7th Annual Stress Testing USA 2019

Advancing stress testing to inform strategic decisions and align across regulatory initiatives

Stress Testing USA: CECL, Strategy & Capital

November 6-7, 2019 | New York City

America’s leading event on stress testing, CECL implementation, capital management and strategy – practical examples and case studies with insight from industry renown experts.

Leveraging stress testing models and incorporating into one unified program

Incorporating stress test results into capital planning and allocation

Technology use cases and feasibility with stringent documentation requirements

Identifying and validating models under a broader definition

Developing an enterprise wide data governance program and policy

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

Identification, management and mitigation strategies for emerging risks

Reviewing climate change agendas across global regulators

Ty Lambert 2015 Professional Pic

Ty Lambert
Chief Data Analytics Officer

Kash Agrawal

Kaushal Agrawal
Director, Quantitative Analytics

Alexey Smurov

Alexey Smurov
Director, Risk Management Systems and Technology

Adam Behrman2

Adam Behrman
Head of Model Risk
Investors Bank

Yuhong Liu

Yuhong Liu
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

08:00 Registration and breakfast

8:50 Chair’s opening remarks

9:00 Building a global stress testing program for compliance of regulatory expectations and jurisdictional variations

  • Scenario design: Moving from stress testing to business strategic decisions
  • Modeling for global market shocks
  • Revising frameworks to incorporate a global stress test program
  • Leveraging current infrastructure
  • Expectations across regulators and industries
    • Insurance and banking
  • Aligning requirements under a unified program

Kash Agrawal, Director, Quantitative Analytics, Barclays Capital
Rahul Mital, Head of CCAR/ Stress Testing Policy and Advisory,  HSBC

9:50 Dynamically Integrating CECL into Strategic Planning and Stress Testing Processes

  • Realize significant operational efficiencies and computational accuracy when using consistent data and behavioral models to generate cash flows and ECLs
  • Performing CECL calculations in a dynamic forecast facilitates more detailed and consistent output metrics including provision expense and ALLL contributions for the current and evolving balance sheet across varying (stressed) economic conditions
  • Extend the process for consideration in strategic origination pricing and profitability analysis; use to produce business unit pricing tear sheets inclusive of CECL charges
  • Naturally allows for the incorporation of management actions and response in order to optimize conditional capital adequacy given practical and regulatory constraints for each business strategy and what-if scenario

Maxwell Gunnill, Credit & Capital Practice Leader, Quantitative Risk Management, Inc.

10:30 Morning refreshment break and networking

11:00 Leveraging models from stress testing to CECL and aligning data approaches

  • Data requirements and uses in stress testing vs. CECL
  • Convergence and inter relatedness of CECL and stress testing
  • Modeling requirements for both and granularity
    • Quantitative approaches: repurposing models
    • Forecasting macro-economic factors
    • The role of judgement and overlays between the two
  • Incorporating forward looking projections and reserved for realisation of scenario
  • Segmentation aligned with business reporting
  • Liquidity risk management practices
  • Implications of categories and expectations

Kapil Vohra, Head of Model Validation, Barclaycard
Alexey Smurov, Director, Risk Management Systems and Technology,  PNC

11:50 Incorporating under one unified program and projecting CECL in 2020 stress test cycle

  • Statistical modeling approach
  • Qualitative approaches
  • Projecting losses under CECL
  • Assumptions for scenarios with perfect foresight
  • Building allowance in 9 quarter horizon
  • Perfect foresight vs. laddered approaches
  • Impact of allowance on capital

Kapil Vohra, Head of Model Validation, Barclaycard

12:30 Lunch break and networking

1.30 How to leverage stress testing for strategic and competitive advantage.

  • Holistic enterprise risk assessment
  • Growth and merger / acquisition analyses
  • War gaming and capital contingency planning
  • Modeling implications and insights

Mike Guglielmo, Managing Director, Darling Consulting Group
Ty Lambert, Chief Data Analytics Officer  BancorpSouth

2:50 Managing stress capital buffer allocation of capital to business in an evolving regulatory environment

