Stress Testing USA 2017: CCAR and DFAST

The future of stress testing: Incorporating into BAU for efficient delivery

Keynote Discussions

2017 stress tests
Leveraging lessons learnt from 2017

Insight from the regulator
Understanding the end vision for stress testing

Risk management in a changing regulatory environment

Model risk
Recognizing the scope of model risk as an integral aspect of stress testing

CCAR Complexities

– Building a sustainable BAU modeling process
– Increasing efficiency in stress test

Model risk
– Approaches towards model benchmarking
– Understanding PPNR model requirements
– Effective model validation methodologies
– Effective review and challenge practices

Scenario design
– Setting parameters for idiosyncratic scenario design
– Utilizing results from idiosyncratic stress tests

DFAST Requirements

Move towards CCAR
– Understanding heightened expectations under CCAR

Model risk
– Effective challenge beyond validation
– Classifying a model vs. a tool

– Application of model risk to strategy
– Idiosyncratic scenario design and using results

Insurance perspective
– Strengthening best practice beyond compliance

Quantitative Elements

Analysis tools
– Practical application for data and modeling
– Analysing tools for alignment to capabilities

System capabilities
– System infrastructure to improve data and modeling

– Integrating CECL and leveraging infrastructure
– Understanding the impact of FRTB

Model risk
– Building a strong model risk aggregation framework

Qualitative Considerations

Bridging the gap
– Applying qualitative methods when numbers can’t be applied

Aligning teams
– Aligning with strategic planning teams
– Aligning risk appetite with strategic initiatives

Incorporating into strategy
– Utilizing results and including in business plans
– Using stress testing for risk identification of current and emerging risks

– Upcoming CECL requirements and qualitative adjustments

Hear From 40+ Stress Testing Presenters Including:


Lori Evangel, CRO, Genworth Financial

Douglas Ellison, CCAR Director, MUFG Securities

Chris Smigielski, Director of Model Risk, EverBank


Tally Ferguson, Director, Enterprise Wide Risk, BOK Financial

Jon Hill, MD, Global Head of Model Governance, Credit Suisse

Vikrant Pradhan, Head of Corporate Model Risk, JP Morgan

Manan Rawal, Head of Scenarios & Modelling, HSBC

Martin Reiter, Senior Director, Economic Capital and Basel Reporting, CIBC

Sriram Sirisinahal, MD, Corporate Risk Management, Charles Schwab

Lourenco Miranda

Lourenco Miranda, MD, Regional head of Model Risk & Capital Planning, Societe Generale

Dev Chakraborty, Senior Director, Capital One

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Doug Hostland, MD, Economics Risk, TD Bank

Day One | November 7 | New York City

08:00 Registration & morning refreshment

08:40 Chair’s opening remarks
Charles Richard, SVP, QRM

09:00 An overview of 2017 stress tests and leveraging lessons learnt towards 2018

Scenario review for 2017
Qualitative challenge removed for CCAR
Lessons learnt
Adding strategic value
Preparing in uncertain regulatory times

Vikrant Pradhan, ED, Regulatory Capital Management, JP Morgan
David Biegel, US Head of Stress Testing, HSBC
Lori Evangel, CRO, Genworth Financial

09:50 Insights from the regulators: Understanding the end vision for stress testing

End state vision for the model bank
Insights for large and small financial institutions

Senior Executive, Federal Reserve Board

10:40 Morning refreshment break and networking

Stream one: CCAR

11:10 Building a sustainable BAU modeling process for strategic planning and stress testing

  • Incorporating into day to day
  • Standalone groups to manage
  • Increasing efficiency of the process
  • Including adaptability into build out

Charles Richard, Senior Vice President QRM

Stream two: DFAST

11:10 Moving towards CCAR compliance and understanding the implications for DFAST institutions

  • Heightened expectations for CCAR filers
  • Understanding infrastructure and data requirements for internal comparison
  • Additional costs and resource constraints CCAR poses


Robert Chan, SVP, Head of Quantitative Analytics, City National Bank

11:50 Increasing efficiency in the CCAR program: Reviewing tools and technology impacting the future of stress testing

  • Automating the process
  • Machine learning and innovative solutions
  • Using technology in different aspects of CCAR
  • Input for well-defined processes
  • Lowering manual intervention
  • Reducing cost and execution time
  • Limiting operational errors
  • FinTech interaction with stress testing

11:50 Effective challenge – Beyond the validation

  • Validating financial and operational risk models
  • Executing an effective challenge framework
  • Lines of defense
  • Effective challenge process, common impediments and pitfalls to avoid
  • Strategic benefits

Michael Guglielmo, Managing Director, Darling Consulting Group, Inc.

Sam Chen, Quantitative Consultant, Darling Consulting Group, Inc.

