Stress Testing USA 2016

Jorge Sobehart MD, Risk Architecture

Citi

Joseph Donat MD Head of CCAR Office,

BMO Financial Group

Sabeth Siddique Deputy CRO, Regulatory Affairs

& Capital Adequacy M&T Bank

Douglas Ellison CCAR Director Mitsubishi UFJ

Lourenco Miranda MD, Head of CCAR Société Generale

Agus Sudjianto Head of Corporate Model Risk

Wells Fargo

Julian Philips Chief Model Risk Officer

GE Capital

Manan Rawal Head of Scenarios & Modelling

HSBC

HEAR FROM MORE THAN 40 SENIOR STRESS TESTING PROFESSIONALS INCLUDING:

CO-SPONSORS:

LANYARD SPONSOR:

STRESS TESTING USA 2016: CCAR & DFAST

4TH ANNUAL

#StressTestingUSA

Reviewing the Individual Challenges Across CCAR & DFAST and the Associated Qualitative and Quantitative Elements

www.stress-testing-usa.com | [email protected] | +1 888 677 7007

NOVEMBER 3-4 2016 | HILTON MIDTOWN | NEW YORK CITY

Plus MASTERCLASS | NOVEMBER 2Effective model risk management

for stress testing

STREAM ONE CCAR Complexities

Processes & Controls Reviewing Results

Data SR15-18

Regulatory Guidance

STREAM THREE Quantitative Focus

Developing Models Data

Requirements Modeling Operational Risk

RWA Quant Methods PPNR Modeling

STREAM TWO DFAST Requirements

Requirements SR15-18 & 19

Annual Process Prioritizing Evolution Governance

STREAM FOUR Qualitative Focus

Evolution of Requirements Risk Appetite

Capital Planning Business as Usual

Aligning Risk & Finance Governance

Risk Identification

NEW FOR 2016 FOUR FOCUSED STREAMS

https://twitter.com/cefpro

www.cefpro.com

mailto:info%40cefpro.com?subject=Stress%20Testing%20USA%3A%20CCAR%20%26%20DFAST

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https://www.youtube.com/results?search_query=cfp+events

https://www.linkedin.com/company/centre-for-financial-professionals

ESSENTIAL INFORMATIONCO-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.

AxiomSL is the leading global provider of

regulatory reporting and risk management solutions for banks, asset managers and insurers. It empowers clients with the tools they need to manage their financial, risk and operational requirements, and to comply with regulatory calculation and disclosure mandates around the world. All of AxiomSL’s solutions are built on the sameadaptable, high-performance platform. This gives clients a unique opportunity to reduce the cost and complexity of compliance by using one platform to manage all of their requirements globally. AxiomSL’s solutions are fully supported and are upgraded when rules and templates change. The unparalleled transparency offered by AxiomSL gives users the ability to drill down from the reports they produce to the calculations and source data they have used.

CenturyLink (NYSE: CTL) is a global

communications, hosting, cloud and IT services company enabling millions of customers to transform their businesses and their lives through innovative technology solutions. CenturyLink offers network and data systems management, Big Data analytics and IT consulting, and operates more than 55 data centers in North America, Europe and Asia. The company provides broadband, voice, video, data and managed services over a robust 250,000-route-mile U.S. fiber network and a 300,000-route-mile international transport network.

ClusterSeven is a leading provider of strategic End

User Computing (EUC) Management software. Our market-leading suite of products provide a governance platform for a firm’s spreadsheets, user-built databases and modelling tools. The ClusterSeven suite provides transparency around EUC activity, enables the capture of an inventory of EUCs as well as facilitates a full audit trail of changes to the key spreadsheets and databases in the inventory. The suite provides businesses and their control functions full confidence in the integrity of their firm’s spreadsheet data, while also offering substantial savings on the time and resources used to check data processes and accuracy. Founded in 2003 with offices in London, New York and Boston; over a third of the world’s top 30 banks as well as multiple leading insurers, investment managers and energy firms are customers. In June 2015, private equity firm Azini Capital Partners LLP acquired 100% of ClusterSeven and has provided additional

investment to promote high quality product development and wider customer engagement.

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.