  • Pre-capitalising share repurchases
  • Volatility related to scenarios
    • Using to determine capital distributions under new scenarios
  • Averaging results to normalise volatility
  • Loss models and global market shocks
  • Challenging profitability and optimising capital
  • Maintaining capital standards throughout the year
  • Aligning with other regulations

3:30 Afternoon refreshment break and networking

4:00 The role of economic capital in a post stress testing world

  • Using as a tool to allocate capital
  • Relying on economic capital for DFAST institutions
  • Stress testing vs. economic capital to instruct capital allocation
  • Economic capital amidst stress testing regime change

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

4:40 Reviewing technology use cases and opportunities to streamline processes and increase efficiency

  • Running models faster to be more responsive
  • Streamlining documentation
  • In house vs. external solutions
  • Using technology to reduce resources on control tasks
  • Technology support to minimise IT projects
  • Transitioning manual processes to automated processes

Adam Behrman, Head of Model Risk, Investors Bank

5:20 Chair’s closing remarks

5:30 End of day one and drinks reception

8:15 registration and breakfast

8:50 Chair’s opening remarks

9:00 Ensuring quality assurance of a model across the lifecycle for end to end management

  • Data input
  • Model development
  • Implementation
  • Adjustments
  • Managing across the life cycle

Alexey Smurov, Director, Risk Management Systems and Technology, PNC

9:40 Identifying and validating models under broader definition to include qualitative models

  • Management judgement on models
  • Managing model overlay and sensitivity analysis
  • Documenting supporting evidence that assumptions are justifiable
  • Using qualitative model to justify quantitative model
    • Is it then managed as qualitative or quantitative model?
  • Impacts on CECL and CCAR models
  • A new world of adjustments to stress testing models

Yuhong Liu, Director, BNP Paribas
Nick Kemp, Enterprise Scenario Planning & Execution,  Bank of America
Julio Rivera, Vice President and head of CECL and CCAR Model Implementation and Production, US Bancorp

10:30 Morning refreshment break and networking

11:00 Converting wholesale/commercial credit models to Point-in-Time (PIT) to enhance CECL and stress testing accuracy

  • Only PIT models track cyclical variations in defaults and losses accurately, but most models at banks are far from PIT
  • Typical “hybrid” models lead to large inaccuracies in estimates of lifetime ECLs and stress losses
  • To convert hybrid or TTC models to PIT, must include, as credit-model inputs, market-value-related indicators such as credit-cycle indices derived from listed-company, Merton-model PDs
  • To obtain accurate scenario projections, must also include market-value-related indicators as MEV, credit drivers.

Larry Forest, Global Director of Research, Z-Risk Engine

11:40 Developing an enterprise wide data governance program and outlining policy

  • Stakeholders managing data
  • Target review from regulators on data governance and uses of data
    • Preparing for target review
  • Centralising collection of data
  • Security and use of data
  • Identifying and defining data stewards, administrators and end users
  • Defining the structure of a data governance program
  • Representatives of working group
  • Data flow and data mapping

12:20 Lunch break and networking

1:20 Using stress testing as a tool for enterprise risk management to look across risks simultaneously

  • Stress testing the enterprise
  • Consistency across risk disciplines
  • Capturing operational and revenue risk in stress tests
  • Stress testing over longer horizons
  • Interpreting limits in a real-world scenario

Sudhir Kumar, Head of Capital Management Oversight,
U.S. Bank

2:00 Next generation of stress testing: Using as a tool and BAU integration

  • Increasing usefulness to business
  • Making CCAR models BAU friendly
  • Moving away from infrastructure build out
  • Executing in the most efficient way
  • Keeping stress testing at the forefront and maintaining level of rigor
  • Keeping foot on the pedal amidst regulatory relief
  • Emphasising importance of stress testing

Liang-Khoon Koh, Director of Stress Testing,
Silicon Valley Bank

2:40 Afternoon refreshment break and networking

3:10 Integration of stress testing with financial planning and driving strategic decisions

  • Practical and actionable outcomes from stress tests
  • Using as a tool for decision making at Board level
  • Getting ahead of emerging risks and trends
  • Integration into strategic planning
  • Budgeting, forecasting and ad hoc analysis
  • Leveraging stress testing work to gain ROI on investment
  • Modifying models and assumptions
  • Producing internal metrics for better projections Regulatory compliance and driving business decisions

