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NEW
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New for
2015: The only event to
focus solely on risk management
challenges and tools for the
banking industry
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PRE
CONFERENCE
WORKSHOP: RISK
AND CONTROL
CULTURE
IN BANKS
The recent financial crisis triggered countless regulatory changes that continue to challenge the
banking sector. As firms adapt to increasing demands and hurry to meet the strict deadlines
imposed by regulators, blurred definitions and spiralling costs continue to cause concern.
In these testing times, Risk is proud to present its inaugural Bank Risk Europe conference.
High profile speaker line-up includes:
Martin Vazquez Suarez,
Advisor in the Supervisory
Policy Division, Directorate
General Micro-Prudential
Supervision IV, SSM, ECB
Stephen J. Bell,
CRO, ULSTER BANK, RBS
Simo Lamine, Global Head of
Market Risk for Fixed Income
Primary and Credit Trading,
BNP PARIBAS
Milan Dragaš, Head of
Market Risk Analytics, Europe,
STANDARD CHARTERED
Kathryn Kerle, Head of
Risk, Reporting and Risk
Infrastructure, RBS
Registration
E: [email protected]
T: 0207 316 9176
W: bank-riskeurope.com
RBR15-BR148x210.indd 1
Marie-Christine Crewe,
Managing Director, Head of
Risk Control Operations, UBS
Gulsh Mandair, CRO: Risk and
Finance Data Analytics and
Reporting, CREDIT SUISSE
Frank Klausen, Head of Group
Strategic Risk Management and
Analysis, NORDEA
Konstantina Armata, Global
Head of Model Validation
and Counterparty Exposure,
DEUTSCHE BANK
Kevin Middleton, Director
Liquidity Risk, WESTPAC
Sponsorship
Ewa Rosol
T: 0207 316 9681
E: [email protected]
Follow us:
@RiskConfs
28/01/2015 15:10
13-14 March, London
bank-riskeurope.com
A SEPARATELY BOOKABLE
WORKSHOP LED BY
INDUSTRY EXPERTS
Dear Executive,
FULL DAY PRE
CONFERENCE
WORKSHOP:
Challenges and
opportunities in shaping
a strong risk and control
culture in banks
For banks, the post-crisis years continue to be plagued by
uncertainty. In the markets, the decisions of finance ministers
and central bankers have become one of the key determinants of
price; in the field of bank strategy, meanwhile, everything hinges
on still-evolving regulatory policy.
Registration
Natasha Witter
E: [email protected]
T: 0207 316 9176
W: bank-riskeurope.com
The questions facing the industry range from the calibration of
the international leverage ratio and the methodology on which
it will be based, to the design of a system of capital floors that
could slash the benefits offered by existing regulatory capital
models. In Europe, banks could still face structural separation,
with investment banking units being fenced off from traditional
consumer and commercial banking; in the US, regulators are
considering a capital surcharge for banks that rely heavily on
wholesale funding.
That’s just part of it – other ongoing projects include attempts to
agree a capital framework for interest rate risk in the banking book
(IRRBB), and an ambitious overhaul of trading book capital rules.
Putting it mildly, these still-pending verdicts make life difficult for
banks to work out where to allocate their resources – and that has
knock-on effects for every other market participant.
Bank Risk 2015 will try to remove some of the uncertainty,
showing you how your peers are approaching these issues, and
giving you insight into how the industry will continue changing.
Speakers include the chief risk officers at UniCredit, Groupe
BPCE and Ulster Bank, as well as senior risk and regulatory
specialists from BNP Paribas, Citi, Deutsche Bank, and UBS.
The keynote speaker is a microprudential specialist from the
European Central Bank.
You will have the chance to put questions to the speakers
following each discussion or presentation, and to network
with fellow delegates during breaks and at the closing cocktail
reception – it is an unrivalled chance to learn from the rest of the
industry, to test your expectations and plans, and to refine your
approach as the banking landscape continues to evolve.