FIS is a global leader in financial services technology, with a focus on retail and

institutional banking, payments, capital markets, asset and wealth management, risk and compliance, consulting and outsourcing solutions. Through the depth and breadth of our solutions portfolio, global capabilities and domain expertise, FIS serves more than 20,000 clients in over 130 countries. FIS’ Ambit Risk and Performance solution suite helps banks to comply with regulation and gain a centralized view of risk, liquidity, capital and profitability across the enterprise so banks can be prudent in their decision making, yet strategic for maximized returns.

McGuire Performance Solutions (MPS), A MountainView Company, is a national consulting firm

providing innovative asset-liability management

(ALM) solutions for financial institutions. The company’s goal is to empower management to attain high balance sheet performance with known and controlled levels of risk. MPS contributes to success through industry leading quantitative analyses of core deposit behaviors, ALM model verifications and other technical solutions.

Moody’s Analytics helps capital markets and risk management

professionals worldwide respond to an evolving marketplace with confidence. The company offers unique tools and best practices for measuring and managing risk through expertise and experience in credit analysis, economic research and financial risk management. By providing leading-edge software, advisory services and research, including proprietary analyses from Moody’s Investors Service, Moody’s Analytics integrates and customizes its offerings to address specific business challenges.

For more than 40 years, MSCI’s research-based

indexes and analytics have helped the world’s leading investors build and manage better portfolios. Clients rely on our offerings for deeper insights into the drivers of performance and risk in their portfolios, broad asset class coverage and innovative research.Our line of products and services includes indexes, analytical models, data, real estate benchmarks and ESG research. MSCI serves 97 of the top 100 largest money managers, according to the most recent P&I ranking.

#StressTestingUSAwww.stress-testing-usa.com | [email protected] | +1 888 677 7007

4TH ANNUAL STRESS TESTING USA: CCAR & DFAST 2016 | NOVEMBER 3-4 2016 | HILTON MIDTOWN | NEW YORK CITY

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ESSENTIAL INFORMA-CO-SPONSORS

Novantas is the industry leader

in analytic advisory services and technology solutions for banks. We create superior value for retail and commercial banks through deep and insightful analysis of the information that drives the financial services industry across pricing, product development, treasury and risk management, distribution, marketing, and workforce management.

Prescient Models provides best-in-class modeling and software for a broad range of forecasting

and stress testing applications. We created leading stress testing applications before CCAR and DFAST existed. Our models were CECL compliant before FASB saw a need. Through multiple recessions and business environments, our models are battle tested and proven true.

Now we’ve taken our industry insights to a new product, PrescientManager™. Too many analysts spend more time validating and documenting than building models. Too often model refreshes are nearly impossible because of the weight of review. PrescientManager solves these problems. A carefully designed refresh process leaves the model review in tact while adapting to environmental changes. Automated validation and documentation run every time the data is refreshed mean that all models are monitored in real-time. Robust. Analytically rigorous. Simple to use.

All of this is available at the loan-level for account decisioning and loan pricing. Our margin forecasting engine is already CECL compliant, can be run under stress scenarios, and is available today.Prescient Models – Seeing the future through models.

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.

Situs is a global provider of end-to-end commercial real estate and loan

advisory services and integrated solutions, offering customized services to leading financial institutions, investors, owners, and developers. We offer a wide array of services, including enterprise and process improvement, capital markets and commercial real estate advisory, servicing and staffing solutions.

Strategic Risk Associates (SRA) is national consulting

and advisory firm, specializing in the banking and financial services industry. SRA provides commercial banks and financial services companies with a broad spectrum of services. These include: Enterprise Risk Management; Merger and Acquisition Due Diligence; Internal Audit; Bank and Financial Services companies’ Integration; Credit Risk Management including Loan Reviews, Stress Testing, Credit Training, and Process Improvements; Regulatory Support for Bank Exams; MOUs,and Enforcement Actions; Management and Board Assessments; Strategic Plans and/or Capital Plans; DFAST; Board of Director Training; Succession Plans; Staff Augmentation, Mortgage Operations Support, and numerous Other Services.

Whether complying with regulatory requirements or managing financial transactions, addressing a single key risk, or working toward a holistic enterprise risk management strategy, Wolters Kluwer Financial Services works with customers worldwide to help them successfully navigate regulatory complexity, optimize risk and financial performance, and manage data to support critical decisions. Wolters Kluwer Financial Services provides risk management, compliance, finance and audit solutions that help financial organizations improve efficiency and effectiveness across their enterprise, with more than 30 offices in 20 countries.

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.

