1. art and entertainment
2. movies
3. film festivals and awards

Conference Overview
Attend the First International Model Risk Management
Conference and hear from thought leaders and today’s
leading practitioners working in the areas of model
development, validation, and audit or using models and
their outputs. Sessions include discussions of risk topics
and challenges across a broad spectrum of industries.
The Conference will also support the development of
professionalism and best practices among Model Risk
Management (MRM) practitioners working in the regulated
financial industry across sectors and geographies.
Through presentations and discussions, the Conference
aims to strengthen industry and regulatory MRM practice,
grow and develop the current and next generation of MRM
practitioners and facilitate the incorporation of best practices
across industries. Tailored to address critical issues
arising from global financial services regulation
as well as emerging issues, the Conference will provide a
thorough understanding of regulatory requirements and their
impact on the leading MRM practices. The Conference will
achieve these outcomes by providing relevant, meaningful
and useful content that can be taken away and put into
practice. Audience participation and collaboration is
encouraged.
This two day Conference runs from 8:00 a.m. till late
afternoon each day including lunch as well as morning and
afternoon breaks.
Opening remarks by Jamey Hubbs, Assistant Superintendent
Deposit-Taking Supervision Sector, OSFI.
Sponsors
NETWORKING RECEPTION SPONSOR
Scotiabank is Canada’s international bank and a leading financial services provider in North
America, Latin America, the Caribbean and Central America, and parts of Asia. Scotiabank is
helping our 21 million customers become better off through a broad range of advice, products
and services, including personal and commercial banking, wealth management and private
banking, corporate and investment banking. With a team of more than 86,000 employees and
assets of $852 billion (as at January 31, 2015), Scotiabank trades on the Toronto (TSX: BNS)
and New York Exchanges (NYSE: BNS).
TECHNOLOGY PARTNER
The International Business Machines Corporation (IBM) is an American multinational
technology and consulting corporation. IBM manufactures and markets computer
hardware, software and consulting services in areas ranging from mainframe computers to
nanotechnology and risk analytics.
KNOWLEDGE PARTNER
Deloitte LLP, one of Canada’s leading professional services firms, provides audit, tax,
consulting and financial advisory services to a wide range of Canadian and international
clients. Deloitte LLP is the Canadian member firm of Deloitte Touche Tohmatsu Limited, which
is a network of member firms, each of which is a legally separate and independent entity.
SILVER PARTNER
AxiomSL is the global leader in regulatory reporting and risk management solutions for
the financial services industry. AxiomSL’s unique data-driven platform empowers financial
institutions in meeting their reporting requirements across multiple regulators and
jurisdictions. AxiomSL’s best-in-class solution integrates clients’ source data from disparate
systems and locations, without forcing data conversion, to deliver an end to end flexible,
transparent and auditable reporting process. AxiomSL also offers analytical applications in the
areas of data risk management, capital reporting.
BRONZE PARTNERS
The Centre of Excellence in Financial Services Education (CoE) of the Toronto Financial
Services Alliance acts as a catalyst to strengthen and expand Toronto’s talent pool and
elevate the region’s global stature as a financial services capital. The CoE aggregates research
and information on Toronto’s talent and educational strengths, works with employers and
educators to improve the focus and quality of education programs, encourages cross-sector
dialogue on talent and education-related issues and showcases the region’s strengths and
the career opportunities that await in the Toronto region. The CoE is supported by Ontario’s
Ministry of Training, Colleges and Universities, the City of Toronto and the financial services
sector of the Toronto region.
Numerix analytics combine real-time performance and robust IT infrastructure for standard
and custom business solutions that address the most computationally demanding calculations
and complex analytics challenges impacting today’s diverse derivatives market participant.
EXHIBITOR
Kamakura Corporation is the world’s leading provider of risk management solutions –
software, information and consulting, while meeting regulatory requirements and providing
world’s leading research, sound analytics and fully integrated applications.
ORGANIZING PARTNERS
Acumen Information Services is a financial information company based in Toronto. Our
commitment is to providing the information and ideas companies need to meet the demands
of rapidly evolving marketplaces, of compliance with increasingly complex regulations and of
improving corporate financial performance and profitability.
Synchrony Consulting is a human capital and advisory firm that specializes in quantitative risk
management – allowing us to provide top-tier talent, while solving their risk management
challenges.
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Sponsors
SUPPORTING PARTNERS
AIMA Canada, a National Group of the Alternative Investment Management Association
(AIMA) in Canada, was formed in March 2003 to act as the voice of the alternative
investment industry in Canada. AIMA is a not-for-profit international educational and
research body that represents practitioners in hedge fund, futures fund and currency fund
management - whether managing money or providing a service such as prime brokerage,
administration, legal or accounting. AIMA’s global membership comprises over 1,350
corporate members, throughout 47 countries, including many leading investment managers,
professional advisers and institutional investors.
The Asian Banker is an authoritative provider of strategic business intelligence to the
financial services community. The Singapore-based organization has offices in Singapore,
Malaysia, China, the Philippines as well as the Middle East. With a business that revolves
around three core business lines – publications, research services and forums – the
organization is highly regarded in the financial services community for its incisive and
The Fields Institute is a center for mathematical research activity – a place where
mathematicians from Canada and abroad, from business, industry and financial institutions,
can come together to carry out research and formulate problems of mutual interest. Our
mission is to provide a supportive and stimulating environment for mathematics innovation
and education. The Fields Institute promotes mathematical activity in Canada and helps to
expand the application of mathematics in modern society.
