Banking Risk & Regulation Summit

SUPER EARLYREGISTER BY 24 MARCHBIRD £999

6TH ANNUAL TOPICS ADDRESSED FOR 2017

CAPITAL MANAGEMENT Basel IV: unintended consequences | Capital optimisation | Stress testing | Integrating regimes | HEAR FROM MORE THAN & TLAC and MREL | Internal capital requirements | 50 CROs HEADS OF RISK INCLUDING: Pillar 2 management | Capital floors JEREMY ARNOLD PAUL BERRY WILL JENNINGS STEPHEN SHELLEY JON HINDER Chief Risk Officer, EMEA Chief Risk Officer Chief Risk Officer, Europe Chief Risk Officer, Head of Credit Risk Nomura International Mizuho International Rabobank London Commercial Banking Measurement Lloyds Banking Group Bank of England ED JENKINS RICHARD CHENGA-REDDY RUTH WANDHÖFER CREDIT RISK Global Head of Wholesale TIMOTHY HUDSON Global Head of Managing Director, Global Head BRIAN DILLEY IFRS 9 implementation and interpretation | IRB models | Credit & Market Risk Global Head of Conduct Risk Regulatory Affairs Regulatory & Market Strategy Group Director of Fraud and HSBC UBS IFRS 9 scenario generation | IFRS 9 and IRB approach | Standard Chartered Bank Citi Financial Crime Prevention Backtesting and model validation: IFRS 9 | KANWARDEEP AHLUWALIA Lloyds Banking Group NIGEL WILKINSON Deputy Chief Risk Officer for CATHERINE BRETT ADRIAN BURBANKS Global Head of Regulatory Counterparty credit risk and CCP | Valuation adjustments | EMEA and Head of EMEA Chief Risk Officer, Chief Risk Officer, Europe RICHARD SETTLE Coordination, Chief Risk SA-CCR vs. IMM | Initial margin | Non-performing loans

Markets Risk Corporate Bank and the Americas Chief Risk Officer, GSS Officer Division Bank of America Merrill Lynch Santander National Bank of Abu Dhabi Deutsche Bank Credit Suisse

Knowledge partner: Co-sponsors: Associate sponsors: CPD Accreditation:

1 #RiskEMEA www.risk-emea.com | [email protected] | +44 (0) 20 7164 6582 6TH ANNUAL BANKING RISK & REGULATION SUMMIT: RISK EMEA 2017 | 9-10 MAY 2017 | LONDON

WHAT’S NEW FOR 2017:

6 STREAMS ACROSS 2 DAYS! NEW FOR 2017: CAPITAL MANAGEMENT DON’T TAKE OUR KEYNOTE & PLENARY SESSIONS • New dedicated stream discussing a broad range of WORD FOR IT… NEW CRO LINE UP AND MORE KEYNOTE SESSIONS! capital management challenges on the horizon, running across both days. See what the 2016 speakers, sponsors and • CROs from Mizuho International, Rabobank London, attendees had to say on the quality Nomura International and Lloyds Banking Group discuss • Hear from Heads of Departments and industry experts of Risk EMEA… the future of risk management. including those from Mizuho International, Deutsche Bank, Bank of Ireland, Lloyds Banking Group, Danske Bank • Deutsche Bank’s CRO, GSS and Citi’s MD, Global Head and Credit Suisse. Engaging: Good Regulatory & Market Strategy on the potential implications of Brexit on the industry and regulation. • Key topics include: Basel IV, capital optimisation, stress pace and variety of testing, pillar 2 and TLAC/MREL. • Diverse CRO and expert line-up discuss how to keep up topics pitched at an with the pace and change of the ever evolving regulatory NEW FOR 2017: CREDIT RISK landscape. • New dedicated stream focused specifically on Credit Risk, accessible level • Lloyds Banking Group, Citi and MetLife review the running across both days. Bank of America increasing regulatory focus on cyber security and • Key topics include: IFRS 9, IRB models and the IRB technology. approach, Counterparty Credit Risk and CCP, SA-CCR NEW FOR 2017: vs. IMM, initial margin, valuation adjustments and non- Fast-moving day KEYNOTE WRAP UP PANEL DISCUSSION performing loans. • Hear Bank of America Merrill Lynch, Standard Chartered • Hear from credit risk experts from; JP Morgan, Barclays, with knowledgeable Bank, MetLife and HSBC discuss how to bring it all together BNY Mellon, Société Générale, Scotiabank and many more. speakers and precise and align departments and regulatory requirements for a unified, consistent approach across the enterprise. time keeping EIB UPDATED FOR 2017: FUNDAMENTAL REVIEW OF THE TRADING BOOK: • Join a senior line up to review changes across the industry and progress made. Good combination of panels vs. sessions, • Presentations and panel discussions analysing the FRTB framework including; interpreting the rules, P&L attribution, good presentations from senior industry figures capital impact, execution and risk factor modellability BNP Paribas

2 #RiskEMEA www.risk-emea.com | [email protected] | +44 (0) 20 7164 6582 2 6TH ANNUAL BANKING RISK & REGULATION SUMMIT: RISK EMEA 2017 | 9-10 MAY 2017 | LONDON

