Risk EMEA agenda
Day Two | June 14
8:00-8:50
Registration and breakfast
8:50-9:00
Chairs opening remarks
Moderated by: Christophe Rivoire, Head of Strategy, Opensee
9:00-9:45
KEYNOTE – ECONOMIC RISK – PANEL DISCUSSION
Managing economic risks and long term impacts of global crisis
- Managing regional and global crises
- Implications of a recession on financial institutions
- Deterioration in asset quality as a result of economic downturn
- Solvency of banks with impacts to revenue, costs and capital lines
- Managing inflationary environment
Jeff Simmons, Chief Risk Officer, MUFG Securities (Europe) N.V
Hanna Sarraf, Chief Risk Strategy Officer, Starling Bank
9:45-10:20
KEYNOTE – ENTERPRISE RISK MANAGEMENT
Leveraging technology to better manage enterprise risk management frameworks
- Use of technology to improve connectivity of different risk silos
- Reviewing enterprise risks and re-allocating resources accordingly
- How different silo frameworks should be communicating with one another
- What does the future of technology hold for enterprise risk management
- Leveraging cross-border data
- Integrating different risk silos to manage risk more holistically
Thomas Wallace, Chief Risk Officer – Revolut UK, Revolut
10:20-10:50
Morning refreshment break and networking
Streams:
Moderated by: Christophe Rivoire, Head of Strategy, Opensee
10:50-11:25
REVERSE STRESS TESTING
Reviewing new developments of the financial quantitative reverse stress test (FQRST)
- Introduction to FQRST, frameworks and examples
- Practical challenges of implementation
- Assessing uncertainty vs randomness or Including qualitative information in the framework
- Application of reverse stress test in portfolio risk management, model risk management and regulatory surveillance
- Anticipating the future of reverse stress testing
- Generating ‘realist’ scenarios with machine learning software
- Identifying important variables or parameters using AAD
Assad Bouayoun, Director, Quantitative Research Department, Daiwa Capital Markets
11:25-12:10
FRTB – PANEL DISCUSSION
Implementation of FRTB: Reviewing impacts of approaches
- Reviewing internal vs. standard model approaches
- Managing treasury trade flows post FRTB
- Externalization requirements for managing future risk
- Adaptation and readiness across the organization
- Progress towards internal model for CVA
- Cost of non-modelable risk factors
Katie Wolicki, Head of Financial and Model Risk Regulatory Policy and Engagement, HSBC
Christophe Delcourt, Head of Business Development, EMEA, ActiveViam
Suman Datta, Head of Portfolio Quantitative Analytics, Lloyds Banking Group
Nicolae Mera, Head of EMEA Market Risk Analytics, Morgan Stanley
12:10-12:45
RISK FACTORS
Leveraging risk factor taxonomies for FRTB and derivative pricing models
- Overview of the different types of derivative pricing risk factors
- Analysing derivative models to derive a risk factor taxonomy
- Reviewing market risk factors taxonomies from multiple vendors
- Assessing the challenges presented by FRTB with respect to management of risk factors
- Understanding the assumptions that FRTB makes about all risk factors
- The benefits of a centralised taxonomy of risk factors across other regulations
Charlie Browne, Head of Market Data, Risk and Quant Solution, Golden Source
12:45-1:45
Lunch break and networking breaks
1:45-2:20
CLIMATE RISK
Managing climate financial risks and reflecting climate risk into capital frameworks
- Inclusion of climate risks within ECB stress test
- Building climate within credit models
- Quantifying potential financial impacts of nature and biodiversity
- Incorporating EU taxonomy within loans process
- Steering transition of balance sheet towards low carbon economy
- Data to measure and calculate capitalization for climate risk
- Reviewing future of regulation for managing climate risk and capital
Julius Herfel, Head of Audit, BNY Mellon
2:20-3:05
STRESS TESTING – PANEL DISCUSSION
Advancing stress testing programs and reviewing changing regulatory requirements
- Aligning capital and liquidity stress testing
- Balancing regulatory and internal scenarios
- Inclusion of ESG within ICAP & IMAP
- Stress testing a recession