LANYARD SPONSOR

Apparity delivers

on the promise of

tracking, controlling

and managing spreadsheets at the global

enterprise and business process level, without

changing the end user experience. Apparity

technology helps financial institutions

automate critical spreadsheet processes at the

qualitative and quantitative level across key

functions such as CCAR Model Management,

Regulatory Reporting and the Management of

Operational Risk. Apparity’s ability to provide

real-time collaboration, secure automation

of business processes, auditability of all

spreadsheet activity, true version control,

and comprehensive user access and change

monitoring tools – positions the technology

as the go-to solution for complying with key

regulations such as SOX, Basel III, DFAST/

CCAR, SR 11-7 and more. Apparity is

headquartered in Atlan



3

EXHIBITORS




DON’T TAKE OUR WORD FOR IT…

WHAT’S NEW FOR 2016:

KEYNOTE ADDRESS FROM THE FEDERAL RESERVE BOARD’S DEPUTY DIRECTOR (tbc) • Mr. Timothy Clark joins Stress Testing USA: CCAR & DFAST reviewing the 2016 stress tests and looking ahead to 2017

LUNCHEON ROUNDTABLES• Join one of over 15+ Luncheon roundtables, led by industry experts: Interact, discuss, debate and share ideas with industry peers and colleagues on a range of Stress testing challenges

STREAM ONE DEDICATED TO CCAR COMPLEXITIES• Dedicated stream running across day one, targeting institutions compliant with CCAR and those on the verge of cross over

• Join industry discussions on a broad range of challenges within CCAR and its complex nature

• Dedicated sessions to reviewing the controls and best practices across the industry

• Extended presentations, panel discussions and Q&A sessions to increase interactivity

STREAM TWO DEDICATED TO DFAST COMPLEXITIES• Day one stream dedicated to DFAST requirements and challenges unique to DFAST institutions

• Presentations, panel discussions and Q&A sessions with presenters to allow interactivity and idea sharing with peers

• Reviewing DFAST as a process and understanding its evolution to better plan ahead

• Understanding the overall requirements for DFAST institutions and for those looking towards CCAR transition

STREAM THREE DEDICATED TO QUANTITATIVE ASPECTS• Day two will divide between qualitative and quantitative aspects, with a whole stream dedicated to the intricate modeling, data and quantitative methods for stress testing

• Join industry peers to review and discuss industry best practices across a range of quantitative challenges within stress testing

• Listen in on presentations and panel discussions from industry professionals STREAM FOUR DEDICATED TO QUALITATIVE ASPECTS • With the shift focusing towards more qualitative aspects of stress testing, this year’s Stress Testing USA: CCAR & DFAST will feature a stream dedicated to qualitative discussions

• Review and discuss regulatory feedback for qualitative components of stress testing

• Incorporating stress testing into business as usual

• Using stress testing to make better informed business decisions

I thought the speakers were excellent and the opening Q&A was great! Audit Leader, Wells Fargo

Very well organized with great delivery by the presenters. Managing Director Stress Testing & Basel, ATB Financial

We covered off a lot of material. The material was for all levels of testing – from the very basic to advanced. A great history of DFAST/ CCAR was given and a lot of thoughts about moving forward. Director, Methodology & Capital, Op Risk, BMO Financial Group


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KEYNOTE SPEAKER FACULTYKEYNOTE SPEAKERS


Timothy Clark Deputy Director, Division of Banking Supervision and Regulation Federal Reserve Board (tbc)Timothy P. Clark is a Senior Associate Director in the Division of Banking Supervision and Regulation at The Board of Governors. His responsibilities include the supervision of the largest domestic and foreign banking organizations operating in the US, the Federal Reserve’s annual Comprehensive Capital Analysis and Review, and the Federal Reserve’s supervisory stress testing program.

Mr. Clark will be delivering a keynote address reviewing the 2016 stress tests and looking ahead to 2017.

John Fleshood CRO, Wintrust Mr. Fleshood is the executive vice president and chief risk officer overseeing the development and implementation of Wintrust’s enterprise-wide risk management and model risk management programs. He joined Wintrust Financial Corporation in 2005 and also serves on the board of Wintrust Information Technology Services.

Mr. Fleshood will be joining a panel discussion to review the differentiations of CCAR & DFAST processes and requirements.