SPONSORS:

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problem using tools and techniques from other ActiveViam is a privately owned company with AxiomSL industries and fields of research.” AxiomSL is the leading global provider of offices in Paris, London, New York, Hong Kong and Singapore. regulatory reporting and risk management The company has senior executives with key solutions for banks, asset managers and insurers. expertise in relevant fields including; senior risk It empowers clients with the tools they need expertise at major ECB regulated bank, lecturer Advance your branding, awareness, industry expertise, thought- to manage their financial, risk and operational in risk at banking institute and PRMIA, senior leadership and lead-generation at 3rd Annual New Generation requirements, and to comply with regulatory risk expertise within major engineering projects, calculation and disclosure mandates around the mathematics and computer professor, and senior Operational Risk: Europe. world. executive in risk software product company. Bureau van Dijk Sponsorship and exhibition with the Center for Financial Bureau van Dijk will be participating at the Professionals offers unique networking, brand recognition and All of AxiomSL’s solutions are built on the same upcoming RIsk EMEA 2017 Summit. thought- leadership deliverance opportunities with senior risk adaptable, high-performance platform. This professionals from around the world. Whether you want full branding gives clients a unique opportunity to reduce the Wolters Kluwer across the event or simply a well-positioned exhibition stand, our cost and complexity of compliance by using one business development team will tailor the right package for you. platform to manage all of their requirements Whether complying with regulatory requirements or managing financial transactions, We do everything we can to help you get your marketing message globally. AxiomSL’s solutions are fully supported across and also to benchmark the return on your investment. and are upgraded when rules and templates addressing a single key risk, or working toward change. The unparalleled transparency offered a holistic enterprise risk management strategy, by AxiomSL gives users the ability to drill down Wolters Kluwer Financial Services works with Call us on +44 (0) 20 7164 6582 or from the reports they produce to the calculations customers worldwide to help them successfully email [email protected] to find out more. navigate regulatory complexity, optimize risk and source data they have used.

3 #RiskEMEA www.risk-emea.com | [email protected] | +44 (0) 20 7164 6582 3 6TH ANNUAL BANKING RISK & REGULATION SUMMIT: RISK EMEA 2017 | 9-10 MAY 2017 | LONDON KEYNOTE SPEAKER FACULTY

Kanwardeep Catherine Brett Rory Conway Jon Hinder Ed Jenkins Stephen Shelley Ahluwalia Chief Risk Officer, Chief Compliance Head of Credit Risk Global Head of Chief Risk Officer, Deputy Chief Risk Corporate Bank, Officer, EMEA, Measurement, Bank Wholesale Credit and Commercial Officer for EMEA Santander MetLife of England Market Risk, HSBC Banking, Lloyds and Head of EMEA Catherine joined Rory Conway is the Jon has 25 years’ Ed Jenkins is the Banking Group Markets Risk, Santander in April 2016 as Chief Chief Compliance experience in the area of retail Global Head of Wholesale Credit Stephen has been the CRO for Bank of America Merrill Lynch Risk Officer, Corporate Bank. Prior Officer for MetLife’s Europe, credit risk management. He and Market Risk HSBC having Commercial Banking at Lloyds Kanwardeep Ahluwalia is Head of to Santander Catherine joined Middle East and African (EMEA) currently heads up the Credit Risk previously been the Chief Risk Banking Group since November EMEA Markets Risk and Deputy HSBC in 2004. operations. Rory assumed this role Measurement team, which has Officer of Global Banking and 2012, having joined the group Chief Risk Officer for EMEA, based in in January 2016 and also serves as responsibility for oversight of IRB Markets (GB&M). He joined HSBC in May 2011 as the Chief Credit Catherine will be participating London. Kanwardeep joined Bank of Chief Compliance Officer for the models across all asset classes. in 2008 as the Chief Accounting Officer for Wholesale and on a keynote panel discussion America Merrill Lynch from Swiss Re MetLife European Union Holding Officer of GB&M. International. Previously Stephen on keeping up with the pace Jon will be joining the panel where he served both as the Head Company. enjoyed a 21 year career at and change of the ever evolving discussion in the credit risk stream Ed will be participating on the of Financial Risk Management (FRM) Barclays. regulatory landscape. Rory will be joining the keynote on IFRS 9 and the IRB approach keynote wrap up panel discussion. and the Reinsurance CRO for EMEA. cyber and technology panel Stephen will be delivering insight

