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Moody’s Analytics Risk Practitioner Conference 2011 INSIGHT, EXPERTISE AND BEST PRACTICES IN RISK MANAGEMENT CHICAGO, OCTOBER 3-6 Conference Program RPC 11 RISK PRACTITIONER CONFERENCE

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Page 1: Moody’s Analytics Risk Practitioner Conference 2011 · 7 MOODY’S ANALYTICS RISK PRACTITIONER CONFERENCE 2011 STREAMS DAY 2 Risk Management Policy and Practice I ... FX spot rates,

Moody’s Analytics

Risk Practitioner Conference 2011 INSIGHT, EXPERTISE AND BEST PRACTICES IN RISK MANAGEMENT

CHICAGO, OCTOBER 3-6

Conference Program

RPC11RISK

PRACTITIONERCONFERENCE

Page 2: Moody’s Analytics Risk Practitioner Conference 2011 · 7 MOODY’S ANALYTICS RISK PRACTITIONER CONFERENCE 2011 STREAMS DAY 2 Risk Management Policy and Practice I ... FX spot rates,

4 MOODY’S ANALYTICS RISK PRACTITIONER CONFERENCE 2011

Arrival: Monday, October 3

6:30 PM Welcome Reception and Dinner Skyline Room, Floor 16

Day One: Tuesday, October 4

7:00 – 9:00 AM Open Breakfast Skyline Room, Floor 16

8:00 – 9:00 AM Solutions Café Grand Foyer, Floor 16

GENERAL SESSION Grand Ballroom, Floor 16

9:00 – 9:30 AM Opening Address Mark Almeida, President, Moody’s Analytics

9:30 – 10:30 AM On Thin Ice Mark Zandi, Chief Economist, Moody’s Analytics

10:30 – 11:00 AM Break

11:00 – 12:00 PM See stream sessions opposite

12:00 – 1:00 PM Lunch: Birds of a Feather (see page 3 for more information) Skyline Room, Floor 16

1:00 – 4:30 PM See stream sessions opposite

Agenda, Day 1

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5 MOODY’S ANALYTICS RISK PRACTITIONER CONFERENCE 2011

STREAMS DAY 1

Risk Management Policy and Practice

Innovations in Risk Modeling and Methodology

Special Topics in Retail Risk Management

Products Highlights and Strategy

GRAND BALLROOM (FLOOR 16) GRAND SALON (FLOOR 17) SALON I (FLOOR 17) SALON II (FLOOR 17)

11:00 – 12:00 PM Satisfying the Regulator

» Internal and systemic ramifications of managing a capital buffer

» Institutional perspective: stabilizing sources and uses of capital

» Systemic perspective: mitigating systemic effects of credit cycles

» Managing portfolio model risk

Sean Keenan, GE Capital

Why Banks Succeed and Fail: Empirical Evidence and Implications

» Economic capital, regulatory capital and bank failure risk

» Assessing bank performance: What does ROE measure?

» Valuation of bank stocks » Implications for financial regulations and risk management

Jing Zhang, Moody’s Analytics

Giving Credit Where it’s Due: Latest Trends in Consumer Credit Performance

» Examining trends in outstanding loan volumes and new originations across auto, mortgage, credit card and student loans

» Understanding performance differences in retail credit portfolios by product, vintage, geography and credit score

» Leveraging regional economic data to manage risk and find growth opportunities in retail credit lending

» Exploiting industry-level vintage data and models to stress test and reduce losses in loan portfolios

Sean Rowles, Citizens BankCristian de Ritis, Moody’s Analytics

Origination Innovation

Learn how you can use your investment in origination software to not only achieve regulatory compliance but also increase profitability by improving the accuracy of regulatory capital calculations, allocating capital more efficiently, enhancing operational effectiveness and reducing loan losses.

