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Agenda subject to change
Day One:  Sunday, October 11
4:00pm Registration
6:00pm Welcome Reception & Dinner


Day Two: Monday, October 12
9:00 – 9:45 AM Opening Address: Geoff Fite, Chief Operating Officer, Moody’s Analytics
9:45 – 10:30 AM "Regulating Systemic Risk"
Viral V. Acharya, Professor of Finance, Stern School of Business, NYU; Author, "Restoring Financial Stability: How to Repair a Failed System"
10:30 – 11:00 AM Break
11:00 – 5:30 PM Stream Sessions (see table below)


Stream Practical Application of Risk Management Valuation and Credit Risk Modeling Analyzing Asset Classes
11:00 – 12:00 PM Reflections on Credit Risk Management During the Crisis
  • Lessons learned
  • How did these events change bank behavior and risk management practices
  • How did internal/external models cope
  • Potential competitive impact of TARP allocations
Panel Discussion
Richard Hamilton, National City
Eiji Nishimura, Mizuho Corporate Bank
Blair Osborn, Comerica
Moderator: Jim Sarrail, Moody’s Analytics
Trade-off Between Accuracy and Stability in Credit Risk Measurement
  • Assessing the trade-off
  • How to smooth credit risk measurement
  • Empirical behavior
Ozge Gokbayrak, Moody’s Analytics
David Hamilton, Moody’s Analytics
Commercial Real Estate: Sound Practice in Risk Assessment
  • Assessing PDs and LGDs at the loan/property level
  • Stress testing CRE
  • Meeting and exceeding regulatory requirements

Roundtable Discussion
Matt Kasindorf, Meister Seelig & Fein LLP
Tom Geurts, NYU
Perry Mehta, Moody's Analytics
Robin Mora, Spirit Finance
Moderator: Stephen Peca, Moody’s Analytics

11:00 – 1:00 PM Lunch Lunch Lunch
1:00 – 2:00 PM A Discussion of Limit Setting
  • Designing an effective limit setting program: art, science, or both?
  • Implementing limits within an organizational context
  • Various approaches to limit setting

Matthieu Royer, Calyon
Jim Heitmann, Moody’s Analytics

Assessing Default Risk and Recovery Risk in the Current Crisis
  • The recent risk trend of middle market borrowers
  • How Loss Given Default (LGD) values differ from the past
  • The challenges in modeling LGD during the current crisis
  • Incorporating correlation between PD and LGD in a portfolio setting.

Doug Dwyer, Moody’s Analytics
Amnon Levy, Moody’s Analytics

Challenges in Assessing the Risk of Financial Institutions
  • Characteristic risk drivers of FIs relative to C&I lending
  • One size does not fit all: broker-dealers vs. banks vs. asset managers
  • Long-term credit relationships vs. short-term counterparty exposures

Soner Tunay, State Street
Mas Kakutani, Moody’s Analytics

2:00 – 3:00 PM Loss Provisioning and Economic Capital: TTC or PIT View
  • What views, Point-in-Time or Through-the-Cycle should a bank take, and for what purposes (capital deployment, pricing models, strategic planning, other?
  • Using dual credit measures
  • How to construct these measures and their implications
  • Does PIT further exacerbate the bank’s woes – is Basel II pro-cyclical?
  • Current thinking and developments

Michael Fadil, SunTrust
Jing Zhang, Moody’s Analytics

Modeling Exposure to Small and Medium Sized Entities (SMEs) in a Credit Portfolio Setting
  • An analysis of credit migration: How do SME migration patterns differ from public firms and what are the implications on risk and return?
  • SME correlations: An analysis of US and European correlations estimated using the Moody's KMV Credit Research Database

Nihil Patel, Moody’s Analytics
Yashan Wang, Moody’s Analytics

ERM: Methodological and Organizational Challenges
  • Risk Culture and Philosophy
  • Role of ERM in the Organization
  • ERM Responses to the Crisis
  • Changing Regulatory Environment
  • Best Practices in Quantitative Modelling
  • Need for Holistic Risk Management — Both Top-Down and Bottom-Up