Kanwardeep will be delivering and the keynote wrap up panel on the keynote panel assessing the insights on the keynote panel Adrian Burbanks discussion. Timothy Hudson Will Jennings future of risk management. discussing the regulatory landscape CRO, Europe and Global Head of Chief Risk Officer, Europe, and the keynote wrap up panel the Americas, Conduct Risk, UBS Rabobank London discussion. National Bank of Brian Dilley Timothy will be Will Jennings is Chief Risk Officer, Ruth Wandhöfer Group Director of Managing Director, Abu Dhabi delivering a keynote Europe at Rabobank. Based in Fraud and Financial Global Head Adrian Burbanks address on risk culture and London, Will has been in the Crime Prevention, Regulatory & Jeremy Arnold has held the position of Chief conduct. position since July 2016. Will Chief Risk Officer, Market Strategy, Risk Officer for Europe and the Lloyds Banking started his Rabobank career Citi EMEA, Nomura Americas since 2014 following Group within the Markets division in 2007 Ruth Wandhöfer is International plc a 29 year career focused on risk Brian has over 19 years of financial Dr Evgueni Ivantsov before taking up the role as Head a regulatory expert in the field of Jeremy has 25 years’ management with a number of top crime experience, the last 16 Head of Portfolio European Risk Monitoring Unit in banking and one of the foremost experience, both as a trader and tier investment banks. of which have been in financial Management & 2011. Prior to Rabobank, Will held authorities on transaction banking risk manager. He was appointed services. He oversees Fraud and Strategy, positons at Lloyds TSB and NAB regulatory matters. Ruth’s key Adrian will be joining the keynote Lloyds Chief Risk Officer, EMEA in Nomura Financial Crime prevention for all Capital (National Australia Bank). responsibilities include driving panel discussion on regulatory Banking Group, in July 2015. Lloyds Banking Group brands. Chairman, regulatory and industry dialogue landscape. European Will is participating on the keynote Brian previously spent more than and developing product and Jeremy will be participating on a Risk Management Council panel discussion on the future of four years at the FSA where he was market strategy in line with the keynote panel discussion on the Evgueni is Chairman of the Risk Management. Head of Department in the FSA’s evolving regulatory and innovation future of risk management. Richard Chenga-Reddy European Risk Management Global Head of Enforcement Division. Council and author of Heads landscape. Regulatory Affairs, Brian will be joining the keynote or Tails: Financial Disaster, Risk Richard Settle Ruth will be joining the keynote Paul Berry Standard Chartered panel reviewing the increasing Management and Survival Strategy CRO, GSS, Deutsche panel discussion on Brexit and Chief Risk Officer, Bank regulatory focus on cyber security in the World of Extreme Risk. Bank the cyber and technology keynote Evgueni has a more than 20-year Mizuho International Richard is Global Head of and technology within the industry. Richard is the Chief panel discussion. career in the banking sector Paul Berry is the Chief Regulatory Affairs within the Group Risk Officer for working in global and large banks. Risk Officer of Mizuho Public Affairs team at Standard Global Securities International Plc, Chartered Bank. He is responsible Evgueni will be delivering a keynote Services (‘GSS’) within the Global having joined Mizuho in 2013. In for assessing the implications of key address on Political “Trumpulence” Transaction Bank (‘GTB’) of a career that spans over 30 years, regulatory developments likely to and Brexitt. Deutsche Bank. Richard is an Paul has held front office roles in affect the Bank’s global operations experienced risk professional with relationship banking however the and coordinating its response. 20+ years experience in FI Credit majority of his career has been Risk Management and Audit. Richard will be participating on the spent in Risk Management. keynote wrap up panel discussion. Richard will be participating Paul will be joining the keynote on a keynote panel discussion panel discussion on the future of surrounding Brexit and its risk management. implications for the industry.

4 #RiskEMEA www.risk-emea.com | [email protected] | +44 (0) 20 7164 6582 4 6TH ANNUAL BANKING RISK & REGULATION SUMMIT: RISK EMEA 2017 | 9-10 MAY 2017 | LONDON KEYNOTE SESSIONS

