Register by August 28 2ND ANNUAL QUANT RISK MANAGEMENT …€¦ · initiative and bi-lateral margin...
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HIGHLIGHTS FOR 2015 INCLUDE: THE ROLE OF THE QUANT Understand the changing role of quants and the impacts of new regulations on the profession MODEL RISK & VALIDATION Key insights on building an effective governance framework, the depth and scope of models to include and how to quantify model risk CCPs & COUNTERPARTY CREDIT RISK Best practices for modelling exposure of CCP default, the probability of systemic risk and clarification of the initiative and bi-lateral margin requirements VALUE ADJUSTMENTS AND FAIR VALUE MEASUREMENT Learn how to calculate and compute the MVA and KVA as well as how to account under IFRS 13 and utilise the adjustments for business decision making FUNDAMENTAL REVIEW OF THE TRADING BOOK Asess the pro’s and con’s of implementation or standardised approaches and understand how to model varying liquidity horizons DATA MANAGEMENT AND SYSTEMS Discuss the needs and requirements for integrated data and risk management systems BRING THE TEAM: 3rd Attendee Goes FREE QUANT RISK MANAGEMENT 2015 HEAR FROM MORE THAN 20 SENIOR RISK PROFESSIONALS INCLUDING: Dong Qu, Global Head of Quants, UniCredit Felix Matschke, Global Head Model Coordination, UBS Sylvain Martinez, Global Head of Market Risk and Analytics, ICBC Standard Bank Bertrand Hassani, Group Head of AAA – Risk Methodology (Advanced and Alternative Analytics), Santander Andrew Green, Head of CVA/FVA Quantitative Research, Lloyds Banking Group Jan-Philipp Hoffman, Head of VaR and Price Models, Deutsche Postbank Andrea Prampolini, Head, Counterparty Risk Management, Banca IMI Richard Rossmanith, Head of Counterparty Credit Risk Analytics Change Delivery, RBS Andrea Buzzigoli, Head of Global Wholesale Credit Risk Analytics, HSBC Gilles Artaud, Deputy Head of Counterparty Credit Risk, Credit Agricole Sean Hrabak, Director, Model Validation, Citi Gael Robert, Director, Counterparty Credit Risk, Mizuho Sebastian Irle, Senior Policy Expert & TBG Member, Deutsche Bundesbank E: [email protected] T: +44 (0)20 7164 6582 www.cfp-events.com/quantrisk #QuantRisk SUMMER SPECIAL: SAVE £700 Register by August 28 Best Practices And Processes For Quant Professionals In The New Regulatory Financial Order CPD Accreditation: 2ND ANNUAL November 17–18 | LONDON
Transcript of Register by August 28 2ND ANNUAL QUANT RISK MANAGEMENT …€¦ · initiative and bi-lateral margin...
HIGHLIGHTS FOR 2015 INCLUDE: THE ROLE OF THE QUANT Understand the changing role of quants and the impacts of new regulations on the profession
MODEL RISK & VALIDATIONKey insights on building an effective governance framework, the depth and scope of models to include and how to quantify model risk
CCPs & COUNTERPARTY CREDIT RISK Best practices for modelling exposure of CCP default, the probability of systemic risk and clarification of the initiative and bi-lateral margin requirements
VALUE ADJUSTMENTS AND FAIR VALUE MEASUREMENTLearn how to calculate and compute the MVA and KVA as well as how to account under IFRS 13 and utilise the adjustments for business decision making
FUNDAMENTAL REVIEW OF THE TRADING BOOKAsess the pro’s and con’s of implementation or standardised approaches and understand how to model varying liquidity horizons
DATA MANAGEMENT AND SYSTEMS Discuss the needs and requirements for integrated data and risk management systems
BRING THE TEAM: 3rd Attendee Goes FREE
QUANT RISK MANAGEMENT 2015