The Swiss Re Group is a leading wholesale provider of reinsurance, insurance and other
insurance-based forms of risk transfer. Dealing direct and working through brokers, its global
client base consists of insurance companies, mid-to-large-sized corporations and public sector
clients.
Toronto, Canada is one of the world’s most liveable and multicultural cities with a population
of over 2.7 million people. Toronto prides itself on its wide range of cultures, languages, food
and arts. Almost half of its population is immigrants. This summer, Toronto will host The Pan
American Games, the world’s third largest international multi-sport Games only surpassed in
size by the Olympic Summer Games and the Asian Games.
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Conference and Workshop Speakers
Alessandrea C. Quane
Alex Shenkar
Alexander Shipilov
Ali Samad-Khan
Bogie Ozdemir
Catherine Chandler-Crichlow
Senior Vice President & Corporate
Chief Actuary, AIG
New York, NY
Senior Vice President, Model Risk
Management, Head of Credit Risk
Model Validation, SunTrust Bank
Atlanta, GA
Partner, Quantitative Risk Advisory,
Deloitte
Toronto, ON
Founder and President,
Stamford Risk Analytics
Stamford, CT
Chief Risk Officer,
Canadian Western Bank
Edmonton, AB
Executive Director, Centre of Excellence
in Financial Services Education
Toronto, ON
Dan Rosen
David Antonio
David Eliezer
David Oakden
Donald Van Deventer
Vice President, Head of Model
Validation, Numerix
New York, NY
Independent Consultant
Toronto, ON
CEO,
Kamakura
Honolulu, HI
Curtis Gergley-Garner
Chief Risk Officer,
Canada Guaranty Mortgage
Insurance Company
Toronto, ON
Ed Berko
Senior Vice President and
Chief Risk Officer,
The Economical Insurance Group
Waterloo, ON
Ian Wilson
Partner, Risk & Regulation Practice,
Deloitte
London, UK
Managing Director, Risk and Analytics,
Director, Advisory Services,
S&P Capital IQ; Adjunct Professor of
Insurance Enterprise Risk Solutions,
Mathmatical Finance, University of Toronto
Moody’s Analytics
Toronto, ON
New York, NY
Edward Probst
Gerhardt Samwell
Senior Vice President
AxiomSL
New York, NY
Chief Accountant,
Royal Bank of Canada
Toronto, ON
Jamey Hubbs
Assistant Superintendent
Deposit-Taking Supervision Sector,
OSFI
Toronto, ON
Jean Desgagné
President and CEO, The Canadian
Depository for Securities Limited,
TMX Group
Toronto, ON
Josep-Lluis Perez
Joshua Woodbury
Chief Risk Officer,
Banque de Patrimoines Privés
Luxemberg
Assistant Vice President, Natural
Catastrophe Modeler - Specialist
Flood, Swiss Re,
Armonk, NY
Head of Audit, Modeling and Capital
Methodologies, Group Audit,
Lloyds Banking Group
London, UK
Luis Seco
Massimo Morini
Michael Bean
Julian Herbert
Head of Interest Rate and Credit
Managing Director, Modelling and
Professor, Dept of Mathematics,
Models, IMI Bank of Intesa San Paolo Mortgage Insurance, Capital Division,
University of Toronto;
Milan, Italy
OSFI
CEO Sigma Analysis and Management
Toronto, ON
Toronto, ON
Gokul Sudarsana
Greg Frank
Director, ORSA and Internal Models,
Sun Life Financial
Toronto, ON
Director, Model Validation,
OTPP
Toronto, ON
John C. Hull
Jon Hill
Professor, Maple Financial Chair in
Derivatives and Risk Management,
Joseph L. Rotman School of Management,
University of Toronto
Toronto, ON
Executive Director,
Morgan Stanley
New York, NY
Julian Phillips
Kruno Perkovic
Chief Model Officer,
GE Capital
Norwalk, CT
Michael Hamp
Vice President, Head of
Risk Management,
RBC Global Asset Management
Toronto, ON
CEO,
Synchrony Consulting Services
Toronto, ON
Michael Pykhtin
Manager, Quantitative Risk,
Division of Banking Supervision
and Regulation,
Federal Reserve Board
Washington, DC
Ian Francis
World Wide Product Leader, Enterprise
Model Risk, IBM
London, UK
Jorge Sobehart
Managing Director, Credit and Operational
Risk Analytics, Citi Franchise Risk
Architecture, Citi Bank
Long Island City, NY
Link Richardson
Senior Vice President and Actuary,
AIG Consumer
Houston, TX
Niall Whelan
Vice President Enterprise Stress
Testing, Scotiabank
Toronto, ON
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Conference and Workshop Speakers
Paul Glasserman
Robert Jarrow
Professor, Samuel Curtis Johnson
Jack R. Anderson Professor of Business
Graduate School of Management, Cornell
Decision, Risk, and Operations,
University; Director of Research,
Columbia University
Kamakura Corporation
New York, NY
Ithaca, NY
Syed Sarosh
Vice President, Global Model Risk
Management, Scotiabank
Toronto, ON
Susan Meltzer
Rodanthy Tzani
Santiago Carrillo Menéndez
Sean Keenan
Supervising Examiner,
Federal Reserve Bank of New York
New York, NY
Professor,
Universidad Autonoma de Madrid;
CEO of Quantitative Risk Research
Madrid, Spain
Senior Managing Director, Model Risk
Management, AIG
New York, NY
Vice President,
Enterprise Risk Management,
Aviva Canada
Toronto, ON
Iain Wright
David Milne
Timothy Fong
Warren Bell
Wei Lu
Managing Director, Risk Measurement
and Analytics, OSFI
Toronto, ON
Chief Operating Officer & Pension
Services, OMERS
Toronto, ON
Risk Analytics Manager,
Federal Reserve Bank of New York
New York, NY
Senior Vice President, Enterprise and Vice President, Quantitative Solutions,
Operational Risk, Sun Life Financial
CIBC
Toronto, ON
Toronto, ON
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Pre-Conference Workshop
In addition, a Workshop - “Model Risk Management (MRM) Fundamentals and Practices” led by
Jon Hill, Executive Director, Head of Market and Operational Risk Model Validation, Morgan Stanley, will
take place prior to the Conference on June 2, 2015. This full-day Workshop is designed for individuals who
use model outputs for making management decisions or involved with performing MRM functions in a bank,
insurance company or a pension fund.