John Baer, Martin Cunningham and June Marcel, Moody’s Analytics

12:00 – 1:00 PM LUNCH: BIRDS OF A FEATHER (SEE PAGE 3), SKYLINE ROOM

1:00 – 2:00 PM Responding to the Challenges of the New Banking Environment

» Developing and implementing new risk rating models in today’s environment

» Leveraging both quantitative and qualitative inputs

Tim Barber, Huntington Bank

Assessing and Pricing Liquidity Risk: An Economic Perspective of Asset and Liability Dynamics

» Modeling liquidity risk for banks with multiple and uncertain funding sources, including secured borrowing and asset sales

» Understanding the dynamics and interplay of borrower characteristics, funding options and the economic environment in a correlated setting

» Holistic decomposition of a funds transfer price that accounts for institution-referent contingent liquidity, funding liquidity and credit risk

Amnon Levy and Yashan Wang, Moody’s Analytics

Measuring Credit Risk in Retail Portfolios

» Regulatory context » The Brazilian experience » Current challenges » Forecasting credit performance

Ana Carla Abrao Costa, Itaú-Unibanco

What’s New with RiskCalc Plus and Private EDFTM (expected default frequency)

We will discuss our suite of 28 RiskCalcTM models and some of the latest and upcoming innovations that can help you get the most out of private probability of default analytics.

Douglas Dwyer, Mehna Raissi and Janet Zhao, Moody’s Analytics

2:00 – 2:15 PM BREAK

2:15 – 3:15 PM Credit Risk Measurement and Management in the Energy Sector: Using EDFTM to Improve Risk Management Practices

» How can EDFTM be used to establish risk tolerance limits?

» Implementing EDFTM into a credit rating process

» Using EDFTM as an early warning indicator

Greg Cortez, Hess CorporationMarc T Mortl, Cargill North America Energy, Transportation, and Industrial BusinessesAudrey Noll, First Energy Corp

Using a Robust Database to Predict Recoveries on Unresolved Defaults Based on Resolved Defaults

» Brief description of Pan European Credit Data Consortium (PECDC) Database

» Creating a reference dataset » Building recovery curves » Identifying drivers of recoveries

Jeroen Batema, Open Source Investor ServicesStephen J Bennett, PECDC

Estimating Multiple Risk Measurements for Internal and External Audiences Using a Manageable Approach

» Pool level modeling of securitized assets » Economic stress testing for multiple purposes

» Application in credit risk economic capital and reserve requirements

Yaniv Gershon, State Street Bank

Ride the Regulatory Wave of Dodd-Frank and Basel III

We’ll show you how to navigate the turbulent waters ahead from data management to regulatory reporting.

Pierre-Etienne Chabanel and Robert Dutcher, Moody’s Analytics

3:15 – 3:30 PM BREAK

3:30 – 4:30 PM The Use of Cutting Edge Tools and Models to Measure and Manage Credit Risk

» LGDs: Specific or Random - Does it matter?

» Stress Testing: Which transition matrix should I use?

» Concentration Risk: How much is too much?

Mitch Carpen, Bank of Tokyo-Mitsubishi

Sizing Up Repo

» What type of data is necessary to assess macroeconomic systemic risk?

» What data exist today and what are lacking?

» How to measure aggregate liquidity risk?

Arvind Krishnamurthy, Northwestern University

Retail Credit Dynamics and the Economic Cycle

» Understanding credit dynamics across the economic cycle

» Enhancing scoring models with macro drivers: a forward-looking exercise

» From scores to portfolio performance: a vintage approach

» Scenario analysis and stress testing: challenges and lessons

Anthony Hughes and Juan Licari, Moody’s Analytics

A Sneak Peek at Moody’s Analytics New Enterprise Risk Platform

ALM, regulatory calculations and reporting for banks & insurers, stress testing, business reporting, data management and more.