I look forward to welcoming you to the event in April.
Yours faithfully,
Duncan Wood
Editor
Risk
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28/01/2015 15:10
BOOK BY
20 FEBRUARY
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13-14 March, London
bank-riskeurope.com
Why attend?
Hear and get the chance to meet
speakers from global investment
and commercial banks
Researched and developed with senior
specialists from European banks, learn
from an agenda tailored specifically to the
sell-side industry
Leading CROs from top banks from
across Europe will divulge their greatest
challenges and offer insight into what the
new risk landscape looks like for 2015
and beyond
Discover how much of Basel III has been
achieved and what more must still be
done to guarantee compliance
The pre-conference workshop offers
insight into the complexities and
opportunities in determining a strong risk
and control culture in banks
With two streams to choose from, tailor
the conference to your specific interests
and requirements
Network and engage with peers from
within the banking industry throughout
networking breaks and drinks reception
Who should attend?
This event will be of value to industry
participants wishing to stay at the
forefront of the risk and regulation space;
it will be of particular relevance to those
business leaders working in the following:
By institution
Investment banks
Commercial banks
Central banks
By job title
CROs and Heads of:
Market Risk
Model Risk
Model Validation
Risk Analytics
Risk Control
Regulatory Risk
Liquidity Risk
Credit Risk
Stress Testing
Internal Audit
Compliance
Counterparty Risk
Fixed Income
Quantitative Analysis
Pricing Validation
Enterprise Risk
Front Office Risk
and Resource Management
Liquidity Risk Policy and Disclosure
Registration
Sponsorship
Natasha Witter
E: [email protected]
T: 0207 316 9176
W: bank-riskeurope.com
Ewa Rosol
T: +44 (0) 20 7316 9681
E: [email protected]
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28/01/2015 15:10
13-14 March, London
bank-riskeurope.com
Pre-conference workshop:
CHALLENGES AND OPPORTUNITIES IN SHAPING A
STRONG RISK AND CONTROL CULTURE IN BANKS
13 April 2015
08:00
Registration and refreshments
09:00
Organisational culture and its relation to risk and control culture
10:30
Morning break
11.00
CASE STUDY: Key recent events that have drastically changed
expectations of banks in relation to culture and behaviours
12.30
Lunch
13.30
REGULATORY EXPECTATIONS: Financial Stability Board, PRA, FCA
15.00
Afternoon break
15.30
PANEL DISCUSSION: Implementing, measuring and auditing culture
Cultural change programmes: design and implementation challenges
How culture can be measured: challenges and common pitfalls
Auditing an organisation’s culture
17.00
End of workshop
The workshop is led by: Lucio Della-Ratta, Managing Director Internal Audit, Global Head of
Risk Management Audit, BARCLAYS
Lucio has been with Barclays since 2005, where he has held a number of senior roles
in internal audit over the years, both in London and overseas, covering Risk, Treasury,
Finance, as well Investment Banking and Retail and Commercial Banking activities.
Prior to Barclays, Lucio worked for ING Barings, most recently as Global Head of Risk
Management Audit. Lucio began his career as a regulator at Bank of Italy. Lucio holds
a PhD in Finance, (Cass Business School, London, UK), an MSc in Economics and
Finance (Warwick Business School, UK) and a BSc in Economics with specialisation
in International Monetary Economics (Bocconi University, Milan).
RBR15-BR148x210.indd 4
28/01/2015 15:10
13-14 March, London
bank-riskeurope.com
BOOK BY
20 FEBRUARY
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08:00
Registration and refreshments
08:50
Welcome address from Risk
09:00
REGULATORY OPENING ADDRESS: Addressing the impacts of current
and proposed regulatory reform
A progress report on the implementation of Basel III - What has been achieved and what must
still be done?
Issues of extra territoriality and the need for greater regulatory harmonisation- Pros and cons
for the lack of consistency
Addressing the need for more regular and constructive communication between industry
and regulators
What must the industry prioritise in 2015 to satisfy regulatory demands?