KEYNOTE SESSIONS FUNDAMENTAL REVIEW OF THE CAPITAL MANAGEMENT CREDIT RISK Kanwardeep Ahluwalia TRADING BOOK Rajiv Arora Remo Allgäuer Deputy Chief Risk Officer for EMEAand Head of Erasmo Coletti Head of Regulatory Change, Mizuho International Head of AIRB Ratings Models, Credit Suisse AG EMEA Markets Risk, UK FRTB Lead, Risk Models, Morgan Stanley Richard Bennett Assad Bouayoun Bank of America Merrill Lynch Milan Dragas VP, Regulatory Reporting, EMEA, Wolters Kluwer Director, XVA Senior Quant, Scotiabank Jeremy Arnold Head of Market Risk Analytics, Europe, Standard Richard Chenga-Reddy Vivien Brunel Chief Risk Officer, EMEA, Chartered Bank Global Head of Regulatory Affairs, Head of Risk and Capital Modelling, Société Générale Nomura International plc Ed Duncan Standard Chartered Bank Plamen Entchev Paul Berry Director, Risk, Barclays Ed Jenkins Head of Credit Methodology, Financial Institutions and Chief Risk Officer, Mizuho International Pascal Gibart Global Head of Wholesale Credit & Market Risk, HSBC Corporates, UBS (tbc) Catherine Brett Head of Market Risk Analytics, Credit Agricole CIB Daniel Mayenberger Jan-Philipp Hoffman Chief Risk Officer, Corporate Bank , Santander Jerry Goddard Global Head of Portfolio Model Risk Management, Head of VAR and Pricing Models, Deutsche Postbank AG Adrian Burbanks Director, Risk Data, Santander Credit Suisse Jon Hinder Chief Risk Officer, Europe and the Americas , Jan-Philipp Hoffman Mastoure Moussavi Head of Credit Risk Measurement, Bank of England National Bank of Abu Dhabi Head of VAR and Pricing Models, IFRS 9 Methodology Design Lead, Lloyds Banking Group Sean Hrabak Richard Chenga-Reddy Deutsche Postbank AG Emil Petrov Executive Director, JP Morgan Global Head of Regulatory Affairs, Thomas Hougaard Managing Director, Head of Capital Structuring, Catherine Keane Standard Chartered Bank Senior Project Management Officer, FRTB Programme, Nomura Head of Bank and Country Risk, Bank of Ireland Rory Conway Nordea Eva Porz Chief Compliance Officer, EMEA, Lucia McMonagle MetLife Sylvain Martinez Head of Capital Structuring, Lloyds Banking Group Managing Director, Regional Head of Credit Risk Brian Dilley Head of Market Risk and Analytics, ICBC Standard Tony Roberts (EMEA), BNY Mellon Group Director of Fraud and Financial Crime Bank Head of Group Leverage Management, Deutsche Bank Mastoure Moussavi Prevention, Lloyds Banking Group Nicolae Mera Hanna Sarraf IFRS 9 Methodology Design Lead, Lloyds Banking Timothy Hudson Director, Market Risk Methodology, Credit Suisse Head of Risk Strategy, Bank of Ireland Group Global Head of Conduct Risk, UBS Arthur Rabatin Erdem Ultanir Richard Rossmanith Evgueni Ivantsov Head of Market Risk Technology, BNY Mellon Quantitative Credit Risk Analytics Lead, Barclays Head of Change for Counterparty Credit Risk, Head of Portfolio Management & Strategy, Alan Smillie Sunil Verma Deutsche Bank Lloyds Banking Group, Chairman, European Risk Head of Capital and Ratings Methodology, Nomura Head of Market Risk Stress Testing Methodology, UBS Richard Settle Management Council Alexander Tsorlinis Robert Wagner Chief Risk Officer, GSS,Deutsche Bank Ed Jenkins Head of Market Risk Management, Raffeisen Bank Head of Group Capital Management, Danske Bank Alan Smillie Global Head of Wholesale Credit and Market Risk, International AG Head of Capital and Ratings Methodology, Nomura HSBC Erdem Ultanir Will Jennings Quantitative Credit Risk Analytics Lead, Barclays Chief Risk Officer, Europe, Rabobank London Richard Settle, Chief Risk Officer,GSS, Deutsche Bank Stephen Shelley Chief Risk Officer, Commercial Banking, Lloyds Banking Group Anna Simons UK Head of Conduct Risk, UBS Ruth Wandhöfer, Managing Director, Global Head Regulatory & Market Strategy, Citi Nigel Wilkinson, Global Head of Regulatory Coordination, Chief Risk Officer Division, Credit Suisse

5 #RiskEMEA www.risk-emea.com | [email protected] | +44 (0) 20 7164 6582 5 6TH ANNUAL BANKING RISK & REGULATION SUMMIT: RISK EMEA 2017 | 9-10 MAY 2017 | LONDON AGENDA | 9 MAY | DAY 1

08.00 REGISTRATION, COFFEE & BREAKFAST | 08.50 CHAIR’S OPENING REMARKS DAY ONE KEYNOTE SESSIONS

KEYNOTE PANEL DISCUSSION: REGULATION & CHANGE KEYNOTE ADDRESS: DATA 09:00 KEEPING UP WITH THE PACE AND CHANGE OF THE EVER EVOLVING 09:50 POLITICAL “TRUMPULENCE” AND BREXIT: HOW TO ASSESS HIGH UNCERTANINTY REGULATORY LANDSCAPE EVENTS AND MITIGATE THEIR IMPACT • Beware of geeks bearing formulas: Getting to a territory where traditional risk models become useless Catherine Brett, Chief Risk Officer, Corporate Bank, Kanwardeep Ahluwalia, Deputy Santander | • Thinking about the unthinkable: Incorporating a non-linearity principle in a decision-making process Chief Risk Officer for EMEA and Head of EMEA Markets Risk, Bank of America Merrill Lynch | • Focus on human behaviour: Applying a dynamic stress simulation technique Nigel Wilkinson, Global Head of Regulatory Coordination, Chief Risk Officer Division, Credit • Expect the unexpected: Building a robust crisis management framework Adrian Burbanks, Chief Risk Office, Europe and the Americas, Suisse | National Bank of Abu Dhabi Dr Evgueni Ivantsov, Head of Portfolio Management & Strategy, Lloyds Banking Group, Chairman, European Risk Management Council

10.30 MORNING BREAK & NETWORKING

KEYNOTE DISCUSSION PANEL: BREXIT KEYNOTE ADDRESS: RISK CULTURE & CONDUCT 11:00 BREXIT: UPCOMING REGULATORY ENVIRONMENT AND IMPLICATIONS FOR THE 11:50 DEMONSTRATING AN EFFECTIVE RISK CULTURE AND ALIGNING CONDUCT FOR INDUSTRY GREATER EFFICIENCY ACROSS THE ORGANISATION Richard Settle, Chief Risk Officer, GSS, Deutsche Bank Timothy Hudson, Global Head of Conduct Risk, UBS Ruth Wandhöfer, Managing Director, Global Head Regulatory & Market Strategy, Citi Anna Simons, UK Head of Conduct Risk, UBS

