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Program | Risk Quantification Forum

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By attending the 2019 ABA Risk Quantification Forum, you will be qualified to receive continued education credits (CAFP: 5; CERM: 16.5; CRCM: 9; CPE: 16 Field of Study-Business Mgmt. & Org, Ethics, Information Technology, and Accounting)

The conference is designed to be open-seating; sessions are not pre-selected in advance of the conference. We are updating the program on a continuing basis – bookmark this page to see the latest program updates when available.

  • Wednesday, Nov 13

  • Thursday, Nov 14

  • Friday, Nov 15

Wednesday, Nov 13

12:00 pm – 5:00 pmRegistration
1:00 pm – 1:10 pm

Welcome to the Forum

Speaker:

  • Rob Strand, ABA
1:10 pm – 2:00 pm

Opening General Session: Top Risks Facing the Banking Industry

Regulators Panel

Speakers:

  • Tom Crock, OCC
  • Lorenzo Garza, Federal Reserve Bank of Dallas
  • Hu Benton, ABA (Moderator)
2:00 pm - 2:50 pm

General Session

Use of Artificial Intelligence and Machine Learning Algorithms in Modeling Risk in Banking

Speaker:

  • Gary Shiffman, Giant Oak
2:50 pm – 3:20 pmBreak
Track 1
Model Validation and Governance
Track 2
Operational Risk
Track 3
Other Risk Types
3:20 pm – 4:10 pm

Validating Machine Learning Models – an Update

Speaker:

  • Chris Kennedy, Regions Bank

CCAR Stress Testing

Speakers:

  • Nedim Baruh, JPMorgan Chase (Moderator)
  • Filippo Curti, Federal Reserve Bank of Richmond
  • Matthew Duditch, U.S. Bank
  • Sophia Kazinnik, Federal Reserve Bank of Richmond
Interest Rate Risk Hot Topics
Speaker(s):
  • Jason Miller, Zions Bancorp
4:10 pm – 5:00 pm

Validation of Mortgage Models

Speaker:

  • Joseph Mattey, Fannie Mae

Panel Discussion: What's Next for Operational Risk Quantification

  • R&D: Building out data; leveraging bot, AI, etc
  • Other initiatives

Speakers:

  • Ni Kenney, Capital One
  • Sophia Kazinnik, Federal Reserve Bank of Richmond
  • Patrick Naim, Elseware
  • Jane Yao, ABA (moderator)

LIBOR Replacement

  • Hu Benton, American Bankers Association
5:00 pm – 6:00 pmReception
6:00 pm – 8:00 pmNetworking Dinner

Thursday, Nov 14

7:00 am – 5:00 pmRegistration
7:00 am – 8:00 amBreakfast
Track 1
Model Validation and Governance
Track 2
Operational Risk
Track 3
Other Risk Types
8:00 am – 8:50 am

Supervisors’ Perspectives on Model Risk Management at CCAR Banking Firms

Speakers:

  • Minesh Parekh, Federal Reserve Bank of New York
  • Vishant Sharma, Federal Reserve Bank of Atlanta

Paper Presentation: The Information Value of Past Losses in Operational Risk

Speaker:

  • Marco Migueis, Federal Reserve Board
Deposit Models:
  • Beta Models or Threshold error correction models
  • Qualitative components
  • Monitoring deposit pricing accuracy, including ALCO oversight

Speakers:

  • Miaoru Liu, Zions Bancorp
8:50 am – 9:40 am

Responsible Use of Artificial Intelligence and Machine Learning Models

Speakers:

  • Shannon Kelly, Zions Bancorp
  • Agus Sudjianto, Wells Fargo

Economic Measurement Framework for Operational Risk

Speakers:

  • Nedim Baruh, JPMorgan Chase
  • Evan Sekeris, Oliver Wyman

Deposit Models: Deposit Run-off

Speaker:

  • Della Zheng, MountainView
9:40 am - 10:10 amBreak
10:10 am - 11:00 am

Automation of a Platform to Validate More Efficiently

Speaker:

  • Yuri Yermakov, Director of PPNR and Loss Forecasting Model Validation, Citigroup 
CyberRisk/Cyber Resiliency:
  • Supervisors' Perspective
  • Common Taxonomy

Speakers:

  • Filippo Curti, Federal Reserve Bank of Richmond

PPNR Models: Deposit and Loan Balance Forecasting

Speakers:

  • Nirmala Adhikari Devkota, Comerica Bank
  • Sukhinder Jaaj, Comerica Bank
11:00 am - 11:50 am

CECL Challenges

Speakers:

  • Valeriu (Adi) Omer, Bank of the West

Quantifying CyberRisk / Cyber Resiliency

Speaker:

  • Laurent Condamin, Elseware

Balance Sheet Optimization: How to Manage Key Balance Sheet Risks in Order to Meet Its Financial and Risk Management Objectives While Maintaining Compliance with Regulatory Requirements