Arun Chinnasamy, Director, PPNR and balance sheet modelling, RBC
Venkat Iyer, Director of PPNR Forecasting, Santander
Brandon Von Feldt, Executive Director,  Morgan Stanley


4:00 Reviewing identification, management and mitigation strategies for emerging and disruptive risks

  • Stress testing and scenario design for business impacts
  • Financial statements and performance of disruptive risks
  • Millennial expectations of financial institutions
    • Tailoring product offerings
  • Fundamental impacts of disruptive risks to business models
  • Incorporating into strategy and business model of companies

Lourenco Miranda, Managing Director,
Société Générale


4:40 Managing vulnerabilities and financial risks due to climate change and preparing for future change

  • European join statement on climate change
  • Preparing for potential financial and physical risks
  • How climate change impacts the way stress testing is conducted
  • Global requirements from regulators
  • Paris agreement
    • Transition risk if the Paris agreement were fully implemented
  • Reputation and legal risk
  • Disclosure of climate risks

Manan Rawal, EVP – US Head of Model Risk Management, HSBC

5:20 Chair’s closing remarks

5:30 End of Congress

Kash Agrawal

Kaushal Agrawal, Director, Quantitative Analytics, Barclays

Kaushal Agrawal is a Director in the Quantitative Analytics team at Barclays. Currently, Kaushal leads a team of quantitative modelers focused on developing PPNR models for Markets (Sales & Trading) and Investment Banking businesses. Kaushal has spent most of his professional career in financial services risk management. Prior to joining Barclays, Kaushal worked at Citibank and HSBC focusing mainly on quantitative risk management. Kaushal has also worked as a Senior Consultant at Ernst & Young (EY). At EY, Kaushal worked with multiple US banks and FBOs focusing primarily on model development and model validation ; He led a team of quantitative professionals working on projects related to Economic Capital, Basel, Stress Testing, CCAR, and ALLL. Kaushal holds a Masters degree in Quantitative Finance from Columbia University and has a Bachelors degree from Indian Institute of Technology (IIT) Bombay.

Adam Behrman2

Adam Behrman, Head of Model Risk and Chief Model Risk Officer, Investors Bank

Mr. Behrman has over 15 years of experience in financial services building models and managing portfolios across multiple asset classes. Prior to leading the Model Risk Management Group at Investors Bank, he served as Chief Information Officer for a start-up focused on home price indexing and valuations, was a manager at Deloitte and Touche, led modelling and development teams in private equity, and worked on trading desks at Royal Bank of Canada, Deutsche Bank, Alliance Bernstein, and on the floor of the New York Stock Exchange. Along the way, Mr. Behrman earned a BSBA from the University of Central Florida, an MBA from New York University, and the right to use the Chartered Financial Analyst designation. In addition, he has completed a number of courses in data science, data mining, and machine learning.

Arun Chinnasamy Head shot

Arun Chinnasamy, Equity Quant Strategist, RBC Capital Markets

Arun is an Equity Quant Strategist at RBC Capital Markets with 13+ years of experience both in industry and strategy consulting ranging across machine learning, PPNR and risk modeling, strategy and portfolio analytics. Arun has proven experience in converting big data into understandable knowledge and increase bottom line profit using statistical / machine learning techniques. He is passionate about developing novel solutions for financial services and love being at the interface of quantitative modeling, risk, finance, and business strategy.

Arun holds MBA in Finance from ESADE, Spain and Masters in Data Mining from National University of Singapore.

Larry Forest

Lawrence R. Forest, Jr., Global Director of Research, Z-Risk Engine

Global head of research at Aguais and Associates (AAA), a start-up, financial-technology firm. He leads the firm’s credit-risk research and model development. Larry has over 25 years of experience creating credit analytics solutions for large banking institutions. After working at the Fed, CBO, DRI/McGraw-Hill, AMS, KPMG, and Algorithmics, he spent six years at Barclays Capital and five at Royal Bank of Scotland (RBS). At Barclays Capital and RBS, he led the design and development of PD, LGD, and EAD models, regulatory-stress-test models, and PIT and TTC ratings. Subsequent to RBS, he worked for a year at PWC reviewing US bank credit models. After that, he joined AAA.


