5th Edition CECL Forum 2019

Assessing Progress, Modeling and Reporting Strategies for Effective Implementation

CECL Forum

November 8, 2019 | New York City

CURRENT PROGRESS
Benchmarking progress towards final implementation and executing the final program

FORECASTING
Forecasting over extended time horizons and reviewing effectiveness across product offerings

DISCLOSURES & REPORTING
Understanding disclosure and reporting requirements and impacts on final accounting numbers

MODEL RISK
Managing increased model risk and validation requirements ahead of CECL implementation and ensuring sufficient data

FBO IMPLEMENTATION – PANEL DISCUSSION
CECL implementation for FBOs: Leveraging IFRS 9 for CECL
.

MODEL IMPLEMENTATION AND EXECUTION
CECL model implementation and execution: 1st line model validation / risk management and running alongside stress tests in a cohesive framework

ArnisaAbazi-HeadShot

Arnisa Abazi
Managing Director, Quantitative Risk and Stress Testing
Citi

Ken Fu

Ken Fu
Managing Director and Senior Vice President, Corporate Model Risk Management
Wells Fargo

Kuo-Chang Lu

Kuo-Chang Lu
CECL – Head of Strategic Planning and Business Engagement
Royal Bank of Canada

Arsa Oemar

Arsa Oemar
Director, Wholesale Credit Model Risk Management
MUFG

8:00 Registrations and breakfast

8:50 Chair’s opening remarks

CURRENT PROGRESS
9:00 Benchmarking progress towards final implementation and executing the final program

  • Benchmarking progress
  • Final checks ahead of implementation
  • Ensuring sufficient data and system integrations
  • Transitioning from parallel runs
  • Impact of postponement on the industry
  • Implementation lessons learnt
  • Qualitative aspects of CECL and validation

Arnisa Abazi, Managing Director, Quantitative Risk and Stress Testing, Citi

CCAR STRESS TESTING – PANEL DISCUSSION
9:30 Conducting CCAR stress tests and incorporating CECL for a comprehensive framework

  • Running multiple scenarios
  • Scope of stress testing and CECL allowance
  • BAU under each
  • Fundamental differences between stress testing and CECL
  • Conservatism in stress testing
  • Use of perfect foresight
  • Running CECL models as part of an end to end process
    • Assumptions for scenarios with perfect foresight
    • Building allowance in 9 quarter horizon

Michael Jacobs, Lead Quantitative Analytics and Modeling Expert, PNC
Kiran Yalavarthy, Executive Vice President, Head of Credit and PPNR Modeling, Wells Fargo

10:20 Morning refreshment break and networking

MODEL RISK
10:50 Managing increased model risk and validation requirements ahead of CECL implementation and ensuring sufficient data

  • Adhering to accounting and regulatory expectations
  • Testing to see value out of models
  • Validating assumptions
    • Impact of results on financial statements
    • Transparency of assumptions
    • Minimising impact on business
    • Reviewing feasibility and pricing of businesses
  • Ensuring soundness of methodology
  • Testing and implementation of models
  • Versatility of platform to perform calculations
  • Ensuring sufficient data to validate assumptions
  • Ensuring data feeds correctly to model
  • Granularity of data collection
  • Maintaining characteristics for loan loss data
  • Changes to collection for loan level modeling

Ken Fu, Managing Director and Senior Vice President, Corporate Model Risk Management, Wells Fargo

11:50 Reviewing the use of new technologies such as AI and machine learning for data analysis and process automation

  • Data quality assessment
  • Scenario generation
  • Model Development and Benchmarking
  • Process Automation and Efficiency

Lourenco Miranda, Managing Director, Regional Head of Model Risk Management, Société Générale

12:50 Lunch break and networking

FORECASTING
1:50 Forecasting over extended time horizons and reviewing effectiveness across product offerings

  • Different products with different maturity dates
  • Products with no maturity dates
    • Choosing a reasonable and supportable forecasting period
  • Accuracy of scenarios under longer time horizons
  • Two-year consensus emerging as industry standard
  • Moving to baseline economic forecast
  • Deciding weight for scenarios every quarter
  • Applying scenarios to loans

Arsa Oemar, Director, Wholesale Credit Model Risk Management, MUFG

FBO IMPLEMENTATION – PANEL DISCUSSION
2:30 CECL implementation for FBOs: Leveraging IFRS 9 for CECL