Evgueni Ivantsov Chairman, Lloyds Banking Group Dr Evgueni Ivantsov is Chairman of the European Risk Management Council and author of Heads or Tails: Financial Disaster, Risk Management and Survival Strategy in the World of Extreme Risk. He is a member of the Advisory Group on Global Risks of the World Economic Forum. Evgueni has a more than 20-year career in the banking sector working in global and large banks like HSBC, Lloyds Banking Group, ING Group and Banque Bruxelles Lambert.

Mr. Ivantsov will be joining a panel giving the UK perspective on global regulatory guidance and consistency in requirements.

.

Priyotosh Mukherjee MD, Regulatory Capital Management Office, JP Morgan Chase Priyotosh (Tosh) Mukherjee is a Managing Director with JPMorgan Chase and is the Head of Firmwide Central Challenger Team and Finance Calculation Independent Review (FCIR). Prior to joining JPMorgan, Priyotosh served as the CFO of the direct deposit business at Capital One overseeing over $90B in deposits and $1.5B in assets under management.

Mr. Mukherjee will joining a keynote panel reviewing 2016 stress tests and potential pitfalls moving towards 2017.

Julian Philips

Chief Model Risk Officer, GE Capital Previously, Julian introduced the role of Chief Model Risk Officer to Bank of America Merrill Lynch where he designed and implemented a complete Model Risk Management framework in 2 years. He built and led a team of over 200 with responsibility for all models used by the firm globally in all parts of the bank including the business, risk management and support functions.

Mr. Philips will be delivering a presentation on developing efficient models to support the stress testing process.

Manan Rawal Head of Scenarios a& 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.

Mr. Rawal will be giving a presentation on incorporating stress testing into business as usual.

Roberto Robles Principal Regulatory Advisor, Enhanced Prudential Standards, CCAR Regulatory Reporting, RBC Capital Markets Roberto is currently CCAR regulatory advisor at RBC Capital Markets, recruited to lead the implementation of an IHC designated FBO’s tactical regulatory reporting processes to produce FR Y-14 series reports.

Mr. Robles will be delivering a presentation on CFO Attestation: The Challenges, Pitfalls and Key Considerations

Sabeth Siddique Deputy CRO, Regulatory Affairs and Capital Adequacy, M&T Bank Touche LLP’s Governance, Regulatory and Risk Strategies practice. He joined Deloitte from the Federal Reserve Board in Washington, D.C. where he was Assistant Director of Banking Supervision and Regulation, heading the credit risk department. During his nine-year tenure at the Federal Reserve, Sabeth played a key role in the horizontal assessment of risk management practices in the banking system across a broad array of products ranging from retail, commercial, and trading exposures.

Mr. Siddique will be joining Evgueni to review global regulatory guidance and consistency in requirements

Jorge Sobehart MD, Risk Architecture, Citi Jorge R. Sobehart is a Managing Director at Citi Risk Architecture (Credit and Operational Risk Analytics) where he is involved in credit risk capital measurement and allocation, stress testing, advanced portfolio loss models for wholesale credit exposures, credit migration and default risk modeling. Previously, he was a member of Moody’s Standing Committee on Quantitative Tools and VP senior analyst in Moody’s Risk Management Services, where he developed default risk models, early warning tools and model validation metrics and procedures.

Mr. Sobehart will be delivering a presentation around aggregating stress testing processes and results for a broader view.

Timothy Clark Evgueni Ivantsov Priyotosh Mukherjee Julian Phillips Manan Rawal Roberto Robels Sabeth Saddique

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Hear from and network with like-minded senior stress testing professionals, including the following presenters: Jim Sitro, Corporate Development and DFAST Manager, Webster Bank Kristen Milchanowski, Chief Data Scientist, Digital Economy Analytics Drew Boecher, Managing Director, Darling Consulting Group Sam Chen, Quantitative Consultant, Darling Consulting Group Michael “Mike” R. Guglielmo, Managing Director, Darling Consulting Group Joe Montalbano, Quantitative Consultant, Darling Consulting Group

8.00 REGISTRATION & MORNING COFFEE

8.45 WELCOME & WORKSHOP OVERVIEW

9.00 NEXT LEVEL MODEL RISK MANAGEMENT • Supervisory guidance: OCC 2011-12 / SR 11-7, DFAST rule, etc. • Recent examination experiences: What are supervisors looking for?

