
9th Annual Risk Americas Convention 2020
Day One | May 12, 2020
Marriott Downtown, NYC
8:00 Registration and breakfast | 8:40 Center for Financial Professionals Welcome | 08:50 Chair’s Opening Remarks
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KEYNOTE ADDRESS
Session detailsÂ
- Evolution of risk appetite and priorities and making risk appetite actionable
- Combining qualitative statements and quantitative metrics
- Stature of risk in an organization
- Education of risk appetite and keeping it at the forefront
- Changing and embedding risk culture into risk appetite
- Aggregating metrics to balance risk appetite and risk profile
Michael Alix, Americas CRO, UBS
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PANEL DISCUSSION
Session detailsÂ
- Changes to the role with ongoing automation
- People risk and impact on staffing
- Requirements from academia to produce new candidates
- Changes in requirement profile with increased use of AI and machine learning
- Â Skillsets and talent for senior personnel
Oliver Jakob, International CRO, Mitsubishi UFJ
Anthony Peccia, CRO, Citibank Canada
Vivek Tyagi, CRO, Transaction Banking, Goldman SachsÂ
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KEYNOTE ADDRESS
Session detailsÂ
- ESG issues for ethical investing
- Incorporating into portfolios
- Understanding where risk plays a part
- Reducing carbon footprint of the industry
Jacques Longerstaey, CRO, NuveenÂ
10:50 Morning refreshment break and networking
Stream One: Innovation in Risk Management
Stream Two: Non-Financial Risk and Resilience
Stream Three: Market Trends and Financial Risk
Stream Four: Model Risk Management
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AUTOMATION AND EFFICIENCY
Session detailsÂ
- Reducing labour intensive functions
- Substituting for high productivity automated solutions
- Reducing manual input
- Explainability of models
- Harmonizing data sources and creating intelligence systems
- Increasing automation and analytics
Azlina Wetmore, Head of Commercial Credit Policy and Innovation, Capital OneÂ
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CYBER RISK
Session detailsÂ
- Increased investment across the industry
- Increased use of ransomware: Understanding exposure
- Controls and mitigation
- Education gap between risk and technology teams
- Global data privacy requirements
- Safeguarding the information of customers
Tom Wells, SVP, CRO, Digital, US BankÂ
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REPO MARKETS
Session detailsÂ
- Funding from the Federal Reserve
- Short term repo rate fluctuations
- The impact of compliance and regulation on liquidity
- Spike in interest rates
- Impact on treasury and funding
- Changes to business
Oskar Rogg, MD, Head of Treasury, Americas, Credit Agricole
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MODEL DEFINITION
Session detailsÂ
- Expanding definitions rom regulators
- Movement towards qualitative models
- Treatment of AI and machine learning
- Impact to inventory
- Determining models vs. non models and qualitative methodology
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PANEL DISCUSSION
Session detailsÂ
- Protecting customers and reputation when making decisions
- Use cases and case studies
- Influence on solving risk problems
- Partnering with FinTechs
- Getting comfortable with black box models
Murad Nayal, Global Head of Risk Informatics, Goldman Sachs
Chris Ekonomidis, Director, BNY Mellon
Markus Kammer, COO UHNW, Investment Banking and Capital Markets, Credit Suisse tbc
Manoj Kulkarni, Managing Director, BarclaysÂ
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PANEL DISCUSSION
Session detailsÂ
- Creating innovative processes to defend internally and externally
