Final Attendee List

  Arrival: Monday, September 27      
  6:00 PM    Welcome Reception  
  7:00 PM   Welcome Dinner  
  Day One: Tuesday, September 28      
  8:30 – 9:00 AM   Opening Address: Geoff Fite, Chief Operating Officer, Moody’s Analytics  
  9:00 – 9:45 AM    “Enterprise-wide Risk Management - A View Forward”
Dr. Anurag Saksena, Former Chief Enterprise Risk Officer, Freddie Mac
  9:45 – 10:30 AM   “The Risk Management Soul-Search: How Not to Waste a Good Crisis”
Jaidev Iyer, President & CEO, J-Risk Advisors, LLC
  10:30 – 11:00 AM   Break  
  Stream Practical Applications of Risk Management Valuation & Credit Risk Modeling Special Topics in Credit and Market Risk  
  11:00 AM - 12:00 PM

Standardizing the Credit Rating Process

  • Addressing Basel Requirements for the Rating System
  • Validation and Deployment of Rating Models

Denis O’Donoghue, Toronto Dominion

Corporate Bond Default Risk: A 150-year Perspective

  • Estimating long-term default risk improves our ability to measure and model credit risk
  • Structural changes such as bankruptcy reforms and industry composition have a major impact on default risk
  • Default cycles are rarer and more persistent than business cycles

Ilya Strebulaev, Stanford University

Analyzing Financial Institution Risk: Lessons Learned from the Credit Crisis

  • Implementing sound credit practices to assess financial counterparties
  • Establishing effective monitoring regimes
  • Early signals of default risk for credit-sensitive institutions

Jennie Raymond, FHLB Atlanta

  12:00 - 1:00 PM LUNCH LUNCH LUNCH  
  1:00 - 2:00 PM

Risk-based Pricing Tool: Improving business decisions and linking compensation to risk

  • Pricing model as a tool to identify potential areas for improvement so that appropriate actions and strategies can be put in place on high and low 'value contributors'
  • Using Realized RAROC and Economic Profit as a basis for business developer's compensation; aligning business objectives with Account Manager's remuneration

Daniel Pouliot, National Bank of Canada

Funding Liquidity and Funds Transfer Pricing

  • Economic framework for calculating an FTP rate for credit exposures with prepayment options and other contingencies 
  • Holistic decomposition of transfer rate into funding liquidity, credit risk, and option premia components 
  • Accounting for a dynamic funding environment and the interplay between funding costs and borrower characteristics

Yaki Tsaig, Moody’s Analytics
Yashan Wang, Moody’s Analytics

Analyzing Sovereign Risk: Various Approaches

  • Physical PDs in the form of CDS-implied EDF credit measures
  • Key risk drivers in the Scorecard approach
  • Data, comparability, calibration and other challenges
  • Scenarios and forecasting

Tu Packard, Moody’s Analytics
Richard Schuster, Export Development Canada
Jing Zhang, Moody’s Analytics
Moderator: Ozgur Kan, Moody’s Analytics

  2:00 - 2:15 PM BREAK BREAK BREAK  
  2:15 - 3:15 PM

Best Practices for Improved Productivity in the Credit Assessment Process

  • Implementing a commercial bank's client credit management workflow - credit analysis, credit approval, archiving facility letters, early warnings, etc.

Sheldon Weatherstone, University of Ottawa

Assessing Private Firm Credit Risk in Emerging Markets

  • Developing a consistent and flexible approach to PD modeling worldwide
  • Recent Advances in measuring corporate credit risk in China, Russia and other emerging market countries
  • Calibrating a PD to factor in the risk of a specific country

Irina Korablev, Moody’s Analytics
Janet Zhao, Moody’s Analytics

Sound Practices in Managing
Liquidity Risk

Best approaches to stress testing

  • How to develop scenarios and gather
    usable data
  • Using stress testing to establish risk appetite and set limits

Short-term liquidity management

  • Forecasting and monitoring daily liquidity risks to meet payment and settlement obligations 
  • Managing intraday liquidity positions and under both normal and stressed conditions

Mimi Mengis, Union Bank
Timothy Smallow, Union Bank

  3:15 - 3:30 PM BREAK BREAK BREAK  
  3:30 - 4:30 PM

Risk and the City: Economic Capital, Risk Appetite and Survival Strategy in the Black Swan World

Evgueni Ivantsov, HSBC

A Robust Methodology for Credit Portfolio Optimization 

  • Framework provides practical recommendations for investment and hedging
  • Parameterization allows for constraints (e.g., maximum buy) on the set of tradable assets
  • Computationally efficient algorithm designed for real time deal analysis

Andy Kaplin, Moody’s Analytics
Amnon Levy, Moody’s Analytics

Designing and Implementing an Effective ICAAP

  • Effective use of stress testing and risk appetite
  • Dealing with procyclicality, reconciling short- and long-term views of capital,
  • Basel  III - Counter Cyclical Capital Buffer
Bogie Ozdemir, Sun Life Financial
  4:30 - 4:45 PM BREAK BREAK BREAK  
  4:45 - 5:45 PM