Maxwell Gunnill, Credit & Capital Practice Leader, Quantitative Risk Management, Inc.

Mr. Gunnill is the Credit & Capital Practice Leader at QRM where he has specialized in risk management practices since 2003. His responsibilities include enterprise-wide risk management consulting, managing client implementations, and product development.

Specifically, Mr. Gunnill helps to design and implement QRM’s Enterprise Risk Framework, leveraging his expertise in credit and interest rate risk modeling, software design, international regulatory requirements, academic theory, and practical experience.

Mike Guglielmo - hi rez

Michael R. Guglielmo, Managing Director, Darling Consulting Group

With nearly 30 years of experience in strategic risk management, Mike Guglielmo provides technical and strategic consulting to a diverse group of financial institutions in the United States and abroad. Mike is also a frequent author and top-rated speaker on a variety of financial and operational risk management topics.
During his tenure at DCG, Mike has served in various capacities, including director of financial analytics. In addition, he is a technical resource for the ongoing development of many of DCG’s quantitative and strategic risk management products and services. Prior to joining DCG, Mike managed the ALCO and strategic planning processes for a regional bank in the northeast.
Mike is a graduate of Fairfield University with a degree in economics.

Iyer, Venkat

Venkat Iyer, Director of PPNR Forecasting, Santander

Venkat Iyer is a Senior Director in the finance and strategy organization. He is charge of balance sheet forecasting for stress testing and strategic planning for Santander US. As part of these responsibilities, he leads the PPNR (pre-provision net revenue) model development, forecast implementation for loan and deposit balances/income that includes credit risk and PPNR components and control of the data and processes that feed into the forecasting.  Venkat was part of the team that led Santander US to clear the CCAR capital adequacy examination while building an industry standard CCAR-PPNR capability during the process.

Venkat has over 10 years of experience in financial services including roles in portfolio risk analytics, underwriting/pricing, model development and model risk management prior to the current role in finance and strategy.  He worked at GE Capital prior to joining Santander as leader of stress testing and economic capital model validation. Venkat also has 8 years of experience in research, technology and product development in the industrial sector.  He spent a number of years in the Aviation industry designing and testing processes and products.

Venkat holds an MBA from University of Chicago, Booth School of Business and a PhD in engineering from Purdue University.


Nick Kemp

Nick Kemp, Managing Director, Qualitative Methodology Review, Bank of America

Nick Kemp is the head of the Qualitative Methodology Review team at Bank of America (“BofA”). The team is part of the Enterprise Scenario Planning and Execution (“ESPE”) function, and is responsible for reviewing the qualitative models and methodologies used to support Capital Planning (Stress / Baseline), Liquidity Stress Testing, and Recovery / Resolution analysis. Also in his time with BofA, he has worked as head of Enterprise Stress Testing (“EST”) Scenario Generation and head of the International stress testing teams, both also within the ESPE function.
He has 20+ years experience working within the Financial Services sector, across a number of institutions. He is based in Charlotte.

Liang Khoon Koh

Liang-Khoon Koh, Director Stress Testing, Silicon Valley Bank

Liang-Khoon Koh graduated from the UCLA with Ph.D. in Mathematics. He has more than 15 years of combined experience in financial risk management consulting, model risk management, quantitative audit, stress testing modelling, foreign currency trading. He is currently responsible for stress testing models and idiosyncratic scenarios design for Silicon Valley Bank.

Sudhir Kumar

Sudhir KumarHead of Capital Management Oversight, US Bank

I have over 18 years of experience, primarily in the banking and financial services industry, with focus on capital risk and regulatory processes. Implementation and oversight of the capital and stress testing processes including regulatory capital calculation, capital planning, governance, and reporting. Assisted large US and global banks, including newly converted bank holding companies, with the assessment and implementation of enterprise-wide capital programs; development of risk and regulatory processes, governance and control framework, and ongoing validation.

