Highlights For 2015 Include: MODEL VALIDATION & DEVELOPMENT Join the discussion to determine whether validation is hindering development

Learn how to effectively model risk in the current low rate and volatility environment

The latest in managing Model Risk enterprise-wide

CCAR & DFAST Determine the effectiveness of CCAR and DFAST scenarios in a higher rate economy

Minimize the complexity and take away industry best practices for CCAR/DFAST submission

PPNR Understand how to project losses and connect revenue and risk projections

FUNDAMENTAL REVIEW OF THE TRADING BOOK Take away a review of the latest developments, impacts and what is still to come

VALUE ADJUSTMENTS Gain an understanding of how to incorporate Capital, Margin and Liquidity into derivatives pricing

DATA QUALITY & CONSISTENCY Best practices for improving data quality and consistency for model uses

BRING THE TEAM: 50% Discount For 3rd Attendee

QUANT RISK AMERICAS 20152nd Annual

November 34 | New York City

Hear From More Than 20 Senior Risk Professionals Including:Robert Kula, EVP, Group Head of Quantitative Risk Analysis, KeyCorp

Leif Andersen, Global Co-Head of the Quantitative Research Group, Bank of America Merrill Lynch

Andrew Chin, CRO & Head of Quantitative Research, AllianceBernstein

Viktor Ziskin, Head of Quantitative Strategies, CIT

Lourenco Miranda, Head of Quantitative Analytics, AIG

Craig Friedman, Head of Quantitative Risk Management, TIAA-CREF

Eugene Shuster, Chief Risk Officer, Nomura Asset Management N.A.

Anand Nandy, Head of ERM and Stress Testing for Americas, Credit Suisse

Michael Pykhtin, Manager, Quantitative Risk Management, Federal Reserve Board

Denis ODonoghue, SVP, Head of Enterprise Risk Management, TD Bank

Katie Hysenbegasi, MD, Quantitative Risk manager, BNY Mellon

E: info@cfp-events.com T: +1 888 677 7007

www.cfp-events.com/qra15 #QuantRisk

SUMMER SPECIAL: SAVE $1000

Overcoming The Impacts Of Regulatory Changes On The Quant Risk Professional

#QuantRisk E: info@cfp-events.com T: +1 888 677 7007 www.cfp-events.com/qra15

Why AttendWith recent, current and future regulatory changes and oversight, the role of the Quant Risk Professional is changing significantly. Due to these changes, the knowledge base, skillsets and responsibilities have also greatly enhanced and to ensure profitability and compliance, institutions need to make sure they have knowledgeable and experienced quants in place.

CFPs Quant Risk Americas 2015 tackles the key challenges facing quantitative risk managers and the industry now, and in the foreseeable future. Key highlights for 2015 include:

2015 PRESENTERS: 20+ CROs and Heads of Quantitative Risk Departments from 15+ financial institutions and regulators

NETWORKING & LEARNING: Over 10 hours of interactive panel discussions, presentations and case studies and more than 4 hours of networking

MODEL RISK & VALIDATION: Discuss whether validation is hindering development, gain insights on how to model risk in the current low rate and volatility environment, understand how to manage model risk enterprise-wide and gain best practices from Developers and Validators on how to effectively document model risk management

CCAR & DFAST: Determine the effectiveness of CCAR and DFAST scenarios in a higher rate economy

plus take away industry best practices fro CCAR and DFAST submission

PPNR: Understand how to project losses and connect revenue and risk projections to bring risk and finance views together

FUNDAMENTAL REVIEW OF THE TRADING BOOK: Take away a review of the latest developments, impacts and what is still to come

VALUE ADJUSTMENTS: Assess how to effectively incorporate Capital, Margin and Liquidity into derivatives pricing and whether the adjustments are a real number and needed

DATA QUALITY AND CONSISTENCY: Best practices, tools and techniques for improving data quality and consistency for model uses

Sponsorship & Exhibition Opportunities At Quant Risk Americas 2015Advance Your Branding, Awareness, Industry Expertise, Thought-Leadership And Lead-Generation

Does your organization need to generate new sales leads, launch a new product or service, engage with key decision makers, build future business relationships or simply educate the industry?

Sponsorship and exhibition with CFP Events offers unique networking, brand recognition and thought-leadership deliverance opportunities with senior risk professionals from around the world. Whether you want full branding across an event or simply a well-positioned exhibition stand, our business development team will tailor the right package for you. We do everything we can to help you get your marketing message across and also to benchmark the return on your investment.

For further information, please contact Andreas Simou: andreas.simou@cfp-events.com or call +1 888 677 7007.

StandStand Stand

StandStand Stand

Refreshment / Luncheon station

Who Should Attend?Investment Banks, Private Banks, Commercial Banks, Retail Banks, Hedge Funds, Building Societies, Asset Management Companies, Insurance Companies, Pension Funds and Other Financial Institutions.