12:40 Lunch break and Networking

1:40 Reviewing approaches towards model benchmarking to support forecasting processes and satisfy regulators

  • Deciding parameters for model benchmarking
  • Data requirements
  • Primary and benchmarking models
  • Supplementary forecasting process
  • Models with impact on capital plan
  • Spelling out as policy
  • Identifying concentration vs. higher level approach
  • Model specific vs. aggregated

Doug Hostland, MD, Economics Risk, TD Bank

1:40 Application of model risk to strategy

  • DFAST stress test model implications
  • Incorporating into strategy and direction
  • Asset liability and interest rate management considerations

Chris Smigielski, Director of Model Risk, EverBank

2:20 Idiosyncratic scenario design: Setting parameter of how far to go

  • How realistic are scenarios
  • Overlays and defending models for severe scenarios
  • Handling scenario requirements in scenario generation team
  • Striking the balance between too light and too extreme
  • Conflictions between scenario generation and modelling teams
  • GAP analysis: what to do with results

Manan Rawal, Head of Scenarios and Modeling, HSBC

2:20 Acquisition culture for smaller banks: Gaining strategic value while staying below CCAR boundary

  • Gaining strategic value
  • Leveraging model automation and incorporating into balance sheet
  • Impact and boundaries of acquisition and impact on stress testing
  • Bridging the gap between CCAR & DFAST
    • Staying below CCAR boundary

3:10 Afternoon refreshment break & networking

3:40 Building CCAR compliant PPNR models: Understanding requirements and challenges in building out the program

  • Volatility
  • Adapting to strategy
  • Model development and external data
  • Linking with macroeconomic drivers

Arun Chinnasamy, Director, PPNR and balance sheet modelling, RBC Capital Markets

3:40 Idiosyncratic scenario design: Setting parameters of how far to go

  • How realistic are scenarios
  • Overlays and defending models for severe scenarios
  • Handling scenario requirements in scenario generation team
  • Striking the balance between too light and too extreme
  • Conflictions between scenario generation and modeling teams
  • GAP analysis: what to do with results

Tally Ferguson, SVP, Director of Market Risk Management, Bank of Oklahoma

4:20 Executing an effective review and challenge framework for stress testing validation

  • Internal review processes
  • Challenge in stages of stress testing
  • Strategic benefits
  • Executing an effective challenge framework

Mabel Wong, SVP, Head of Model Risk Operations Assurance and Management, Citizens Bank

4:20 Gaining insight from the insurance industry to strengthen best practices aside from regulatory compliance

  • Modeling approaches
  • Regulatory requirements
  • Enterprise risk modeling
  • Rules based regulation vs. principles based framework build out

Lori Evangel, CRO, Genworth Financial

5:00 Developing effective model validation framework and methodologies to challenge models and tools

  • Independent model risk review and challenge
  • Benchmarking/challenging models
  • Controls and security of data and models
    • Controlling changes
  • Updating validation techniques

Michele Bourdeau, Former MD, Head of Model Risk Management, TIAA

5:00 Classifying a model vs tool for an effective model risk framework

  • Developing a concrete definition of a model based on SR 11-7
  • Determining the appropriate rigor, scope, and frequency of validations for models vs tools
  • Managing and tracking models across the enterprise

Elizae Dalvi, VP, Model Risk Management, BankUnited

5:40 Chair’s closing remarks

5:50 End of day one and networking drinks reception

Day Two | November 8 | New York City

08:00 Registration & morning refreshment

08:40 Chair’s opening remarks

09:00 Risk management in a changing regulatory environment: Bringing it all together and understanding implications on stress testing

Owning internally vs. for the regulator
Taking areas valued and carry through as best practice
How much should you carry on with?
Lessons learned over the last 10 years
Global divergence of regulator standards

Nicholas Ahmon, Head of CCAR Consolidation and Review, HSBC
Jeff Prelle, VP, Risk Modeling, Scottrade
 Senior Executive, OCC

09:50 Model risk management: Recognizing the scope of model risk management as an integral aspect of stress testing and ensuring consistency for BAU

Policies and procedures
Impact on BAU for model risk
Managing the process not building it out
Model governance
Effective challenge process
Model risk gaining status
Increased scope across the enterprise
Robust recognition of model risk from senior management
Enterprise wide consistency for managing and validating

Jon R. Hill, Managing Director, Global Model Risk Governance, Credit Suisse

Stream three: Quantitative Review

11:10 Practical application of stress testing data and modeling requirements

  • Data integrity and scrubbing
  • System capabilities
  • Aligning data and approaches
  • Dealing with data error rate
  • Reliability of results
    • Unintended results with wrong data encoding

Douglas Ellison, CCAR Director, MUFG Securities

Stream four: Qualitative considerations

11:10 Bridging the gap between quantitative models and qualitative methods when numbers cannot be applied

  • Management judgement when quantitative numbers don’t work
  • Tools and judgement approaches
  • Boundaries between quantitative and qualitative
  • Management judgment and validation
  • Qualitative input for models and non-models
  • Definition and terminology of qualitative tools
  • Governance of models and non-models
  • Overlay and challenge
  • Embedding management judgement into tools

Dev Chakraborty, Senior Director, Capital One

11:50 Quantitative analysis tools: Analyzing tools for right alignment to capabilities

  • Testing predictions and accounts for loss estimation
  • Estimating losses, identifying and quantifying
  • Considering all valuables
  • Escalating to risk
  • Analyzing tools for right aligned tool
  • Scenario analyzing and measuring tail events
  • Forward looking analysis capabilities
  • Data analysis, lineage and management