- How risk and cyber security teams are acting harmoniously to serve the business interests
- Changing culture to be more cyber aware
- Building controls to keep ahead of change
- Risk identification and assessment
Tom Wells, SVP, CRO, Digital, US Bank
Byron Collie, Head of 2nd Line Cybersecurity Risk in Operational Risk, Goldman Sachs
 Rajat Baijal, MD, Global Head of Enterprise Risk, Cantor Fitzgerald
Phil Masquelette, SVP and CRO, Ulster Savings BankÂ
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PANEL DISCUSSION
Session detailsÂ
- Preparedness of infrastructure for a low or negative rate environment
- Impact of negative European rates
- Impact on pricing and portfolios
- Best practice to monitor risk in a low rate environment
- Modeling to asses impact
- Testing and monitoring
- Global rate environment
- Internal audit approaches to interest rate risk
Dajun Tuo, Head of Market Risk Analytics and Economic Capital Modeling, GE Capital
Mike Huff, Senior Director, Portfolio Management and Asset Allocation, TIAA
Oliver Jakob, International CRO, Mitsubishi UFJ
Michael Yemola, Audit Director, TD BankÂ
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PANEL DISCUSSION
Session detailsÂ
- Inventory management to identify all models
- Identifying where models are and where data comes from
- Increasing efficiency and automation opportunities
- Validating models and data input
- Approaches to ensure inventory is complete
- Model risk control and governance process
Teuku Arckyansyah Meraxa, Director, Strategic Initiatives and Model Governance, American Express
Judith Hilton, Regional Chief Risk Officer, Deutsche Asset Management
Andreza Barbosa, Global Head of Model Governance, Goldman Sachs
Chris Smigielski, VP, Model Risk Management, Arvest BankÂ
12:50 Lunch break and networking
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CLIENT EXPERIENCE
Session detailsÂ
- Understanding CX as a practice and its impact
- The role of design as part of the practice
- Navigating cultural differences
- Establishing new ways of working
Martin Lange, Director, Client Experience Strategy, BNY MellonÂ
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PAYMENTS
Session detailsÂ
- Increased use of mobile banking
- Monitoring third party platforms
- Risk of real time transactions and limited monitoring
- Transparency and understanding of where money is coming from
- Managing and monitoring risk
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ECONOMIC DOWNTURN
Session detailsÂ
- Changes to risk profile
- Managing balance sheet and asset liability
- Interest rate and liquidity changes
- When will the next downturn be and how severe will it be?
- Economic factors pointing to a recession
- Managing a future credit crunch
Phil Ohana, Executive Director, Market Risk Audit Expert, UBSÂ
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RISK QUANTIFICATION
Session detailsÂ
- Using models to define and measure risk
- Aggregating risk and reporting
- Approaches to aggregate model risk
- Regulatory expectations
Kapil Vohra, Director, Head of Barclaycard IVU, BarclaysÂ
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AI AND MACHINE LEARNING
Session detailsÂ
- Practical uses of the technology
- Looking beyond proof of concept
- Adopting of techniques in second line
- Validating first line processes
- Determining appropriate uses and building controls
- Protecting customers with algorithms
Swapna Malekar, Product Lead, RBC
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NON-FINANCIAL RISK
Session detailsÂ
Anthony Peccia, Chief Risk Officer, Citibank CanadaÂ
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ECONOMIC DOWNTURN CONTINUED
Session detailsÂ
- What is different/similar this time?