Portfolio Risk Management – In the Spotlight

  • Why Canadian banks performed relatively well
  • Scotiabank’s own approach - observations
  • From theory to practice – Our strategy
  • Key lessons learned

Peter Heffernan, Bank of Nova Scotia

  • How Economic Capital and other traditional elements have become more important in driving credit decisions, post crisis
  • How Mizuho is incorporating Economic Capital  (the reality of ECap, RCap, MIS Integration)

Eiji Nishimura, Mizuho Corporate Bank

Counterparty Credit Risk and CDS Market

  • Is there a relationship between the  credit risk of a dealer and the price at which it can sell protection?
  • Did the relationship change post-Lehman bankruptcy?
  • Does this relationship vary by legal/geographical jurisdiction?

Navneet Arora, BlackRock

Stress Testing

  • Need for stress testing; key success factors and pitfalls
  • Role of analytics and human judgment
  • Case study – scenario selection process, modeling, use of results
  • Evolving role of Stress Testing in ICAAP and broader risk management

Hans Helbekkmo, Union Bank

  7:00 PM

Cocktail Reception

  8:00 PM Gala Dinner - Dinner Keynote: Som-lok Leung, Executive Director, IACPM  
  Day Two: Wednesday, September 29      
  8:45 – 9:00 AM   Opening Address: Charles Stewart, Senior Director, Moody’s Analytics  
  9:00 – 9:45 AM    “Lessons from the Financial Crisis: Managing Model Risk”
Mark Levonian, Sr. Deputy Comptroller for Economics, Office of the Comptroller of the Currency (OCC)
  9:45 – 10:30 AM   

Fixing the Financial System: Views from a Squam Laker”
Dr. Darrell Duffie, Dean Witter Distinguished Professor in Finance, Stanford University’s Graduate School of Business

  10:30 – 11:00 AM   Break  
  Stream Practical Applications of Risk Management Valuation & Credit Risk Modeling Special Topics in Credit and Market Risk  
  11:00 AM - 12:00 PM

Kryptonite in a Lead Box?: Practical Applications of EDF Performance

  • A look at how a firm has added value during the credit cycle by leveraging the information from EDFs

Kent Kirby, Commerce Bank

Residential Mortgage Portfolio Risk Analytics

  • Modeling credit risk in residential mortgage portfolios
  • Value-at-Risk, capital allocation and tail-risk contribution for heterogeneous residential mortgage portfolios
  • Simulating loss distributions on tranches of RMBS

Ashish Das, Moody’s Research Lab

Practical Challenges in Designing Basel II Credit Models - A View from the Trenches

  • Challenges in customer risk rating – segmentation; client identification
  • Issues in LGD – unsecured vs. secured, collateral valuation, workout practices
  • Data challenges – risk factors, customer data, considerations for a global bank
  • Key regulatory and line of business concerns

Sanjay Gupta, HSBC

  12:00 - 1:00 PM LUNCH LUNCH LUNCH  
  1:00 - 2:00 PM

Introducing a Disciplined Approach to Capacity Decisions: The Travelers Benchmark Model

  • Considerations when migrating from a capacity decision process heavily dependent on expert judgment to a process that includes model validation.
  • Concentration risk and individual company risk, and the methods used to approach each.
  • Integrating expert judgment into the model process through modifiers and scenario modeling.
  • Benefits and limitations of the Benchmark model.
  • Dealing with exceptions and the unquantifiable value of true experts.
 Ken Smith, Travelers

Why Banks Fail: Two Decades of Empirical Evidence from Bank Failures Across the Globe

  • Underestimating credit risk
  • Concentration risk
  • Asset risk vs liquidity risk

Shisheng Qu, Moody’s Analytics
Jing Zhang, Moody’s Analytics

Valuing Distressed CRE Assets in a Distressed Environment

  • Current trends affecting real estate values
  • Market considerations for distressed real estate
  • Changing strategy for investors with near term loan maturities
  • Valuation in the current environment

Les Kiehnau, American Appraisal
Perry Mehta, Moody’s Analytics
Marilyn K. Weitzman, The Weitzman Group
Moderator: Stephen Peca, Moody’s Analytics

  2:00 - 2:15 PM BREAK BREAK BREAK  
  2:15 - 3:15 PM

Capital Adequacy and Performance Measurement: A Practitioner’s Perspective

  • Bringing together economic capital, stress testing and risk-adjusted performance measurement

John Walter, Bank of America

Quantifying Commercial Real Estate Loan Credit Risk

  • Latest default and loss severity trends in  commercial real estate 
  • Enhancing CRE PD and LGD modeling by combining a structural approach with empirical behavioral evidence
  • Decomposing and measuring CRE asset volatilities, and implications for credit risk modeling