CEOs, Finance Directors, CRO along with the Directors, Heads and Managers of:

Risk Methods/Methodology Model Control Counterparty Exposure

XVA, CVA, DVA, FVA, KVA, MVA and LVA

Quantitative Risk Quantitative Modeling Quantitative Strategies Quantitative Research Quantitative Analysis Model Risk Market Risk Credit Risk Global Credit Products Counterparty Risk Management

Funding Methodology Product Control Valuations VAR Model Testing Interest Rate Risk Inflation Model Validation Exposure Analytics Data Management & Governance Stress Testing CCAR DFAST Capital Management

#QuantRisk E: info@cfp-events.com T: +1 888 677 7007 www.cfp-events.com/qra15

08:00 Registration & Networking

08:50 Chairs Opening Remarks

KEYNOTE PANEL DISCUSSION09:00 Effectively Complying To Rigorous Regulatory Requirements Now And In The Future Understanding what the regulators are asking for Determining how to keep up to date and compliant Preparing for the future and what is still to come Overcoming different interpretations

Institutional, External and Regulatory Assessing the impact of regulation on the quant risk professional and how the role will differ in 2020

Finding new staff with the appropriate background and experience: Quantitative risk management + Regulation + Specific model expertise

Reviewing the implications on smaller banksAnna Shender, MD, Regulatory Capital Policy, Bank of America Merrill Lynch

Eugene Shuster, Chief Risk Officer, Nomura Asset Management North America

MODEL DEVELOPMENT AND VALIDATIONMODEL DEVELOPMENT09:45 Effectively Modeling Risk In The Current Low Rate And Volatility Environment Assessing what risks should be reviewed and capital should be held for

Determining whether current trends and recent history can be expected to continue and how long for

Reviewing what are appropriate scenarios and models to be applying in the current environment

Effectively choosing the right data and getting the right amount Understanding regulator expectations Modeling for specific risk types

Viktor Ziskin, Head of Quantitative Strategies, CIT

10:25 Determining How To Model For The Future With Limited Data Understanding how to model what is now and what may be possible in the future

Modeling probability for the future the limitation of stress tests Implementing predictive adaptive volatility correlation expectations beyond VaR

Analyzing the limitations of available data Assessing the links to both economic and regulatory capital

11:05 Morning Refreshment Break & Networking

DATA QUALITY AND CONSISTENCY11:35 Effectively Improving Data Quality And Consistency For Model Uses Understanding tools and techniques available for managing data quality

Determining what controls are there to cleanse and scrub the data

Measuring the trade off between accuracy and timeliness Developing algorithms for detecting outliers Gaining input from the Model Users Assessing the limitations of data and reliability of the results Using the data effectively

Ulku Rowe, MD, Head of Credit Risk Technology, JP Morgan

12:15 Effectively Managing Model Risk Enterprise-Wide Measuring and managing model risk across the enterprise and different model types

Determining how to aggregate the risk Ensuring standards and consistency across the enterprise Calibrating different models Making sure model risk judgment at different parts of the enterprise is uniform but adaptive

Denis ODonoghue, SVP, Head of Enterprise Risk Management, TD BankShannon Kelly, MD, Head of Model Risk Management, TD Bank

12:55 Lunch Break & Networking

MODEL RISK APPETITE1:55 Establishing, Setting And Implementing A Model Risk Appetite Understanding what risk is being managed and the capital levels required to be set aside for model risk

Addressing model risk across the institution Identifying simple and effective KPIs and KRIS that can be reported on

Determining how to interpret model risk appetite Effectively implementing model risk appetite

Mitchell Post, VP, Models and Methods, ERM, Freddie Mac

PANEL DISCUSSION2:35 Model Validation And Model Development: Is Validation Hindering Development? Understanding right balance between regulatory Vs. internal needs and requirements

Determining if there is too much focus on validation and not enough on development

Assessing where the focus is on revenue Analyzing the new banking model in the post-crisis regulatory world and what the challenges are

Katie Hysenbegasi, MD, Head of Credit Risk Modeling, BNY Mellon

Sanjiv Talwar, MD, Risk Capital & Stress Testing, BMO (TBC)Nav Vaidhyanathan, AVP, Model Risk Management, M&T BankViktor Ziskin, Head of Quantitative Strategies, CIT

3:20 Afternoon Refreshment Break & Networking

DOUBLE SESSION: DOCUMENTATION3:50 Effectively Documenting Model Risk Management Views From The Developer And The Validator Assessing what scope of models should be considered Understanding how much explanation is required Managing time and resource pressures Justifying why the model is being used and whether it works Determining where are the gaps within the model Supporting model us and choice through documentation SR-11/7