This Workshop is a practical, interactive program designed to provide a solid foundation and practical
advice on how to develop and make efficient the First, Second and Third Lines of Model Risk defence
functions. Financial services industry practitioners will use a stimulating and dynamic combination of lectures
and case studies to provide participants with the skill set to understand the following concepts regarding
MRM governance and framework:
· Regulatory MRM expectations and supervisory examination practices
· Understanding of Model Risk and industry-proven methods for its mitigation
· Existing spectrum of efficient MRM practices depending on scale, complexity and nature of business
· MRM governance - Three Lines of Model Risk Defense: model development, vetting and audit
· Role of the Board of Directors and senior management in MRM oversight
· Enhancing standards of model development
· Best practices for vetting and validating quantitative models
· Best practices for demonstrating effective challenge
· Adequacy of model documentation for model development and vetting
· Model risk quantification
· Auditing models and MRM functions
· Case study: Major MRM failures.
Workshop commences at 8:00 a.m. and concludes at 5:00 p.m. There will be adequate time allocated for
refreshments, lunch and networking
Virtual Participation
Comprehensive Training in Model Risk Management (MRM). The IMRM Conference Online Streaming and
Video Recordings offer universal access to training sessions on MRM presented by executives of leading
financial institutions, industry regulators and academics. 30 hours of sessions cover fundamentals of MRM
and its 3 lines of defense, including leading practices in model development, validation, audit and oversight.
Key stakeholders in model management across the organization will benefit from watching the sessions
comprehensively covering all critical aspects of prudent MRM. Benefits will include the most in-depth
practical discussions of Model Risk Challenges, Quantification, and Mitigation, International & Domestic MRM
Regulation, Governance and Processes. With unlimited access to the materials for 12 months following the
conference, the Online Streaming and Video Recordings option will ensure better knowledge retention, remote
delivery, low cost, and flexibility that fits your schedule. Virtual participation enables you to directly hear from
and pose questions to our presenters in real-time from anywhere in the world.
Conference and Workshop Speakers
· Financial services industry regulators and supervisors from around the globe
· C-Level executives and financial services industry practitioners
· Authors of books and seminal papers on model risk management
· Prominent scholars and academics.
Leading thinkers and book authors on risk management defined the content of the Conference:
Prof John C. Hull, author is best known for his books Risk Management and Financial Institutions (now in
its 4rd edition), Options, Futures, and Other Derivatives (now in its 9th edition), and Fundamentals of Futures
and Options Markets (now in its 8th edition),
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Dr Massimo Morini, known for his influential book Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators,
Dr. Sean C. Keenan, an expert who considered model risk management as part information processing
assets in his book Financial Institution Advantage and the Optimization of Information Processing,
Prof. Robert A. Jarrow is the author (with Arkadev Chatterjea) of An Introduction to Derivative Securities,
Financial Markets, and Risk Management. The book, Prof. Jarrow’s fifth, was published in 2013,
Dr. Donald R. van Deventer is the author (with Kenji Imai and Mark Mesler) of Advanced Financial Risk
Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management. The
book’s second edition was published in 2013. Dr. van Deventer is the author of three other books on risk
management,
Dr. Paul Glasserman is the author of Monte Carlo Methods in Financial Engineering (Springer, 2004). The
book received the 2006 Lanchester Prize and the 2005 I-Sim Outstanding Publication Award,
Bogie Ozdemir is known for publishing Basel Accord related books, such as Adapting to Basel III and the
Financial Crisis: Re-engineering capital, business mix, and performance management practices, and
Dr. Yan Shi contributed to the book CCAR and Beyond - Capital Assessment, Stress Testing and Applications,
which is the first authoritative reference guide to CCAR that provides a complete introduction and analysis of
the regulation from origins to implementation.
Who Should Attend
· Chief risk officers, Chief financial officers, and Chief actuaries
· Heads of model development, control and vetting groups
· Risk professionals across all major risk categories: market, credit, insurance, operational and liquidity risks
· Finance and capital planning specialists using models
· Model developers and validators
· Internal and external auditors
· Asset liability management practitioners
· Anyone interested in learning more about model risk management
· Anyone interested in networking with colleagues about recent issues and how best to manage model risk.
Hotel Information
Fairmont Royal York
100 Front St W, Toronto, ON M5J 1E3, Canada
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Networking Reception
On June 3, 2015 we will be hosting Networking Reception on Kajama Ship on Lake Ontario. Please join us for this exciting
opportunity on the finest restored ship on the Grate lakes. We will be sending email in May to provide location details and to
inquire about whether you are interested in attending Networking Reception event. Your guests are welcome to join!