11:50 Aligning stress testing and strategic planning teams for a more integrated approach to strengthen internal processed

  • Operating as two separate workstreams
  • Strengthening internal processes
  • Factoring stress testing to strategic plans
  • Arising issues: organizational, political, logistical
  • Adding quantitative element to strategic planning
  • Aligning quantitative and qualitative perspectives
  • Reg YY requirements

Lourenco Miranda, MD, Regional Head of Model Risk & Capital Planning, Societe Generale
George Lin, Quantitative Modeling Lead, Santander

12:40 Lunch break and networking

1:40 Developing systems and infrastructure for improved data management to manage complexities of models and ensure accurate outcomes

  • Link to technology, systems and infrastructure
  • BCBS 239 principles and expectations
  • Data governance
  • Consolidation of risk and finance
  • Fitting within the organization infrastructure plans
  • Ownership of project
  • Golden sources
  • Data management and lineage before using

Sriram Sirisinahal, MD, Corporate Risk Management, Charles Schwab

1:40 Utilizing stress testing results for a broader understanding of risk and incorporating into business plans

  • Incorporating into business plan
  • Moving beyond a check box exercise
  • Developing action plans
  • Leveraging stress testing for business planning
  • Distilling information across business lines and at Board level
    • Identifying concentrations and distressed markets or products
  • Using stress testing for acquisition targets
  • Impact of lesser regulatory expectations
  • Stress tests becoming too predictable

Martin Reiter, Senior Director, Economic Capital and Basel II Reporting, CIBC

2:30 How to derive prepayments and defaults from loan data

Guo Chen, PhD, Director, Quantitative Research, ZM Financial Systems

2:30 Designing a risk appetite framework and aligning with strategic initiatives

  • Ensuring major strategic initiatives are aligned with the risk appetite framework including:
    • Stress Testing
    • Capital planning
    • Financial planning
  • Influence of risk appetite framework on goal setting and performance review process

Sahasranaman Ranganathan, VP, Enterprise Risk Management, American Express

3:00 Afternoon refreshment break & networking

3:40 Integrating CECL with CCAR/DFAST and leveraging model infrastructure to accommodate forward looking projections

  • How the transition will work
  • Integration with CCAR/DFAST
  • Modelling aspects to get it right
  • Utilizing stress testing frameworks and reconciling
  • Provisioning for stress testing
  • Modelling architecture: adaptability for CECL modelling
  • Analytics and reactive models
  • Driving down into individual loans

3:40 Strengthening stress testing framework for risk identification of current and emerging risks and building more robust frameworks

  • Merging quantitative and qualitative aspects
  • Integrating with a more robust framework
  • Overreliance on historic data
  • Incorporating a forward-looking view for risk identification, risk taxonomy and emerging risks
  • Empirical and model aspects
  • Aligning quantitative and qualitative forward view
  • Quantitative modeling that allows management views
  • Including ideas, assumptions and expert judgment
  • Full quantitative model with forward looking view

4:20 Model risk management: Recognizing the scope of model risk management as an integral aspect of stress testing and ensuring consistency for BAU

  • Policies and procedures
  • Impact on BAU for model risk
  • Managing the process not building it out
  • Model governance
  • Effective challenge process
  • Model risk gaining status
    • Increased scope across the enterprise
  • Robust recognition of model risk from senior management
  • Enterprise wide consistency for managing and validating

Stephen Hsu, SVP, Head of Model Risk Management, PacificWesternBank

4:20 Reviewing upcoming CECL requirements and the increased qualitative requirements and adjustments

  • Governance
  • Role of auditors and regulators
  • Horizontal review
  • Documentation requirements
  • Qualitative adjustments on historical projections

5:00 Chair’s closing remarks

5:10 End of Congress

Nicholas Ahmon
Nicholas Ahmon, Head of CCAR Consolidation and Review, HSBC

will be presenting at Stress Testing USA 2017: CCAR and DFAST

David Biegel, US Head of Stress Testing , HSBC

David Biegel is US Head Stress Testing at HSBC. Mr. Biegel joined HSBC in 2016 from the Bank of England where he held a number of senior management roles, including Head of the Traded Risk Division and Head of the Risk Infrastructure, Liquidity and Capital Division. At the BoE, he led the design and implementation the BoE’s first concurrent stress testing exercise in 2014. Before joining the BoE, Mr. Biegel was a consultant at Oliver Wyman and an economist at UBS.


Michele Bourdeau, Former MD, Head of Model Risk Management , TIAA

will be presenting at Stress Testing USA 2017: CCAR and DFAST

Bond Caldaro, Senior Consultant, FIS

Bond Caldaro serves as a Senior Consultant for FIS’ Risk Advisory practice. In this role, Bond has been responsible for leading project teams to address the risk management needs for both community banks and large US Bank Holding Companies. Bond has contributed to the development of models for stressed loss-given-default, loan production, and profit-margin forecasting, as well as the CECL model framework used by FIS’ Risk Advisory group. The projects Bond has completed include DFAST credit-loss models, creating risk-rating scorecards, developing model overlays, and reforming standards for governance and documentation content. Bond enjoys problem solving, and is dedicated to engaging clients with valuable insights gained using mathematical analysis to inform sound risk-management decisions.
Bond earned a BA in Mathematics and Physics at Skidmore College, a Master’s degree from University of Minnesota in Mathematics, focusing on Representation Theory, and a Master’s degree from NYU in Mathematics Education.