HEAR FROM MORE THAN 20 SENIOR RISK PROFESSIONALS INCLUDING:Dong Qu, Global Head of Quants, UniCreditFelix Matschke, Global Head Model Coordination, UBSSylvain Martinez, Global Head of Market Risk and Analytics, ICBC Standard BankBertrand Hassani, Group Head of AAA – Risk Methodology (Advanced and Alternative Analytics), SantanderAndrew Green, Head of CVA/FVA Quantitative Research, Lloyds Banking GroupJan-Philipp Hoffman, Head of VaR and Price Models, Deutsche PostbankAndrea Prampolini, Head, Counterparty Risk Management, Banca IMIRichard Rossmanith, Head of Counterparty Credit Risk Analytics Change Delivery, RBSAndrea Buzzigoli, Head of Global Wholesale Credit Risk Analytics, HSBCGilles Artaud, Deputy Head of Counterparty Credit Risk, Credit AgricoleSean Hrabak, Director, Model Validation, CitiGael Robert, Director, Counterparty Credit Risk, MizuhoSebastian Irle, Senior Policy Expert & TBG Member, Deutsche Bundesbank
E: [email protected] T: +44 (0)20 7164 6582
www.cfp-events.com/quantrisk
#QuantRisk
SUMMER SPECIAL: SAVE £700Register by August 28
Best Practices And Processes For Quant Professionals In The New Regulatory Financial Order
CPD Accreditation:
2ND ANNUAL
November 17–18 | LONDON
#QuantRisk E: [email protected] T: +44 (0) 20 7164 6582 www.cfp-events.com/quantrisk
WHY ATTENDThe role of the quant risk professional has changed significantly since the financial crisis. Demands from regulators have required significant changes in risk management systems, processes, methodologies and calculations as well as a greater knowledge and experience base for quants.
CFP’s Quant Risk Management 2015 tackles the key challenges facing quantitative risk managers and the industry now, and in the foreseeable future. Key highlights for 2015 include:
• 2015 PRESENTERS: 15+ Heads of Quantitative Risk Departments from 13+ financial institutions and regulators
• NETWORKING & LEARNING: Over 10 hours of interactive panel discussions, presentations and case studies and more than 4 hours of networking
• THE ROLE OF THE QUANT: Understand the changing role of quants and the impacts of new regulations on the profession
• MODEL RISK & VALIDATION: Key insights on building an effective governance framework, the depth and scope of models to include and how to quantify model risk
• CCPS & COUNTERPARTY RISK: Best practices for modelling exposure of CCP default, the
probability of systemic risk and clarification of the initiative and bi-lateral margin requirements
• VALUE ADJUSTMENTS & FAIR VALUE: Learn how to calculate and compute the MVA and KVA as well as how to account under IFRS 13 and utilise the adjustments for business decision making
• FUNDAMENTAL REVIEW OF THE TRADING BOOK Assess the pro’s and con’s of implementation or standardised approaches and understand how to model varying liquidity horizons
• DATA MANAGEMENT & SYSTEMS: Discuss the needs and requirements for integrated data and risk management systems
SPONSORSHIP & EXHIBITION OPPORTUNITIES AT QUANT RISK MANAGEMENTAdvance Your Branding, Awareness, Industry Expertise, Thought-Leadership And Lead-GenerationDoes your organization need to generate new sales leads, launch a new product or service, engage with key decision makers, build future business relationships or simply educate the industry?Sponsorship and exhibition with CFP Events offers unique networking, brand recognition and thought-leadership
deliverance opportunities with senior risk professionals from around the world. Whether you want full branding across an event or simply a well-positioned exhibition stand, our business development team will tailor the right package for you. We do everything we can to help you get your marketing message across and also to benchmark the return on your investment.
For further information, please contact Andreas Simou: [email protected] or call +44 (0)20 7164 6582.
WHO SHOULD ATTEND?Investment Banks, Private Banks, Commercial Banks, Retail Banks, Hedge Funds, Building Societies, Asset Management Companies, Insurance Companies, Pension Funds and Other Financial Institutions.