Martin Vazquez Suarez, Advisor in the Supervisory Policy Division in Directorate
General Micro-Prudential Supervision IV, SSM, ECB
09:40
CRO PANEL DISCUSSION: A balancing act? Getting to grips with the daily
challenges encountered by CROs in their increasingly multi-dimensional role
What does the new risk landscape look like and what challenges does it present?
Strategic decision making vs regulatory burden- how can the CRO better satisfy the interests of
business and regulators?
What more must be done to enhance the frequency of CRO reporting to management and the
board of directors?
What must be prioritised when judging the risk/reward of each business strategy?
The long term concerns for CROs in 2015 and beyond - What will a bank look like in 10 years’ time?
Alessandro Maria Decio, CRO, UNICREDIT
Stephen J. Bell, CRO, ULSTER BANK, RBS
Isabelle Maury, CRO, GROUP BPCE
Alessandro Ricci, CRO, STATE STREET BANK SpA
10:20
UNDERSTANDING EXPECTATIONS: Evaluating the results from the
FRTB Quantitative Impact Studies
What lessons can we learn from QIS and what do regulators intend to do with the results?
Where do the QIS fit into the overall regulatory process cycle and are reiterative or immediate
responses more suitable to ensure well calibrated regulation?
To what extent did strict deadlines hinder the reliability of the QIS results?
Have enough business models been captured and assessed by the most recent QIS?
Speakers to be confirmed. Check www.bank-riskeurope.com for updates
11:00
Morning refreshment break
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13-14 March, London
bank-riskeurope.com
11:30
STREAM 1
CAPITAL MANAGEMENT
STREAM 2
MARKET AND MODEL RISK
Chairman’s opening remarks
Chairman’s opening remarks
COMING TO TERMS WITH THE
BASEL III RATIOS - LCR, NSFR
AND LR
EMBEDDING MODEL RISK
INTO PEOPLE, POLICIES AND
PROCEDURES
What are the aims of the LCR- Methods for
finding the optimal liquidity hedging portfolio
What challenges do banks face for attaining
100% LCR by January 2019- How can they
be overcome?
What is the relationship between LCR and
NSFR and what challenges does this interplay
produce?
To what extent does the LR play a correlative
role to risk weighted ratios and stress tests in
measuring capital?
Cost benefit analysis- LR framework and
higher capital requirements vs. lessening the
prospect and severity of systemic crises
Reassessing model risk as a risk management
matter as opposed to an issue of compliance
What must a reliable model risk management
program look like to ensure that all three lines
of defence are secured?
Increasing the focus needed on long term
remediation and short term mitigation of
outstanding model risk
What are the benefits of investing in high
quality model documentation?
Konstantina Armata, Global Head
of Model Validation and Counterparty
Exposure, DEUTSCHE BANK
Kevin Middleton, Director Liquidity Risk,
WESTPAC
12:10
THE MODELLING OF INTEREST
RATE RISK IN THE BANKING BOOK
How is IRR defined and what differences can
be seen when comparing IRRBB and IRRTB?
Earnings perspective vs economic value
perspective- best practice for measuring
IRRBB
Best practice for implementing strong IRRBB
governance and measurement frameworks
Incorporating NMD- which models best
determine the dimensions of NMD?
Ruth Wandhöfer, Global Head of
Regulatory & Market Strategy, CITI
RBR15-BR148x210.indd 6
CREDIT VALUATION ADJUSTMENT
(CVA) IN THE CONTEXT OF ITS
MODEL RISK
Examining the conflict between International
Finance Reporting Standards (IFRS) and
regulatory definitions of CVA- is it possible to
satisfy both sides?
What are the practical impacts of the different
assumptions on CVA management?
Methods for effectively hedging against CVA risk
Speakers to be confirmed.