Dev Chakraborty
Dev Chakraborty, Senior Director, Capital One

will be presenting at Stress Testing USA 2017: CCAR and DFAST

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Robert Chan, SVP, Head of quantitative analytics, City National Bank

As the Senior Vice President, Head of Quantitative Risk Analytics at City National Bank, Robert Chan leads City National’s Bank’s enterprise wide efforts for the annual DFAST submission and City National’s portion of the CCAR submission for RBC, including coordinating efforts in process planning, risk ID, model development, model validation, internal audit, documentation, governance, PPNR forecasting and review and challenge.

Prior to working at City National Bank, he has worked in investment and corporate banking roles at Peter J. Solomon Company and BMO Capital Markets, respectively. Robert earned a Bachelor’s Degree in Economics and Master’s degree in Statistics from Harvard University and an MBA from the University of Chicago, concentrating in Analytic Finance and General Management.

Guo Chen, PhD, Director, Quantitative Research, ZM Financial Systems

As Director, Quantitative Research, Guo Chen, PhD, is responsible for the fixed-income analytics in the solutions ZM Financial Systems provides to its clients. Chen oversees the prepayment modeling for the firm’s flagship products ZMdesk and With extensive knowledge of various interest rate term structure models, Chen leads the quantitative research team to conduct research on market trends, and perform sensitivity analysis. He is currently developing historical loan loss data modeling to help institutions respond to the upcoming CECL requirements.

Chen joined ZMFS in 2004 as a Senior Quantitative Research Associate, focusing on BondSwaps, VaR and working with 3rd party providers such as Intex, Yield Book and Bloomberg. Chen received his B.S. in Computational Mathematics from Nankai University, his MS in Optimization from Peking University, and obtained his PhD in Applied Mathematics from North Carolina State University

Sam Chen
Sam Chen, Quantitative consultant, DCG

As a Quantitative Consultant at Darling Consulting Group, Sam validates a variety of risk models for financial institutions in the large bank space—including risk rating (PD/LGD), stress testing, allowance and deposit models—from both a statistical and business perspective. Sam combines his background in econometrics with his model building experience to bring practical model risk management insights to DCG’s validation clients.

Before arriving at DCG, Sam served as a senior consultant in SunGard’s Risk & Performance group, where he developed models in multiple areas of financial risk, with a focus on credit and interest rate risk. Sam designed SunGard’s Dodd-Frank Act stress testing model selection algorithm and has also created custom PD and LGD models, including a suite of models currently implemented at a top 15 U.S. bank.

Sam graduated cum laude with a bachelor’s degree in economics with mathematical applications from Princeton University. While at Princeton, he was the recipient of the John Glover Wilson Memorial Award for his thesis studying the economics of bargaining.

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Arun Chinnasamy, Director, PPNR and Balance Sheet Modelling, RBC Capital Markets

Arun is a Director in the PPNR modelling team at RBC Capital Markets focussing on developing statistical models, expert judgment analytics and forecasting other supporting metrics for both banking and trading books to meet CCAR requirements. He has over 10+ years of analytical experience both in industry and as a consultant ranging across CCAR, PPNR modeling, risk modeling (Basel PD, LGD, stress models, ALLL), financial forecasting 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.

Elizae Dalvi headshot
Elizae Dalvi, VP, Model Risk Management, BankUnited

Elizae Dalvi is VP Model Risk Management at BankUnited. Based in Miami, she was instrumental in developing the Model Risk Framework and is responsible for managing all aspects of model risk including model validations, ongoing monitoring, governance, policies, and controls. She has experience in a range of models covering DFAST, ALLL/CECL, credit risk, market risk, pricing, residential mortgage, and commercial real estate.

Elizae has a strong technical background in quantitative modeling, statistical analysis, and computer programming. She holds two Master of Science degrees: the first in Computer Science from the University of Cincinnati and the latter in Financial Mathematics from the University of Chicago.

Douglas Ellison
Douglas Ellison , CCAR Director, MUFG Securities

Douglas is responsible for implementing and running CCAR at MUFG Securities and interfacing with the IHC as appropriate.

He is also responsible for implementing and running US Basel 3 implementation, production and associated regulatory reporting at MUFG Securities and reporting to the IHC.

Recently he became head of the Information and Data Management function at MUFG Securities which has three clear functions. It acts as data steward for various static data necessary for the institution. It produces various risk and finance internal reports, managing all aspects of the production process. Finally it is charged with developing all aspects of the firm’s compliance with BCBS 239 and executing a risk/finance data integration programme.