  • Challenges and additional build for CECL
  • Transitioning to CECL framework
  • Decisions on scenario design for transition matrix
  • US specific output
  • Defining ECL
  • Converging methodology across the industry

Kuo-Chang Lu, CECL – Head of Strategic Planning and Business Engagement, RBC
Mohit Dhilon, Senior Director, Quantitative Analytics, Barclays

3:20 Afternoon refreshment break and networking

DISCLOSURES & REPORTING
3:50 Understanding disclosure and reporting requirements and impacts on final accounting numbers

  • Methodology frameworks
  • Guidance for institutions with 2023 deadline
  • Balance between regulators and institutions
  • Changes to lending market after disclosure
  • Articulating numbers to stakeholders

MODEL IMPLEMENTATION AND EXECUTION
4:30 CECL model implementation and execution: 1st line model validation / risk management and running alongside stress tests in a cohesive framework

  • Process verification & assessment
  • How the models are run
  • Technology challenges
  • Interaction with IT and model development
  • Putting models into production
  • Controls around processes
  • Macroeconomic variables & scenario generation
  • Model testing – attribution analysis and assessment of reasonableness
  • Integrating to achieve targeted objectives
    • Limiting over burdening current stress testing processes

Michael Jacobs, Lead Quantitative Analytics and Modeling Expert, PNC

5:30 Chair’s closing remarks and end of forum

Mohit Dhillon
Mohit Dhillon, Senior Director, Quantitative Analytics, Barclays

Mohit Dhillon is responsible for credit risk model development for Barclays International Retail portfolios, covering models for the end-to-end risk life-cycle as well as regulatory requirements associated with CCAR, CECL, IFRS 9 and Basel.

Mohit has been with Barclays for 13 years with experience across retail and wholesale credit risk, spanning multiple geographies.

ArnisaAbazi-HeadShot
Arnisa Abazi, Managing Director, Quantitative Risk and Stress Testing, Citi

Arnisa Abazi is Director at Credit and Operation Risk Analytics, Citibank responsible for the development of credit stress testing (CCAR/internal stress testing) models for Global Wholesale portfolios.
In her prior role, she was Director at American Express, responsible for Economic Capital/Basel II/Stress Testing model development for Global Retail portfolios and oversight of Economic Capital in decisions/underwriting. She was distinguished with American Express Centurion circle award and Chairman’s Award for Innovation.

Arnisa has taught Enterprise Risk Systems as Adjunct Professor in Master of Financial Engineering at Stevens Institute of Technology and Econometrics as Lecturer at Rutgers University.

Arnisa holds a Ph.D. in Economics with specialty in Econometrics and Financial Economics. She completed her graduate studies at Central European University (in Budapest), Rutgers and Princeton universities where she was awarded Doctoral Fellowship, Sidney Simon Research Grant and George Soros fellowship.

Ken Fu
Ken Fu, Managing Director and Senior Vice President, Corporate Model Risk Management, Wells Fargo

Ken Fu is a SVP in Wells Fargo. In this role he oversees model validation from a number of business functions including Home Lending, Retail Banking, Wealth & Investment Management, and Operational Risk. Ken is an 18-year industry veteran and has previously worked in Freddie Mac, JP Morgan Chase, Washington Mutual and Fannie Mae.

Michael Jacobs
Michael Jacobs, Lead Quantitative Analytics and Modeling Expert, PNC

Mike is a lead model development and analytics expert across a range of risk and product types, having a focus on wholesale credit risk methodology, regulatory solutions and model validation. Mike has 25 years of experience in financial risk modeling and analytics, having worked 5 years at Accenture and Big 4 consulting as a Director in the risk modeling and analytics practice, with a focus on regulatory solutions; 7 years as a Senior Economist and Lead Modeling Expert at the OCC, focusing on ERM and Model Risk; and 8 years in banking as a Senior Vice-President at JPMC and SMBC, developing wholesale credit risk and economic capital models.  Skills include model development & validation for CCAR, PPNR, CECL, credit / market / operational risk; Basel and ICAAP; model risk management; financial regulation; advanced statistical and optimization methodologies.  Mike holds a doctorate in Mathematical Finance from the City University of New York – Zicklin School of Business and is a Chartered Financial Analyst.