CEOs, Finance Directors, CRO along with the Directors, Heads and Managers of:
• Risk Methods/Methodology• Model Control• Counterparty Exposure
• XVA, CVA, DVA, FVA, KVA, MVA and LVA
• Quantitative Risk• Quantitative Modeling• Quantitative Strategies• Quantitative Research• Quantitative Analysis• Model Risk• Market Risk• Credit Risk• Global Credit Products• Counterparty Risk Management
• Funding Methodology• Product Control Valuations• VAR Model Testing• Interest Rate Risk• Inflation Model Validation• Exposure Analytics• Data Management & Governance• Capital Management• Exposure Analytics• Data Management & Governance• Capital Management
#QuantRisk E: [email protected] T: +44 (0) 20 7164 6582 www.cfp-events.com/quantrisk
08:00 REGISTRATION & NETWORKING
08:50 CHAIR’S OPENING REMARKS
KEYNOTE PANEL DISCUSSION 09:00 UNDERSTANDING THE CHANGING ROLE OF QUANTS AND THE IMPACTS OF THE NEW REGULATORY FINANCIAL ORDER ON THE PROFESSIONAndrea Buzzigoli, Head of Global Wholesale Credit Risk Analytics, HSBCAndrew Green, Head of CVA/FVA Quantitative Research, Lloyds Banking GroupBertrand Hassani, Group Head of AAA – Risk Methodology (Advanced and Alternative Analytics), SantanderDong Qu, Global Head of Quants, UniCredit
MODEL RISK AND VALIDATION PANEL DISCUSSION 09:45 DETERMINING THE DEPTH AND SCOPE OF MODELS TO BE INCLUDED IN THE MODEL RISK FRAMEWORK• Clearly defining what a model is and understanding how to
accurately aggregate• Understanding what models should and shouldn’t be
covered• Effective compliance procedures – SR 11-7 and OCC 2011-
12 and beyond• Keeping and maintaining an effective list of models• Assessing the impacts on staff, time and systems• Dealing with spreadsheetsJan-Philipp Hoffman, Head of VaR and Price Models, Deutsche PostbankSean Hrabak, Director, Model Validation, CitiFelix Matschke, Global Head Model Coordination, UBSAnish Shah, VP, Quantitative Modelling & Market Risk Audit, Barclays
10:30 EFFECTIVELY QUANTIFYING MODEL RISK AND TRANSLATING IT INTO THE RISK FRAMEWORK AND APPETITE STATEMENT• Assessing best practices and solutions for quantifying
Model Risk • How do you know you have the right answer and that the assessment is complete?• Effectively stressing the model assumptions• Translating the number into a Model Risk AppetiteAnish Shah, VP, Quantitative Modelling & Market Risk Audit, Barclays
11:10 MORNING REFRESHMENT BREAK & NETWORKING
DOUBLE SESSION11:35 BUILDING AN EFFECTIVE MODEL RISK GOVERNANCE FRAMEWORK• Determining the governance policies and processes for a
firm-wide model risk policy • Model definition and clarity • Control and ownership • Model approvals and usage
• Appropriateness • Model reserves • Validation of documents incline with front office documentationJan-Philipp Hoffman, Head of VaR and Price Models, Deutsche PostbankSean Hrabak, Director, Citi
1:00 LUNCH BREAK & NETWORKING
FUNDAMENTAL REVIEW OF THE TRADING BOOK BCBS 325Michael Pykhtin, Manager, Quantitative Risk Management, Federal Reserve Board (TBC)
2:40 INTRODUCTION TO THE NEW STANDARDISED APPROACH: UNDERSTANDING IT’S UNDERLYING METHODOLOGY• Overview of the SBA’s pillars• Discussion of the SBA’s key formulas: How can they be
motivated and what do they meanSebastien Irle, Senior Policy Expert, TBG Member, Deutsche Bundesbank
PANEL DISCUSSION 3:50 FUNDAMENTAL REVIEW OF THE TRADING BOOK: ASSESSING THE PRO’S AND CON’S OF IMPLEMENTATION OR STANDARDISED APPROACHES• Understanding what was learned from the latest QIS• Determining the impact implementation will have on
processes, methodologies, systems and capital floors• How are regulators adopting the changes• Internal Vs. Standardised approach – Which makes sense?