Speakers:

  • Randy Ahluwalia, BNY Mellon
  • Mircea Pigli, Fifth Third Bank
12:00 pm - 1:00 pmLunch
1:00 pm – 1:50 pm

CECL Models: Lessons Learned by Model Developers

Speakers:

  • Brooks Brady, Zions Bancorp
  • Billy Devinney, BoK Financial
  • Bill Junkin, Fifth Third Bank
  • John Kinsella, ABA (Moderator)

Operational Resilience, Emerging Approaches 

Speakers:

  • Jeffrey Kuhn, Bank of New York Mellon
  • Kerone Vatel, JPMorgan Chase
  • Nicole Muryn Clement, Bank of America

CECL Models: Lessons Learned by Model Developers

Speakers:

  • Brooks Brady, Zions Bancorp
  • Billy Devinney, BoK Financial
  • Bill Junkin, Fifth Third Bank
  • John Kinsella, ABA (Moderator)
1:50 pm – 2:40 pm

CECL Models: Supervisors Panel

Speakers:

  • Josh Kolling, Federal Reserve Bank of Cleveland
  • Harini Parthasarathy, OCC
  • Jitendra Rathod, FDIC
  • Rob Strand, ABA (Moderator)

Conduct/Culture Risk

Speakers:

  • Adam Topkis, Wells Fargo
  • Tanya Weisleder, Credit Suisse

CECL Models: Parallel Validations/Horizontal Review

Speakers:

  • Josh Kolling, Federal Reserve Bank of Cleveland
  • Harini Parthasarathy, OCC
  • Jitendra Rathod, FDIC
  • Rob Strand, ABA (Moderator)
2:40 pm – 3:10 pmBreak
3:10 pm – 4:00 pm

CECL Model Audit

Speakers:

  • John Mulligan, HSBC Bank USA
  • James Oche, PNC Financial Group

Paper presentation: Catch the Thief! Fraud in the U.S. Banking Industry

Speaker:

  • Atanas Mihov, Federal Reserve Bank of Richmond

Credit Risk: Data Driven Loss Forecasting and Credit Risk Management (part 1 of 2)

Speakers:

  • Shannon Kelly, Zions Bancorp
  • Steve Maglic, Regions Bank
4:00 pm – 4:50 pm

Ensuring Quality, Transparency, and Consistency of Qualitative Estimates, Overlays, and Within-Model Adjustments

Speaker:

  • Jason Dulnev, PricewaterhouseCoopers
  • Ximena Zambrano, Wells Fargo

Operational Concentration Risk

Speaker:

  • Kevin Osinski, Citigroup

Credit Risk:Data Driven Loss Forecasting and Credit Risk Management (part 2 of 2)

Speakers:

  • Shannon Kelly, Zions Bancorp
  • Steve Maglic, Regions Bank
5:00 pm – 6:00 pm

Reception

Friday, Nov 15

7:00 am – 10:00 amRegistration
7:00 am – 8:00 amBreakfast
Track 1
Model Validation and Governance
Track 2
Operational Risk
Track 3
Other Risk Types
8:00 am – 8:50 am

Agile and Nimble Model Risk Management Automation that Can Work with Business Lines Yet Retain Independence

Speakers:

  • Jason Dulnev, PricewaterhouseCoopers
  • Aruna Joshi, Visa

Anti-money Laundering/Financial Crime/Fraud

Speakers:

  • David Morris, Zionsbancorp
  • Kathy O'Donnell, Clovis Technologies

Risk Adjusted Profitability: Using Economic Capital, Stressed Capital, Regulatory Capital Testing and CCAR/CECL Models in:

  • Risk adjusted return on capital (RAROC)
  • Shareholder value added (SVA)
  • Return on equity (ROE)
  • Other metrics

Speakers:

  • Steve Maglic, Regions Financial
  • Mircea Pigli, Fifth Third
  • Dallas Wells, PrecisionLender
8:50 am – 9:40 am

Education and Internal Training for Risk Management

Speakers:

  • Dimitri Bianco, Santander Bank
  • Chris Kennedy, Regions Bank

Modeling for Insurance (cyber, conduct, etc.)

Speakers:

  • Husam Brohi, PricewaterhouseCoopers
  • Peter Geday, PricewaterhouseCoopers

Design of Economic Scenarios

Speaker:

  • Doug Hostland, TD Bank
9:40 am – 10:00 amBreak
10:00 am – 10:50 am

General Session: Climate Change Risk

Speaker:

  • Alban Pyanet, Oliver Wyman
10:50 am – 11:40 am

General Session: Results from the First CECL Benchmarking Exercise

Speaker:

  • Soner Tunay, Accenture Consulting
11:40 am – 12:00 pm

Closing General Session: Recap and Action Items

Forum Advisory Board Members

12:00 pmForum Adjourns