12.30 LUNCH BREAK & NETWORKING

STREAM ONE STREAM TWO STREAM THREE FUNDAMENTAL REVIEW OF THE TRADING BOOK CAPITAL MANAGEMENT CREDIT RISK

PANEL DISCUSSION – INTERPRETATION PANEL DISCUSSION – BASEL IV PANEL DISCUSSION – IFRS 9 IMPLEMENTATION & INTERPRETATION 13.30 Finalising the interpretation of existing FRTB rules and 13.30 Basel IV: The move to a more standardised environment 13:30 Understanding and implementing the standard and obtaining clarity • Changes in capital regime interpreting principle based terms • Rules leaving room for interpretation • Implications for modelling and capital management • Ambiguous definitions • TBG questions: clarifications on rules • Calibration of Basel IV capital models • Establishing a standard across the industry • Local regulators variations from the rules • Standardisation across all operations of bank • Meeting regulatory expectations • Running different models for different regulators • Increasing capital requirements: Absorbing additional RWA’s • Impact of IFRS 9 on capital and leverage Nicolae Mera, Director, Market Risk Methodology, Credit Suisse Richard Chenga-Reddy, Global Head of Regulatory Affairs, Standard • Parallel run phase: The initial impact of IFRS 9 Erasmo Coletti, UK FRTB Lead, Risk Models, Morgan Stanley Chartered Bank • Adjusting day-to-day • On-going monitoring and reporting of IFRS 9 provisions Thomas Hougaard, Senior Project Management Officer, FRTB Rajiv Arora, Head of Regulatory Change, Mizuho International Programme, Nordea Robert Wagner, Head of Group Capital Management, Danske Bank Mastoure Moussavi, IFRS 9 Methodology Design Lead, Lloyds Pascal Gibart, Head of Market Risk Analytics, Credit Agricole CIB Banking Group Erdem Ultanir, Quantitative Credit Risk Analytics Lead, Barclays Jan-Philipp Hoffman, Head of VAR and Pricing Models, Deutsche Postbank AG

CAPITAL IMPACT DOUBLE SESSION 14:20 IFRS 9 Scenario Generation: Understanding macro- 14:20 Understanding the capital implications of the FRTB 14:20 Discussing the potential unintended consequences economic scenario requirements • Meaning of scenario generation in IFRS 9 context • How much will the new rules require increase in capital? across risk categories of Basel IV implementation • Picking the right scenarios • Impact on exposure and banks business model • Unintended consequences: MREL, FRTB, AMA and standardised • Number of scenarios: Three or five? • Reviewing business on certain product types with increased • Consequences on the overall business • Definition of expected adverse capital • Impact on global financial stability Nicolae Mera, Director, Market Risk Methodology, • What it means for standardised vs. IRB? Credit Suisse • Capital, liquidity and leverage requirements impacts

Rajiv Arora, Head of Regulatory Change, Mizuho International

15:00 Understanding the benefits and implications of operating DOUBLE SESSION CONTINUED 15:00 Effective backtesting and validation of models under under IMA or SBA 15:00 Understanding the CRD V regulation IFRS 9 • Deciding on desks • Review of the Capital Requirements Regulation (CRRII) and • Accounting requirements vs. supervisory requirements • Achieving IMA Directive (CRDV) • Consistency between IFRS 9 models and existing credit models • Balance between cost of implementation and capital savings • Impact of the CRD V regulation as set out in the proposals on • Internal governance of validation framework • Merits in implementing IMA the banks • Model performance measurement • SBA overview and implicationsInvesting money in • European Specificities • Capital market credibility developing IMA • BRRD & SRM • Behavioural modelling • What should banks be doing now? Vivien Brunel, Head of Risk and Capital Modelling, Sylvain Martinez, Head of Market Risk and Analytics, ICBC Standard Bank Société Richard Bennett, VP, Regulatory Reporting, EMEA, Wolters Kluwer Générale

