1.
Stress
Testing
Conference
2nd
Annual
April
25
–
26,
2016
Downtown
Miami,
FL
Sponsors
Conference
angles:
• Regulatory
expectations
(DFA,
Basel,
CCAR,
ICAAP)
• Role
of
the
Senior
Board
in
managing
stress
testing
• Governance
Policies
for
a
robust
stress
testing
program
• Methodology
and
Scenario
Selection
• Integrating
of
business,
Treasury
and
finance
Past
Attendees
Bank
of
the
West,
Credit
Suisse,
Scotia
Bank,
Union
Bank,
Regions
Bank,
Office
of
the
Comptroller
of
the
Currency,
FHFA,
Federal
Reserve
Bank
of
Philadelphia,
CIBC,
AIG,
Ally,
Discover,
UBS,
SVB,
Citizens
Financial
Group,
BBVA
Compass,
Bank
of
America,
GE
Bank.
The
Financial
Republic
group
creates
conferences
that
link
the
financial
industry
through
premium,
practical
and
dynamic
discussion
of
top-­‐level
executives,
experts
and
regulators
to
develop
a
best-­‐practice
approach
to
compliance,
investment
and
management.

2. Speakers
Jon
Hill
Executive
Director
Morgan
Stanley
Mercedes
Stevenson
Stress
Testing
Suntrust
Bank
Andrei
Egorov
Managing
Director,
Risk
Analytics
Charles
Schwab
Manan
Rawal
SVP
-­‐
CCAR
&
Stress
Testing
-­‐
Head
of
Scenarios
&
Modeling
HSBC
Crosby
Mulwee
Vice
President
-­‐
Capital
Planning
Manager
Suntrust
DR.
Kenneth
Gustin,
Ph,D.
President,
CEO,
Owner
Independent
Research
and
Risk
Advisory,
LLC
Imir
Arifi
Senior
Vice
President,
PPNR,
ALM,
and
Operational
Risk
Model
Validation
Manager
Regions
Carol
Cheng
Senior
Director,
Governance,
QS,
CMRM
CIBC

3. Day
one
(April
25th)
Chairperson
TBC
8:00
am
Coffee
and
registration
8:55
am
Opening
remarks
from
the
chairperson
Regulator
Discussion
(9:00
–
10:00)
Coping
with
evolving
regulatory
expectations
• Discuss
the
current
regulatory
landscape
• Meet
future
regulatory
demands
• DFA,
Basel
III,
CCAR,
ICAAP
Speakers
OCC
FED
Presentation
(10:00
–
10:45)
Challenges
of
validating
stress
tests
models
Speaker
Jon
Hill
Executive
Director
Morgan
Stanley
10:45
am
Coffee
and
Networking
Break
Presentation
(11:15
–
12:00)
PPNR
Models
• PPNR
Deposit
Balance
Example
• Conceptual
and
Statistical
Soundness
• Outcomes
Analysis
Speaker
Case
Study
(12:00
–
12:45)
Benchmarking
Wholesale
Loss
Forecasting
Models
for
Stress
Testing
and
Capital
Planning
Speaker
Imir
Arifi-­‐
SVP,
Model
Validation
Regions
12:45
Lunch
and
Networking
Break
Presentation
(2:30
–
3:15)
Evolving
practices
in
integrating
CCAR
into
BAU
management
and
risk
appetite
• Application
of
the
risk
appetite
framework
• Successes,
Challenges
and
Lessons
learned
Speaker
Presentation
(3:15
–
4:00)
BHC
Stress
Scenario:
Design
and
Governance
• Types
of
firm-­‐wide
stress
tests
• Regulatory
guidance
and
expectations
• Scenario
design
considerations
• Capturing
bank-­‐specific
risks
• Probability
and
severity
of
a
scenario
Speaker
Manan
Rawal
SVP
-­‐
CCAR
&
Stress
Testing
-­‐
Head
of
Scenarios
&
Modeling
HSBC
4:00
Closing
comments,
end
of
day
One