Britta Achmann, Head of Market & Counterparty Credit Risk Capital, RBSAndrea Fraquelli, VP, Market Risk, Deutsche Bank (TBC)Rita Gnutti, Head of Internal Model Market and Counterparty Risk, Intesa Sanpaolo (TBC)Sebastien Irle, Senior Policy Expert, TBG Member, Deutsche BundesbankSylvain Martinez, Global Head of Market Risk, Standard Bank Mirela Predescu, Deputy Head, Credit – Market and Counterparty Risk Methods and Analytics, BNP Paribas (TBC)
4:35 BEST PRACTICES FOR MODELLING VARYING LIQUIDITY HORIZONS UNDER THE FRTB’S REVISED MODEL APPROACH• Determining how to model liquidity within a VaR model• Assessing the different approaches available• Understanding how to get a capital figure that actually
represents liquidity• Overcoming challenges with sparse dataAndrea Fraquelli, VP, Market Risk, Deutsche Bank (TBC)
5:15 END OF DAY ONE
DAY ONEQUANT RISK MANAGEMENT 2015 NOVEMBER 17
#QuantRisk E: [email protected] T: +44 (0) 20 7164 6582 www.cfp-events.com/quantrisk
08:30 REGISTRATION & NETWORKING
08:50 CHAIR’S OPENING REMARKS
CCPs & COUNTERPARTY CREDIT RISKPANEL DISCUSSION09:00 EFFECTIVELY MODELLING EXPOSURE OF CCP DEFAULT AND ASSESSING THE PROBABILITY OF SYSTEMIC RISK• Understanding how to calibrate the probability of a CCP
defaulting• Building in simultaneous defaults• Determining the cost and impact of a default• Analysing the feasibility of modelling replacement costs in
the event of collapse• Assessing how to measure the liquidity withdrawn
Gael Robert, Chief Modeling and Analytics Officer, Mizuho
DOUBLE SESSIONINITIAL AND BI-LATERAL MARGIN 09:40 CLARIFYING INITIAL AND BI-LATERAL MARGIN REQUIREMENTS IN GEOGRAPHICAL REGIONS AND THEIR IMPACTS• Understanding how requirements differ across regulators• Determining the practicalities of the different
implementation modelsGilles Artaud, Deputy Head of Counterparty Credit Risk, Credit AgricoleRichard Rossmanith, Head of Counterparty Credit Risk Analytics Change Delivery, RBS
11:00 MORNING REFRESHMENT BREAK & NETWORKING
PANEL DISCUSSION11:30 INCREASING TRANSPARENCY OF PRICING ACROSS MULTIPLE CCPS• Determining what drives the cost of clearing• Understanding the impact of the initial margin and bi-
lateral initial margin• Reviewing the impacts of initial margin, bi-lateral initial
margin and MVA on business modelsGilles Artaud, Deputy Head of Counterparty Credit Risk, Credit AgricoleGael Robert, Director, Counterparty Credit Risk, Mizuho
VALUE ADJUSTMENTS AND FAIR VALUE MEASUREMENT12:15 EFFECTIVELY AND EFFICIENTLY CALCULATING AND COMPUTING VALUE ADJUSTMENTS IN PRACTICEMVA FOCUS• Best practice approach for calculation and computation• Understanding how big the adjustment is• Determining how to implement and use for business
decision making• Assessing the impact on CCPs and counterpartiesAndrew Green, Head of CVA/FVA Quantitative Research, Lloyds Banking Group
12:55 LUNCH BREAK & NETWORKING
1:55 EFFECTIVELY AND EFFICIENTLY CALCULATING AND COMPUTING VALUE ADJUSTMENTS IN PRACTICEMVA FOCUS• Determining the right computational approach – Is it
modelling simulation inside simulation?• IMM Vs. Non IMM Bank solutions• Implementing into the risk frameworkGordon Lee, XVA and Capital Quantitative Analyst, UBS
2:35 UTILISING THE VALUE ADJUSTMENTS FOR OPTIMISING CAPITAL AND DRIVING DECISION MAKING• Understanding how the KVA can be used for capital
optimisation and impacting business decisions• Determining if the adjustment should be included or not• Assessing the impact on the P&LAndrea Prampolini, Head, Counterparty Risk Management, Banca IMI
3:15 AFTERNOON REFRESHMENT BREAK & NETWORKING
3:45 ACCOUNTING KVA UNDER IFRS 13 FAIR VALUE MEASUREMENT• Determining if KVA should be put into accounting• Assessing the implications of accounting for KVA• Understanding how to account for KVARichard Kenyon, Senior Lecturer, Accounting and Finance, Birmingham City University
DATA MANAGEMENT AND SYSTEMS 4:25 ASSESSING THE NEEDS AND REQUIREMENTS FOR INTEGRATED DATA AND RISK MANAGEMENT SYSTEMS• Aggregating data across legal entities• Understanding the need for coherent and consistent data• Can the data be aggregated accurately and consistently• Sharing data across functions between IT, Operations, Front
Office, Finance and Risk• Involving IT earlier to develop a more workable solution for