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Lori Evangel, CRO, Genworth Financial

Lori M. Evangel is Executive Vice President and Chief Risk Officer for Genworth. Lori joined Genworth in January of 2014. Prior to Genworth she was Managing Director and Chief Risk Officer at Aflac’s Global Investment Division. Prior to Aflac Lori served as Enterprise Risk Officer at MetLife with responsibility for global enterprise risk management leading a cross-functional team in more than 50 countries. Lori also served in key risk management roles at MBIA Insurance and Moody’s Investor Services. At Genworth Lori is responsible for leading all aspects of enterprise risk management including creating, implementing, and leading global risk management systems and strategies.

Lori holds a BA in Political Science from Middlebury College in Vermont and an MBA in Finance from the State University of New York at Albany. She resides in Richmond, Virginia with her family.

Tally Ferguson, Director of Enterprise-wide Risk, BOK Financial

Tally Ferguson brings a unique blend of regulatory compliance and quantitative risk management skills with 32 years experience as a bank regulator, regulatory consultant and risk manager. Tally Ferguson is currently the Director of Enterprise-wide Risk Management at BOK Financial, responsible for enterprise wide risk governance, market risk monitoring, model risk analysis and validation and coordinating the corporate insurance program. Prior to coming to BOKF in 1996, Mr. Ferguson was a regulatory consultant for Ernst & Young and helped clients implement numerous regulatory initiatives including comprehensive risk management programs and interest rate risk initiatives. Mr. Ferguson got his introduction to banking as an examiner with the Federal Reserve Bank of New York, where he began in 1985 and progressed to Supervising Examiner by March of 1994.

Mr. Ferguson has an undergraduate degree in Economics and Mathematics from Yale University and an Executive MBA from the Wharton School: He is a CFA charterholder and carries Series 7, 24, 63, 4 and 53 licenses. He is also an adjunct instructor of finance at the University of Tulsa.

Michael Guglielmo, MD, DCG

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.

Jon R. Hill, Managing Director, Global Model Risk Governance, Credit Suisse

Jon Hill, Ph. D., is a Managing Director at Credit Suisse Is Global Head of Model Risk Standards within the Firm’s Global Model Risk Governance group. Jon has over 20 years of experience at several institutions in model risk management, validation and governance. Prior to joining Credit-Suisse in January of 2017, Jon was an Executive Director and Global Head of Market and Operational Risk Model Validation at Morgan Stanley for 7 years.  Before that Jon was a member of the model validation team at Citigroup for 10 years. The MRG team is responsible for the ongoing identification, measurement, risk rating, inventory and monitoring of CS corporate model risk across all business units, regions and legal entities.

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Douglas Hostland, Managing Director, Economics Risk, TD Bank

Doug oversees TD Economics’ role in stress testing exercises for regulatory requirements in the US (CCAR / DFAST) and Canada (EWST / MST). TD Economics plays a prominent role in the, scenario design aspects of the process. The Economic Risk team plays a prominent role in risk identification and the scenario design process. We generate projections of key macroeconomic and financial variables for baseline and stress scenarios using a suite of models developed internally.

Prior to joining TD, Doug held positions at the Bank of Canada, the Department of Finance Canada, World Bank, IMF and the Institute of International Finance.

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Stephen Hsu, SVP, Head of Model risk management, PacificWesternBank

Stephen Hsu is the SVP, Head of Model Risk Management for Pacific Western Bank. He has more than 14+ years of experience in risk and capital management. In this role, Stephen oversees model risk management function in the Bank and leads the Bank’s model risk management strategy, initiative and practice including model governance, model risk appetite, model inventory, risk assessment, model validation, model risk reporting, etc. Before joining Pacific Western Bank, Stephen was a Director in KPMG, leading model validations for CCAR/DFAST PPNR and credit loan loss models in top-tier US and global banks. Prior to KPMG, Stephen worked for MUFG in several roles, including Director of Economic Capital Group, AMA Operational Risk Management Group, etc.

Prior to MUFG, Stephen was a VP for Bank of America in Capital Portfolio and Risk Analysis Group. Stephen holds his PhD in Economics from University of California, Los Angeles.

Justin Huhn
Justin Huhn, Head of CCAR for risk, Deutsche Bank

will be presenting at Stress Testing USA 2017: CCAR and DFAST

George Lin headshot
George Lin, Quantitative Modeling Lead, Santander

George is a Vice President of Quantitative Modelling at Santander where he focuses on the development of PPNR models. He oversees the full scope of the modelling lifecycle across all of Santander’s portfolios. George previously worked at Deutsche Bank and Deloitte in quantitative analytical roles.

Lourenco Miranda
Lourenco Miranda, Managing Director, Societe Generale

Prof. Dr. Lourenco Miranda is the Regional Head of Model Risk Management, Capital Planning for the Americas in Société Genérale. He joined the Bank in February this year 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 50 regulatory jurisdictions. On the academic world, for the past 25 years, Lourenco has held faculty positions in multiple academic centers worldwide in the field of Financial Mathematics; has been in the board of international professional institutions and a regular speaker at major international risk conferences. Currently, Lourenco is Adjunct Professor of Risk Management and Data Science at Fordham Gabelli School of Business in NYC. Besides that, Lourenco is a published author. His work can be found on shelves either as a writer of books in risk and finance or as an author of articles in peer-reviewed journals. Lourenco himself is a reviewer of professional and academic Journals in Risk as well as a regular contributor/writer to the renowned Risk Magazine; same magazine that nominated him for the Risk Manager of the Year Award in 2006 for implementing a Risk Innovation program in an international European Bank. Lourenco holds PhD in Statistical Physics and Financial Risk Measurement.