Ty Lambert 2015 Professional Pic

Ty Lambert, Chief Data Analytics Officer, BancorpSouth

Mr. Lambert joined BancorpSouth in 2006 and has served in a variety of roles including portfolio management, asset-liability management, investor relations, and model development/systems integration. His team is currently responsible for asset-liability management, liquidity risk management, and capital stress testing. In addition, Mr. Lambert plays an active role in strategic planning with respect to corporate budgeting and capital deployment. He has been a featured speaker at stress testing conferences and has served on American Banker’s Advisory Board for Stress Testing. Prior to joining BancorpSouth, Mr. Lambert was a portfolio manager for retail clients. He received his bachelor and MBA degrees from Mississippi State University and the University of Mississippi, respectively.

Yuhong Liu

Yuhong Liu, Director, BNP Paribas

Yuhong holds Plasma Physics PhD from Columbia University. She has a broad risk management experience working across credit risk, market risk and model risk at Morgan Stanley and Citi Group. Currently she leads model validations at BNP Paribas covering liquidity models, portfolio strategy models, CCAR models, etc.


Stevan Maglic, SVP, Head of Quantitative Risk Analytics, Regions

Steve is Senior Vice President and head of Quantitative Risk Analytics at Regions Bank, where his current responsibilities focus on quantitative aspects of forecasting and stress testing, risk ratings, valuation, reserve methodologies, economic capital, portfolio construction, credit strategy and credit portfolio management. Steve has 20 years of industry experience in quantitative modelling and risk management and has prior experience building portfolio management and analytics infrastructure at Merrill Lynch, Bank of Montreal and ABN AMRO. Steve has a Ph.D. in applied physics from Northwestern University, a B.S. in physics from University of Colorado in Boulder, and has held Series 7 and Series 63 certifications.

Lourenco LI

Lourenco Miranda, Managing Director, Head of Model Risk Management, Société Genérale Corporate & Investment Bank

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.


Rahul Mital, Head of CCAR/ Stress Testing Policy and Advisory, HSBC

Rahul Mital will be presenting at the Stress Testing USA Congress.

manan rawal

Manan Rawal, EVP – US Head of Model Risk Management, HSBC

Manan N. Rawal is currently the head of Scenario Design & Modeling at HSBC in New York. His role involves establishing a strong and robust framework around designing stress testing scenarios that are utilized for the CCAR/DFAST exercise as well as examine the relevant issues surrounding balance sheet and non-interest revenue forecasting.

Manan’s prior experiences included oversight responsibility for trading and banking book exposures as part of an independent risk management team as well as buy side portfolio management stints at various institutional asset managers where he focused on cross asset markets involving convertible bonds, equity and credit derivatives. His educational experience includes an international executive MBA from the Trium program (www.triumemba.org), a M.Sc. in Economics from the London School of Economics, and a B.S. in Finance from the Wharton School at the University of Pennsylvania.

Julio Rivera

Julio Rivera, Vice President and head of CECL and CCAR Model Implementation and Production, US Bancorp

Julio is Vice President and head of CECL and CCAR Model Implementation and Production at US Bancorp since 2016, where he manages implementation, production execution, performance monitoring and reporting of credit risk models, stress testing, CCAR/DFAST and CECL models. With 15 years’ experience in building, implementing, validating and monitoring behavioural models using advanced econometric techniques, focused on Allowance, CCAR, Stress testing, IFRS9, CECL, Credit Risk for Commercial and Retail products.

He is an experienced manager with leadership and communication skills to drive highly visible projects and new initiatives that includes interacting with Senior Management, internal areas, external and internal auditors and regulators.

He is currently involved in the design, implementation and development of the CCAR and CECL models and integration with the reporting tools. He has led successfully several Model Development, Model Implementation, Model Monitoring and Model Validation projects.

Prior to working at U.S. Bancorp, Julio was CECL/IFRS9 Solution Management Lead in the Risk Research and Quantitative Solutions Division at SAS. Prior to SAS, Julio was Vice President of Model Risk Management/ Model Validation at TCF Bank. He also held other management positions at Ally Bank and General Motors Acceptance Corporation in the areas of Model Validation, Model Development, Model Implementation and Credit Risk.