Lori Evangel, Metlife

3:30 – 4:30 PM Development and Implementation of Rating Scorecards
  • Factor/variable analysis in developing rating scorecards: How many and which type of inputs are appropriate?
  • Operational issues related to the deployment of scorecards: Changes to an organization's credit policy and culture
  • Validation and Calibration of scorecards from a business perspective:  What to look out for, what to fear, when (not) to be enthusiastic
  • LGD scorecards: an example of an application to SMEs

Alexandros Benos, National Bank of Greece
Moderator: Marc Brammer, Moody’s Analytics


Using Information from Equity and CDS Markets to Assess Credit Risk
  • Inferring probability of default and its term structures from CDS spreads
  • How to effectively use both equity based EDF and CDS implied EDF for credit risk monitoring, economic capital calculation and portfolio management
  • Interpreting risk signals from the CDS market

David Munves, Moody’s Analytics
Shisheng Qu, Moody’s Analytics

Agricultural Lending: Shelter from the Storm
  • Key risk drivers including demand elasticity, government regulation
  • Segmentation of the Ag sector within your portfolio
  • Myth busters: Not all scorecards are the same

Curt Covington, Bank of the West

4:30 – 5:30 PM Credit Portfolio Management: A Regional Bank’s Perspective
  • The dynamic nature of credit risk
  • Accounting for Portfolio effects: they are real and make a difference
  • Moving from portfolio risk reporting to active management of portfolio risk

David Rhee, KeyBank
Vanessa Wu, Moody’s Analytics


Advances in Modeling of PD and LGD of CRE Loans
  • The latest research on both systematic and idiosyncratic property performance tail risks
  • Propose a flexible modeling approach that captures financial triggers as well as sub-optimal default behaviors
  • How the enhanced PD and LGD models can be used to provide unconditional ex-ante estimates and conditional scenario analysis of CRE loans

Jun Chen, Moody’s Analytics

Structured Finance: Valuing your Investments in Illiquid Markets
  • Sound practices in assessment of collateral and waterfalls
  • New Accounting Treatments
    Expectations for Regulatory Changes

Wallace Enman, Moody’s Investors Service
Luis Amador, Moody’s Analytics
Moderator: Anna Krayn, Moody’s Analytics



7:00 PM

Cocktail Reception

8:00 PM

Gala Dinner
Keynote Address: "Towards Next Generation Global Financial System"
Jack Malvey, Former Head of Global Fixed Income Strategy, Lehman Brothers


Day Three: Tuesday, October 13

8:30 - 9:00 AM

Opening Address: Geoff Fite, Chief Operating Officer, Moody’s Analytics

9:00 - 9:45 AM

Lessons Learned: A Supervisory Perspective on the Future of Credit Risk Management
Jon Greenlee,
Head of Risk at Banking Supervision & Regulation, Board of Governors of the Federal Reserve System

9:45 - 10:00 AM


10:00 – 12:00 PM Stream Sessions (continued)


Stream Practical Applications of Risk Management Valuation & Credit Risk Modeling Analyzing Asset Classes
10:00 – 11:00 PM Economic Stress-Testing
  • Link macro-economic scenarios to economic capital
  • Understand changes in portfolio loss distributions and capital concentrations

Mikael Nyberg, Moody’s Analytics

Measuring Credit Line Usage and Exposure at Default

  • Commercial and Consumer EAD research round-up
  • Credit line utilization in commercial and consumer portfolios
  • The Challenges of modeling Loan Equivalent Factor (LEQ)

Mircea Pigli, Fifth-Third Bank
Jing Zhang, Moody’s Analytics


Cracking the TruPS CDO Valuation Challenge
  • How to reliably estimate credit quality
  • LGD parameterization
  • Case study and valuation impact of changes in LGD and PD estimates
  • PD parameterization: Risk-neutral versus Physical PDs