Meeting the requirements and reaching the appropriate level Documenting data inputs Preparing for regulatory questions and how to respond Managing different interpretations, expectations and understanding from regulators

Anand Nandy, Head of Enterprise Risk Management and Stress Testing for Americas, Credit SuisseNav Vaidhyanathan, AVP, Model Risk Management, M&T Bank

5:10 End Of Day One

DAY ONEQUANT RISK AMERICAS 2015 NOVEMBER 3

#QuantRisk E: info@cfp-events.com T: +1 888 677 7007 www.cfp-events.com/qra15

08:30 Registration & Networking

08:50 Chairs Opening Remarks

CCAR AND DFASTPANEL DISCUSSION09:00 Determining The Effectiveness Of CCAR And DFAST Scenarios In A Higher Rate Economy Understanding how to prepare for stress tests in a better economy

Assessing the predictability of the process Reviewing how prepared institutions are for the current stress test scenarios and the value being added

Determining how stress tests will function when risky business resumes

Analyzing the correlation between the economy and the scenarios

What risks have been added to the portfolio and how will this impact the future

Robert Kula, EVP, Group Head of Quantitative Risk Analysis, KeyCorp

Lourenco Miranda, Head of Quantitative Analytics, AIGAnand Nandy, Head of Enterprise Risk Management and Stress Testing for Americas, Credit SuisseFred Pergola, Director, US Stress Testing Methodology, UBS

PPNR09:45 Effectively Projecting Losses And Connecting Revenue And Risk Projections Understanding how to bring risk and finance views together Creating consistency between finance (revenue) and risk forecasts

Overcoming differences in the upside view from finance and the downside view from risk

Effectively aligning the views for a better business outlookGary Tognoni, SVP, Head of Stress Testing Execution, Treasury and Balance Sheet Management, TD Bank

10:25 Morning Refreshment Break & Networking

EXTENDED SESSION10:55 Minimizing The Complexity And Developing Industry Best Practices For CCAR/DFAST Submission Determining what is acceptable and what is not Understanding where the focus should be and what regulators want to see

Choosing the right model Top down Vs. Bottom up approaches More complex or less complex Qualitative Vs. Quantitative

Assessing the submission process What regulators want to see What level of granularity is working

Effectively projecting the balance sheet Setting up internally and engaging the business Understanding what are the major models and how to bring them up to consistency

Robert Kula, EVP, Group Head of Quantitative Risk Analysis, KeyCorp

Lourenco Miranda, Head of Quantitative Analytics, AIGFred Pergola, Director, US Stress Testing Methodology, UBS

12:15 Lunch Break & Networking

FUNDAMENTAL REVIEW OF THE TRADING BOOK1:15 A Review Of The Latest Developments, Impacts And What Is Still To Come Timelines:

Is there enough time? What action is being taken?

Reviewing what is on the horizon for the unanswered sections

Understanding where the regulators are heading, whats still to be achieved and how will it be done

Assessing where Basel is, where it stands and where is it going Analyzing how the US are adopting the changes Determining to what extent will Basel changes be inline with US regulations

Effectively managing the transition and minimizing the quantitative impacts

Michael Pykhtin, Manager, Quantitative Risk Management, Federal Reserve Board

VALUE ADJUSTMENTS1:55 Effectively Incorporating Capital, Margin And Liquidity Into Derivatives Pricing Effectively defining the value adjustments

Capital (KVA), Margin (MVA), Liquidity (LVA) Determining if the adjustment is a real number and whether it is needed

Assessing what is the cost and why? Understanding the uses of the various adjustments Effectively computing the numbers required Assessing the risk of double counting Determining the impacts

Leif Andersen, Global Co-Head of the Quantitative Research Group, Bank of America Merrill Lynch (TBC)

2:35 Afternoon Refreshment Break & Networking

3:05 Developing A Framework For Building High-Performance Fat-Tailed Risk Models Determining a consistent approach to:

Measuring model performance Building robust fat-tailed models that perform well out-of-sample

Effective applications including Multivariate conditional models for the evolution of systemic risk factors

Asset returns Models of extreme loss events

Craig Friedman, MD, Head of Quantitative Risk Management, TIAA-CREF

3:45 Utilizing Quantitative Techniques To Assess Manager Returns On Skill Vs. Luck Active management performance historically Is there less skill today?

Can active returns be explained using common risk premiums?

Where and when is skill rewarded? Tools to assess skill

Andrew Chin, CRO and Head of Quantitative Research, AllianceBernstein

4:25 Close Of Congress

DAY TWOQUANT RISK AMERICAS 2015 NOVEMBER 4

Quant Risk Americas 2015 | November 34 | New York City

Concession Rates: 15% Discount for professionals of community banks, government and regulatory bodies, as well as members of professional trade associations and societies.

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