Vikrant Pradhan
Vikrant Pradhan, ED, Regulatory Capital Management Office, JP Morgan

Vikrant (Vik) Pradhan is an Executive Director and one of the founding members of the “Challenger” function within JP Morgan. Vik joined the Regulatory Capital Management Office with a focus on Capital Stress Testing Analytics in 2013. Vik has a broad range of industry experience with 12+ years within financial services. His experience includes Business planning, Balance sheet forecasting, P&L analytics, Product Profitability, Asset Liability Management and Liquidity Risk oversight. Vik holds an MBA from the University of Houston and a Bachelor’s degree in engineering from College of Engineering Pune, India.

Jeff Prelle
Jeff Prelle, VP, Risk Modeling, Scottrade

Jeff Prelle is the Vice-President of Risk Modeling for Scottrade, Inc.  Jeff leads Scottrade’s Risk Modeling teams focused on Stress Testing, Model Development, and Asset/Liability Management.  His team is responsible for managing, developing, and overseeing the Federal Reserve and OCC’s DFAST program at Scottrade, Inc. and Scottrade Bank.

Jeff’s professional experience with Moody’s Analytics, State Farm, and Grant Thornton includes managing numerous engagements related to DFAST, CCAR, ICAAP, Basel II and III, Sarbanes-Oxley, PD, LGD, EAD, and DFAST modeling as well as creating underwriting policies and redesigning credit assessment structures for Top 10 Banks in the United States and internationally. His areas of expertise include model development, risk management, credit, capital regulation and assessment (Basel II, Basel III, CCAR, etc.).

Jeff has a MBA in Finance from the University of Connecticut and a BS in Accounting from the Pennsylvania State University. He completed the Accounting PhD program coursework at the University of Connecticut which included courses in actuarial statistics, mathematical economics, advanced econometrics, behavioral and empirical research methods.

Sahas Ranganathan
Sahasranaman Ranganathan, VP, Enterprise Risk Management, American Express

Sahas Ranganathan leads the Enterprise Risk Management (ERM) function for AXP. His team focuses on critical “Second Line of Defense” frameworks and activities, including: risk appetite, economic capital, Board risk reporting, risk identification, risk policy and governance, incentive compensation, country risk, reputational risk, and oversight of new products and M&A. He recently led a significant effort to enhance the Risk Appetite Framework by establishing a system of limits, escalations and controls linked to stress testing, capital, strategic, and financial planning.

In his previous role, he served as secretary of the Enterprise Risk Management Committee (ERMC), and managed the meetings of this as well as the Board Risk Committee.

Early in his career, he was part of the Consumer Credit Risk team ensuring profitable point of sale authorization strategies.

Sahas has a degree in Mechanical Engineering from the Indian Institute of Technology, Madras, and an MBA from the Indian Institute of Management, Ahmedabad. He is also a certified Financial Risk Manager with the Global Association of Risk Professionals.

manan rawal
Manan Rawal, Head of Scenarios and Modeling, HSBC

Manan is currently a Senior Vice President at HSBC where he focuses on stress testing and enterprise wide risk management. Previously, he was Regional Manager of OTC Derivatives Pricing and Risk for HSBC’s securities services division which involved evaluating client portfolios across multiple asset classes and strategies in the alternative investment space. Manan also worked at Deutsche Bank, Swiss Re and DKR Capital. At DKR, he ran a portfolio focusing on global volatility trading across convertible bonds and equity derivatives. His experience covers portfolio management for derivative products as well. He is also an adjunct faculty member at the New York Institute of Finance. Manan specializes in courses related to the trading and risk management of derivatives across asset classes, including equity, fixed income, foreign exchange and credit. His course offerings have also included stress testing, Asian capital markets, and structured products.

Manan has a B.S. Finance from the Wharton School at the University of Pennsylvania, M.Sc. in Economics from the London School of Economics and an executive MBA from the Trium program (



Martin Reiter
Martin Reiter, Senior Director, Economic Capital and Basel II Reporting, CIBC

will be presenting at Stress Testing USA 2017: CCAR and DFAST

Charles Richards
Charles Richard, SVP, QRM

will be presenting at Stress Testing USA 2017: CCAR and DFAST

Sriram Siri
Sriram Sirisinahal, MD, Corporate Risk Management, Charles Schwab

Sriram Sirisinahal is currently the Managing Director of Corporate Risk Management at Charles Schwab. He currently oversees Technology, Data & Reporting for Market, Capital, Liquidity and Credit Risk. He led the development of a Data Strategy for Capital Stress Testing focused on automated data aggregation, end-to-end model integrations and scalable analytical platforms. He has more than 12+ years of experience in Financial Services Risk Management and Consulting with expertise in applying technology to improve processes through automation and advanced analytics.