15.40 AFTERNOON REFRESHMENT BREAK & NETWORKING

PANEL DISCUSSION – EXECUTION PANEL DISCUSSION – STRESS TESTING PANEL DISCUSSION – IFRS 9 AND IRB APPROACH 16:10 Executing the FRTB in practice and contending with 16:10 Effectively co-ordinating stress testing across 16:10 Assessing the similarities and differences between IFRS 9 timing constraints jurisdictions, regulators and at group level and the updated Basel IRB framework • Scope of expectations • Co-coordinating at group level: • Definition of default • P&L attribution and consequences for re-aligning infrastructure • Interrelation between capital, liquidity, funding and interest • Measurement of loss given default (LGD) • Transposing Basel framework into national and European rate risk • Modelling within credit cycle legislation • Executing scenarios and assumptions into practical stress testing • Measuring in low default models: Using two different models with different results Jerry Goddard, Director, Risk Data, tasks Santander • Impact on capital • Creating models using average historic LGD’s Pascal Gibart, Head of Market Risk Analytics, Credit Agricole CIB • Modelling of exposures Jan-Philipp Hoffman, Head of VAR and Pricing Models, Deutsche Gernot Stania, Head of Section, European Central Bank • Communication, governance and documentation Postbank AG Daniel Mayenberger, Global Head of Portfolio Model Risk Jon Hinder, Head of Credit Risk Measurement, Bank of England Alexander Tsorlinis, Head of Market Risk Management, Raffeisen Management, Credit Suisse Alan Smillie, Head of Capital and Ratings Methodology, Nomura Bank International AG Erdem Ultanir, Quantitative Credit Risk Analytics Lead, Barclays Plamen Entchev, Head of Credit Methodology, Financial Institutions Sunil Verma, Head of Market Risk Stress Testing Methodology, UBS and Corporates, UBS (tbc) Catherine Keane, Head of Bank and Country Risk, Bank of Ireland

7 #RiskEMEA www.risk-emea.com | [email protected] | +44 (0) 20 7164 6582 7 6TH ANNUAL BANKING RISK & REGULATION SUMMIT: RISK EMEA 2017 | 9-10 MAY 2017 | LONDON AGENDA | 9 MAY | DAY 1 |

STREAM ONE STREAM TWO STREAM THREE FUNDAMENTAL REVIEW OF THE TRADING BOOK CAPITAL MANAGEMENT CREDIT RISK

17:00 Full Revaluation and Expected Shortfall CAPITAL OPTIMISATION IRB MODELS • Enabling IMA approval 17:00 Optimising capital numbers whilst overcoming increasing 17:00 The future of AIRB models after the ‘Basel IV’ capital • Tight P&L attribution targets regulatory pressures floors • Re-organisation internally to reduce full re-val burden: Efficiency • Road to ‘Basel IV’ • Cost and business model changes • Computational and quantitative workload • Summary of key regulations • Capital usage • How banks intend to partition up their desks: Impact on • Implication on the current AIRB model landscape • Separating the woods from the trees: Ringfencing, FRTB, calculating expected shortfall • Opportunities and risks Volcker, Dodd Frank Act… • Balance sheet optimisation Remo Allgäuer, Head of AIRB Ratings Models, Credit Suisse AG • Delivering profits to shareholders

Tony Roberts, Head of Group Leverage Management, Deutsche Bank

17.40 CHAIR’S CLOSING REMARKS 17.50 END OF DAY ONE & EVENING COCKTAIL DRINKS RECEPTION

KEYNOTE PANEL DISCUSSION: LOOKING AHEAD KEYNOTE TECHNOLOGY PANEL DISCUSSION: CYBER & TECHNOLOGY 09:00 THE FUTURE OF RISK MANAGEMENT: WHERE WILL RISK MANAGEMENT BE IN 2030 09:50 REVIEWING THE INCREASING REGULATORY FOCUS ON CYBER SECURITY AND Jeremy Arnold, Chief Risk Officer, EMEA, Nomura International plc TECHNOLOGY WITHIN THE BANKING INDUSTRY Paul Berry, Chief Risk Officer, Mizuho International Ruth Wandhöfer, Managing Director, Global Head Regulatory & Market Strategy, Citi Stephen Shelley, Chief Risk Officer, Commercial Banking,Lloyds Banking Group Rory Conway, Chief Compliance Officer, EMEA,MetLife Will Jennings, Chief Risk Officer, Europe,Rabobank London Brian Dilley, Group Director of Fraud and Financial Crime Prevention, Lloyds Banking Group

10.40 MORNING REFRESHMENT BREAK & NETWORKING STREAM ONE STREAM TWO STREAM THREE FUNDAMENTAL REVIEW OF THE TRADING BOOK CAPITAL MANAGEMENT CREDIT RISK PANEL DISCUSSION – IMPLEMENTATION PANEL DISCUSSION – INTEGRATING REGIMES PANEL DISCUSSION – COUNTERPARTY CREDIT RISK AND CCP 11:10 Looking ahead to FRTB implementation and 11:10 Integrating existing capital models and regulatory 11:10 Looking at counterparty risk in light of new regulation: understanding the requirements regimes for a unified process Moving to clearing houses • Concentration risk: consequences and next steps • Finalising interpretation of existing rules • Pillar 1, stress testing, IFRS 9 • Holding collateral to collect initial margin • Approval process • Leveraging existing infrastructure • Impact of CCPs: clearing houses • Transition process from existing regulatory regime to FRTB • Stress testing scenarios for IFRS 9 • Accounting for exposure and being charged capital against exposure regime • IFRS 9, PD & LGD models and stress testing: Producing similar • Finding and posting cash to clearing houses • Challenges as a global bank measures • Capturing and capitalising CCP risk • Pricing • Economic capital • Lack of clear regulatory framework Ed Duncan, Director, Risk, Barclays Ed Jenkins, Global Head of Wholesale Credit and Market Risk, HSBC • Collateral transformation Milan Dragas, Head of Market Risk Analytics, Europe, Standard Mastoure Moussavi, IFRS 9 Methodology Design Lead, Lloyds • Operational risk burden Chartered Bank Banking Group Richard Settle, Chief Risk Officer, GSS,Deutsche Bank