Check www.bank-riskeurope.com for updates
28/01/2015 15:10
13-14 March, London
bank-riskeurope.com
12:50
Lunch and opportunity to network
13:50
MORE THAN A COMPLIANCE
EXERCISE? EVALUATING THE
BENEFITS OF STRESS TESTING
What does an effective stress testing program
look like?
Passing enterprise-wide stress tests - What
should firms prioritise to ensure success?
How accurate are common stress scenarios
as indicators of market resilience?
Facilitating the integration of stress testing
into models
Comparing expectations between the EBA,
PRA and FED
Bertrand Hassani, Group Head of
Operational and Non-Financial Risks
Methodology, BANCO SANTANDER
14.30
REVISIONS TO THE BASEL
SECURITISATION FRAMEWORK
- WHAT IT MEANS FOR THE
REDEVELOPMENT OF THE
EUROPEAN MARKET
What were the motivations for revising the
securitisation framework?
Regulatory vs political will- Contradictions in
the proposed securitisation framework
Changes to the hierarchy of approachesWhat consequences will follow in the wake of
the change from MSFA to IRB and ERB?
What will the future of the securitisation
market look like?
Speakers to be confirmed.
Check www.bank-riskeurope.com for update
15:10
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RISK MODEL VALIDATION IN A
POST FRTB WORLD
Motivation of the FRTB: A brief history of
statistical risk models and their shortcomings
Integrating risk model validation frameworks What are the first steps?
Incorporating market illiquidity risk - How will
new liquidity horizons help to reassess the
strategies of illiquidity risk management?
Impacts of stress calibration
How large is the divergence between Pillar 1
and Pillar 2?
Peter Quell, Head of Portfolio Modelling
for Market and Credit Risk, DZ BANK
MITIGATING MARKET RISKSWITCHING FROM VAR TO
EXPECTED SHORTFALL
Pro and cons of expected shortfall- Is ES more
effective than VaR at capturing tail risk?
Modelling, data and back testing demandsOvercoming implementation challenges
Best practice for communicating strengths
and weaknesses of ES to front and back office
Questioning the move to desk level for market
risk model approval
What counts as a trading desk?
Milan Dragaš, Head of Market
Risk Analytics, Europe, STANDARD
CHARTERED
Afternoon refreshment break
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28/01/2015 15:10
13-14 March, London
bank-riskeurope.com
15:40
PANEL DISCUSSION: Data quality vs increased data demands - Adjusting
to BCBS 239 and the evolving environment for risk technology and systems
The role of technology in banks’ overall risk framework- How does technology support risk
aggregation and allocation?
In what ways can technology help to improve the quality and management of risk data?
Which technology systems provide the most effective enterprise-wide view of risk and which
systems help process information quicker?
How ready is the industry for the move from enterprise level analysis to legal entity analysis?
Kathryn Kerle, Head of Risk, Reporting and Risk Infrastructure, RBS
Marie-Christine Crewe, Managing Director, Head of Risk Control Operations, UBS
Gulsh Mandair, CRO: Risk and Finance Data Analytics and Reporting, CREDIT SUISSE
Rajib Chakravorty, Lead Risk Programme Data Architect
16:20
PANEL DISCUSSION: Establishing an appropriate risk appetite framework
What does a well-defined risk appetite framework look like?
Theory vs reality- Best practice for articulating and embedding risk appetite into your business plan
Risk managers vs trading floor- What is the optimum balance of power?
Breaking free from business silos- How can risk managers obtain a single, holistic view of risk
across the business?
Quantitative and qualitative measures necessary to ensure effective monitoring and governance
Stephen J. Bell, Chief Risk Officer, ULSTER BANK, RBS
Simo Lamine, Global Head of Market Risk for Fixed Income Primary and Credit Trading,
BNP PARIBAS
Frank Klausen, Head of Group Strategic Risk Management and Analysis, NORDEA
17:00
Chairman’s closing remarks followed by cocktail reception
RBR15-BR148x210.indd 8
28/01/2015 15:10
13-14 March, London
bank-riskeurope.com
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Sponsors:
Fitch Solutions delivers credit market data, analytical tools and risk services to the
global financial community. In addition to offering proprietary market-based content,
Fitch Solutions distributes the ratings, research and financial data of Fitch Ratings
through a variety of flexible platforms. With innovation and experience behind every
solution, Fitch Solutions helps financial professionals meet the diverse and evolving
needs of today’s global markets.
