IIF GLOBAL SEMINAR RISK APPETITE FRAMEWORKS AND STRESS TESTING. September 28-29, 2016 London, United Kingdom

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1 IIF GLOBAL SEMINAR RISK APPETITE FRAMEWORKS AND STRESS TESTING September 28-29, 2016 London, United Kingdom

2 COURSE DESCRIPTION IIF GLOBAL SEMINAR: RISK APPETITE FRAMEWORKS AND STRESS TESTING Globally, bank executives and boards are focused on embedding risk appetite frameworks and stress testing models to enhance their businesses. This timely seminar will examine the emerging trends in risk appetite framework development, implementation, and stress testing as practiced by leading experts. The first day's sessions will address, from industry and regulatory viewpoints, how to overcome challenges related to designing and implementing a risk appetite framework. On day two, experts will discuss the latest industry trends and techniques on stress testing and how to best integrate these into both group-wide and subsidiary risk management strategies. Leadership approaches will be a key discussion theme, as well as the evolving role of board and risk management functions. With a focus on practical examples from global firms and an emphasis on interactive dialogue, this seminar will provide excellent opportunities to network, benchmark and exchange sound practices. LEARNING OBJECTIVES Discuss global trends in risk appetite frameworks and stress testing Consider policy and regulatory developments related to risk appetite and stress testing Overcome leadership challenges and emerging risks Compare and benchmark change management and implementation strategies PLEASE JOIN US IN LONDON TO TAKE ADVANTAGE OF THIS UNIQUE OPPORTUNITY. IDEAL FOR SENIOR PROFESSIONALS IN: Risk Policy Treasury and Finance Reporting Compliance Strategy Audit REGISTER AT IIF.COM/TRAINING Registration is open up to one week prior to program start date or until capacity is reached. Capacity limitations may force some programs to close registration early. SEMINAR FACTS Date: September 28-29, 2016 Location: London Venue: Ernst & Young Canary Wharf offices CPD/CE: 12 hours Program Fee: - Member Firm $2000 (USD) - Non-Member Firm $3000 (USD) 2 This seminar will be eligible for CPD/CE credits through the Chartered Institute for Securities & Investment (CISI), the CFA Institute, the Global Association of Risk Professionals (GARP), the International Compliance Association (ICA) and the Chartered Banker.

3 WEDNESDAY SEPTEMBER 28 8:30 am 9:00 am REGISTRATION 9:00 am 9:15 am WELCOME AND INTRODUCTION Kate Hudson, Director of Global Seminars, IIF Patricia Jackson, Senior Advisor, Ernst & Young 9:15 am 10:30 am SESSION 1: DESIGNING RISK APPETITE EFFECTIVELY AND EMBEDDING IT Better aligning risk appetite, strategy and capital allocation; Considering important linkages to reverse stress testing; Embedding risk appetite in day-to-day business decisions Patricia Jackson, Senior Advisor, Ernst & Young Johan Larsson, Head of Reporting, Stress Testing and Data Governance, Nordea 10:30 am 11:00 am COFFEE BREAK 11:00 am 12:00 pm SESSION 2: A REGULATORY VIEW OF RISK APPETITE Regulatory and policy overview; Links to overall risk governance and accountability; Q&A 12:00 pm 1:00 pm LUNCH Charlotte Gerken, Director, Supervisory Risk Specialists, Bank of England 1:00 pm 2:00 pm SESSION 3: CONSIDERING STRATEGIES TO IMPLEMENT A RISK APPETITE FRAMEWORK Appropriate competencies, governance and leadership approaches; Process, infrastructure, and environment, including risk culture; Group discussion Magnus Agustsson, Head of Group Risk, SEB Carmen Hernánsanz, Head of Risk Appetite & Macroprudential Surveillance, BBVA Pieter Klaassen, Managing Director, Risk Methodology, UBS A.G. 2:00 pm 3:15 pm SESSION 4: PRACTICAL STEPS INCLUDING NON-FINANCIAL RISK IN RISK APPETITE Designing measures - do they influence behavior? Case study Andrew Duff, Risk Appetite Lead, Ernst & Young 3 3:15 pm 3:45 pm COFFEE BREAK 3:45 pm 5:00 pm SESSION 5: PANEL OVERCOMING PRACTICAL CHALLENGES Challenges faced by the industry and remediation; Reporting and stakeholder management (internal and external); Ensuring compliance with additional supervisory and regulatory requirements and requests Moderated by: Patricia Jackson, Ernst & Young Pieter Klaasseen, Managing Director, Risk Methodology, UBS A.G. Johan Larsson, Head of Reporting, Stress Testing and Data Governance, Nordea 5:00 pm 6:30 pm DRINKS AND NETWORKING RECEPTION 3