- Reviewing scenarios with a big impact on health of a portfolio
- Reversing models to identify risk aggregate
Chaoxin Zheng, EMEA Head of Scenario Analytics, Morgan Stanley
Lena Young, Head of EMEA Treasury and Liquidity Risk, Credit Suisse
Nigel Milbank, Climate Programme Senior Lead, NatWest Group
3:05 End of Financial Risk Stream
Moderated by: Andrew Sheen, Director, AJ Sheen Consulting
10:50-11:25
FINANCIAL CRIME
Developing holistic financial crime control frameworks and managing global regulatory disparities
- Managing regulatory complexity
- Managing inclusion of AI and automation technology
- Efficient and effective risk mitigation techniques
- Leveraging and automating third party data
- Proactively identifying risk
- Aligning financial crime control practices
- Reviewing financial crime control frameworks
Alia Cooper, Wholesale Head of CDD, HSBC
11:25-12:10
FRAUD – PANEL DISCUSSION
Developing fraud detection and prevention techniques and keeping up with the pace of change
- Managing digital advances and changes in customer behavior
- Cross industry collaboration
- Challenges identifying money mules
- Evolution of fraud tactics post pandemic
- Leveraging data and insights across sectors
- Managing increased proliferation of scams
- Education strategies to protect potential victims
- Reviewing the responsibility of online scams
- Use case scenarios of fraud emerging across different business’
Peter May, Group Head of Wholesale, Markets and Internal Fraud, HSBC
Ionela Emmett, Senior Manager, Financial Crime Controls, Risks and Policy & Advisory, ICBC Standard Bank
Allen Anthony, Head of Financial Crime & Compliance Management, Nest Corporation
12:10-12:45
PEOPLE RISK
Managing people risk in an environment of increased risk drivers
- Medium and long term repercussions of the great resignation
- Managing increased salary expectations
- Hiring and retention of talent
- Impact of remote and hybrid working on recruitment
- The influence that cost of living crisis will have on people risk
- Factoring diversity and inclusion into people risk
- Challenges of recruiting and retaining talent
Juergen Wienes, Member of the Managing Board, Airbus Bank GmbH
12:45-1:45
Lunch break and networking
1:45-2:20
OPERATIONAL RESILIENCE
Reimagining operational resilience within institutions
- Reviewing operational resilience from a different approach
- Alternating the perception of when an ‘event’ will happen not if
- How does this change information and tool use
- Inclusion of other aspects of resilience risk management
- Reviewing how far risk management goes to inform resilience planning
- Assessing the impact incidents have on an organizations resilience
- Case study of reimagining resilience
Ben White, Principal Consultant – Operational Resilience, Business Continuity, Risk and Crisis Management, 4C Strategies
2:20-3:05
RESILIENCE – PANEL DISCUSSION
Developing IT and operational resilience and reviewing progress towards implementation
- Technology recovery programs
- Reviewing progress towards 2025 deadline
- Investment in outdated IT infrastructure
- Building and reporting resilience concepts
- Coordinating efforts across departments for a holistic view
- DORA: Practices to monitor third party risk
Ben Davis, Global Head of Resilience Risk, Managing Director, Barclays
Benjamin Brundell, Head of Operational and Technology Resilience Risk, Lloyds Banking Group
Daniël Smidts, Global Lead Financial Services solutions, Corporater
Sean Titley, Director of Enterprise and Operational Risk, Metro Bank
3:05-3:35
Afternoon refreshment break and networking
3:35-4:10
RISK CULTURE
Understanding the importance of getting risk culture right and challenges with practical implementation
- Distinguishing the difference between risk culture and culture risk
- Identifying the key elements that factor into risk culture
- Reviewing the challenges of practical implementation
- Assessing the critical success factors of an effective risk culture
Nino Gordeladze, former Head of Enterprise Risk Management, Deputy CRO, Bank of Georgia
4:10-4:45
BEHAVIOURAL RISK
Reviewing behavioural risk and understanding how it can impact performance and integrity
- Importance of creating the correct behaviour within an institution