Alexey Smurov

Alexey Smurov, Director, Risk Management Systems and Technology, PNC

Alexey Smurov has over 15 years of experience in the financial services industry and is a frequent speaker at industry conferences. He currently serves as a Senior Vice President at PNC Bank, where his group is responsible for development of Mortgage and Home Equity models for the purposes of stress testing (CCAR/DFAST), financial reporting (CECL) and regulatory capital (Basel). Prior to that, Alexey spent 6 years at Capital One as a Senior Director and Head of Capital Model Validation in the areas of Credit, Counterparty, Operational and Market risk. He also worked as a Director or Credit Analytics at Fannie Mae and taught finance and economics at George Washington University and the University of Georgia. Dr. Smurov earned a PhD in Economics from the University of Georgia. He also holds the Chartered Financial Analyst (CFA), Financial Risk Manager (FRM), Energy Risk Professional (ERP) and Professional Risk Manager (PRM) designations.


Brandon Von Feldt, Executive Director, Morgan Stanley

Brandon is an Executive Director at Morgan Stanley where he leads PPNR model development. Prior to joining Morgan Stanley, Brandon was a Director at Deutsche Bank where he helped to design an automated model execution platform used for balance sheet, PPNR, and other related models. He also spent time in roles primarily related to PPNR, credit loss, and allowance for loan loss modeling at PWC, Washington Mutual, JP Morgan Chase, and GMAC-RFC.


Kapil Vohra, Head of Barclaycard Model Validation, Barclaycard

Kapil Vohra will be presenting at the Stress Testing USA Congress.

2019 Co-Sponsors

Darling Consulting Group

Darling Consulting Group (DCG) is a leading independent provider of balance sheet risk management services and solutions for the financial institution industry. DCG’s Quantitative Risk Analysis & Strategy Group provides specialized end-to-end validation for credit stress testing models (DFAST/ CCAR) which includes an evaluation of the mathematical approaches employed to project credit losses and PPNR forecasts, as well as ALM model integration, governance, controls and documentation. For over 30 years DCG has helped financial institutions of all sizes make better strategic and risk management decisions. Services include comprehensive asset/liability management and strategy advisory, balance sheet risk modeling, broad-based model validation (e.g. ALM, liquidity, credit, ALLL, MSR, capital, operational risk models), behavioral studies (deposits, prepayments), credit stress testing and challenger models, and liquidity management (including contingency planning, monitoring and stress testing tools).


Quantitative Risk Management (QRM) is the world’s premier enterprise risk management consulting firm. QRM develops industry-leading risk management principles, practices, and models, and provides clients with the advice, knowledge, and tools necessary to leverage those innovations into higher risk-adjusted returns. Since 1987, we have partnered with our clients to enhance their ability to measure risk, identify profitable opportunities, and make sound financial decisions. With offices in Chicago, London, and Singapore, QRM has established over 250 long-term engagements with top financial institutions from the banking, finance, and insurance industries worldwide.

Z-Risk Engine®

Brought to you by Aguais And Associates (AAA), Z-Risk Engine® (ZRE) is a substantially more accurate, purpose-built risk management solution for banks and financial institutions tasked to comply with IFRS9, CECL and to also meet stress testing regulations.

The complete ZRE solution combines a suite of SAS®-based software with AAA’s expert credit risk consultancy. The engine is a single integrated, customisable batch analytics platform for wholesale and commercial credit portfolios and works with a bank’s own credit models. With innovations in ‘credit cycle unlocking’, ZRE is uniquely able to use industry and regional credit cycles to accurately convert existing credit models, such as through the cycle (TTC), into point in time (PIT) measures.

CECL 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.

2019 Exhibitor

Autera Solutions

Autera Solutions will be exhibiting at the forthcoming Stress Testing USA Congress.


Can your organisation 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 (US) where a member of the team will be happy to tailor the right package for you.

Media Partnerships

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 james.marinos@cefpro.com or call +1 888 677 7007 (US)

Led by:

Mike Guglielmo - hi rez

Michael R. Guglielmo
Managing Director
Darling Consulting Group

Drew Boecher

Drew H. Boecher, CFA
Managing Director
Darling Consulting Group

Sam Chen

Sam Chen
Quantitative Consultant
Darling Consulting Group

Hannah Glasrud

Hannah Glasrud
Quantitative Analyst
Darling Consulting Group

Registration opens at 8:00, Masterclass commences at 8.30am and will conclude by 5.15pm. There will be adequate time for refreshment breaks and lunch, to allow for networking with peers. We request that attendees have a full charged laptop, with Excel installed, to fully engage with the Masterclass.

