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, 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 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,

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#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, • 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

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#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, • 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 quantifying Bank Model Risk Sylvain Martinez, Global Head of Market Risk, Standard Bank • How do you know you have the right answer and that the assessment is complete? Mirela Predescu, Deputy Head, Credit – Market and • Effectively stressing the model assumptions Counterparty Risk Methods and Analytics, BNP Paribas (TBC) • Translating the number into a Model Risk Appetite Anish Shah, V P, Quantitative Modelling & Market Risk Audit, 16:20 BEST PRACTICES FOR MODELLING VARYING Barclays LIQUIDITY HORIZONS UNDER THE FRTB’S REVISED 11:10 MORNING REFRESHMENT BREAK & NETWORKING MODEL APPROACH • Determining how to model liquidity within a VaR model • Assessing the different approaches available DOUBLE SESSION • Understanding how to get a capital figure that actually 11:40 BUILDING AN EFFECTIVE MODEL RISK represents liquidity GOVERNANCE FRAMEWORK • Overcoming challenges with sparse data • Determining the governance policies and processes for a Adolfo Montoro, Director, Market Risk Management, firm-wide model risk policy • Model definition and clarity • Control and ownership 17:00 END OF DAY ONE

#QuantRisk E: [email protected] T: +44 (0) 20 7164 6582 www.cfp-events.com/quantrisk QUANT RISK MANAGEMENT 2015 NOVEMBER 18 DAY TWO

08:30 REGISTRATION & NETWORKING 13:35 MODEL UNCERTAINTIES IN XVA CALCULATIONS – THE IMPACT OF MEASURES, MODELS AND CSA DETAILS 08:50 CHAIR’S OPENING REMARKS • Credit Risk Capital depends on risk factor models • Risk-neutral vs. Real-world measures CCPs & COUNTERPARTY CREDIT RISK • Pricing of CSA details like an EONIA floor PANEL DISCUSSION 09:00 EFFECTIVELY MODELLING EXPOSURE OF CCP 14:10 EFFECTIVELY AND EFFICIENTLY CALCULATING AND DEFAULT AND ASSESSING THE PROBABILITY OF SYSTEMIC COMPUTING VALUE ADJUSTMENTS IN PRACTICE RISK KVA FOCUS • Understanding how to calibrate the probability of a CCP • Determining the right computational approach – Is it defaulting modelling simulation inside simulation? • Building in simultaneous defaults • Determining the cost and impact of a default • IMM Vs. Non IMM Bank solutions • Analysing the feasibility of modelling replacement costs in • Implementing into the risk framework the event of collapse Gordon Lee, XVA and Capital Quantitative Analyst, UBS • Assessing how to measure the liquidity withdrawn Gael Robert, Director Counterparty Credit Risk, Mizuho 14:45 UTILISING THE VALUE ADJUSTMENTS FOR OPTIMISING CAPITAL AND DRIVING DECISION MAKING • Understanding how the KVA can be used for capital DOUBLE SESSION optimisation and impacting business decisions INITIAL AND BI-LATERAL MARGIN • Determining if the adjustment should be included or not 09:40 CLARIFYING INITIAL AND BI-LATERAL MARGIN • Assessing the impact on the P&L REQUIREMENTS IN GEOGRAPHICAL REGIONS AND THEIR Andrea Prampolini, Head, Counterparty Risk Management, IMPACTS Banca IMI • Understanding how requirements differ across regulators

• Determining the practicalities of the different 15:20 AFTERNOON REFRESHMENT BREAK & NETWORKING implementation models Gilles Artaud, Deputy Head of Counterparty Credit Risk, Credit Agricole 15:50 ACCOUNTING KVA UNDER IFRS 13 FAIR VALUE Richard Rossmanith, Head of Counterparty Credit Risk Analytics MEASUREMENT • Determining if KVA should be put into accounting Change Delivery, RBS • Assessing the implications of accounting for KVA • Understanding how to account for KVA 10:50 MORNING REFRESHMENT BREAK & NETWORKING Richard Kenyon, Senior Lecturer, Accounting and Finance, PANEL DISCUSSION Birmingham City University 11:20 INCREASING TRANSPARENCY OF PRICING ACROSS DATA MANAGEMENT AND SYSTEMS MULTIPLE CCPS • Determining what drives the cost of clearing 16:25 ASSESSING THE NEEDS AND REQUIREMENTS FOR • Understanding the impact of the initial margin and bi- INTEGRATED DATA AND RISK MANAGEMENT SYSTEMS lateral initial margin • Aggregating data across legal entities • Reviewing the impacts of initial margin, bi-lateral initial • Understanding the need for coherent and consistent data margin and MVA on business models • Can the data be aggregated accurately and consistently Gilles Artaud, Deputy Head of Counterparty Credit Risk, • Sharing data across functions between IT, Operations, Front Credit Agricole Office, Finance and Risk • Involving IT earlier to develop a more workable solution for Gael Robert, Director, Counterparty Credit Risk, Mizuho regulatory compliance • Determining the need for a standardised FPML VALUE ADJUSTMENTS AND FAIR VALUE MEASUREMENT Michael Mura, Head of Quantitative Solutions, RBS (TBC) 12:00 EFFECTIVELY AND EFFICIENTLY CALCULATING AND COMPUTING VALUE ADJUSTMENTS IN PRACTICE 17:00 A PARSIMONIOUS FRAMEWORK FOR FORWARD LOOKING INITIAL MARGIN: MODELLING AND MVA FOCUS • Best practice approach for calculation and computation BACKTESTING • Understanding how big the adjustment is • Forward looking initial margin: what is it and why is it • Determining how to implement and use for business needed decision making • How to calculate it with AMC style LS regression • Assessing the impact on CCPs and counterparties • How to backtest the model forecasting performance Andrew Green, Head of CVA/FVA Quantitative Research, Fabrizio Anfuso, Head of Collateral Exposure Modelling, Lloyds Banking Group Credit Suisse

12:35 LUNCH BREAK & NETWORKING 17:35 CLOSE OF CONGRESS

#QuantRisk E: [email protected] T: +44 (0) 20 7164 6582 www.cfp-events.com/quantrisk Quant Risk Management 2015 | November 17–18 | London Dexter House, 2 Royal Mint Ct, London EC3N 4QN

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