Sriram holds an MBA from UC Berkeley, a Masters in Computer Science from NJIT where he specialized in Bioinformatics and a Bachelor degree in Computer Science from Rutgers University.

Chris SMigielski
Chris Smigielski, Director of Model Risk, EverBank

Chris Smigielski has been with TIAA FSB’s Enterprise Risk Management Group for approximately five years; in his current role as Model Risk Management Director and previously as Enterprise Risk Manager – Capital Markets and Treasury. Chris has over 25 years of financial services industry experience, primarily in Asset/Liability Management (ALM), market risk modeling, financial model development and model validation. As VP & Sr. Quantitative Analyst at HSBC (US), Chris’ responsibilities included market risk modeling and reporting. His prior experience includes working as a Sr. Consultant at Diebold and Fiserv, two leading bank service providers, as SVP of Finance for a community bank, and as an ALM Analyst and ALCO member at First Niagara.

Mabel Wong, SVP, Head of Model Risk Operations Assurance and Management, Citizens Bank

Mabel is the Program Director in Model Governance within Citizens Bank. She has been with Citizens for 32 years and has a wide range of institutional knowledge and connections in a management capacity across areas of model risk, retail, commercial, portfolio management.

Recent relevant experience includes: oversight of the end-to-end processes in the realm of model risk management. Notably, she has been the key driver for having stress testing models validated and delivered for the Bank’s CCAR submissions.

She built processes and analytical tools to enable effective resource management and a review and challenge framework for stress testing model validation.

Education and credentials: B.A. Marketing Analytics and Business Management, Baruch College, New York PMBOK trained

21st September 2017

Moving towards CCAR compliance and understanding the implications for DFAST institutions

6th September 2017

2017 stress tests and leveraging lessons learnt towards 2018

29th August 2017

Scenario design under new supervisory guidance

29th August 2017

CCAR efficiency

10th August 2017

What are the top areas of concern for the next round of stress testing?

14th June 2017

Banking on resilience: putting stress to the test

27th April 2017

Effective challenge – Beyond the validation

16th March 2017

Designing an integrated stress testing framework and combining risk framework for better efficiency

14th February 2017

The role of internal audits in capital adequacy planning and stress testing

1st February 2017

Stressing over stress testing: Introduction to the components

28th November 2016

Reviewing the 2016 CCAR & DFAST stress tests and looking towards 2017

28th November 2016

Stress testing: Current problems and the path ahead

3rd November 2016

Data & technology as it relates to model governance

1st November 2016

Improving usefulness of PPNR CCAR stress test models: Adding 30+ years of rate data to deposit balance models

24th October 2016

Addressing imperfect results in your PPNR CCAR Models

14th October 2016

Overview of the process for new filers and existing ones: Controls and best practices

5th October 2016

CCAR: Tackling stress testing with AxiomSL’s enterprise-wide integrated platform

30th September 2016

Data challenges specific to CCAR to ensure accurate data inputs

27th September 2016

Comparing SR 15-19 to 15-18 as a guide for what is to come for DFAST banks

23rd September 2016

Reviewing the 2016 CCAR & DFAST stress tests and looking towards 2017

2017 Co-Sponsors


Argus Information and Advisory Services is a Verisk Analytics Company (NASDAQ: VRSK) and the leading provider of analytics, information and solutions to consumer banks and their regulators. Argus helps its clients maximize the value of data and analytics to allocate and align resources to strategic objectives, manage and mitigate risk (default, fraud, funding and compliance), and optimize financial objectives.
Our professionals have substantial industry knowledge, typically greater than fifteen years of experience, in providing solutions to the financial services sector. We are known for our unique ability to blend the highly technical, data-centered aspects of our projects with expert communication and business knowledge.

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 analytics).

FIS Risk Solutions

FIS’s solutions for risk management cover pre- and post trade risk management; integrated, enterprise-wide market, liquidity, credit and operational risk management; asset liability management; and trade surveillance. These solutions can be used across trading and clearing platforms and around multiple asset classes to help organizations better understand their exposure, improve the visibility and understanding of risk across the enterprise, and comply with regulations globally. FIS Risk Solution’s customers include banks, broker dealers, securities firms, clearing houses, hedge funds, pension funds, asset managers, insurance companies, corporations and government entities of varying sizes, geographical locations and organizational complexities.

McGuire Performance Solutions

MountainView-McGuire has provided innovative compliance solutions for financial institution balance sheet management since 1995. Services include financial model validations (ALM, Liquidity, Capital Stress Testing, Mortgage Servicing Rights, Loan Prepayments, etc.); statistical analyses of deposit supply, pricing, term behavior and value; and statistical analyses of loan prepayments.

Quantitative Risk Management

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.

ZM Financial Systems

We bring practical solutions to your difficult financial problems. Offering on-line and in-house solutions in securities and fixed-income analytics, credit-adjusted ALM, liquidity, risk management, budgeting and funds transfer pricing, we can help you better manage your risk and profitability.