Arthur Rabatin, Head of Market Risk Technology, BNY Mellon Sean Hrabak, Executive Director, JP Morgan

Lucia McMonagle, Managing Director, Regional Head of Credit Risk (EMEA), BNY Mellon

12:00 Aligning the front to back office for a more integrated INTERNAL CAPITAL REQUIREMENTS 12:00 SA-CCR vs. IMM standardised approach 12:00 Reviewing the calculation of internal capital Richard Rossmanith, Head of Change for Counterparty Credit Risk, • Standardisation into single trade and product representation requirements as a buffer on top of regulatory minimums Deutsche Bank • Obtaining the right data • How to set the ‘right’ level of capital • Collecting data into one place • What risk coverage should be considered • Mapping back to finance platforms • What measurement and modelling techniques can be • Bringing it all together leveraged • How to determine the size of a buffer for a bank to withstand a severe downturn period • Impact of increase level of capital requirements through advanced balance sheet optimisation techniques • Revisiting and embedding RAROC as a methodology to allocate capital and deliver risk-adjusted performance results Hanna Sarraf, Head of Risk Strategy, Bank of Ireland

12:40 LUNCH BREAK & NETWORKING

P&L ATTRIBUTION 13:40 Challenges in Pillar 2 management going forward INITIAL MARGIN 13:40 Assessing the challenges of P&L attribution and ability to 13:40 Pragmatic implementation of initial margin and pass the tests • European approach to splitting pillar 2 incorporation of cleared initial margin into the counterparty • Alignment of approaches to setting pillar 2a and 2b • Difficulty in passing P&L attribution tests: Consequences of failure credit risk exposure framework • Impact on capital instruments and investor perception • Bringing different bank systems together • Incorporation of dynamic initial margin into counterparty credit • Aligning risk and front office calculations risk calculations • Rebuilding infrastructure Eva Porz, Head of Capital Structuring, Lloyds Banking Group • Internal risk management and regulatory capital optimisation • Treatment of valuation adjustments under P&L attribution • Volume of derivative transactions • Best in class modelling of incorporation of dynamic margin: Alan Smillie, Head of Capital and Ratings Methodology, Nomura Practical implementation Sean Hrabak, Executive Director, JP Morgan

14:20 P&L Attribution: Calibration of thresholds and consequences TLAC & MREL VALUATION ADJUSTMENTS • Difficulty in managing current calibration and passing 14:20 Building a new layer in the bank capital structure 14:20 Assessing the current stage of MVAs and initial margin P&L attribution tests • Background and rationale for the new requirements with respect to bilateral margin or in the context of a CCP • New calibration • MREL vs. TLAC • Review of different initial margin methodologies (CCPs, SIMM) • Where should the new threshold be? • Implementation timelines • Integration of IM models into MVA model (using AAD) • Calibration of the requirements • Impact on MVA risk, netting and clearing management strategy Jerry Goddard, Director, Risk Data, Santander • Qualifying instruments Assad Bouayoun, Director, XVA Senior Quant, Scotiabank • Investor considerations and market practice

Emil Petrov, Managing Director, Head of Capital Structuring, Nomura

RISK FACTOR MODELABILITY CAPITAL FLOORS NON-PERFORMING LOANS 15:00 Reviewing the regulatory definition of non-modellable 15:00 Reviewing the upcoming setting of capital floors and impact 15:00 Assessing the impact of non-performing loans (NPLs) across risk factors and limiting them to pass P&L attribution tests on overall requirements Europe and strategies to mitigate their effects • Defining and limiting the number of non-modellable risk factors • Calibrating Basel framework • ECB, Basel and EBA issued guidelines • Ability to pass P&L test • Potentially increased capital requirements • Impact of NPLs: A drag on profitability • Prudential consequences: capital punishment • Replacement of floors • Resolution strategies • Collecting evidence from external sources • Risk sensitivity and comparability • Dealing with NPLs and impact on banks P&L • Working in practice • Reviewing treatments • Methods to accelerate a reduction of NPLs • Integrating vendor risk into this strategy • Implications on business plan and model Ed Duncan, Director, Risk, Barclays 15:40 AFTERNOON REFRESHMENT BREAK & NETWORKING

KEYNOTE WRAP-UP PANEL DISCUSSION 16:10 BRINGING IT ALL TOGETHER: ALIGNING DEPARTMENTS AND REGULATORY REQUIREMENTS FOR A UNIFIED, CONSISTENT APPROACH ACROSS THE ENTERPRISE Kanwardeep Ahluwalia, Deputy Chief Risk Officer for EMEA and Ed Jenkins, Global Head of Wholesale Credit and Market Risk, HSBC Richard Chenga-Reddy, Global Head of Regulatory Affairs, Head of EMEA Markets Risk, Bank of America Merrill Lynch Rory Conway, Chief Compliance Officer,EMEA, MetLife Standard Chartered Bank