9.30 NEXT LEVEL MODEL RISK MANAGEMENT • Roles and responsibilities of business lines vs. model risk managers vs. auditors • Model risk management governance • Model risk management policies and procedures

10.15 MORNING REFRESHMENT BREAK & NETWORKING

10.30 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

Registration will open at 8:15am. The Masterclass will commence at 8:45am and conclude at 5pm. There will be adequate time for refreshments midmorning and midafternoon, as well as lunch.

There will be a combination of presentations and case studies, as well as additional insights from guests of financial institutions. In addition, there will be simulations, case studies and real world examples.

Participants are encouraged to ask questions and exchange experiences with the instructor and other participants.

To allow for interaction and debate, seats are limited. To avoid disappointment, reserve your seat here.

12.45 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”

1.45 VENDOR MODELS – VALIDATION CASE STUDYT • 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

3.15 AFTERNOON BREAK & NETWORKING

3.30 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

4.30 Q&A AND OPEN DISCUSSION


MASTERCLASS: EFFECTIVE MODEL RISK MANAGEMENT FOR STRESS TESTING | NOVEMBER 2


6


STREAM ONE - CCAR COMPLEXITIES CHAIR - Ed Robertson, Co-head of Financial Institutions Group & Managing Director, Situs

10.50 CFO attestation and CCAR reconciliation– The challenges, pitfalls and key considerations Edward Probst, SVP, Regulatory Reporting and Risk, AxiomSL

11.25 Don’t Sprint the Marathon: Building sustainability into CCAR/DFAST modeling and processes Gary Tognoni, SVP, Head Stress Testing Execution, Treasury & Balance Sheet Management, TD Bank

12.00 Data and technology as it relates to model governance • How can organisations manage their financial models holistically • Best practice approach to managing data quality • The impact of poor data on financial modelling (CCAR) • How technology can support robust model risk governance Jeremy Condie, Sales Director, ClusterSeven Charlie Anderson, Managing Director, Practice Leader Model Risk Management, Protiviti 1.50 Aggregating stress testing processes and results for a broader view • View at line item level • Aggregating results • Levels of comparison: Industry wide, individual macro forecasting, aggregate forecasting • Data challenges Jorge Sobehart, MD, Risk Architecture, Citi

STREAM TWO- DFAST REQUIREMENTS

10.50 Understanding the requirements for organizations moving towards CCAR compliance • Additional expectations • Planning ahead • Sizing additional costs and resource demands • Industry view for mitigation of past errors Robert Chan, SVP, Head of Quantitative Analytics, City National Bank

11.25 Comparing SR 15-19 to 15-18 as a guide for what is to come for DFAST banks • Level of rigor • Categorization of FBO’s • Effect on processes • How the requirement differs between large, complex banks and the less complex $50 - $250 billion • Potential increase in scrutiny Ed Young, Senior Executive, Moody’s Analytics

12.00 Making data your strategic ally • Unlocking the full data potential • Big data: A blessing and a curse • Navigating the complexities of data management • Limited time • Resources Sam Chen, Quantitative Consultant, Darling Consulting Group Joe Montalbano, Quantitative Consultant, Darling Consulting Group 1.50 Developing an effective DFAST governance and internal audit program • Board governance principles • Frequent regulatory criticisms of governance processes • Developing a comprehensive DFAST internal audit program • Ongoing internal audit monitoring and reporting activities Michael Glotz, Founding Partner & President, SRA

KEYNOTE SESSIONS9.00 KEYNOTE ADDRESS: Regulatory perspective of 2016 processes and moving towards 2017 Nancy Beebe, Vice President, Federal Reserve Bank of Chicago

9.30 PANEL DISCUSSION: Reviewing the 2016 CCAR & DFAST stress tests and looking towards 2017 • 2016 scenarios • Curve balls: Negative interest rates • Overview from the industry • Mapping changes and preparing for 2017 Joseph A Donat, Managing Director, Head of the CCAR Office, BMO Financial Group Lourenco Miranda, Managing Director, Head of the CCAR, Socrété Génerale Vikrant Pradhan, Executive Director, JP Morgan Chase

10.20 MORNING REFRESHMENT BREAK & NETWORKING

7.30 EXCLUSIVE INVITE ONLY BREAKFAST BRIEFING


8.50 CHAIR’S OPENING REMARKS Chair: Henry Norwood, Chief Operating Officer,

Quantitative Risk Management, Inc.