- Understanding the relationship between behavioural and people risk
- Reviewing best practice to apply behavioural risk management
- Identifying behavioural risk
- Assessing what firms can do to mitigate behavioural risk
Mirea Raaijmakers, former Global Head, Behavioural Risk Management, ING
Moderated by: Tanveer Bhatti, Group Head of Model Risk Management, Revolut
10:50-11:25
AI AND MODEL RISK
Pragmatically viewing model risks in AI applications
- Credit risk fairness and explainability
- Market risks role of noise and overfitting
- Use cases of internal successes
- Developing a challenger model
- Building a roadmap for validation
Peter Quell, Head of Portfolio Analytics, DZ Bank AG
11:25-12:10
MODEL RISK – PANEL DISCUSSION
Reviewing evolving definition of models and expansion of the scope
- Developing broader model governance processes
- Developing an integrated model risk structure
- Governance of AI & machine learning outputs
- Opportunities to automate validation
- Integrating new techniques within risk modeling
- Bank of England assessment on model risk
- Identifying potential model failures
- Engaging model risk with the strategy of the bank
Catarina Souza, Head of Division, Model Development & Review, Bank of England
Yingbo Bai, MD, Head of Model Risk for Valuation Models and Methodologies, UBS
Gilles Artaud, Head of Group Model Risk Audit, Credit Agricole Group
12:10-12:45
AGENT BASED MODELING
Reviewing the agent based modelling (ABM) approach for credit and transition risks
- Assessing the definition of agent based models
- Comparing agent based models to traditional statistical and machine learning models
- Reviewing the concept of agent based models
- Examples of how ABM’s can be applied to model, credit and risks
- Factors that ABM’s incorporate
- Challenges associated with using agent based modeling approach
Jodie Humphreys, Head of Innovation Solutions Group, Bank of America
12:45-1:45
Lunch break and Networking
1:45-2:20
MODEL INVENTORY
Effectively managing expanded model inventories
- Challenge of validating new models
- Reviewing inventory consolidation
- Leveraging technologies to streamline model inventory processes
- Assessing maturity of your model inventory
- Understanding how your model inventory can support different functions
- Steps from an inventory to a model risk management system
- Flexible reporting that meets your stakeholders’ needs
- Regulatory compliance
- Managing model risk in the aggregate
Konstantina Armata, Senior Climate Risk Advisor, Citi & Former Group Head of MRM, Deutsche Bank and Barclays
2:20-3:05
BLACK BOX MODELS – PANEL DISCUSSION
Reviewing expectations and management of vendor/black box models with limited control and visibility
- Vendor compliance with model risk regulations
- Governance and oversight of vendor models
- Transparency of AI models
- Documentation for effective validation
- Visibility and transparency challenges
- Explainability of black box models
- Determining assurance and control processes
- Identifying use cases for black box models
Emma Hagan, Chief Risk and Compliance Officer, ClearBank®
Gilles Artaud, Head of Group Model Risk Audit, Credit Agricole Group
Ying Poikonen, Head of Modelling Group for EMEA Region, Sumitomo Mitsui Banking Corporation
3:05-3:35
Afternoon refreshment break & networking
3:35-4:10
REGULATION
Approaching regulatory changes from a technological perspective
- Unintentional consequences of regulation
- Impact of climate change regulations on local economies
- Changes to unemployment as banks move away from industries
- Impact of sanctions regimes
Madison Gray, Director, Global Head of Regulatory Change Management, Compliance, BNY Mellon
4:10-4:45
MODELING VOLATILITY
Modeling for macro-economic risks and capturing emerging risks
- Ensuring accuracy to make informed decisions
- Predicting future customer behavior
- Management overlays on models
- Challenges predicting based on historical data
- Quantifying risk with limited historical information
- Impact of Covid-19 and government stimulus on predictive modeling
Jeames Horn, Deputy Head of Impairment, Starling Bank
4:45 – 4:55
Chairs closing remarks and end of Convention