17:10 CHAIR’S CLOSING REMARKS 17:20 END OF RISK EMEA SUMMIT 2017

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ESSENTIAL INFORMATION

VENUE ACCOMMODATION Amba Hotel If you would like to book accommodation please use booking Bryanston Street code CENT090517 for only £205 incl. VAT per room per night. London Book by email [email protected] W1H 7EH or over the phone: +44 (0) 207 523 5060 UK

RISK INSIGHTS Stay up to date on the latest news, articles and Q&As DRESS CODE from presenters at Risk EMEA 2017. Business Attire To stay up to date visit the website www.risk-emea.com

NETWORKING OPPORTUNITIES AT RISK EMEA 2017

COCKTAIL RECEPTION NETWORKING Immediately following the end of day one, there will be a drinks reception Ample networking opportunities are available througout the two days; to wrap up the first day. Unwind in a more informal setting with drinks and breakfast, lunch and refreshments will also be served across both days to canapés to carry on the days discussions with colleagues and peers. allow for further discussion and networking, complementing the Briefings and Drinks Reception

BRIEFINGS RISK EMEA APP Closed-door briefings will be held wit like-minded professionals (by You can access the Risk EMEA App for the latest insights, speaker Q&As, Invitations only). Numbers are limited to bring together more intimate view presentations and more… groups to discuss key subject matters. If you would like more information, or the opportunity to host a Briefing, contact us at [email protected] RE Search ‘Risk insights’ on your app store

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Please complete the relevant fields and select your payment and attendance options. GROUP RATES AVAILABLE FOR 3+ DELEGATES When complete, please click Submit. You will receive confirmation within 24 hours of your 50% discount on the 3rd delegate registering from the same registration being received. company, when registering at the same time. Lowest rate discounted YOU CAN ALSO REGISTER ONLINE www.risk-emea.com Contact us, call: +44(0) 20 7164 6582 or email: [email protected] BY TELEPHONE: +44 (0) 20 7164 6582 OR EMAIL: [email protected] PAYMENT OPTIONS: INVOICE PLEASE REGISTER THE FOLLOWING DELEGATE(S) DELEGATE 2 Please send me an invoice and wire transfer information. DELEGATE 1 Miss Ms Mrs Mr Dr Other Miss Ms Mrs Mr Dr Other CREDIT CARD. PLEASE DEBIT MY: Name VISA MASTERCARD AmEx. Name Position Position Card No. / / / Telephone Expiry Date / CVV/Security number Organisation E-mail Name of Card Holder Address DELEGATE 3 - 50% OFF Miss Ms Mrs Mr Dr Other Billing Address

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I am unable to attend the 2017 Summit, please send me the course documentation for £499 (All registered delegates will receive documentation)

TERMS AND CONDITIONS The conference is being organised by the Center for Financial Professionals Ltd, a limited the event, then we will be entitled, but not obliged, to provide alternative presenters, facilities, venue, or provide a refund. Where a visa and invitation letter is requested, payment must be made by wire transfer, cheques and credit card details liability company formed under English company law and registered in the UK no. 7771333. Cancellations received more Any refunds will be subject to 15% administration charge. Force Majeure Event means any event arising that is beyond our cannot be accept, before any invitation letter is issued. than one calendar month before the event will be eligible for a refund less 15% administration fee. Cancellations must be reasonable control including (without limitation) to speaker or participant cancellation or withdrawal, supplier or contractor May we remind overseas delegates that VAT must be paid for all UK-based events. made in writing to [email protected]. Regrettably, no refund can be made for cancellations within a month of the event. 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. No financial information, including credit card details, will be retained by the Centre for Financial Professionals other than If you are unable to attend, you may nominate a colleague to take your place at any time at no additional charge. Any stated purpose. All financial information will be disposed of once registration and payment is confirmed. additional questions, call us on (US) +1 888 677 7007 or (UK) +44 (0)20 7164 6582 We would like to keep you informed of other products and services. This will be carried out in accordance with the Data Protection Act. We are not responsible for travel and accommodation of registered delegates and will not accept By registering for our events, you agree to the photography, video and social media policy in public forums. If you wish to We, at our sole discretion, reserve the right to alter or cancel any presenters, sponsors, exhibitors, agenda or format of the liability for such or any individual transport delays and in such circumstances the normal cancellation restrictions apply. opt out, please contact us prior to the event. event, including but not limited to venue and dates. The views and opinions expressed in literature before the event, during In all cases payment prior to the event is required. Registration fees include all available sessions, refreshments and course By completing and submitting this registration form, you confirm that you have read and understood our Terms and discussions and presentations at the event and any post-event material, are those of the individuals and/or organizations Conditions and you agree to be bound by them. represented and not of the Center of Financial Professionals. documentation. When paying by credit card, we 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 we are administered from the UK, Center for Financial Professionals, Suite 68 The Maltings, Roydon Road, Herts. SG12 8HG. UK Receipt of the booking form, inclusive or exclusive of payment, constitutes formal agreement to attend and acceptance including processing of payments. of the terms and conditions stated. Where a Force Majeure Event has or may have affected our ability to execute and run 12