12.35 LUNCH BREAK & NETWORKING & LUNCHEON ROUNDTABLES (more information on page 10)



AGENDA | DAY ONE | NOVEMBER 3

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AGENDA | DAY ONE | NOVEMBER 3 CONTINUED…

STREAM ONE - CCAR COMPLEXITIES2.25 Data Challenges specific to CCAR to ensure accurate data inputs • Volume and complexity of data required • Infrastructure to support requirements • Automating the process for a smoother collection • Validating and reconciling data • Reference data Deutsche Bank

3.00 Making CCAR PPNR models useful to business experts: Case studies • Unifying interest rate behavior across deposit products • Capturing appropriate rate sensitivity in macroeconomic models • Componentizing models to achieve both stress testing and ALM goals Jonathan West, Managing Director, Novantas Ryan Schulz, Pricipal, Novantas

4.05 Evolution of CCAR models year over year in light of regulatory feedback: Future models with oncoming CECL • How we evolved the CRE model year over year • Regulatory feedback • Better data capture • What do we expect from the next generation of CCAR models • Intersection of stress testing, risk rating and future CECL compliance Soner Tunay, EVP, Director of Risk Analytics, Citizens Bank

4.40 Effective scenario analysis for CCAR & DFAST • Risk identification process and effective challenge • Alignment of risk identification process with existing BAU practice • Materiality assessment considerations • Scenario creation process Eva Chan, Head of Enterprise Stress Testing Americas, Barclays

STREAM TWO- DFAST REQUIREMENTS2.25 Balancing business and stress testing requirements: First and second line perspectives • Modelling given changing stress scenario variables and conditions • Capturing relationships between assumed scenario conditions and projected outcomes • Looking beyond conventional assumptions contained in historic data • Balancing relevancy of results with technical correctness of models James L. Glueck, SVP, Consulting, MPS/MountainView Della Zheng, VP, Quantitative Analytics & Productions, MPS/MountainView

3.00 Reviewing the evolution of DFAST processes from past tests and looking forward • Process to create results • Data infrastructure • Model capability • Changes over the last 3 year • Forward look Grant Empson, Director, Balance Sheet Management, FIS Prashant Dinodia, Director, Risk Advisory, FIS

4.05 Case study: Mechanics and benefits of achieving truly integrated stress testing• Eliminating date and modelling silos • Incorporating credit into market risk • Challenges of management and regulatory reporting • Lessons learned during this transition to integration Butch Miner, Co-founder, ZM Financial Systems

4.40 Using stress testing alongside risk appetite for more informed decisions • What stress testing and risk appetite share • When is it appropriate to set appetites for stress test results? • Using stress testing results to inform the risk appetite • What stress testing and risk appetite do NOT share Tally Ferguson, SVP, Director of Market Risk Management, Bank of Oklahoma

5.15 END OF DAY ONE & NETWORKING COCKTAIL RECEPTION

I enjoyed the thoughtful stress testing perspectives from a diverse group of presenters. Managing Director, DCG


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AGENDA | DAY TWO | NOVEMBER 4

STREAM THREE - QUANTITATIVE FOCUS11.00 Reviewing challenges in data requirements for full stress test submission • Data Quality; data flow; data processes • Requirements for new and existing filers • Good data and modeling output • Reconciling data • Segmenting portfolio Ed Robertson, Co-Head of Financial Institutions Group & Managing Director, Situs

DOUBLE SESSION 11.35 Developing efficient models to support the stress testing process • Data and approaches • Development Evidence • Model Benchmark • Model interconnectedness • Risk in Model and Risk Not in Model • Model Validation Agus Sudjianto, Head of Corporate Model Risk, Wells Fargo Jonathan Lai, Managing Director, GE Capital 1.45 The challenge of the challenger model • Regulatory expectations • Evaluating during model development or during independent review and validation • Second line constraint • Maximising challenger model development as part of independent review process Keith Schleicher, Managing Director, Decision Science, CenturyLink

STREAM FOUR - QUALITATIVE FOCUS11.00 Taking a step back to the future • Evolution of regulatory requirements • Functional and technical complexities • Data requirement’s and risk analytics • Future regulatory expectations • Unification of firm wide risk management and regulatory reporting Aaron Sayles, Senior Consultant, Wolters Kluwer

11.35 Minimum distance approach to historical stress test in DFAST • Analyze pros and cons of a simple historical approach to DFAST stress tests • Definition of Historical simulations Carlo Acerbi, Executive Director, Risk Analytics, MSCI