Endorsed By:

New York Institute of Finance

The New York Institute of Finance (NYIF) located in the heart of Wall Street is a global leader in training for financial services and related industries. Started by the New York Stock Exchange in 1922, it now trains 50,000+ professionals in over 120 countries. NYIF courses cover everything from investment banking, asset pricing, insurance and market structure to financial modeling, treasury operations, and accounting. The institute has a faculty of industry leaders and offers a range of program delivery options, including self-study, online courses, and in-person classes. Its US customers include the SEC, the Treasury, Morgan Stanley, Bank of America and most leading worldwide banks. In 2017, NYIF launched two new financial designations, now includes Chartered Investment Banking Analyst™ and CFRE™. Chartered Financial Risk Engineer™ (CFRE™) will compete with other credentials in the financial risk management space, as well as with graduate programs in finance and risk management offered by top universities.

Can your organization contribute at our Stress Testing USA 2017?

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. Below is an outline of what we can offer, but please contact 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 Publications

We are happy to support publications, associations and organizations 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 or call +1 888 677 7007.

Media Partners:

Model Risk Management & Validation Masterclass

A pre-event Masterclass
Taking place on Monday November 6 

The Masterclass will be led by four Senior Risk Professionals from Darling Consulting Group

Drew Boecher

Drew Boecher, Managing Director

Sam Chen

Sam Chen, Quantitative Consultant


Michael ‘Mike’ R. Guglielmo, Managing Director


Joe Montalbano, Quantitative Consultant

Guest Speaker
John Perez, SVP, Manager – Financial Analytics, Webster Bank

John is currently SVP, Manager – Financial Analytics at Webster Bank, where he is committed to providing clear, concise, complete, timely and accurate model development to meet business needs and regulatory expectations. Prior to that he was VP, Model Risk Manager at Webster. John has 15 years’ experience in banking, insurance, energy, and education. 

Guest Speaker
Holly A. Ray, Head of Global Financial Crimes Model Risk and Tuning, Morgan Stanley

Holly leads a team of specialists in the ongoing development and optimization of models supporting GFC’s programs globally. Holly and her team are responsible for supporting the groups’ segmentation and tuning/optimization initiatives in areas such as Compliance, Trade Surveillance, Anti-Money Laundering, Sanctions/Screening, Anti-Corruption, and the Financial Intelligence Unit while working closely with the Firm’s technology and quantitative data analytics groups.

Masterclass Agenda

08:00am Registration & Morning Coffee

08:45 Welcome and workshop overview

09:00am Next level model risk management

Supervisory guidance: OCC 2011-12 / SR 11-7, DFAST rule, etc. | Recent examination experiences: What are supervisors looking for?

09:30am Model risk management cultural evolution

Roles and responsibilities of business lines vs. model risk managers vs. auditors | Model risk management governance | Model risk management policies and procedures

10:15am Morning Refreshment Break & Networking

10:30am Best practices in stress test model development

Building an effective model development framework that fosters accurate models Evaluating statistical techniques Measuring model performance (and validity)
Effective data management

12:00pm Lunch Break & Networking

12:45pm Model lifecycle management

Assumption management | Routine checks on model performance
Documentation | Resolution of disputes over model issues | Correcting findings detected in a validation | Revalidation of models | The “annual touch”

01:45pm Vendor models – validation case study

Validation of the model – managing the vendor to get what’s needed | Validation of the application(s) in the bank | The validation report | Residual model risk Common pitfalls and ways to address them

03:15pm Afternoon Refreshment Break & Networking

03:30pm Follow-up to validations: The validation is complete – now what?

The model risk report, aggregate model risk, and reporting to senior management and the board | Getting strategic value out of the process – how does this funnel into enterprise risk strategy? | Leading practices in model risk management

04:30pm Q&A and open discussion

Event Super Early Bird
(Register by October 6)
Early Bird
(Register by October 27)
Standard Rate Register now
Pre-event Masterclass:
Model Validation Tools for Stress Testing
Save $300
Save $200
$999 Register
Main Congress:
Stress Testing USA: CCAR & DFAST 2017
Save $700
Save $400
$1999 Register
Main Congress and Masterclass $1998
Save $1000
Save $600
$2998 Register

Hilton Midtown New York
1335 Avenue of the Americas
New York City
NY 10019

Preferential rates are available to attendees at only $379++ per night per room. To book online please visit or alternatively you can book over the phone by calling +1-800-445-8667 and quoting code CFPST.

Event Super Early Bird
(Register by October 6)
Early Bird
(Register by October 27)
Standard Rate Register now
Pre-event Masterclass:
Model Validation Tools for Stress Testing
Save $300
Save $200
$999 Register
Main Congress:
Stress Testing USA: CCAR & DFAST 2017
Save $700
Save $400
$1999 Register
Main Congress and Masterclass $1998
Save $1000
Save $600
$2998 Register
Group Bookings:

Group rates are available for three or more attendees from the same organization, 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.

Credit Card Payments

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Other ways to register

1. Save Time – Register by Email

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

2. Contact Us Directly

3. Download the PDF Registration Form

Stress Testing USA Brochure

Up to 22.5 Credits

15 for the main congress

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2017 Co-Sponsors

Endorsed By:

New York Institute of Finance

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