regulatory compliance• Determining the need for a standardised FPMLMichael Mura, Head of Quantitative Solutions, RBS (TBC)
5:05 CLOSE OF CONGRESS
DAY TWOQUANT RISK MANAGEMENT 2015 NOVEMBER 18
BRING THE TEAM 3rd Attendee Goes FREE
Quant Risk Management 2015 | November 17–18 | LondonDexter House, 2 Royal Mint Ct, London EC3N 4QN
Concession Rates: 15% Discount for professionals of community banks, government and regulatory bodies, as well as members of professional trade associations and societies.
Terms And ConditionsThe conference is being organized by the Centre for Financial Professionals Ltd (hereafter, CFP Events), a limited liability company formed under English company law and registered in the UK no. 7771333. Cancellations received more than one calendar month before the event will be eligible for a refund less 15% administration fee. Cancellations must be made in writing to [email protected]. Regrettably, no refund can be made for cancellations within a month of the event. If you are unable to attend, may nominate a colleague to take your place at any time at no additional charge. Any additional questions, call CFP on (US) +1 888 677 7007 or (UK) +44 (0)20 7164 6582CFP Events, at its sole discretion, reserves the right to alter or cancel any presenters, sponsors, exhibitors, agenda or format of the event, including but not limited to venue and dates. The views and opinions expressed in literature before the event, during discussions and presentations at the event and any post-event material, are those of the individuals and/or organisations represented and not of CFP Events.Receipt of the booking form, inclusive or exclusive of payment, constitutes formal agreement to attend and acceptance of the terms and conditions stated. Where a Force Majeure Event has or may have affected CFP Events’ ability to execute and run the event, then CFP Events will be entitled, but not obliged, to provide alternative presenters, facilities, venue, or provide a refund. Any refunds will be subject to 15% administration charge. Force Majeure Event means any event arising that is beyond the reasonable control of CFP Events including (without limitation) to speaker or participant cancellation or withdrawal, supplier or contractor failure, venue damage or cancellation, health scares, industrial dispute, governmental regulations or action, military action, fire, flood, disaster, civil riot, acts of terrorism or war.We would like to keep you informed of other CFP Events products and services. This will be carried out in accordance with the Data Protection Act. CFP Events is not responsible for travel and accommodation of registered delegates and will not accept liability for such or any individual transport delays and in such circumstances the normal cancellation restrictions apply.In all cases payment prior to the event is required. Registration fees include all available sessions, refreshments and course documentation. When paying by credit card, CFP Events will only charge the Total amount for the event registered and cannot be held liable for any bank or credit card charges levied locally. Please be aware that CFP’s events are administered from the UK, including processing of payments. Where a visa and invitation letter is requested, payment must be made by wire transfer, cheques and credit card details cannot be accept, before any invitation letter is issued.May we remind overseas delegates that VAT must be paid for all UK-based events.No financial information, including credit card details, will be retained by the Centre for Financial Professionals other than stated purpose. All financial information will be disposed of once registration and payment is confirmed.By registering for CFP’s events, you agree to the photography, video and social media policy in public forums. If you wish to opt out, please contact CFPBy completing and submitting this registration form, you confirm that you have read and understood CFP Events Terms and Conditions and you agree to be bound by them.The Centre for Financial Professionals (CFP Events), Suite 73 The Maltings, Roydon Road, Herts. SG12 8HG. UK
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