Kuo-Chang Lu
Kuo-Chang Lu, CECL – Head of Strategic Planning and Business Engagement, Royal Bank of Canada

Kuo-Chang Lu will be presenting at the forthcoming CECL Forum.

Lourenco Miranda
Lourenco Miranda, Managing Director, Regional Head of Model Risk Management, Societe Generale

Prof. Dr. Lourenco Miranda is the Regional Head of Model Risk Management for the Americas in Société Genérale. He joined the Bank in New York in February 2016 as Managing Director Head of Capital Planning, Assessment and Review (CCAR) in New York. Prior to that, within his 20+ years of financial industry experience, Lourenco has held multiple leadership roles in Risk Management and Finance at internationally active Financial Institutions in multiple regions and more than 70 countries and regulatory jurisdictions in 5 regions. On the academic world, for the past 25 years, Lourenco has held faculty positions in multiple academic centers worldwide in the field of Risk Management and Financial Mathematics and has been in the board of international professional institutions and a regular speaker at major international risk conferences. Currently, he is Adjunct Professor of Risk Management, Stress Testing, Machine Learning and Data Science at Fordham University in NYC. Besides that, Lourenco is a published author of academic and professional articles in peer-reviewed journals. He is also a reviewer of professional and academic Journals in Risk and Finance. Lourenco holds a PhD in Statistical Physics with a link to Financial Risk Measurement.

Arsa Oemar
Arsa Oemar, Director, Wholesale Credit Model Risk Management, MUFG

Arsa leads the Americas Wholesale Credit Model Risk Management at MUFG, the 5th largest financial group in the world with total assets of over $2.9 trillion. His team covers the entire spectrum of credit risk models including credit ratings, Basel AIRB, CCAR/DFAST stress testing, Economic Capital, ALLL and CECL. Arsa has 15 years of experience in the financial industry; previously he was in Morgan Stanley, Bank of America, and Goldman Sachs in various credit risk modelling and analytics roles. Arsa holds a BS in Computer Science and MS in Computational Finance from Carnegie Mellon University.

Find our CECL thought-leadership articles here. These articles feed from our much larger Risk Insights section of our website which provides you with thought-leadership, white papers, articles and more across risk and regulation.

17th September 2019

Integration of AI and machine learning to apply a broader spectrum of appropriate shocks to individual portfolios

By Assad Bouayoun, Senior XVA Quantitative Expert, HSBC
11th September 2019

Validation and Governance of the use of AI and machine learning models to increase efficiency

By Paul O’Donovan, Director, US Model Governance, BMO Financial
11th September 2019

Next generation of Stress Testing: Using as a tool and BAU integration

By Liang-Khoon Koh, Director Stress Testing, Silicon Valley Bank
29th August 2019
Top 3 Investment Priorities

Top 3 investment priorities according to FinTech Leaders 2019 Report

8th July 2019

Model risk: Model transparency & ensuring effective validation

9th May 2019

Aligning risk management and strategic planning

By Fabrice Fiol, MD, Deputy Head of ERM, Societe Generale
12th March 2019

Credit risk modeling: Leveraging technology advances for enhanced credit risk modelling

By Shannon Kelly, SVP, Director, Model Risk Management, Zions Bancorp
12th March 2019

Collecting and storing quality data for CECL model requirements

By Shannon Kelly, SVP, Director, Model Risk Management, Zions Bancorp
7th March 2019

Market Trends

By Alice Kelly, Head of Research and Production, CeFPro
21st February 2019

Model risk management in CECL

By Nav Vaidhyanathan, Group VP, Head of Model Validation and Governance, M&T Bank
20th February 2019

CECL – Managing audit requirements and expectation to minimize duplication of efforts with auditors and regulators

By Matthew Clohessy, SVP, Audit Manager, Keybank
18th February 2019

Risk Webinar – CECL: Are you up to date?

15th February 2019

Recalibration of CECL models after initial validation reports and parallel runs to align results

By Elizae Dalvi, VP, Model Risk Management, Bank United
13th February 2019

Current status of CECL accounting standard including delay requests and congressional and regulatory activities

By Rick Martin, Product Manager, Financial & Risk Management Solutions, Fiserv
13th February 2019

CECL – Applying qualitative overlays that are transparent, robust and repeatable

By Stevan Maglic, SVP, Head of Quantitative Analytics, Regions Bank

2019 Co-Sponsor:

Wolters Kluwer


Wolters Kluwer’s Finance Risk & Reporting business is a market leader in the provision of integrated finance, risk and regulatory compliance and reporting solutions, supporting regulated financial institutions in meeting their obligations to external regulators and their own board of directors.