4 THURSDAY SEPTEMBER 29 9:00 am 10:15 am SESSION 6: LATEST TRENDS AND TECHNIQUES IN STRESS TESTING Central models; The balance sheet and income statement projections; Challenges and solutions Mark London, Partner, Ernst & Young 10:15 am 10:45 am COFFEE BREAK 10:45 pm 12:00 pm SESSION 7: INTEGRATING STRESS TESTING INTO RISK APPETITE AND GROUP-WIDE RISK MANAGEMENT Governance approaches: a group approach for implementation; Case study and practical examples Ilinka Kajgana, Head of Group ICAAP and RWA, Erste Group 12:00 pm 1:15 pm LUNCH 1:15 pm 2:00 pm SESSION 8: EMBEDDING STRESS TESTING WITHIN A SUBSIDIARY OBSTACLES AND OPPORTUNITIES Governance approaches: a subsidiary approach for implementation; Case study and practical examples Jeff Simmons, Managing Director, Head of Enterprise Risk Management, MUFG 2:00 pm 2:30 pm SESSION 9: GROUP DISCUSSION Comparing the group and subsidiary approaches; Navigating organizational structures to achieve the best outcome Ilinka Kajgana, Head of Group ICAAP and RWA, Erste Group Jeff Simmons, Managing Director, Head of Enterprise Risk Management, MUFG 2:30 pm 3:00 pm COFFEE BREAK 3:00 pm 3:45 pm SESSION 10: CONCURRENT AUDITING OF STRESS TESTING Role of audit in process (value and efficiency); What does good look like? (expectations of business and audit); Key challenges; Content review and benchmarking Russell Brooks, Head of Stress Testing Assurance, RBS Christopher Hall, HSBC (pending) 3:45 pm 4:45 pm SESSION 11: PANEL DISCUSSION THE EVOLVING ROLE OF THE BOARD AND RISK MANAGEMENT FUNCTIONS Moderated by: Kate Hudson, Director of Global Seminars, IIF Russell Brooks, Head of Stress Testing Assurance, RBS Hedwige Nuyens, Managing Director, IBFED 4:45 pm 5:00 pm CONCLUDING REMARKS AND WRAP UP 4

5 SPEAKER PROFILES Kate Hudson, Director, Global Training, Institute of International Finance Kate is the Director of IIF s Global Training team, and previously a Policy Adviser for IIF s Regulatory Affairs team. Prior, she was a senior manager at the RBS Group Holding Company and a member of the BBA s Committee for Financial Inclusion. There she authored eleven new conduct risk policies (including the UK s first ever corporate policy on dealing with customers in vulnerable situations ); and oversaw their implementation and training in their businesses (Coutts, Natwest, Citizens, M&IB etc). Contracting for ComPeer Ltd, on their project board she quantified the costs of compliance in the UK s wealth management industry. Serving the UK s WMA as Senior Policy Advisor, present on their Board she helped to secure their first early day motion in Parliament. Prior, a compliance planning officer for MMC, and here nominated a Future City Leader by the City of London Mayor s office. A compliance manager for ACE Ltd, and a conduct policy development executive for BUPA Group- and then member of UK s ILAG Regulatory Committee. Kate is a Mediator (DC Superior Court) and holds a Postgraduate Diploma in MSc Financial Regulation and Compliance Management at London Metropolitan University, and a L.L.B. in European Legal Studies from the University of Westminster. She is also fluent in Spanish. Patricia Jackson, Senior Advisor, Ernst & Young Patricia Jackson is a member of the EY Global Regulatory Network in the Financial Services Risk Management Group. Patricia joined EY in 2004 as the Partner leading the banking risk practice and then later financial regulatory advice. She was involved in projects with the major banks globally on all the risk types as well as Basel III and stress testing. She is also increasingly involved in risk governance issues including developing an approach to setting and embedding risk appetite and risk culture. She is now a strategic adviser to EY. Prior to this she was the Head of the Financial Industry and Regulation Division in the Bank of England and represented the UK on the Basel Committee for Banking Supervision for 7 years, leading the global QIS studies and calibration of Basel II. Patricia has published a wide range of papers on market and credit risk and bank capital. She is a non-executive director on the board of the digital challenger bank Atom and is involved in setting their strategy going forward. Johan Larsson, Head of Reporting, Stress Testing and Data Governance, Group Risk Management, Nordea Johan is head of the team responsible for holistic risk reporting to the Nordea board and executive management. His responsibilities include risk reporting, calibration and reporting of the risk appetite framework, data governance issues linked to risk data, Johan chairs the Risk data council and ad hoc stress testing. Prior to his current position he has been Head of Nordea s equity derivatives trading in Stockholm and Copenhagen. Johan Larsson holds a Master of laws from University of Lund and a Bachelor in Economics from the University of Stockholm. 5