Ozgur Kan, Moody’s Analytics
David Kurnov, Moody’s Analytics

11:00 – 12:00 PM Synthesizing Credit Information into Useful Decision-Making
  • Manage through contradictory credit opinions and inconsistent data
  • Incorporate many sources of credit-related information into a single, cohesive view for management reporting

Bob Dutcher, Moody’s Analytics
Sanjay Sharma, RBC Capital Markets

Risk Integration: Towards An Integrated and Holistic View of Risk
  • The dynamic relationship between interest rate and credit risk
  • How to integrate different types (credit, market, operational etc) of risk

Yashan Wang, Moody’s Analytics
Amnon Levy, Moody’s Analytics

Stress Testing: What Does it Mean for Your Credit Portfolio?
  • Designing meaningful stress scenarios, including intuitive specification, forecasting accuracy, and internal consistency
  • Effect of stresses on internal ratings and quantitative metrics, such as PDs and LGDs
  • Evidence from illustrative scorecards utilizing Moody's databases

Tony Hughes, Moody’s Analytics
Perry Mehta, Moody’s Analytics
Jun Zheng, Moody’s Analytics

Product Workshop Portfolio Management - RiskFrontier Loan Origination - RiskAnalyst/RiskCalc Asset and Liability Management
1:00 – 3:00 PM Join us in a panel discussion with Moody's Analytics and Portfolio Management practitioners.

Topics may include, but not limited to:

  • Trends in Enterprise Risk Management
  • Common Practice on Stress Testing and Scenario Analysis
  • Limit Setting for Managing your Portfolio
  • Importance of Valuation in the Current Market

Click here to suggest additional topics.

Marcia Banks, IACPM
Amnon Levy, Moody’s Analytics
David Rhee, Moody’s Analytics
Vanessa Wu, Moody’s Analytics
Moderator: Jing Zhang, Moody’s Analytics

Workflow of a credit transaction from prospecting, to underwriting, to monitoring.
  • Current clients and experts from Moody’s Analytics will discuss loan origination practices including workflow, underwriting, internal ratings, and monitoring of exposures
  • Demonstration of Moody’s Analytics’ upcoming RiskAnalyst workflow module release

Frederic Anthony, Union Bank
Paul Butler, Citizens Bank
Kamal Panda, Wells Fargo
John Baer, Moody’s Analytics
Anuj Gupta, Moody’s Analytics

This session will be lead by a Moody’s Analytics ALM expert and will include ample opportunities for attendee participation and questions.
  • Fermat ALM: learn about the benefits of balance-sheet risk diversity monitoring using dynamic or stochastic modeling.
  • Fermat FTP: learn how you can accurately evaluate business line or retail network profitability.

Alain Maure, Moody’s Analytics
Xavier Pernot, Moody’s Analytics

Product Workshop Regulatory Compliance: Fermat Basel II & Solvency II Alternative Approaches to Credit Risk Analysis: Moody’s Ratings, EDFs, and Market Implied Ratings Performance Management & Monitoring: Fermat Global Exposure Monitoring (GEM) and Risk Adjusted Performance Management (RAPM )
3:30 – 5:30 PM
  • Basel II status worldwide, update on upcoming regulatory changes, how big institutions comply with various supervisor/country regulatory requirements using Fermat CAD
  • Lessons learned from Basel II for insurers starting their Solvency II project

Pierre-Etienne Chabanel, Moody’s Analytics
Christophe Burckbuchler, Moody’s Analytics
Gil Guillaumey, Moody’s Analytics

Roundtable Discussion
  • Comparison of modeled equity and credit market signals to share prices and credit market spreads
  • Revisiting the accuracy vs. stability trade-off; uses of agency ratings vs. markets-based metrics
  • Combining quantitative signals with qualitative analysis of sectors and borrowers
  • Adjusting market signals for systemic risk

David Munves, Moody’s Analytics
David Hamilton, Moody’s Analytics

  • Benefits of an Enterprise Risk Platform
  • How GEM and RAPM help institutions monitor their exposures and improve business performance

Olivier Brucker, Moody’s Analytics
Alain Maure, Moody’s Analytics



Closing Reception