Conference Organizers
The International Model Risk Management Conference is organized by the Conference Program Committee consisting of
international practitioners who develop, validate, audit or supervise models, as well as those who use model outputs to make
management decisions. The leading not-for-profit associations, representing risk management, audit, insurance, banking
and buy-side practitioners, provide informational support to the Program Committee. The high quality of the event is ensured
by invaluable contribution made by the Conference’s international partners spanning from universities and consultancies to
financial and regulatory institutions.
All logistics and conference procurement is managed by Acumen, the leading conference organizing firm in Canada.
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Exhibitor and Sponsorship Opportunities
We invite you to consider participating in The International Model Risk Management Conference through exhibitor and/or
sponsorship opportunities. Exhibiting at the Conference will allow you to showcase your products and services to an expected
international audience of 350+ professionals and key decision makers from across the industry. A Prospectus outlining the
exhibiting and sponsorship opportunities is attached below. If you are interested in learning more about these opportunities,
please contact the Conference Program Committee:
Dr Alexander Shipilov at [email protected] or +1(416) 601 5912,
Robert Hirsch at [email protected] or +1(416) 504 6952,
Kruno Perkovic at [email protected] or +1(416) 509 9962.
Exhibitor and Sponsorship General Info
Date:
Location:
Anticipated Attendance:
Move-in Period:
Display Period:
Move-out Period:
June 2- 4, 2015
Fairmont Royal York
250 in-person participants, plus 250 participants via live-streaming
TBD
June 2, 2015 7:00am – June 4, 2015 3:15pm
June 1, 2015 3:45pm – 5:00pm
PLATINUM “OFFICIAL” PARTNER C$20,000
A. This sponsorship level is open to one sponsor
B. Verbal acknowledgement and thank-you during the opening remarks and every general session while your logo is displayed
C. Pre-event attendees list (name, title, company)
D. Post-event attendees list (name, title, company)
E. Opportunity to bring your own display booth that would be placed in the prime exhibit space (booth size TBD)
F. Opportunity to place your name, logo and short description of your organization on the Conference webpage, all preconference materials and outgoing emails, including social media i.e. LinkedIn, Facebook.
G. Your will be able to use the “Official Sponsor” Logo in connection with promotion of IMRM conference sponsorship and
participation
H. Premiere Placement of a one full-page color ad in conference book
I. Press release in coordination with your marketing department
J. Top Placement of your logo in the Welcome Banner of the Conference
K. Top Placement of your logo in the Stage Banner of the Conference
L. Inclusion in the program booklet listing your company name, logo, and description
M. Opportunity to sponsor luncheon on Day 2
N. Preferred Hotel Room Block - Four (4) guestrooms at the main hotel will be reserved for your use during the official
conference dates (sponsor pays for rooms using IMRM preferred rate)
O. Meeting Room Access – Use of a small meeting room in the conference venue will be provided for your use during the
conference. (Room may be provided in the form of a converted hotel room)
P. Four (4) complimentary Conference Passes (including the exhibit booth representative)
Q. Opportunity to register additional participants at 40% discount
R. Opportunity to place your merchandise and/or literature on conference tables at a designated break and/or in the Conference
Bag given at Registration (note, you will be responsible for production and shipping of these items)
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NETWORKING RECEPTION PARTNER C$12,500
A. This sponsorship level is exclusive to one sponsor
B. The Chairman will introduce and thank this sponsor at a peak time during Networking Reception
C. You will have the opportunity to welcome attendees and provide a short thank-you note including presentation of your
organization
D. Verbal acknowledgement and thank-you during the opening remarks and every plenary session while your logo is
displayed
E. Pre-event attendees list (name, title, company)
F. Post-event attendees list (name, title, company)
G. Opportunity to have collateral material at the reception
H. Opportunity to place your corporate banners in the networking reception area
I. Opportunity to place your logo in the Welcome Banner and Stage Banner of the Conference
J. Placement of a one half-page color ad in conference book
K. Inclusion in the program booklet listing your company name, logo, and description
L. Opportunity to sponsor luncheon on Day 3
M. Opportunity to place your name, logo and short description of your organization on the Conference webpage, all preconference materials and outgoing emails, including social media i.e. LinkedIn, Facebook
N. Three (3) complimentary Conference Passes (including the exhibit booth representative)
O. Opportunity to register additional participants at 40% discount
P. Opportunity to provide your own napkins with Corporate logo to place in the Bar and all the Tables
Q. There is a Cash Bar available for alcoholic beverage purchase. You will be allowed to buy tickets for the Bar for your
clients and friends at 30% discount.
