Day Two: Thursday March 25, 2010

8.15 Registration and Coffee

8.50 Editor’s opening address

9.00 Keynote address: Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETS

9.40 Plenary: Conclusions from recent loss data collection exercise

  • LDCE and Range of Practice results and follow-up
  • New developments in this area: statistics and best practices
  • Comparison of the implementation approaches

Mark O'Dell, Deputy Comptroller for Operational Risk, COMPTROLLER OF THE CURRENCY (OCC)
Patrick de Fontnouvelle, Vice President, Supervision and Regulation Department, FEDERAL RESERVE BANK OF BOSTON

10:20 Panel Discussion: Lessons for operational risk managers from recent extreme market conditions

  • Operational risk lessons from the mortgage crisis
  • Is it better to focus on process/controls rather than on developing operational risk capital
  • Operational risk management deficiencies exposed by recent market events
  • How have the priorities of operational risk managers changed?

Enrico Dallavecchia, former Executive Vice President, Chief Risk Officer, FANNIE MAE
Stacy L. Coleman, Banking Supervision and Regulation, THE FEDERAL RESERVE BANK OF RICHMOND
Mike Haubenstock, Senior Vice President Operational Risk Management, SUNTRUST MORTGAGES
Further speakers to be confirmed

11.00 Morning coffee and networking break

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Stream One
QUALITATIVE VS. QUANTITATIVE APPROACHES TO OPERATIONAL RISK

Stream two
NEW THREATS AND OPPORTUNITIES FOR OPERATIONAL RISK

11:30

Chairman’s opening remarks
Mike Haubenstock, Senior Vice President Operational Risk Management, SUNTRUST MORTGAGES

Chairman’s opening remarks
Alfred Seivold, Senior Examination Specialist, Large Bank Group, FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC)

11:40

Panel discussion: Getting the balance right between qualitative and quantitative operational risk modeling techniques

  • Re-evaluating current models
  • Can risk be still modeled?
  • Incorporating qualitative risk management techniques
  • The role of judgment in AMA models and the delicate balance between the former and the quantitative approaches
  • The balance between internal and external data (qualitative) versus scenarios and BEICF (qualitative)

Marcelo Cruz, Adjunct Professor, NEW YORK UNIVERSITY
Patrick McDermott, Senior Director, Operational Risk Oversight, FREDDIE MAC
Emre Balta, Senior Financial Economist, Enterprise Risk Analysis Division, OFFICE OF THE COMPTROLLER OF THE CURRENCY (OCC)
Bakhodir A. Ergashev, Financial Economist, Banking Supervision, Regulation/Risk and Policy, THE FEDERAL RESERVE BANK OF RICHMOND
Kenneth Swenson, Risk Management Specialist, Supervision & Regulation, THE FEDERAL RESERVE BANK OF CHICAGO

Panel discussion: Reforming standardized approach betas
• Variation in approaches to calculating capital in TSA firms
• Guidance on standardized approach betas
• What are the issues with the use of gross income in the Standardized Approach?
• Is there a need to recalibrate the Betas?
• How does the TSA compare to the Basic Indicator and AMA approaches?
Victoria H. Garrity, Risk & Policy Analysis, FEDERAL RESERVE BANK OF BOSTON
Andrew Sheen, Manager, Operational Risk Policy Team, FINANCIAL SERVICES AUTHORITY (UK)
Further speakers to be confirmed

12:20

Presentation: New insights in forecasting
tail events

• Capturing tail risks beyond VaR
• Measuring of joint tail risks
• Dealing with higher moments

Andreas Jobst, Economist, Monetary and Capital Markets Department, INTERNATIONAL MONETARY FUND

Presentation: Board risk management oversight

  • The board's role in risk management and oversight
  • The findings from an analysis of board committee charters of large financial institutions
  • Elements for consideration to strengthen the role of the board in risk governance

Scott Baret, Partner, DELOITTE & TOUCHE LLP

1.00 Lunch and an opportunity to visit the exhibition

2:00

Presentation: Basel II Pillar 3 – implementing a coherent disclosure and communication strategy for operational risk

  • New public disclosure requirements
  • Steps to improve market reporting
  • Establishing appropriate internal controls on disclosure
  • Validation process requirements

Marta Johnson, Global Markets Operational Risk, BANK OF AMERICA

Presentation: The effects of climate change on operational risk management

  • Likely climate change scenarios
  • Implications for business continuity and vitality
  • Potential mitigation and adaptation strategies
  • Charting a path forward

Mark Abkowitz, Professor of Civil & Environmental Engineering, Director, Vanderbilt Center for Environmental Management Studies, VANDERBILT UNIVERSITY
2:40

Presentation: Can insurance and derivatives mitigate operational risk?

  • Is this only relevant for AMA firms?
  • Making it work
  • The advantages and disadvantages
  • What do the regulators think

Andrew Sheen, Manager, Operational Risk Policy Team, FINANCIAL SERVICES AUTHORITY (UK)

Presentation: Linking operational risk management to performance

  • How can a firm use scenarios to connect risk management to business strategy
  • An integrated scorecard for risk and performance
  • The ROI: Time to decision

Richard Pike, Product Director, CCH SWORD

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3:20 Afternoon break

3:40Panel discussion: How can we improve the use and effectiveness of loss data?

  • Challenges and pitfalls in measuring operational risk from existing loss data
  • The role of data consortia in leading industry wide efforts to improve data quality and availability
  • Appropriate uses of loss data and its limitations
  • New initiatives to enhance internal and external loss data

Preston Thompson, Assistant Vice President, FEDERAL BANK OF BOSTON
William H. Henley, Jr., Director, IT Examinations, OFFICE OF THRIFT SUPERVISION
Ana Paula Castro Carvalho, Deputy Advisor, Financial System Regulation Department, CENTRAL BANK OF BRAZIL
Thomas Doughty, Vice President, Corporate Information Security Officer, PRUDENTIAL FINANCIAL
Jane Yao, Vice President & Director, Benchmarking & Survey Research Group, AMERICAN BANKERS ASSOCIATION

4:30 Panel discussion: Operational risk challenges for 2010 and beyond

  • What are the emerging risks facing the industry?
  • How should the industry address the deficiencies in operational risk management exposed during the financial crisis?
  • The operational risk manager’s role in protecting their firm against future global pandemics
  • Identifying key priorities for operational risk managers

Paul E. Kaboth, Assistant Vice President, Policy & Risk Supervision, FEDERAL RESERVE BANK OF CLEVELAND
Andreas Jobst, Economist, Monetary and Capital Markets Department, INTERNATIONAL MONETARY FUND
Panagiotis Tsaoussis, Senior Vice President, Operational Risk, ING INSURANCE AMERICAS
Doug Rose, Assistant Vice President, Risk & Capital Management, SUN LIFE FINANCIAL

5:20 End of conference

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