Fitch Group is a global leader in financial information services with operations in more
than 30 countries. In addition to Fitch Solutions, the group includes Fitch Ratings,
a global leader in credit ratings and research; Fitch Learning, a provider of learning and
development solutions for the global financial services industry; and Business Monitor
International, a provider of country risk and industry analysis specializing in emerging
and frontier markets. Fitch Group is jointly owned by Paris-based Fimalac, S.A. and New
York-based Hearst Corporation.
RBR15-BR148x210.indd 9
28/01/2015 15:10
events 2015
The live versions of Risk
Our regional flagship events are
renowned for bringing together
executives, practitioners and academics
offering insights into the latest
theoretical and practical approaches
and breaking new frontiers in risk
management and derivatives trading.
London
September, 2015
riskderivativesclearing.com/europe
Hong Kong
October, 2015
asiariskcongress.com
London
14-15 April, 2015
quanteurope.com
Buy-side Risk
London
15-16 April, 2015
London
October, 2015
liquidityandfunding.com
Milan
November, 2015
riskreturnitalia.com
Hong Kong
April, 2015
asiariskevents.com/
otc_derivatives
Bank Risk
London
13-14 April, 2015
June, 2015
riskjapan.com
New York
October, 2015
riskusa.com
New York
July 14-17, 2015
quantcongressusa.com
São Paulo
May 19, 2015
riskreturnbrazil.com
Cape Town
11-13 March, 2015
riskandreturnsa.com
Sydney
August, 2015
risk-australia.com
For more information, please contact:
London: Phil Ansley
Telephone: +44 (0) 207 316 9643
Email: [email protected]
Hong Kong: Harjeet Singh
Telephone: +852 3411 4838
Email: [email protected]
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Industry renowned gathering for the world’s most distinguished quants
Risk is proud to present Quant Europe 2015, our annual conference showcasing the latest innovations in derivatives price
To be used in
modelling, risk
management and quantitative strategies being adopted by leading financial institutions.
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2015 Highlights:
Our Specialist Advisory Board members
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• Plenary address from a leading regulator
• Extensive research from ‘Call For Papers’
campaign selected by Market Leading
Advisory Board members
• Presentations of cutting-edge research on
clearing, collateral, funding, credit risk, capital
optimization, balance sheet modelling, interest
rate, volatility, derivatives pricing and more
• Plus, unrivalled networking opportunities with
your peers and industry leading lights
Sponsor:
Greg B Davies,
Managing Director, Head of Behavioural Investment Philosophy,
BARCLAYS - WEALTH AND INVESTMENT MANAGEMENT
Andrew Green,
Head Of Quantitative Credit Developments, LLOYDS BANKING
GROUP
Rama Cont,
Chair of Mathematical Finance & Director, CFM-Imperial
Institute of Quantitative Finance, IMPERIAL COLLEGE
Registration queries: Ben Wood
T: +44 (0)207 968 4505 E: [email protected]
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Risk is delighted
to announce the launch of the Buy-side Risk
placement
Europe conference, which will be held at the Hilton Canary Wharf
on the 15 April, with a post-conference workshop on 16 April.
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New for 2015, Buy-side Risk Europe brings you a two-stream agenda
that will address the key risk management challenges currently facing the
buy-side community.
Sponsorship Opportunities
Ewa Rosol
T: +44(0)207 316 9681
E: [email protected]
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Registration/Booking Information
Natasha Witter
T: +44 (0)207 316 9176
E: [email protected]
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