Director, US Stress Testing Methodology, UBS

DAY TWO

FUNDAMENTAL REVIEW OF THE TRADING BOOK
1:15 A Review Of The Latest Developments, Impacts And What
Is Still To Come
§§ Timelines:
–– Is there enough time?
–– What action is being taken?
§§ Reviewing what is on the horizon for the unanswered
sections
§§ Understanding where the regulators are heading, what’s still
to be achieved and how will it be done
§§ Assessing where Basel is, where it stands and where is it going
§§ Analyzing how the US are adopting the changes
§§ Determining to what extent will Basel changes be inline with
US regulations
§§ Effectively managing the transition and minimizing the
quantitative impacts
Michael Pykhtin, Manager, Quantitative Risk Management,
Federal Reserve Board
VALUE ADJUSTMENTS
1:55 Effectively Incorporating Capital, Margin And Liquidity Into
Derivatives Pricing
§§ Effectively defining the value adjustments
–– Capital (KVA), Margin (MVA), Liquidity (LVA)
§§ Determining if the adjustment is a real number and whether it
is needed
§§ Assessing what is the cost and why?
§§ Understanding the uses of the various adjustments
§§ Effectively computing the numbers required
§§ Assessing the risk of double counting
§§ Determining the impacts
Leif Andersen, Global Co-Head of the Quantitative Research
Group, Bank of America Merrill Lynch (TBC)
2:35 Afternoon Refreshment Break & Networking
3:05 Developing A Framework For Building High-Performance
Fat-Tailed Risk Models
§§ Determining a consistent approach to:
–– Measuring model performance
–– Building robust fat-tailed models that perform well out-ofsample
§§ Effective applications including
–– Multivariate conditional models for the evolution of
systemic risk factors
–– Asset returns
–– Models of extreme loss events
Craig Friedman, MD, Head of Quantitative Risk Management,
TIAA-CREF
3:45 Utilizing Quantitative Techniques To Assess Manager
Returns On Skill Vs. Luck
§§ Active management performance historically – Is there less
skill today?
§§ Can active returns be explained using common risk
premiums?
§§ Where and when is skill rewarded?
§§ Tools to assess skill
Andrew Chin, CRO and Head of Quantitative Research,
AllianceBernstein
4:25 Close Of Congress

12:15 Lunch Break & Networking

#QuantRisk

E:

info@cfp-events.com T: +1 888 677 7007 www.cfp-events.com/qra15

Quant Risk Americas 2015 | November 3–4 | New York City
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