Wolters Kluwer N.V. (AEX: WKL) is a global leader in information services and solutions for professionals in the health, tax and accounting, risk and compliance, finance and legal sectors. Wolters Kluwer reported 2018 annual revenues of €4.3 billion. The company, headquartered in Alphen aan den Rijn, the Netherlands, serves customers in over 180 countries, maintains operations in over 40 countries and employs 19,000 people worldwide.

Sponsorship

Can your organization contribute? Please contact the Center for Financial Professionals today to discuss how we can deliver your thought-leadership at the event, help you generate leads, and provide you with unique networking and branding opportunities. For more information on what we can offer, please contact sales@cefpro.com or call us on +1 888 677 7007 where a member of the team will be happy to tailor the right package for you.

Media Partners:

We are happy to support publications, associations and organisations at this event. From a simple company listing with your logo to taking advantage of some of our sponsor benefits listed above. To discuss a media partnership further please email amy.greene@cefpro.com or call +1 888 677 7007.

The 7th Annual Stress Testing USA Congress is taking place across the two days ahead of the CECL Forum (November 6-7).
Why not extend your learning and attend both?

DATA GOVERNANCE
Developing an enterprise wide data governance program and policy

BAU & STRATEGY
Integrating across the enterprise as a BAU tool for financial planning and strategic decisions

DISRUPTIVE RISKS
Identification, management and mitigation strategies for emerging risks

CLIMATE CHANGE
Reviewing climate change agendas across global regulators

CECL
Leveraging stress testing models and incorporating into one unified program

CAPITAL
Incorporating stress test results into capital planning and allocation

TECHNOLOGY
Technology use cases and feasibility with stringent documentation requirements

QUALITATIVE MODELS
Identifying and validating models under a broader definition

Ty Lambert 2015 Professional Pic

Ty Lambert
Chief Data Analytics Officer
BancorpSouth

Kash Agrawal

Kaushal Agrawal
Director, Quantitative Analytics
Barclays

Alexey Smurov

Alexey Smurov
SVP, Balance Sheet Modeling and Analytics
PNC

Adam Behrman2

Adam Behrman
Head of Model Risk
Investors Bank

Yuhong Liu

Yuhong Liu
Director
BNP Paribas

Nick Kemp

Nick Kemp
Managing Director, Qualitative Methodology Review
Bank of America

Liang Khoon Koh

Liang-Khoon Koh
Director Stress Testing
Silicon Valley Bank

Iyer, Venkat

Venkat Iyer
Director of PPNR Forecasting
Santander

For full agenda, speaker line-up and registration rates, visit www.cefpro.com/st-usa

Earn up to 7 CPE Credits

Earn up to 7 CPE Credits for the one-day Forum.

  • Prerequisites: Knowledge of financial risk management
  • Advanced Preparation: No advanced preparation is required
  • Program Level: Intermediate to advanced
  • Delivery Method: Group-live

The Center For Financial Professionals is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be submitted to the National Registry of CPE Sponsors through its website: www.learningmarket.org

Please note these are subject to change as per the agenda and final credits will be available after the event.

Venue

DoubleTree by Hilton Hotel Metropolitan,
569 Lexington Avenue,
New York, NY 10022, USA

DoubleTree preferential rates:

We have a preferential rate of $295++ per night for this event. Please ensure to book your accommodation using one of the methods below. Please note, the cut of date for making ALL reservations is October 8, 2019.

Telephone Reservations

Local Guests: 1-800-222-8733 (1-800-222-TREE)
International Guests: 001-212-752-7000
When calling, please use reference the CENTER FOR FINANCIAL PROF. room block, or group code CFF

Internet Reservations

Guests can make reservations online at  https://secure3.hilton.com/en_US/dt/reservation/book.htm?ctyhocn=NYCDTDT&groupCode=CFF
Please ensure to enter the contracted arrival / departure dates, to reserve at the discounted rate.

Frequently Asked Questions

Can I present at CECL 2019?

Yes, the Center for Financial Professionals are happy to discuss speaking opportunities at CECL 2019. For further information on this please contact alice.kelly@cefpro.com or call us on +1 888 677 7007.