4. Day
Two
(April
26th)
Chairperson:
Imir
Arifi
-­‐
Regions
8:00
am
Coffee
and
registration
8:55
am
Opening
remarks
from
the
chairperson
Panel
Discussion
(9:00
–
10:00)
Best
practices
to
optimize
your
stress-­
testing
framework
• Challenges
pertaining
to
infrastructure
insufficiency,
and
modeling
• Role
of
the
board
and
senior
management
• Policies
that
govern
the
use
of
stress
testing
program
• Sitting
your
bank’s
risk
appetite
framework
Speakers
Presentation
(10:00
–
10:45)
The
role
of
Internal
Audit
in
Stress
Testing
• Data
quality
and
Controls
• Governance
over
stress
testing
models,
and
financial
forecasts
• CCAR
and
PPNR
reporting
accuracy
Speaker
DR.
Kenneth
Gustin,
Ph,D.
President,
CEO,
Owner
Independent
Research
and
Risk
Advisory,
LLC
10:45
am
Coffee
and
Networking
Break
Case
Study
(11:15
–
12:00)
Governance
policies
for
a
robust
stress
testing
• Merging
traditional
risks
with
modern
day
risk
topics
• The
vital
role
of
senior
management
to
ensure
compliance
• Regular
reporting
and
documentation
Speaker
Carol
Cheng
Senior
Director,
Governance,
QS,
CMRM
CIBC
Presentation
(12:00
–
12:45)
Enterprise-­Wide
Stress
Testing
Speaker
Mercedes
Stevenson
Stress
Testing
Suntrust
Bank
12:45
Lunch
and
Networking
Break
Panel
Discussion
(2:30
–
3:30)
Integrating
of
business,
Treasury
and
finance
• Existing
challenges
(planning,
monitoring,
reporting)
• Integration
of
liquidity
management
• ICAAP
Speakers
Crosby
Mulwee
Vice
President
-­‐
Capital
Planning
Manager
Suntrust
Andrei
Egorov-­‐
Managing
Director,
Risk
Analytics
Charles
Schwab
Case
Study
(3:30
–
4:15)
Data
and
systems
• Challenges
in
this
area
• Stress
testing
platform
and
data
requirements
• How
to
overcome
existing
inadequate
systems?
Speaker
Jose
J.
Canals-­‐Cerda,
PhD,
FRM
Special
Advisor-­‐
Retail
Risk
Analysis
Supervision,
Regulation
and
Credit
The
Federal
Reserve
Bank
of
Philadelphia
4:15
Closing
comments,
end
of
day
Two

5. Biographies
Imir
is
Senior
Vice
President,
PPNR
Model
Validation
Manager
at
Regions
Financial
Corporation.
He
has
lead
production
of
all
models
overlay
memos
for
CCAR
2015.
He
has
represented
model
validation
in
all
CCAR
2015
regulatory
meetings
covering
PPNR
and
Op
Loss
models.
He
instantaneously
neutralized
numerous
regulatory
matters,
which
would
have
resulted
in
MRA
findings
and
regulatory
action
in
the
absence
of
my
intervention
in
regulatory
exchanges.
Imir
persistently
anticipated
regulatory
concerns
and
compliance
gaps
pertaining
to
historical
model
validation
reports
and
fully
addressed
them
prior
to,
on
site
FRB
meetings.
He
has
held
different
positions
at
JP
Morgan,
Federal
Home
Loan
Bank
of
Chicago,
and
ABN
Amro.
Imir
Arifi
holds
a
Ph.D.
in
Finance
from
Illinois
Institute
of
Technology.
Carol
Cheng
is
Senior
Director,
Governance,
Quantitative
Solutions,
Capital
Market
Risk
Management,
CIBC.
She
is
responsible
for
establishing
and
further
refining
the
governance
framework
and
overseeing
the
usage
around
market
risk
and
credit
risk
models/quantitative
methods
for
CMRM.
She
is
also
responsible
for
providing
quantitative
support
within
the
QS
team.
Prior
to
her
current
position,
Carol
was
Director,
Model
Validation
Oversight
,
Global
Model
Risk
Management
in
Scotia
Bank
responsible
for
providing
oversight
for
all
model
validation
activities
for
a
broad
array
of
portfolios
and
model
types,
and
for
developing
a
consistent
model
submission,
validation
and
approval
framework.
She
also
worked
as
Director,
Internal
Audit,
Global
Banking
and
Markets
in
Scotia
Bank,
and
played
a
lead
role
for
assessing
the
end-­‐to-­‐
end
model
risks
through
the
model
life
cycle
for
a
wide
variety
of
models
across
Scotiabank,
as
well
as
assessing
market
risk
and
counterparty
credit
risk
in
various
lines
of
business.
Prior
to
per
roles
in
Scotia
Bank,
She
worked
for
5
years
at
OSFI,
approving
regulatory
models
for
market
risk
and
reviewing
capital
markets
activities
of
Big
6
Canadian
Banks.
DR.
Kenneth
Gustin,
Ph,D.
President,
CEO,
Owner
Independent
Research
and
Risk
Advisory,
LLC
Dr.
Gustin
is
an
Independent
Consultant
and
Subject
Matter
Expert
who
provides
insight
developed
over
20
years
in
Structured
Finance,
Capital
Markets,
and
Risk
Management
in
the
US
and
in
Europe.
Up
to
mid-­‐2010,
Dr.
Gustin
has
held
various
Senior
Risk
Management
positions
with
Primatics
Financial
LLC,
Raymond
James
Financial,
CSC
Peat
Marwick,
the
European
Bank
for
Reconstruction
and
Development,
and
McKinsey.
From
August
2014
to
March
2015,
he
served
as
an
Expert
Advisor
CCAR
to
Platinion
NA
(a
Boston
Consulting
Group
company).
Since
June
2012,
he
is
the
President,
CEO,
and
Owner
of
a
niche
management
consulting
and
advisory
boutique,
Independent
Research
and
Risk
Advisory
LLC.