R. Opportunity to bring your own display booth that would be placed in the prime exhibit space (booth size TBD)
KNOWLEDGE PARTNER C$10,000
A. Verbal acknowledgement and thank-you during the opening remarks and every general session while your logo is
displayed
B. Pre-event attendees list (name, title, company)
C. Post-event attendees list (name, title, company)
D. Opportunity to bring your own display booth that would be placed in the prime exhibit space (booth size TBD)
E. Opportunity to place your name, logo and short description of your organization on the Conference webpage, all preconference materials and outgoing emails, including social media i.e. LinkedIn, Facebook
F. Premiere Placement of a one full-page color ad in conference book
G. Press release in coordination with your marketing department
H. Top Placement of your logo in the Welcome Banner of the Conference
I. The Event team will work with the knowledge partner and take inputs/suggestions on program design, speaker invitation
and topic selection
J. Top Placement of your logo in the Stage Banner of the Conference
K. Inclusion in the program booklet listing your company name, logo, and description
L. Three (3) complimentary Conference Passes (excluding the exhibit booth representative)
M. Opportunity to register additional participants at 40% discount
N. Event photo gallery made available
O. Write up about Sponsorship and also about Model Risk Management capabilities in Magazine (likely Risk Magazine or
any similar publication)
P. Opportunity to place your merchandise and/or literature on conference tables at a designated break and/or in the
Conference Bag given at Registration (note, you will be responsible for production and shipping of these items)
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TECHNOLOGY PARTNER C$10,000
A. This sponsorship level is open to one sponsor
B. Verbal acknowledgement and thank-you during the opening remarks and every general session while your logo is
displayed
C. Pre-event attendees list (name, title, company)
D. Post-event attendees list (name, title, company)
E. Opportunity to bring your own display booth that would be placed in the prime exhibit space (booth size TBD)
F. Opportunity to place your name, logo and short description of your organization on the Conference webpage, all preconference materials and outgoing emails, including social media i.e. LinkedIn, Facebook
G. Premiere Placement of a one full-page color ad in conference book
H. Press release in coordination with your marketing department
I. Top Placement of your logo in the Welcome Banner of the Conference
J. Top Placement of your logo in the Stage Banner of the Conference
K. Inclusion in the program booklet listing your company name, logo, and description
L. Opportunity to sponsor luncheon on Day 2
M. Three (3) complimentary Conference Passes (including the exhibit booth representative)
N. Opportunity to register additional participants at 40% discount
O. Opportunity to place your merchandise and/or literature on conference tables at a designated break and/or in the
Conference Bag given at Registration (note, you will be responsible for production and shipping of these items)
GOLD PARTNER C$10,000
A. This sponsorship level is open to multiple sponsors
B. Verbal acknowledgement and thank-you during the opening remarks and first general session while your logo is displayed
C. Opportunity to bring your own display booth that would be placed in the exhibit space (booth size TBD)
D. Opportunity to place your name, logo and short description of your organization on the Conference webpage, all preconference materials and outgoing emails, including social media i.e. LinkedIn, Facebook
E. Premiere Placement of a one half-page color ad in conference book
F. Press release in coordination with your marketing department
G. Placement of your logo in the Welcome Banner of the Conference
H. Top Placement of your logo in the Stage Banner of the Conference
I. Inclusion in the program booklet listing your company name, logo, and description
J. Opportunity to sponsor pre-Conference Workshop luncheon or one breakfast (depending on availability)
K. Two (2) complimentary Conference Passes (including the exhibit booth representative)
L. Opportunity to register additional participants at 30% discount
M. Opportunity to place your merchandise and/or literature on conference tables at a designated break and/or in the
Conference Bag given at Registration (note, you will be responsible for production and shipping of these items)
SILVER PARTNER C$7,500
A. This sponsorship level is open to multiple sponsors
B. Verbal acknowledgement and thank-you during the opening remarks and first plenary session while your logo is displayed
C. Pre-event attendees list (name, title, company)
D. Opportunity to bring your own display booth that would be placed in the exhibit space
E. Opportunity to place your name, logo and short description of your organization on the Conference webpage
F. Placement of a one half-page color ad in conference book
G. Placement of your logo in the Welcome Banner of the Conference
H. Placement of your logo in the Stage Banner of the Conference
I. Inclusion in the program booklet listing your company name, logo, and description
J. Opportunity to sponsor one break
K. One (1) complimentary Conference Passes (including the exhibit booth representative)
L. Opportunity to register additional participants at 20% discount
M.Opportunity to place your merchandise and/or literature on conference tables at a designated break and/or in the
Conference Bag given at Registration (note, you will be responsible for production and shipping of these items)
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BRONZE PARTNER C$5,500
A. This sponsorship level is open to multiple sponsors
B. Verbal acknowledgement and thank-you during the opening remarks and first plenary session while your logo is displayed
C. Use stand-alone booth that will be provided to you (size and booth location may vary)
D. Opportunity to place your name, logo and short description of your organization on the Conference webpage
E. Placement of a one quarter-page color ad in conference book
F. Placement of your logo in the Stage Banner of the Conference
G. Inclusion in the program booklet listing your company name, logo, and description
H. One (1) complimentary Conference Passes (including the exhibit booth representative)
I. Opportunity to register additional participants at 15% discount
EXHIBITOR C$3,500
A. This opportunity is open to multiple exhibitors
B. One (1) corporate exhibit booth
C. Verbal acknowledgement and thank-you during the opening remarks
D. One (1) complimentary Conference Pass (includes the exhibit booth representative)
E. Inclusion in the program material and listing your company name, logo, and description in the exhibit area and all preConference materials
F. Pre-event delegate list (name/title/company)
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2015 IMRM Conference Program Committee
Alexander Shipilov
Deloitte
Conference Chair
Santiago Carrillo Menéndez
Universidad Autónoma de Madrid,
QRR
Gregory Frank
OTPP
Jon Hill
Morgan Stanley
John C. Hull
Rotman School of Management
Massimo Morini
Banca IMI
Bogie Ozdemir
Canadian Western Bank
Kruno Perkovic
Synchrony Consulting Services
Jason Pilling
Manulife Financial
Dan Rosen
S&P Capital IQ
Yong Wang
Everbright Securities
Niall Whelan
Scotiabank
Ali Samad-Khan
Stamford Risk Analytics
Luis Seco
Rodanthy Tzani
University of Toronto, Sigma A&M Federal Reserve Bank of New York
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Pre-Conference Workshop
“Model Risk Management Fundamentals and Practices”
June 2, 2015
8:00 - 9:00 am
Continental Breakfast and Registration
8:00 - 9:05 am
Opening Remarks
9:05 am - 12:15 pm
Working Sessions Including Refreshment Break
12:15 pm - 1:15 pm
Luncheon
1:15 - 5:00 pm
Working Sessions Including Refreshment Break
PLEASE NOTE: The registration fee for the Workshop is a separate cost from the International Model Risk
Management Conference registration fee.