12.10 Leveraging your investment: Integration between regulatory stress testing & strategic planning • Motivations for a sound ERM capital forecasting process • An integrated ERM platform facilitates best practice forecasting and stress testing • A case study highlighting the interplay of business assumptions and risk models Jason Zubkus, Director of Global Client Management, , Quantitative Risk Management Inc. 1.45 Effective Challenge • What is effective challenge • How to achieve effective internal review processes • Review & Challenge in different stages of the stress testing exercise • Model Risk Management • Model and Tool Results • R&C by Executives • Expert Judgment and Management Overlay Hakan Danis, Director, Economic Stress Test Manager, Credit Strategies Group, MUFG Union Bank

KEYNOTE SESSIONSChaired by Severino Renna, MSCIPANEL DISCUSSION 9.00 Reviewing global regulatory guidance and consistency in requirements

• Emerging practices: SREP, PRA, CCAR & DFAST • One unified process • Emerging inconsistencies • Producing different numbers with different processes • Effect on business Evgueni Ivantsov, Chairman, European Risk Management Council Sabeth Siddique, Deputy Chief Risk Officer, Regulatory Affairs and Capital Adequacy, M&T Bank

9.50 Overview & differentiations of CCAR and DFAST processes and requirements

• CCAR: Fed defined • Capital management process • Continual management • DFAST: Internal conditions • Firms determine risks • Based on stress event: firm specific Jon Hill, Executive Director Jimmy Yang, MD, Credit & Operational Risk Analytics, BMO Financial

10.30 MORNING REFRESHMENT BREAK

& NETWORKING

7.30 EXCLUSIVE INVITE ONLY BREAKFAST BRIEFING


8.50 CHAIR’S OPENING REMARKS Chair: Severino Renna,

Executive Director, MSCI



12.45 LUNCH BREAK & NETWORKING & LUNCHEON ROUNDTABLES

9







STREAM THREE - QUANTITATIVE FOCUS 2.20 One model to rule them all: Model convergence in CCAR, DFAST, CECL, IFRS9, and Basel • Forward-looking credit risk modeling is now essential to capital estimation, loss accounting, and portfolio management • Lenders, regulators, and auditors will not want completely different models solving the same problem in different contexts • We will discuss the similarities and differences between these applications, and which models can be applied throughout Joseph L Breeden, PhD, CEO and Founder, Prescient Models

2.55 Key data challenges faced by FI’s for CCAR/DFAST reporting and how to solve them • What are the challenges faced today • Solution for the challenges Suhail Easa, Managing Director, Argus Information and Advisory Services Udayan Dekhtawala, Senior Vice President, Argus Information and Advisory Services 4.00 PANEL DISCUSSION - PPNR model development: Understanding the requirements to create accurate models • Model development and external data • Trading book and banking book • Linking with macro economic drivers Douglas Ellison, CCAR Director, Mitsubishi UFJ George Lin, CCAR PPNR Modeling, Santander

4.50 CCAR/DFAST quantitative methods: observations and frustrations • Meeting model requirements • Expectations from regulators • Documenting and recording overlays • Quant methods in stress testing: tried and tested Arnisa Abazi, Director, Credit Analytics for Capital and Stress Testing, Citi

STREAM FOUR - QUALITATIVE FOCUS2.20 Driving efficiencies across stress testing processes to add value beyond regulatory compliance • Stress testing efficiency: areas for improvement• How to create realistic stress scenarios • Balancing stress testing analytics and management judgement• Reducing error margins in the stress results• Maximising value of stress testing processEvgueni Ivantsov, Chairman, European Risk Management Council

2.55 Effectively incorporating stress testing into business as usual practices across the business • Stress testing as a separate work stream • Data strategy and platform • Control structure • Larger: Breaking down current structure • Smaller: Invest in infrastructure for entire process • Financial planning Manan Rawal, Head of Scenarios & Modelling, HSBC 4.00 PANEL DISCUSSION – Reviewing capital planning tools and incorporating stress testing results • Sizing the capital risk buffer • Managing capital constraints • Using stress testing results for capital calculations • Allocating across business lines • Requirements under base, stress and severe scenarios Carsten Heiliger, SVP, Capital Adequacy & Resolution, SunTrust Bank Joseph Silverberg, Head of QC, US Regulatory Remediation & Deputy Program Director CCAR, Deutsche Bank Jon Hill, Executive Director