Due to the interactive nature of the Masterclass, seats are limited and once the quota is reached registration will automatically close.

The following topics will be covered in the workshop:


Model Risk Management today

Current and emerging issues
Contemplating the future of Model Risk Management
Workshop preview

Establishing Model Risk Management organization & culture

Model risk management organization
Model governance and validation staff
Staff size and qualifications
Compensation and incentives
Outsourcing validations
Model Risk Management policies and procedures
Audit role in MRM
Establishing effective relationships while maintaining independence

Groundwork for effective MRM (Part 1)

Overview of reporting structures and committee
Model Risk Management policy details (table of contents)
Model inventory
Model risk rating

Groundwork for effective MRM (Part 2)

Model documentation
Ongoing performance monitoring
Program standardization

Anatomy of a model validation (CECL validation case study)

Validation of a model
Benchmark and sensitivity analysis to assess model assumptions and design
Assessing the impacts and materiality of model weaknesses
Risk mitigation for model weaknesses
Validation of the applications in the bank
The validation report: balancing detail with communication of key issues and results
Leading Practices for Ongoing Performance Monitoring
Demonstrating effective challenge
Common pitfalls during a validation and ways to address them
Validation report review and challenge

Emerging issues banker

[Topics in this section can leverage banker’s specific expertise (for example, machine learning,
artificial intelligence, validating BSA/AML validation, or case study]
Data governance
Enhancing data collection and collection challenges
Data governance: model risk’s role
Data audit
Data for CECL modeling
Model performance monitoring
Challenges with validating BSA/AML models

CECL 2019 is closely linked to Stress Testing USA 2019 and is taking place the day after (November 8) in the same venue!
Why not extend your learning and attend both?

8:00 Registrations and breakfast

8:50 Chair’s opening remarks

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

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

10:50 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

Bill Collette, Director, Product Management, Wolters Kluwer
Will Newcomer, Vice President of Product and Strategy, U.S. Risk & Compliance, Wolters Kluwer

11:30 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

12:30 Lunch break and networking

1:30 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

2:10 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

3:00 Afternoon refreshment break and networking

3:30 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

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

4th October 2019

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

By Michael Jacobs, Lead Quantitative Analytics and Modeling Expert, PNC
23rd September 2019

CECL implementation for FBOs: Leveraging IFRS 9 for CECL

By Kuo-Chang Lu, Head of Strategic Planning and Business Engagement, RBC
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

9th May 2019

Aligning risk management and strategic planning

By Fabrice Fiol, MD, Deputy Head of ERM, Societe Generale
1st April 2019

Increasing cyber resilience and BCM in an advancing threat landscape

By Russell Sommers, Senior Manager, Baker Tilly
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
31st January 2019

CECL – Initial impact analysis: How to successfully action a parallel run and action on decomposing impact

By Daniel Hong, VP, CECL Wholesale Credit Implementation Lead, HSBC
29th January 2019

CECL – Managing increased sensitivity to macros assumptions across loss forecast models

By Chris Varvares, Vice President and co-head of US Economics, Macroeconomic Advisers, IHS Markit
2nd January 2019

Bringing it all together: Aligning stress testing, capital planning and CECL

By Stephen Hsu, SVP, Head of Model Risk Management, Pacific Western Bank
11th December 2018

Center for Financial Professionals announces new FinTech Research and Advisory Board

Senior practitioners across the financial services industry join FinTech Advisory Board for the Global FinTech 250 Report set to be released at the X-Tech 2019 Convention […]
29th October 2018

Developing a Holistic and Transparent Critical Spreadsheet Evaluation Process for Stress Testing

By Diane Robinette, President and CEO, Incisive Software Corporation & Janine Jakubauskas, Financial Regulatory Manager, Signature Bank
26th October 2018

Forward economic guidance in CECL and impact on CCAR

By Prasoon Saurabh, Head of Scenarios and PPNR Modelling, HSBC
15th October 2018

Risk Webinar: Stress testing for competitive advantage beyond regulatory compliance