Pierre-Etienne Chabanel, Eric Ebel and Robert Wyle, Moody’s Analytics

4:30 PM Happy Hour at the Solutions Café Grand Foyer, Floor 16

7:00 PM Cocktail Reception Grand Foyer, Floor 16

8:00 PM Dinner Grand Ballroom, Floor 16

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6 MOODY’S ANALYTICS RISK PRACTITIONER CONFERENCE 2011

Day Two: Wednesday, October 5

7:00 – 8:30 AM Breakfast Skyline Room, Floor 16

7:30 – 8:30 AM Solutions Café Grand Foyer, Floor 16

GENERAL SESSION Grand Ballroom, Floor 16

8:30 – 9:00 AM Opening Address Charles Stewart, Senior Director, Moody’s Analytics

9:00 – 9:45 AM Liquidity, Markets and Banks Stephen Kealhofer, Managing Partner, DCI and formerly Co-Founder & Managing Partner, KMV

9:45 – 10:30 AM Scenarios for the Euro ZoneBart Oosterveld, Managing Director – Sovereign Risk, Moody’s Investors Service

10:30 – 11:00 AM Break

11:00 – 12:00 PM See stream sessions opposite

12:00 – 1:00 PM Lunch Skyline Room, Floor 16

1:00 – 4:30 PM See stream sessions opposite

Agenda, Day 2

Page 5: Moody’s Analytics Risk Practitioner Conference 2011 · 7 MOODY’S ANALYTICS RISK PRACTITIONER CONFERENCE 2011 STREAMS DAY 2 Risk Management Policy and Practice I ... FX spot rates,

7 MOODY’S ANALYTICS RISK PRACTITIONER CONFERENCE 2011

STREAMS DAY 2

Risk Management Policy and Practice I

Innovations in Risk Modeling and Methodology

Risk Management Policy and Practice II

Products Highlights and Strategy

GRAND BALLROOM (FLOOR 16) GRAND SALON (FLOOR 17) SALON I (FLOOR 17) SALON II (FLOOR 17)

11:00 – 12:00 PM Overcoming Risk Management Challenges for Banks Operating in Emerging Economies

» Key challenges faced by banks » Developing internal credit models, managing name and sector concentration risk and managing liquidity risk

» Evolving regulatory and legal environments vis-à-vis developed markets

Rohit Kumar, National Bank of Abu Dhabi

The Frontier of Default Risk Modeling of Private Firms

» External and internal risk measures » Incorporating user and regulator feedback

» Consistently capturing risk drivers » Modeling non-standard exposures

Douglas Dwyer, Moody’s AnalyticsMark Medina, Harris Bank

Basel III: A New Perspective on Portfolio Risk Management

» Impact on main banking products of proposed Basel III ratios

» From credit portfolio management to balance sheet management, across all financial risks (credit, liquidity, ALM )

» Conditions for success of an active balance-sheet optimization, and visions for future organizational design

Tamar Joulia-Paris, TJ Capital

What’s New with Commercial Real Estate

Learn about our overall solution, including origination, scorecards, PD & LGD models, stress testing and more.

John Baer and Anuj Gupta, Moody’s Analytics

12:00 – 1:00 PM LUNCH: SKYLINE ROOM

1:00 – 2:00 PM Re-engineering the Credit Approval Process

» How to leverage a limits management system and workflow to streamline and automate the credit approval process

» How to provide a global view of data and limits across all assets, divisions and geographies

» How to move from regulatory compliance to business value

» Using limits to promote the effective use of capital

» Integrating and managing risk management practices and policies into the businesses

Nancy Hasey-Ross, State Street Bank

Managing Model Risk: A Panel Discussion

» Assessing model risk » Addressing the question of independence

» Sound practices for model approval and documentation

Douglas Gardner, Wells Fargo Mark Levonian, OCCElizabeth Mays, PNCJim Sarrail, Moody’s Analytics

Macroeconomic Stress Testing of Fixed Income Portfolios

» Key challenges faced by market risk stress testing

» High frequency exercises combined with macroeconomic stress tests

» Explicit linkage of macro scenarios to market risk parameters: yield and swap rate curves, FX spot rates, equity indexes and credit migration

» Putting the scenarios to work: from the stress test results to strategy and risk management

David Chion, RBS InsuranceJuan Licari, Moody’s Analytics

Explore RiskFrontier®

Learn about how financial institutions use RiskFrontier®, the industry leading portfolio solution, and the product’s latest enhancements such as sovereign correlations, trades and relative risk.