The time schedule for the Workshop and the Conference is the Eastern Daylight Time Zone.
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GS I.2
CS 1
Capital
Markets
9:00 – 10:00 am
GS I.1
(M) Dan Rosen, IQ Capital
Sean Keenan, AIG
Julian Phillips, GE Capital
Jon Hill, Morgan Stanley
(M) Alexander Shipilov, Deloitte
Evolution of Model Risk Management Including Regulatory Drivers and Industry Challenges/Triggers
Relevant Regulations and Guidelines
MRM Principles and Standards
Expected MRM Framework and Status of MRM Practices/Implementation in Industries
·
·
·
·
·
Definition of Models and Model Risk
Maturity/Evolution of Model Risk Management - Three Phases
Model Identification, Classification and Model Inventory Management
Model Risk Measurement and Model Risk Appetite
Model Risk Management Activities Today and Key Challenges in the Future
Biggest Challenges in Model Risk Management
Session Outline:
·
·
·
·
Registrations and Continental Breakfast Sponsored by
Timothy Fong, OSFI
Regulatory Panel – International Standards and Domestic Regulation
Session Outline:
Rodanthy Tzani, FRBNY
10:20 – 12:30pm
(M) Dan Rosen, IQ Capital
John Hull, Rotman Business School
Massimo Morini, IMI Bank
·
·
·
·
·
·
·
Standard vs. Non-standard Products in Capital Markets
Nature of Model Risk and Key Model Risk Drivers in Pricing Models
Incident of Model Risk from Past Crises
Practical Examples in Pricing credit, Rates and Equity Products
P&L Decomposition and Analysis
Pricing Risk vs. Hedging Risk
Model Risk Management Practices
Model Risk in Pricing Financial Instruments
Session Outline:
10:00 – 10:20 am Refreshment Break Sponsor by TBD
7:00 – 8:00 am
8:00 – 9:00 am
June 3, 2015
“Best Practices in Risk Oversight, Model Management and Regulatory Compliance”
International Model Risk Management Conference
15
16
10:20 – 12:30pm
11:25 – 12:30 am
CS 1
Insurance
CS 2A
Capital
Markets
COMBINED
CS 1B
10:20 – 12:30pm
and CS 2B
Credit Risk
·
Overview of Products and Key Market Risk Factors in Trading and Banking Portfolios
Model Risk Implications from Relevant Regulatory Requirements
Key Challenges and Model Risks in Measuring and Managing Market Risk and Capital Calculation
(Methodologies/Assumptions/Quantitative Approaches, Data Requirements) Including Stress Testing and
Backtesting
Key Model Risk Drivers and Model Risk Controls/Mitigants
·
·
·
(M) Dan Rosen, IQ Capital
David Milne, CIBC
Market Risk and Capital Calculation
Session Outline:
Niall Whelan, Scotiabank
·
Overview of Scenario Generation and Fixed/Variable Annuities Models
Application of Scenarios for Valuation, Reserving and Economic/Regulatory Capital Modeling Process
Model Risks in Scenario Generation and/or Annuities and Key Model Risk Drivers
Examples to Illustrate Identified Model Risks , i.e., Errors or Deficiencies in Model Methodologies,
Assumptions, Approaches, and Data
Model Risk Controls and Mitigants (e.g., Model Validation, Backtesting/Performance Monitoring, Model
Calibration)
·
·
·
·
David Antonio, Moody’s Analytics
Link Richardson, AIG
Life Insurance: Model Risk in Scenario Generation and Fixed/Variable Annuities
Session Outline:
-
-
Model Risk management Framework for Credit Risk
General Principles and Approaches in Managing Model Risks within Credit Risk Models
Model Risk controls (Model Validation, Performance Monitoring, Model review, etc)
· Wholesale Credit Risk Models, Stress Testing - Quantitative and Implementation Challenges
- Product Coverage and Key Risk Factors for Wholesale Credit Risk Models
- Creating Consistency in the Understanding of Credit Stress Testing Across Global Businesses
- Modeling, Data and Implementation Challenges
· Retail Credit Risk Models, Stress Testing - Quantitative and Implementation Challenges
- Product Coverage and Key Risk Factors in Retail Credit Risk Models
- Key Types of Credit Risk Models (e.g., Credit Scoring Models and AIRB PD/LGD/EAD Parameter Models)
- Key Challenges in Managing and Measuring Retail Credit Risk and Capital Calculation
- Key Model Risk Drivers (Assumptions/Methodologies, Data, Use, etc) and Model Risk Management
Practices
·
Managing Model Risks in Credit Risk Domain
Session Outline:
(M) Rodanthy Tzani, FRBNY;
(M) Jon Hill, Morgan Stanley
Alex Shenkar, SunTrust Bank
Jorge Sobehart, Citibank
Syed Sarosh, Scotiabank
17
3:00 – 4:00 pm
3:00 – 4:00 pm
CS 3A
Capital
Markets
CS 3B
Credit Risk
GS II
(M) David Oakden, Independent Consultant
Robert Jarrow, Kamakura, Cornell University
Donald Van Deventer, Kamakura
·
·
·
·
·
Overview of Asset Liability Management (ALM) and Liquidity Risk Management (LRM)
Modeling Requirements and Key Risk Factors
Model Risk Implications from Relevant Regulatory Requirements for ALM and LRM
Key Challenges and Model Risks in Modeling (Model Methodologies/Assumptions/Approaches, Data
Requirements, etc.) for ALM and LRM
Key Model Risk Drivers and Model Risk Controls /Mitigants
Asset Liability Management and Liquidity Calculation
Session Outline:
(M) Jon Hill, Morgan Stanley
Curtis Gurgley, CGMIC
Michael Bean, OSFI
Michael Pykhtin, FRB DC
(M) John Hull, Rotman School of
Management
Dan Rosen, IQ Capital
Scope of Model Validation, Quantitative vs. Qualitative Validation
Relevant Regulatory Requirements
Model Validation Methodologies, Approaches, and Processes
Criteria for Approval or Rejection of Models
Types of Model Limitations and Model Limitation Identification
Challenges in Model Validation
Products/Financial Instruments and Risk Factors in CCR and CVA Models
Key Challenges in CCR and CVA Modeling (Methodologies/Assumptions/Approaches, and Data)
Key Model Risks and Model Risk Controls/Mitigations in CCR, CVA and Capital Models
Key Challenges in Model Risk Management and Compliance with Regulatory Requirements
·
·
·
·
Overview of Credit Insurance, Key Risks and Differences from Other Types of P&C Insurance (Sensitivity to
Credit Cycle, Non-diversifiable Elements, etc.)