15th October 2018

Stress Testing – Holistic firmwide risk assessment

By Fabrice Fiol, Managing Director, Societe Generale
8th October 2018

Loan default analysis: A CECL case study and beyond

By Guo Chen, PhD, Director, Quantitative Research, ZM Financial Systems
5th October 2018

Stress Testing – Aligning with regulatory expectations while meeting business needs to ensure relevant outcomes

By Jian Hu, Executive Director, Risk Analytics, Morgan Stanley
4th October 2018

Streamlining CCAR processes and ensuring effective controls and documentation

By Elizabeth Braun, Associate Director, Capital Planning and Documentation, RBC and Stephanie Cheng, VP, Quantitative Risk Analytics, City National Bank
28th September 2018

CECL snapshot report: Industry overview on progress, data, modeling and challenges


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

Book Here

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.

Earn up to 15 CPE Credits for the two-day Course.

  • 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.

CPE Credits

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

Can I present at Stress Testing USA?

Yes, the Center for Financial Professionals are happy to discuss speaking opportunities at the Congress. For further information on this please contact alice.kelly@cefpro.com

Are there any rules on the dress code?

Business attire is requested. The Congress 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 Congress, as outlined on our pricing structure.

Registration includes breakfast, refreshment breaks, lunches, the cocktail reception at the end of day One, full access to the Congress sessions and exhibition area. Presentations from sessions are also available, subject to speaker approval.

Where can I find the Congress documentation and speaker presentations?

All registered attendees will receive an email with access to documentation and speaker presentations*

All available documentation will be provided after the Congress has taken place. However we will work with our presenters to make these available before the Congress where possible.

*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 Congress, such as

  • Breakfast, lunch and refreshment breaks
  • Drinks reception at the end of the first day of the Congress (subject to confirmation)
  • Q&A, panel discussions and audience participation technology at the event and during the sessions
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 organization
  • The lowest registration will be discounted
Are there opportunities to share my thought-leadership at Stress Testing USA?

Yes there are plenty of opportunities for the Center for Financial Professionals to share thought-leadership to the attendees of Stress Testing USA and our wider risk professionals community.

At the event
We can distribute your material to the attendees or even offer you an exhibition booth so that you may enjoy a more prominent presence at the Congress. Visit the Sponsor tab for further information or contact sales@cefpro.com / +1 888 677 7007.

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 Stress Testing USA?

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 Congress website
  • Place your logo on the Congress brochure
  • Place your logo on promotional content where applicable
  • Distribute your media/marketing at the Congress
  • Promote through social media channels

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

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

Early Bird
Standard Rate
Stress Testing Congress
November 6-7


Until 25 Oct
SAVE $300


After 25 Oct

Stress Testing Congress + Model Validation Masterclass OR CECL Forum
Nov 5-7 OR Nov 6-8


Until 25 Oct
SAVE $500


After 25 Oct

Model Validation Masterclass Only
November 5


Until 25 Oct
SAVE $200


After 25 Oct

CECL Forum Only
November 8


Until 25 Oct
SAVE $200


After 25 Oct

Stress Testing Congress, Model Validation Masterclass and CECL Forum
November 5-8


Until 25 Oct
SAVE $700


After 25 Oct

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

Early Bird
Standard Rate
Stress Testing Congress
November 6-7



Until 25 Oct
SAVE $200


After 25 Oct

Stress Testing Congress + Model Validation Masterclass
November 5-7


Until 25 Oct
SAVE $500


After 25 Oct

Stress Testing Congress + CECL Forum
November 6-8


Until 25 Oct
SAVE $1000


After 25 Oct

Model Validation Masterclass Only
November 5


Until 25 Oct
SAVE $200


After 25 Oct

CECL Forum Only
November 8


Until 25 Oct
SAVE $700


After 25 Oct

Stress Testing Congress, Model Validation Masterclass and CECL Forum
November 5-8


Until 25 Oct
SAVE $1100


After 25 Oct

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 (US)

3. Download PDF Registration Form

2019 Co-Sponsors

CECL Sponsor

2019 Exhibitor

Can your organization contribute at the Stress Testing Congress?

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. 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.


TwitterLinkedInFacebookYouTubeRisk Insights