Are there any rules on the dress code?

Business attire is requested. The Forum is a formal opportunity to network with like-minded professionals and to gain knowledge from the industry’s finest risk management experts.

What is the cost and what is included in the registration fee?

We offer incentives for ‘early bird’ registrants of the Forum as outlined on our pricing structure. Registration includes breakfast, refreshment breaks, lunches, the cocktail reception at the end of the day, full access to the sessions and exhibition area. Presentations from sessions are also available, subject to speaker approval.

Where can I find the Forum documentation and speaker presentations?

All registered attendees will receive an email with access to documentation and speaker presentations after the Forum* We will work with our presenters to include as many presentations as possible on our Risk Insights App during the Forum. *Please note that our speakers often have to gain permission from their relevant compliance departments to release their presentations. On rare occasions compliance may not allow presentations to be distributed.

Will breakfast, lunch and refreshment be provided?

Yes. As with all of our events the Center for Financial Professionals will be providing brilliant coffee, breakfast, lunch, refreshments, and smaller bites during the networking breaks.

Will there be opportunities to network with other attendees?

There are ample opportunities for networking and interaction throughout the Forum, such as

  • Breakfast, lunch and refreshment breaks
  • Drinks reception at the end of the day (Subject to confirmation)
  • Q&A, panel discussions and audience participation technology available through the Risk Insights App
I have several colleagues that would like to attend, is there a group discount?

Certainly! We are pleased to offer you a 50% discount on the third registration or provide a fifth registration for free. If you would like to register more than five colleagues please contact us on +1 888 677 7007 Please note:

  • Registrations must be made at the same time
  • Registrations must come from the organisation
  • The lowest registration will be discounted
Are there opportunities to share my thought-leadership at CECL 2019?

Yes there are plenty of opportunities for the Center for Financial Professionals to share thought-leadership to the attendees of CECL 2019 and our wider risk professionals community. At the event we can distribute your material to the attendees, offer you an exhibition booth, and provide speaking opportunities so that you may enjoy a more prominent presence at the Forum. Visit the Sponsor tab for further information or contact sales@cefpro.com / +44 (0) 207 164 6582. Risk Insights Feature your content on our Risk Insights website and supporting Risk Insights monthly newsletter. For further information please download our media pack here.

Are media partnerships available for CECL 2019?

Yes. As part of a media partnership we can offer a variety of options to increase the branding and awareness of your association, company, certificate, publication or media. We are flexible with what we can offer however we usually:

  • Provide a discounted rate to attend
  • Place your logo and profile on the Forum website
  • Place your logo on the Forum brochure
  • Place your logo on promotional content where applicable
  • Distribute your media/marketing at the Forum
  • Promote through social media channels

To discuss this further please contact amy.greene@cefpro.com or call +1 888 677 7007

Representing a financial institution – (E.g. Bank, Insurance company, Asset Manager, Regulator)

CECL FORUM ONLY

Super Early Bird

$499

Until October 4
SAVE $300

Early Bird

$599

Until October 25
SAVE $200

Standard Rate

$799

After October 25

CECL +  STRESS TESTING USA

Super Early Bird

$1,498

Until October 4
SAVE $800

Early Bird

$1,798

After October 25
SAVE $500

Standard Rate

$2,298

After September 20

Representing an information/service provider – (E.g. Consultant, Vendor, Executive Search Firm, Law Firm)

CECL FORUM ONLY

Super Early Bird

$899

Until October 4
SAVE $900

Early Bird

$1,099

Until October 25
SAVE $700

Standard Rate

$1,799

After October 25

CECL +  STRESS TESTING USA

$2,498

Until October 4
SAVE $1,400

$2,898

Until October 25
SAVE $1,000

$3,898

After October 25

Group Bookings:

Group rates are available for 3 or more attendees from the same organisation, when registering at the same time. The current rate allows every third colleague to come along for half price or a fifth colleague to attend for free!

Other Ways to Register

1. Register by Email

Simply email us with your e-signature
we will do the rest for you!

We only need your:
– Full name
– Job title
– Company & address
– Contact number

2. Contact Us Directly

+1 888 677 7007

EARN UP TO 7
CPE CREDITS

To claim your CPE points please contact info@cefpro.com or call +1 888 677 7007

2019 Co-Sponsor:

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