6 SPEAKER PROFILES Pieter Klaassen, Managing Director, Risk Methodology, UBS A.G. Pieter Klaassen is Managing Director in Risk Methodology at UBS A.G.. He and his team own the statistical and scenario-based stress testing frameworks that are used in UBS Group and its main legal entities. In addition, he supports the establishment of quantitative risk appetite objectives and coordinates the risk assessment of the annual business plans for UBS Group and its main legal entities. Before joining UBS in 2008 he worked for 10 years at ABN Amro N.V as Head of Enterprise Risk Modeling with responsibility for the banks counterparty credit risk and economic capital models. Until 1998, Pieter worked at Rabobank International as Head of Derivatives Research. He held a part-time appointment at Vrije Universiteit in Amsterdam, and (co)authored various articles on asset-liability management, credit risk modelling and economic capital. In addition, he is co-author of the book "Economic Capital: How it works and what every manager needs to know", published by Elsevier in Pieter holds a Ph.D degree in operations research from the MIT Sloan School of Management, and a Master's degree in Econometrics from Erasmus University. Andrew Duff, Partner, Ernst & Young Andrew leads EY s Governance and Risk Frameworks competency team within EY s London Financial Services Risk Advisory practice. Prior to joining EY in 2010, Andrew worked in credit risk for a major bank. Andrew has worked with a wide range of global financial institutions to assess, design, implement and embed risk appetite frameworks at the parent holding company and subsidiary levels, both in Europe and the US. Andrew s experience has covered risk appetite approaches for both financial and non financial risks, metric selection, methodologies to allocate appetite and link appetite to underlying limit frameworks as well as linking risk appetite with stress testing at the enterprise and portfolio levels. Andrew was a member of the IIF Working Group on Risk Appetite in Ilinka Kajgana, Head of Group ICAAP and RWA, Erste Group Bank AG Presently, Dr. Kajgana is responsible for the Group ICAAP and RWA. Dr. Kajgana and her teams focus primarily on standardization of these frameworks across Erste Group to attain permanent improvement in measurement and steering standards, to complement risk appetite, risk strategy and strategic limit framework. Over past 10 years Dr. Kajgana has executed various management functions in Strategic Risk Management introducing best practice and industry standards. Dr. Kajgana holds a PhD in Physics from the University of Technology in Vienna. Russell Brooks, Head of Stress Testing Assurance, Royal Bank of Scotland Russell started his career in the early to mid 1990s as a fixed income proprietary trader. After completing his MBA in financial information management he switched career in 2001 to hands-on risk management on the trading floor. Prior to joining RBS in 2011 the bulk of his risk management experience has been as head of risk at various option market makers. At RBS Russell started as central market risk s subject matter expert on stress testing. Since 2014, Russell has been head of various risk assurance activities including market risk, controls testing and now stress testing. 6

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