Jun Chen, Moody’s Analytics

Counterparty Risk Assessment for Insurance Firms

  • Special analytical considerations for insurance firms
  • Spectrum of solutions / analysis of empirical data

Doug Dwyer, Moody’s Analytics
Lee Medoff, Moody’s Analytics

  3:15 - 3:30 PM BREAK BREAK BREAK  
  3:30 - 4:30 PM

Modeling Retail Credit: The state of the art in stress testing

  • Discussion of the problem of stress testing and scenario analysis of retail portfolios 
  • How the problem of stress testing fits into bank operations and the types of issues facing such organizations as they seek to implement such techniques
  • Stress testing methodology involving downside macroeconomic scenarios, laying out a blueprint for their insertion into portfolio management

Michael Fadil, SunTrust
Tony Hughes, Moody’s Analytics

Developing Internal Rating Models: Combining both quantitative and qualitative measures

  • Combining qualitative risk measures with a PD model in a scorecard
  • Determining the Functional Form and Model Weights
  • Validating the combination

Heather Russell, Moody’s Analytics

An Inside Look at an Old ALM Challenge: Modeling Nonmaturity Deposits

  • Key characteristics of deposits and depositor's behavior
  • Analytical challenges including data limitations, absence of visible balance decay, rate volatility, economic cycles
  • Effective solutions to address these challenges

Rob Wyle, Moody’s Analytics
Daryl Hershberger, E*Trade

  4:30 - 4:45 PM BREAK BREAK BREAK  
  4:45 - 5:45 PM

The Importance of Clean Data in Credit Decisions

  • Discussion on how Wells Fargo uses RiskAnalyst
  • How and why Wells Fargo have customized their financial templates to accommodate multiple asset classes
  • How the data services the underwriting process
  • Additional benefits of consistent data

Linda Back, Wells Fargo
Kamal Panda, Wells Fargo

Measuring Return on Credit Reviews:

  • Optimizing the credit review process
  • Determining which loans to review and when
  • What names to put on the watch list

Doug Dwyer, Moody’s Analytics

Energy Risk Analysis: Panel Discussion

  • Risk drivers for energy firms across sub-sectors
  • Different analytical approaches for different subsectors

Chris Chung, Chevron
Rui Dai, Northern California Power Agency
Mark Soulliere, Tenaska Energy
Moderator: Perry Mehta, Moody’s Analytics

  5:30 PM Closing Reception      
  Day Three: Thursday, September 30      
  Product Workshops Credit Measurement Portfolio Management Enterprise Risk Management / Credit Assessment & Loan Origination  
  9:00 AM - 12:00 PM

Session overview: In this session we will review and discuss current challenges in applying quantitative PDs to business decisions. More specifically:

  • How do credit practitioners in different organizations use quantitative PDs?
  • Overcoming challenges of applying PDs for business decisions
  • Demo of new developments in RiskCalc, CMM, CreditEdge


Jun Chen, CRE Research, Moody’s Analytics

Doug Dwyer, Head of Single Obligor Research, Moody’s Analytics

Anuj Gupta, Product Manager, Moody’s Analytics

Mehna Raissi, Product Manager, Moody’s Analytics

Panelists:  Practitioners, to be announced

Session Overview: Join Moody’s Analytics team and risk practitioners in a discussion on current issues in portfolio management.  There will be a short presentation on each of the following topics, followed by a panel discussion on:

  • How to compare regulatory and economic capital – the importance of a rich correlation model
  • From credit portfolio management to capital management
  • Managing liquidity risk in a portfolio setting


Jim Sarrail, Senior Director, Moody’s Analytics


Mikael Nyberg, Head of Advisory Services, Moody’s Analytics

Jing Zhang, Head of Moody’s KMV Research , Moody’s Analytics

Amnon Levy, Head of Portfolio Research, Moody’s Analytics

Som-lok Leung, Executive Director, IACPM

Session overview: In this session you will learn about the broad range of current and planned Moody’s Analytics software solutions, in particular credit assessment, loan origination and scenario analysis.

We will examine the interdependencies between these solutions and how they can be integrated to provide a more comprehensive view of your enterprise risk:

  • The newest capabilities in RiskAnalyst, our spreading and dual risk rating platform, including new interaction with RiskCalc models.
  • Our new RiskOrigins commercial loan origination platform offering workflow capabilities to combine quantitative credit measurement models and internal models with real-time pricing and limits checking at point of origination.
  • Our new scenario analysis platform allowing to design scenarios across your entire institution

Presenters San Francisco:

John Baer: product line manager, Credit assessment and origination

Eric Ebel: product line manager, Enterprise Risk Management

Jim Bilek: product manager, RiskAnalyst

Benoit Drebet: product manager, RiskOrigins

Mathieu Dubard: product manager, Scenario Analysis