Doy Charnsupharindr and Vanessa Wu, Moody’s Analytics

2:00 – 2:15 PM BREAK

2:15 – 3:15 PM Corporate Portfolio Management Best Practices

» Integrating portfolio management into the business

» Consolidating corporate exposures (leases, investments and trade credits) from all departments

» Using economic capital for portfolio diversification

» Understanding, communicating and managing risk drivers

Mike Infante, Cisco Capital

Stress Testing CRE Risk in the USA and Europe

» The challenges of macroeconomic scenario-based stress testing under new regulatory regimes in the USA and Europe

» The reality and significance of real estate variations in risk modeling

» Facilitating scenario-based stress tests in a modeling framework that explicitly uses macroeconomic variables as input

» Compare different stress testing approaches and make sense of results

» Global markets and the future of an integrated globalized approach to stress testing

Peter Hobbs, IPDJun Chen, Moody’s Analytics

Credit Risk Management: A Global Fund Manager’s Perspective

» Figures and investment activities » Credit risk management activities at CDP: – Why manage credit risk? – Actual credit risk

management framework – Main challenges in deploying credit

risk management framework » Next steps

Philippe Tremblay, Caisse de dépôt et placement du Québec

Through-the-Cycle EDFTM and Other Innovations

Learn about Through-the-Cycle EDFTM , Stressed EDFTM, CDS-Implied EDFTM and new enhancements to CreditEdge Plus.

Alok Jain and Zhao Sun, Moody’s Analytics

3:15 – 3:30 PM BREAK

3:30 – 4:30 PM Today’s Challenges in Credit Portfolio Management

» Changing organizational structure of this group

» Expanding mission and mandates, including setting limits and defining risk appetite

» What tools are being used to meet these challenges - some results from an IACPM survey

Marcia Banks, IACPMMitch Carpen, Bank of Tokyo-MitsubishiPeter Heffernan, ScotiabankGlen Siniawski, PNC

Methods for Modeling Sovereign Credit Risk in a Portfolio Setting

» How can insights from the sovereign CDS market help you manage sovereign risk?

» How can CDS market data be used to provide insight on credit quality changes of sovereign risk?

» How can one estimate correlations between sovereign debt and other asset classes?

Douglas Dwyer and Nihil Patel, Moody’s Analytics

The Importance of Continuing to Enhance your Organization’s Stress Testing Program

» Stress testing: an essential component of banks’ ERM, strategic planning and capital planning

» Enhancing your banks’ stress testing program: – Leveraging existing tools – Investing in new tools – Building new models

Robert Kula, KeyCorp

Best Practices in Modeling Retail Loan Portfolios

Learn how financial institutions use Moody’s CreditCycle® and Creditforecast.com to improve accuracy of forecasting and stress testing consumer credit portfolios.

Cristian de Ritis, Erlind Dine and Juan Licari, Moody’s Analytics

6:00 PM Closing Reception Skyline Room, Floor 16

Page 6: Moody’s Analytics Risk Practitioner Conference 2011 · 7 MOODY’S ANALYTICS RISK PRACTITIONER CONFERENCE 2011 STREAMS DAY 2 Risk Management Policy and Practice I ... FX spot rates,

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RPC11RISK

PRACTITIONERCONFERENCE

For more information, please email [email protected] quoting RPC 2012 in the subject line.

Save The DateOctober 15 – 18, 2012

MOODY’S ANALYTICSRISK PRACTITIONER CONFERENCE 2012Insight, expertise and best practices in risk management

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