Model Issues (Methodologies, Assumptions, Techniques, Data) in Adjudication, Valuation, Reserving,
Stresstesting for Credit Insurance
Specific Characteristics of Mortgage Guaranty Insurance and Regulatory Implications
Key Challenges of Model Risk Management/Controls and Compliance with Regulatory Requirements
Credit Insurance - Issues, Risks and Models
Session Outline:
·
·
·
·
Counterparty Credit Risk, CVA and Capital Calculation
Session Outline:
·
·
·
·
·
·
12:30 – 2:00 pm Luncheon Keynote Speaker: TBD
2:00 – 3:00 pm David Eliezer, Numerix
Model Validation
Session Outline:
(M) Jon Hill, Morgan Stanley
CS 2B
11:25 – 12:30 am
Insurance
18
4:25 – 5:30 pm
4:25 – 5:30 pm
CS 4C
Insurance
4:00 – 4:25 pm
4:25 – 5:30 pm
3:00 – 4:00 pm
CS 4B
Credit Risk
CS 4A
Capital
Markets
CS 3C
Insurance
·
·
·
·
Overview of P&C Insurance Business/Products, Associated Key Risks (Underwriting Risk, Capital
Calculation Risk, etc.) and Models
Key Challenges in Model Risk Management and Compliance with Regulatory Requirements
Model Risk and Key Challenges in Measuring and Managing Valuation, Reserve, UW Risk and Economic/
Regulatory Capital Calculation (Methodologies/Assumptions/Quantitative Approaches, Data Requirements)
including Stress testing
Key Model Risk Drivers and Model Risk Controls/Mitigation Activities (Model Validation, Model
Performance Monitoring, etc.)
Model Risk Management - P&C Insurance and Capital Calculation
Session Outline:
Joshua Woodbury, Swiss Re - NYC
Susan Meltzer, Aviva Canada
(M) Ali Samad-Khan, Stamford Risk
Analytics
Sean Keenan, AIG
Edward Probst, AxiomSL
(M) Dan Rosen, IQ Capital
A Quantitative Approach to Measuring Model Uncertainty
Adding Robustness to Monte Carlo
Bounding Wrong-way Risk
Applications in Portfolio Selection, Credit Risk, and CVA
Types of Data Used in Valuation, Risk Measurement and Capital Calculation
Data Management, Governance and Control Principles
Linkage to Regulatory Requirements on “Risk Data Aggregation and Risk Reporting”
Key Challenges in Data Management
Model Risk Implications in Data
Sample of Data Process Flow Chart
·
·
·
Overview of Catastrophic Risk, Key Risk Drivers and Associated Models
Model Risk Implications from Relevant Regulatory Requirements
Use of the Model in Managing Catastrophe Risk and Making Key Decisions (Concentration, Reinsurance,
Retention)
Catastrophic Risk and Capital Calculation
Session Outline:
·
·
·
·
·
·
Model Risk and Data
Session Outline:
·
·
·
·
Refreshment Break Sponsor by TBD
Paul Glasserman, Columbia University
Quantifying Model Risk Through Robust Monte Carlo
Session Outline:
David Oakden, Independent Consultant
Ed Berko, Economical Insurance
6:30 – 8:30pm
5:30 – 6:15 pm
GS III.2
CS 5A
Capital
Markets
9:00 – 9:50 am
GS III.1
Key Model Risk Drivers and Model Risk Controls/Mitigants
The 1:500 Year Event - What Doesn’t the Model Prepare Us For?
Ian Wilson, Deloitte
Julian Herbert, Lloyds Banking Group
Massimo Morini, IMI Bank
(M) Alexander Shipilov, Deloitte
Gerhardt Samwell, Chief Accountant, RBC
Jean Desgagne, President and CEO, Canadian Depository of Securities
Alessandrea C. Quane, Chief Actuary, AIG
C-level Decision Makers’ View of the Importance of Model Risk Management, Compared with Other Types
of Risks Such As Market, Credit, Operational, Liquidity risks?