- Quantitative and qualitative considerations
- Ensuring your framework is forward-looking and effective
- maintaining discipline and ensuring action ability
- Portfolio rebalancing and strengthening your balance sheet
- Risk mitigation, structured solutions, and insurance protection
Stevan Maglic, SVP, Head of Quantitative Risk Analytics, Regions BankÂ
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MODEL REVIEW
Session detailsÂ
- Reviewing basic assumptions
- Balancing quantitative validation with business needs
3:10 Afternoon refreshment break and networking
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AI AND MACHINE LEARNING
Session detailsÂ
- Regulatory outlook on use of automation techniques
- Demonstrating to regulators understanding of algorithm process and outputs
- Building governance structures
- Responsible adoption of AI and machine learning
- Removing bias from data and outputs
- Producing a maturity model for AI
Yogesh Mugdal, Director, Emerging Technology Risk, Citi
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THIRD PARTY RISK
Session detailsÂ
- How risk is shifting to third parties
- Regulators engaging third parties to develop risks and controls
- Developing KRIs and risk mitigation strategies
- Developing a sophisticated third party risk management program
- Roles of risk, operations and procurement across the lifecycle
- Contract validation
- Establishing effective metrics
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BOND MARKETS
Session detailsÂ
- Increased leverage in bond market
- Housing market outpacing wages
- Impact of a downturn or recession
- Increased risk of default
- Opportunities and risk of the leverage corporate market
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ENTERPRISE MRM
Session detailsÂ
- SR11-7 rule to ensure consistent approaches
- Validation of models and assumptions
- Creating overlays and expert judgement to produce scenarios
- Aligning unique composition of portfolios
- SME to evaluate conceptual soundness
Heather Russell, Director Model Risk Management, Bank of AmericaÂ
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REGTECH
Session detailsÂ
- Capturing more data and risk
- Upgrading current models
- Regulatory view on technology uses
Olmo Vázquez, Global CEO, Mirai ALM Advisory & MAT
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RISK ID
Session detailsÂ
- Identifying and aggregating material risks
- Striking the balance between granularity and high level risks
- Meeting internal reporting expectations and managing risk
- Meeting regulatory demands and concerns
- Educating the board to interpret the risk information
- Enabling true risk identification
Julia Lo, Director, PrudentialÂ
James McIntosh, ED, Head of Enterprise Risk Management Programs, CIBCÂ
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IBOR
Session detailsÂ
- Global replacement indexes
- Differences with new reference rates
- Functionality of SOFR
- Trading SOFR based products
- Finding stability in SOFR performance
- Overnight collateral with no credit spread
Tom Braun, Executive Director, Head of CUSO Liquidity and Funding, UBSÂ
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MODEL LIFECYCLE
Session detailsÂ
- Lifecycle of a model
- Finding models to build inventory
- Finding data sources
- Ongoing management and checking
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PANEL DISCUSSION
Session detailsÂ
- Uses for internal ledger accounting
- Utilizing for fraud prevention
- Mandating requirements
- Decentralized financing disruption to traditional banking
- Uses of digital currency: Facebook Libra and JP Morgan case study
- Using blockchain for risk detection
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PANEL DISCUSSION
Session detailsÂ
- Relationship with risk appetite
- Guidance in the US compared to Europe/UK
- Converting existing processes and frameworks
- Assigning critical business owners
- Understanding where resilience fits within a risk management framework
- Methodologies and structures
Melissa Mellen, Officer and Department Head of Policy, Analytics and Vendor Strategy, Federal Reserve Bank of New York
Mark Reifenberg, Senior CFI Analyst, FDIC tbc
Mark Frankel, Regional Head for Technology Risk and Operational Resilience, Deutsche Bank
Clarice Carotti, Head of Market, Liquidity and Operational Risk Management, Intesa Sanpaolo NY BranchÂ
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PANEL DISCUSSION
Session detailsÂ
- Creating a comprehensive inventory of contracts
- Changing current contracts and legal agreements to new rates
- Renegotiation of contracts on a bilateral basis
- Impact on models and business processes
- Updating all models using LIBOR rates
- Volatility matrix recalibration
- Eliminating conduct risk
- Next steps to ensure compliance
Tom Braun, Executive Director, Head of CUSO Liquidity and Funding, UBS
Chris Ekonomidis, Director, Transformation, BNY Mellon
John Schiavetta, Deputy Chief Risk Officer, Alliance Bernstein
Spencer Langston, Derivatives Lead, LIBOR Transition Office, Wells FargoÂ
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PANEL DISCUSSION
Session detailsÂ
- Improving efficiency of validation activities
Oscar Zheng, Head of Global Market Risk Model Validations, BNP Paribas
Vishant Sharma, Director of Quantitative Specialists and Model Risk, Federal Reserve Bank of Atlanta tbcÂ
Ajeeth Sankaran, US Head, Model Risk, Scotiabank
Manuj Gupta, Director of Risk Management, HSBCÂ
5:50 Chair’s closing remarks | 6:00Â End of day 1 and drinks receptionÂ
9th Annual Risk Americas Convention 2020
Day Two | May 13, 2020
Marriott Downtown, NYC
8:15 Registration and breakfast | 8:40 Center for Financial Professionals Welcome | 08:50 Chair’s Opening Remarks
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KEYNOTE ADDRESS
Session detailsÂ
- Adopting agile practices
- Finding change agents with a risk background
- Staying in control of risks amongst increased change
- Managing data throughout change process
- Continuously challenging efficiency
- Managing security risks in a changing landscape
- Data security processes
- Increased demand for self-service processes
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PANEL DISCUSSION
Session detailsÂ
- Risk management strategies to consider geopolitical
- Technology capabilities of countries causing disruptions
- What will cause the next recession?
