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Agenda

AGENDA SUBJECT TO CHANGE

2011 Risk Practitioner Conference – Agenda Framework
ARRIVAL: Monday, Oct 3
4:00 - 6:00 PM	Registration
6:30 PM	Welcome Reception & Dinner

DAY ONE: Tuesday, Oct 4
7:00 – 9:00 AM	Open Breakfast
9:00 – 9:30 AM	Welcome 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

STREAM	Risk Management Policy & Practice	Innovations in Risk Modeling & Methodology	Special Topics in Retail Risk Management	Product Highlights & Strategy
STREAM	Room 1	Room 2	Room 3	Room 4
11:00-12:00 AM	Modeling Capital Adequacy - A counter cyclical approach? - 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 - 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: The Latest Trends in Consumer Credit Performance - Examing 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 Cris DeRitis, Moody’s Analytics Sean Rowles, Citizens Bank	Origination Innovations Learn about 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. June Marcel, Moody's Analytics; Martin Cunningham, Moody's Analytics; John Baer, Moody’s Analytics
12:00-1:00 PM	LUNCH
1:00-2:00 PM	Liquidity Management in the Context of the New Regulatory Environment: Challenges and Opportunities - The regulatory backdrop - Developing behavioral models Richard Vasicek, Moody’s Analytics	Assessing and Pricing Liquidity Risk: An Economic Perspective of Asset and Liability Dynamics - Modelling 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, Moody’s Analytics	Measuring Credit Risk in Retail Portfolios - Regulatory context - The Brazilian experience - Current challenges - Forecasting credit performance Ana Carla Abrao Costa, Itau-Unibanco	What’s New with RiskCalc Plus and Private EDFs We will discuss our suite of 28 models and some of the latest innovations that can help you get the most out of probability of default analytics. Doug Dwyer, Moody’s Analytics; Mehna Raissi, Moody's Analytics 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 EDF’s to improve Risk Management Practices - How can EDFs be used to establish risk tolerance limits? - Implementing EDFs into a credit rating process - Using EDFs as an early warning indicator Greg Cortez, Hess Marc T. Mortl, Cargill North America Energy, Transportation, and Industrial Businesses Audrey Noll, Allegheny Energy/First Energy	Using a Robust Database to Predict Recoveries on Unresolved Defaults Based on Resolved Defaults - Brief description of PECDC Database - Creating a reference dataset - Building recovery curves - Identifying drivers of recoveries Jeroen Batema and Stephen J Bennett, Pan European Credit Data Consortium (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	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. Bob Dutcher, Moody's Analytics Pierre-Etienne Chabanel, 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	Risk Topography - What types of data are necessary to assess macroeconomic systems 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 Tony Hughes, Moody's Analytics; 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. Rob Wyle, Moody's Analytics Pierre-Etienne Chabanel, Moody's Analytics Eric Ebel, Moody’s Analytics
4:30 PM	Happy Hour at the Solutions Cafe
7:00 PM	Cocktail Reception
8:00 PM	Networking Dinner

DAY TWO: Wednesday, Oct 5
7:00 - 8:30 AM	Open Breakfast
8:30 – 9:00 AM	Opening Address Charles Stewart, 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 Zone Bart Oosterveld, Managing Director - Sovereign Risk, Moody's Investors Service
10:30 – 11:00 AM	BREAK

STREAM	Risk Management Policy & Practice I	Innovations in Risk Modeling & Methodology	Risk Management Policy & Practice II	Product Highlights & Strategy
STREAM	Room 1	Room 2	Room 3	Room 4
11:00-12:00 AM	Overcoming Risk Management Challenges for Banks Operating in Emerging Economies - Key challenges faced by banks - Developing internal credit models, managing name & 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 regulatory feedback - Consistently capturing risk drivers - Modelling non-standard exposures Doug Dwyer, Moody’s Analytics Mark 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, 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, Moody's Analytics; Anuj Gupta, Moody's Analytics
12:00-1:00 PM	LUNCH
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	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, OCC; Elizabeth Mays, PNC; Jim Sarrail, Moody's Analytics	Macroeconomic Stress Testing of Fixed Income Portfolios - Key challenges faced by market risk stress testing - High frequency exercises combined with a 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 Insurance; Juan 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, Moody's Analytics; 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	Stress Testing CRE Risk - The challenges of macroeconomic scenario-based stressing testing under new regulatory regimes in the USA and Europe - The reality and significance of real estate variations in risk modelling - Facilitate scenario-based stressed testing in a modelling framework that explicity use macroeconomic variables as input - Compare different stress testing approaches and make sense of results - Interconnection of global markets and the future of integrated global approach to stress testing Jun Chen, Moody’s Analytics Peter Hobbs, IPD	Credit Risk Management: A Global Fund Manager's Perspective - Caisse de dépôt et placement du Québec – Figures and investments activities - Credit risk management activities at CDP - Why managing 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 EDFs and Other Innovations Learn about Through the Cycle EDFs, Stressed EDFs, CDS-Implied EDFs, and new enhancements to CreditEdge Plus. Alok Jain, Moody's Analytics 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 IACPM survey Marcia Banks, IACPM; Mitch Carpen, Bank of Tokyo-Mitsubishi; Peter Heffernan, Scotiabank; Glen Siniawski, PNC	Methods for Modeling Sovereign Credit Risk in a Portfolio Setting - How can insights from 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? Doug Dwyer, Moody's Analytics 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 more improve accuracy of forecasting and stress testing consumer credit portfolios. Christian de Ritis, Moody's Analytics; Erlind Dine, Moody's Analytics; Juan Licari, Moody's Analytics
6:00 PM	Closing Reception