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QUANT RISK MANAGEMENT 2015 November 17–18 | LONDON

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QUANT RISK MANAGEMENT 2015 November 17–18 | LONDON EARLY BIRD: BRING THE TEAM: ONLY £999 3rd Attendee Goes FREE Register by 23 October 2ND ANNUAL QUANT RISK MANAGEMENT 2015 November 17–18 | LONDON Best Practices And Processes For Quant Professionals In The New Regulatory Financial Order HIGHLIGHTS FOR 2015 INCLUDE: HEAR FROM MORE THAN 20 SENIOR THE ROLE OF THE QUANT RISK PROFESSIONALS INCLUDING: Understand the changing role of quants and the impacts Dong Qu, Global Head of Quants, UniCredit of new regulations on the profession Felix Matschke, Global Head Model Coordination, UBS MODEL RISK & VALIDATION Sylvain Martinez, Global Head of Market Risk and Analytics, Key insights on building an effective governance ICBC Standard Bank framework, the depth and scope of models to include and how to quantify model risk Bertrand Hassani, Group Head of AAA – Risk Methodology (Advanced and Alternative Analytics), Santander CCPs & COUNTERPARTY CREDIT RISK Andrew Green, Head of CVA/FVA Quantitative Research, Best practices for modelling exposure of CCP default, the probability of systemic risk and clarification of the Lloyds Banking Group initiative and bi-lateral margin requirements Jan-Philipp Hoffman, Head of VaR and Price Models, VALUE ADJUSTMENTS AND FAIR VALUE Deutsche Postbank MEASUREMENT Andrea Prampolini, Head, Counterparty Risk Management, Learn how to calculate and compute the MVA and KVA Banca IMI as well as how to account under IFRS 13 and utilise the Richard Rossmanith, Head of Counterparty Credit Risk Analytics adjustments for business decision making Change Delivery, RBS FUNDAMENTAL REVIEW OF THE TRADING Andrea Buzzigoli, Head of Global Wholesale Credit Risk BOOK Analytics, HSBC Asess the pro’s and con’s of implementation or standardised approaches and understand how to model Gilles Artaud, Deputy Head of Counterparty Credit Risk, varying liquidity horizons Credit Agricole DATA MANAGEMENT AND SYSTEMS Sean Hrabak, Director, Model Validation, Citi Discuss the needs and requirements for integrated data Gael Robert, Director, Counterparty Credit Risk, Mizuho and risk management systems Sebastian Irle, Senior Policy Expert & TBG Member, Deutsche Bundesbank Gold Sponsor: CPD Accreditation: #QuantRisk E: [email protected] T: +44 (0)20 7164 6582 www.cfp-events.com/quantrisk • 2015 PRESENTERS: 15+ Heads exposure of CCP default, the WHY ATTEND of Quantitative Risk Departments probability of systemic risk and The role of the quant risk professional from 13+ financial institutions and clarification of the initiative and has changed significantly since the regulators bi-lateral margin requirements financial crisis. Demands from regulators • NETWORKING & LEARNING: • VALUE ADJUSTMENTS & FAIR have required significant changes in Over 10 hours of interactive panel VALUE: Learn how to calculate risk management systems, processes, discussions, presentations and case and compute the MVA and KVA as methodologies and calculations as well studies and more than 4 hours of well as how to account under IFRS as a greater knowledge and experience networking 13 and utilise the adjustments for business decision making base for quants. • THE ROLE OF THE QUANT: Understand the changing role of • FUNDAMENTAL REVIEW OF THE quants and the impacts of new TRADING BOOK CFP’s Quant Risk Management 2015 regulations on the profession Assess the pro’s and con’s of tackles the key challenges facing implementation or standardised • MODEL RISK & VALIDATION: approaches and understand how to quantitative risk managers and the Key insights on building an model varying liquidity horizons industry now, and in the foreseeable effective governance framework, future. Key highlights for 2015 include: the depth and scope of models to • DATA MANAGEMENT & include and how to quantify model SYSTEMS: risk Discuss the needs and requirements for integrated data • CCPS & COUNTERPARTY RISK: and risk management systems Best practices for modelling WHO SHOULD ATTEND? Investment Banks, Private Banks, • XVA, CVA, DVA, FVA, KVA, MVA and • Funding Methodology Commercial Banks, Retail Banks, LVA • Product Control Valuations Hedge Funds, Building Societies, Asset • Quantitative Risk • VAR Model Testing Management Companies, Insurance • Quantitative Modeling • Interest Rate Risk Companies, Pension Funds and Other • Quantitative Strategies • Inflation Model Validation Financial Institutions. • Quantitative Research • Exposure Analytics CEOs, Finance Directors, CRO along • Quantitative Analysis • Data Management & Governance with the Directors, Heads and • Model Risk • Capital Management Managers of: • Market Risk • Exposure Analytics • Credit Risk • Data Management & Governance • Risk Methods/Methodology • Global Credit Products • Capital Management • Model Control • Counterparty Risk Management • Counterparty Exposure SPONSORSHIP & EXHIBITION GOLD SPONSOR OPPORTUNITIES Quaternion Risk Management Advance Your Branding, Awareness, Industry Expertise, Thought- is a specialist Quant consulting Leadership And Lead-Generation practice focusing on risk and pricing, with especial interest Does your organization need to generate new sales leads, launch in derivatives, structured products, capital management and XVA. a new product or service, engage with key decision makers, build We provide services such as quantitative methodology and bespoke future business relationships or simply educate the industry? development in areas such as the design or optimization of pricing, Sponsorship and exhibition with CFP Events offers unique networking, risk and capital models; “trouble shooting” issues between front brand recognition and thought-leadership deliverance opportunities office and Risk; independent portfolio valuation and validation; with senior risk professionals from around the world. Whether you and the re-organization and implementation of any capital markets want full branding across an event or simply a well-positioned activity. We have extensive practical experience of helping customers exhibition stand, our business development team will tailor the right achieve regulatory sign off. package for you. We do everything we can to help you get your marketing message across and also to benchmark the return on your We also offer our proprietary, open source, transparent, Quantlib- based Quaternion Risk Engine software, which has been in daily use investment. at client sites since 2011, and is embedded in UBS Delta’s solution For further information, please contact Andreas Simou: suite for CVA calculation. [email protected] or call Quaternion has many years of senior practitioner experience, teams +44 (0)20 7164 6582. in London, Dusseldorf, Zurich and Dublin, and an excellent track record. For further information go to www.quaternion.com #QuantRisk E: [email protected] T: +44 (0) 20 7164 6582 www.cfp-events.com/quantrisk QUANT RISK MANAGEMENT 2015 NOVEMBER 17 DAY ONE 08:00 REGISTRATION & NETWORKING • Model approvals and usage • Appropriateness 08:50 CHAIR’S OPENING REMARKS • Model reserves • Validation of documents incline with front office KEYNOTE PANEL DISCUSSION documentation 09:00 UNDERSTANDING THE CHANGING ROLE OF Jan-Philipp Hoffman, Head of VaR and Price Models, Deutsche QUANTS AND THE IMPACTS OF THE NEW REGULATORY Postbank FINANCIAL ORDER ON THE PROFESSION Sean Hrabak, Director, Citi Andrea Buzzigoli, Head of Global Wholesale Credit Risk Analytics, HSBC 12:50 LUNCH BREAK & NETWORKING Andrew Green, Head of CVA/FVA Quantitative Research, Lloyds Banking Group FUNDAMENTAL REVIEW OF THE TRADING BOOK Bertrand Hassani, Group Head of AAA – Risk Methodology BCBS 325 (Advanced and Alternative Analytics), Santander 13:50 UNDERSTANDING THE IMPACT OF THE REVISED Dong Qu, Global Head of Quants, UniCredit CVA APPROACH Michael Pykhtin, Manager, Quantitative Risk MODEL RISK AND VALIDATION Management, Federal Reserve Board (TBC) PANEL DISCUSSION 09:45 DETERMINING THE DEPTH AND SCOPE OF MODELS 14:30 INTRODUCTION TO THE NEW STANDARDISED TO BE INCLUDED IN THE MODEL RISK FRAMEWORK APPROACH: UNDERSTANDING IT’S UNDERLYING • Clearly defining what a model is and understanding how to METHODOLOGY • Overview of the SBA’s pillars accurately aggregate • Discussion of the SBA’s key formulas: How can they be • Understanding what models should and shouldn’t be motivated and what do they mean covered • Effective compliance procedures – SR 11-7 and OCC 2011- Sebastien Irle, Senior Policy Expert, TBG Member, Deutsche 12 and beyond Bundesbank • Keeping and maintaining an effective list of models • Assessing the impacts on staff, time and systems 15:10 AFTERNOON BREAK & NETWORKING • Dealing with spreadsheets Jan-Philipp Hoffman, Head of VaR and Price Models, Deutsche PANEL DISCUSSION Postbank 15:40 FUNDAMENTAL REVIEW OF THE TRADING BOOK: Sean Hrabak, Director, Model Validation, Citi ASSESSING THE PRO’S AND CON’S OF IMPLEMENTATION Felix Matschke, Global Head Model Coordination, UBS OR STANDARDISED APPROACHES • Understanding what was learned from the latest QIS Anish Shah, V P, Quantitative Modelling & Market Risk Audit, Barclays • Determining the impact implementation will have on Keith Garbutt, Head of Model Risk Management, Credit Suisse processes, methodologies, systems and capital floors • How are regulators adopting the changes • Internal Vs. Standardised approach – Which makes sense? 10:30 EFFECTIVELY QUANTIFYING MODEL RISK AND Britta Achmann, Head of Market & Counterparty Credit Risk TRANSLATING IT INTO THE RISK FRAMEWORK AND Capital, RBS APPETITE STATEMENT Adolfo Montoro, Director, Market Risk Management, Deutsche • Assessing best practices and solutions for
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