- Demand for new products to hedge risk
- House insurance to protect against climate change
- Capitalization to manage the risk
- Operational preparation and market risk impact preparation
Geoff Craddock, CRO, MassMutual
Tatiana Segal, CRO, Morgan Stanley Investment ManagementÂ
10:10 Morning refreshment break and networking
Stream One: Innovation in Risk Management
Stream Two: Non-Financial Risk and Resilience
Stream Three: Market Trends and Financial Risk
Stream Four: Model Risk Management
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QUANTUM COMPUTING
Session detailsÂ
- Overhaul of encryption approaches
- Changing securing channels and data storage
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RISK ANALYTICS
Session detailsÂ
- Framework to construct an institutions risk appetite
- Methodology to support risk appetite with qualitative statement and quantitative metrics
- Monitoring risk profile with risk appetite using risk indices which aggregate an institution’s risk posture across level 1, 2 and 3 risk categories
- Balancing the ‘art’ and ‘science’ of constructing of risk indices
Arindam Majumdar, Managing Director, Enterprise Risk Analytics and Reporting, Bank OZKÂ
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FRTB
Session detailsÂ
- Standardized approach vs. internal models approach
- Impact on individual banks and markets
- Corporate governance responsibilities
- Calculating non-modelable risk factors
- P&L alignment
- How does FRTB interact with CECL and IBOR changes?
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ADVANCED ANALYTICS
Session detailsÂ
- Assessing model risk if models are automatically changed
Xiaoling Yu, Director of Model Validation, KeyBankÂ
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PANEL DISCUSSION
Session detailsÂ
- Developing systems to facilitate changing requirements
- Preparing for state changes
- Keeping ahead of change
- Intersection of regulation and technology
- Cross border challenge for institutions operating across jurisdictions
- Relationship between data portability and privacy
- Balancing privacy and commerce
James Bone, Lecturer in Discipline, ERM, Columbia University’s School of Professional Studies ERM Program
Douglas Bloom, ED, Head of Cybersecurity and North American Privacy Law, Morgan Stanley tbcÂ
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PANEL DISCUSSION
Session detailsÂ
- Bringing AI and machine learning into AML monitoring
- Increasing efficiency in outputs
- Eliminating or reducing false positives
- Reallocating resources to more important investigations
- Challenges for FBOs complying with multiple requirements
- KYC and client onboarding practices
- Engaging KRIs and risk appetite
Mark Elkommos, Manager, Financial Crime Risk Assurance, HSBC
Xiaoling Yu, Director of Model Validation, KeyBank
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PANEL DISCUSSION
Session detailsÂ
- Reputation impact of not keeping up
- Insurance and credit worthiness
- Global regulatory initiatives
John Schiavetta, Deputy Chief Risk Officer, Alliance Bernstein
Malik Ali, VP,  Audit, Head of Capital markets, Private Equity and Infrastructure Audit, OMERS
Attila Kerényi, Head Financial Risk Management and CRO, Asset Management, Swiss Re GroupÂ
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PANEL DISCUSSION
Session detailsÂ
- Data limitation with disparate systems
- Mitigating data limitation
- Meeting regulatory model development standards
- Developing models for small portfolios or products
- Qualitative capture of broad set of risks
- Ongoing monitoring for qualitative models
Michael Harmon, Managing Director, Market Risk Management, Wells Fargo
Katherine Zhang, MD, Head of Integrated Analytics Team, State Street
Abhisekh Adukia, Director, Model Risk, Alliance Bernstein
Dan Hong, First VP, Accounting Policy and Financial Reporting, Apple BankÂ