AGENDA | DAY TWO | NOVEMBER 4 CONTINUED… CHAIR - Ed Robertson, Co-head of Financial Institutions Group & Managing Director



5.25 END OF CONGRESS

A very well organized event. Senior Industry Consultant – Risk Management, Teradata Corporation

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ESSENTIAL INFORMATION


DAY ONE | ROUNDTABLES

DAY ONE | NOVEMBER | ROUNDTABLE DISCUSSIONS | 12.45-1.30

Lunch on day one will feature an opportunity to engage with like-minded professionals, enjoy a buffet lunch, visit the exhibitors and participate on one of the interactive roundtable discussions. During the course of the Congress, there will be 15+ luncheon roundtables to chose from; below are the roundtables confirmed so far. All attendees will be asked prior to the Congress to select their preference.

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Qualitative forecasting approached best practices

(e.g. Analytical tools/non-models) Joseph Donat

MD, Head of the CCAR OfficeBMO Financial Group

Subject matter expert in model risk management

Jon Hill Executive Director

Implementing Macro Views in Stress Test

Jason Mirsky Executive Director, Analytics Global Product Management

MSCI

Navigating the complexities of data

management Mike Guglielmo

Managing DirectorDarling Consulting Group

Sam ChenQuantitative Consultant

Darling Consulting Group

The use of stress testing in the business and to support

decision makingLourenco Miranda

Head of CCAR OfficeSociete Generale

SR 15-18 Expectations on Model Benchmark

Agus Sudjianto Head of Corporate Model Risk

Wells Fargo

Challenges in building robust macroeconomic scenarios that include other factors such as political, operational and firm

specific risksManan Rawal

Head of Scenarios & ModellingHSBC

Use of stress testing in setting strategy and

measuring performance Carsten Heiliger

SVP, Capital Adequacy & Resolution

SunTrust Bank

How do we fine-tune our DFAST processes to keep up

with regulatory standards while leveraging reserves built up in our first three DFAST years?

Tally Ferguson SVP, Director of Market

Risk ManagementBank of Oklahoma

Model integration from pricing to portfolio

optimization: aligning stress test & PPNR models to allow the business to evaluate the

balance sheet at onceSoner Tunay

SVP, Director of Risk AnalyticsCitizens Bank

Data quality and data lineage issues Ed Robertson

Co-Head of Financial Institutions Group & Managing Director

Situs



Great range of coverage of areas of financial services industry risk, perspectives of many types not necessarily expected. Quantitative Analyst, Federal Home Loan Bank

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RISK INSIGHTSStay up to date on the latest news, views, articles and Q&As from presenters at Stress Testing USA: CCAR & DFAST. To stay up to date visit the event website at www.stress-testing-usa.com. To download the app simply search Risk Insights in your App or Google Play store.

EARN UP TO 22.5 CPE CREDITS(15 for main congress and 7.5 for the masterclass)Prerequisites: Knowledge of financial risk management Advanced Preparation: No advanced preparation is required Program Level: Intermediate to advanced Delivery Method: Group-live

The Center for Financial Professionals is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be submitted to the National Registry of CPE Sponsors through its website: www.learningmarket.org




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LUNCHEON ROUNDTABLESJoin one 15+ roundtable discussions to further engage, discuss and interact with peers on topical issues within the industry.

COCKTAIL RECEPTIONImmediately following the end of day one, there will be a drinks reception to wrap up the first day. Unwind in a more informal setting with drinks and canapés to carry on the days discussions with colleagues and peers.

BRIEFINGSClosed-door briefings will be held with like-minded professionals (By invitation only), numbers are limited to bring together more intimate groups to discuss key subject matters. If you would like more information, or the opportunity to host a briefing, contact us at [email protected]

NETWORKING Ample networking opportunities are available throughout the two days; breakfast, lunch and refreshments will also be served across both days to allow for further discussion and networking. Complementing the luncheon roundtables, briefings and drinks reception.

TECHNOLOGY Be sure to bring a cellphone, tablet or laptop to make the most of our technology benefits at the event. Attendees can interact through electronic devices with chair, panelists and presenters by sending questions related to the session.

RISK INSIGHTS APP Access the App for the latest insights, speaker Q&As, presentations, news and much more. Simply search Risk Insights in your App or Google Play store to download the Risk Insights App.

NETWORKING OPPORTUNITIES AT STRESS TESTING: CCAR & DFAST 2016



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Stress Testing USA 2016