12:10 Lunch break and networkingÂ
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DATA
Session detailsÂ
- Making data less siloed and accessible across the organization
- Effective quality assurance and control programs
- Developing preventative practices
- Identifying data lineage
- Developing data hygiene programs
Michelle Hubertus, MD, Risk Data Management and Innovation, Deutsche BankÂ
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BUSINESS EMAIL COMPROMISE
Session detailsÂ
- Vulnerabilities to scams regardless of company size
- Social engineering increasing vulnerability
- Training and awareness internally and of customers
- Liability of banks vs. customer
- Reputation damage
- Limiting functionality offerings on products and services
- Building relationships to protect customers
- Communications for fraud or market abuse situations
Rajeev Dave, Director, Compliance, BarclaysÂ
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LIQUIDITY RISK
Session detailsÂ
- Composition of deposits in different institutions
- Funding models to maintain liquidity
- Transferring the cost of liquidity across lines of business
- Adjustments for different sized institutions
- Wholesale funding in the market
- Calculating and monitoring NSFR
Andrew Craig, Funding and Liquidity Risk, Federal Reserve Bank of New YorkÂ
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AI AND MACHINE LEARNING
Session detailsÂ
- Model and data security risks
- Business risk of bringing in viruses
- Capturing risks specific to machine learning
- Embedding across the bank
- Developing guidance for validation and governance
- Applicability of SR11-7 to AI and machine learning models
David Palmer, Division of Banking Supervision and Regulation, Federal Reserve BoardÂ
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CLOUD
Session detailsÂ
- Making models portable in the cloud
- Education on using cloud and ensuring security
- Vulnerabilities storing externally
- Managing as a third party
- Data portability across jurisdictions
- Data governance frameworks
- Transparency of infrastructure
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FRAUD AND FINANCIAL CRIME
Session detailsÂ
- Progress in human trafficking
- Leveraging public/private partnerships
Kelley Chamberlain, Global Financial Crimes Intelligence Group, Financial Crimes Risk Management, Wells FargoÂ
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INTRADAY LIQUIDITY
Session detailsÂ
- Buffer to hold for intraday liquidity stress
- Frameworks and policies raise awareness across the firm
- Establishing FTP delivery or API connectivity with vendor to ensure accurate and efficiency daily data transmittal
- Automating liquidity risk reporting via Python
- Established daily minimum liquidity limit to battle T+0 redemption via NSCC
Lu Chang, Chief Risk Officer, Angel OakCapitalÂ
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VALIDATING MACHINE LEARNING MODELS
Session detailsÂ
- Defining an AI model
- Managing transparency of AI models
- Making models explainable to users, validators and auditors
- Skillsets needed for development and validation
- Keeping up with frequency of model recalibration
Roderick A Powell, SVP, Head of Model Risk Management, Ameris BankÂ
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PANEL DISCUSSION
Session detailsÂ
- Interactive session benchmarking audience views and survey responses
- Insight into the key findings of the global FinTech Leaders research
- Participate in Q&As and interactive polls throughout
Joshua Kotok, Chief Risk and Compliance Officer, First Savings / CeFPro FinTech Advisory Board Member
Manan Rawal, Head of US Model Risk Management, HSBC / CeFPro FinTech Advisory BoardÂ
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PANEL DISCUSSION
Session detailsÂ
Jack Sprague, SVP, US Head of Operational Risk Policy, Framework, Capital and Stress Testing, HSBC/CeFPro NFR Advisory Board Member
Jeremy Resler, VP, Director of Third Party Risk Management Governance, US Bank/CeFPro NFR Advisory Board Member
Chris Smigielski, Director of Model Risk Management, Arvest Bank/CeFPro NFR Advisory Board MemberÂ
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PANEL DISCUSSION
Session detailsÂ
- Implications incorporating life of loan into stress testing
- Standardizing data execution process
Julio Rivera, VP, Director of CCAR, CECL and Stress Testing Model Implementation, Production and Reporting, US Bank
Julia Litvinova, Head of Model Validation, Managing Director, State Street
Jose Canals-Cerda, Senior Special Advisor, Federal Reserve Bank of PhiladelphiaÂ
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PANEL DISCUSSION
Session detailsÂ
- Maturing programs and developing teams
- Impact on reputation risk
- Model governance process to mitigate bias
- Variable suppression technique
Seyhun Hepdogan, SVP, Senior Director of Risk Modeling, Santander
Peng Wu, Director of Data Science,Head of Corporate Model Risk Management, PayPal
James Bone, Lecturer in Discipline, Columbia University’s School of Professional Studies ERM ProgramÂ
3:20 Afternoon refreshment break and networkingÂ
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CYBER RISK
Session detailsÂ
- How to do high-precision probabilistic risk assessments
- Simple math tricks to create models for any type pf risk assessments for cybersecurity and finance
- Work through a real-world public reputation risk assessment
Scott T Mathis, CISO, RBCÂ
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CULTURE
Session detailsÂ
- Regulatory focus on conduct agendas
- Treating customers fairly and complying with regulatory expectations
- Tone from the top
Nison Nagdimov, Senior Operational Risk Manager, CitiÂ
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DERIVATIVES
Session detailsÂ
- Data driven description of market micro-structure
- Term structure of non-normality of returns
- Non-parametric optimal hedging strategy
- Option strike term dependent expected P&L and residual risk asymmetry
- Pursuit of risk-controlled yield and carry controlled tail risk opportunity
Vivek Kapoor, CIO, Volaris Capital Management LLCÂ
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CECL
Session detailsÂ
- Data quality implementation
- Model lifecycle: Leveraging CCAR models for CECL
- Sourcing of data and quality metrics
Kai-Ching Lin, Head of Market and Model Risk, Valley National BankÂ
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DISRUPTION
Session detailsÂ
- Fundamental risk to business models
- Robin Hood trading fee example
- Gaining competitive edge
- FinTech and BigTech disruption case studies
Markus Lammer, COO UHNW, Investment Banking and Capital Markets, Credit Suisse tbcÂ
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DATA
Session detailsÂ
- What is data – perspective from BNY Mellon
- How do you define data risks and controls
- Enabling the first and second line, while keeping the third line happy
- Rolling it all out and adding value
Debbie Willians, Director, Data Strategy, BNY MellonÂ
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CAPITAL MANAGEMENT
Session detailsÂ
- How asset quality and liquidity impact capital strategy
- Incorporating other areas into capital strategy
- Asset quality
- Credit risk
- Liquidity
- Interest rate risk
- Using to determine capital strategy and levels to hold
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CECL
Session detailsÂ
- Build out on internal cloud
- Goals to avoid UDTs
- Uses of SPARK, big data and cloud platforms
- Tools available in the open source comment to build an ecosystem
- Automating the entire process of CCAR and CECL
Rajesh Kaveti, Director, Head of Finance Regulatory/Capital Adequacy Technology, BNY Mellon
5:20 Chair’s closing remarks | 5:30 End of Risk Americas 2020Â