Roles and Responsibilities for CEO, CRO, CFO, CIO in MRM
MRM Governance Framework that C-level Decision Makers like to have
Contents in Model Risk Report that C-level Decision Makers Are Interested in Receiving
·
·
·
·
·
Techniques/tools Used in Model Risk Identification
Techniques/tools Used in Model Risk Quantitative/Qualitative Assessment Including Model Risk Ranking/
Rating or Maps
Techniques/Tools Used in Model Risk Monitoring and Reporting Including Model Documentation Library,
Model Inventory, Model Limitation Inventory and Status Reporting
Prioritising Resource Allocation for Model Risk Review Activities
Practical Model Management Framework, Database and Systems
Model Risk Management Techniques
Session Outline:
·
·
·
·
Continental Breakfast Sponsored by
Bogie Ozdemir, CRO, Canadian Western
C-Level Decision Makers’ Panel – Model Risk Management
Bank
Session Outline:
Meet The Experts Discussion Panel
Networking Reception sponsored by Scotiabank
·
·
10:20 – 11:20 am
Josep-Lluis Perez, Banque BPPSA
Michael Hamp, RBC
(M) Luis Seco, UofT
·
·
·
·
Overview of Wealth and Asset Management Products, Associated Key Risks and Models
Key Model Risks and Challenges in Measuring and Managing Risks for Wealth and Asset Management
(Model Methodologies, Assumptions, Quantitative Approaches, Data Requirements)
Model Risk Implications from Relevant Regulatory Requirements
Key Model Risk Drivers and Model Risk Controls/Mitigants
Model Risk in Wealth & Asset Management
Session Outline:
9:50 – 10:20 am Refreshment Break Sponsor by TBD
7:00 – 7:50 am
8:00 – 9:00 am
June 4, 2015
19
20
11:20 – 12:20 pm
CS 6A
Capital
Markets
CS 6B
11:20 – 12:20 pm
Credit Risk
10:20 – 11:20am
CS 5C
Insurance
CS 5B
10:20 – 11:20am
Credit Risk
Yan Shi, M&T Bank
Wei Lu, FRBNY
Ian Francis, IBM
Iain Wright, SunLife Financial
Gokul Sudarsana, SunLife Financial
(M) Bogie Ozdemir, Canadian Western Bank
Santiago Carrillo, QRR
Ali Samad-Khan, Stamford Risk Analytics
Model Risk in AIRB, and Economic Capital Models used in Basel II,III and IV and Solvency II
Model Risk in Regulatory Capital Models
Close look at the proposed standardized approach for the banks: Intention and Issues
Unintended consequences and system wide impacts
Corporate Challenges in Development and Implementation/Execution of Effective Model Risk
Management Governance
Expectations on Model Risk Management Including Model Risk Policies
Drivers with Increased Focus on Qualitative and Qualitative Model Risk Assessment, Model Risk
Aggregation and Reporting
Challenges in Embedding Regulatory and Board Requirements for Model Management in Day to Day
Business Operations
·
·
·
·
·
Criteria and Principles for Determination of Stress Scenarios and Associated Risk Factor Shocks
Types of Common Stress Scenarios and Methodologies/Assumptions Used in Stress testing
Regulatory Implications in Stress Testing for Capital Adequacy
Key Challenges in Stress Testing Economic and Regulatory Capital Calculation
Model Risks and Key Model Risk Drivers in Stress Testing for Capital Calculation
Stress Testing for Capital Calculation
Session Outline:
·
·
·
·
Corporate Challenges in Model Risk Management: Moving Beyond An Inventory
Session Outline:
·
·
·
·
Comparative Analysis of Model Risk: Internal Models vs. Regulatory Models
Session Outline:
Sources of Model Risk: Precision Errors vs Conceptual Flaws
Implications of Regulations in OpRisk Model Risk
- Why Internal Loss Data Should Not Be the Primary Data Source
- Why the Four AMA Data Elements Cannot Logically be Weighted
- Why the “Scenario Based Approach” has Nothing to do with Scenarios
· Challenges in OpRisk Modeling
- Unreachable 99.9%
- Modelling Finite Losses with Unbounded Support Severity Distributions
- Other Statistical Challenges
·
·
Model Risk within Operational Risk
Session Outline:
21
CS 6A
Capital
Markets
Warren Bell, OMERS
Catherine Changler-Crishlow, TFSA
(M) Kruno Perkovic, Synchrony
·
·
·
·
Technical and Interpersonal Competencies for Model Risk Management Roles in Companies with Global
Operations
Canadian Banking Market Trends and Causes Affecting Sustainable Risk Talent Pools Post the 2007
Financial Crisis Including Core Competencies, Segmentation Across Regions and Functional Areas, i.e.
Wholesale vs. Retail, Buy vs. Sell-side
The Shortage of Critical Skills in the Financial Services Industry (in General)
Global Insights Into Talent Management, Cross-Border Activities, Globalization and Offshoring, and Longterm Advantages of Human Capital Over Financial Capital
Human Capital in Risk Management and Financial Services Industry
Session Outline:
3:15 pm
Conference Adjourns
Susan Meltzer, Aviva Canada
Timothy Fong, OSFI
Rodanthy Tzani, FRBNY
Julian Herbert, Lloyds banking Group
·
·
·
·
Structure of the Three Lines of Defense Framework for model risk management
Key Responsibilities for Each of the Three Lines of Defense
Current Market Practices, Industry Differences & Common principles
Challenges in Implementing the Three Lines of Defense for Model Risk Management
12:20 – 1:45 pm Luncheon Keynote Speaker: TBD
1:45 – 3:00 pm Jon Hill, Morgan Stanley
Expert Panel - Model Management Lines of Defence: Industry Differences & Common Principles
Session Outline:
Massimo Morini, IMI Bank
CS 6C
11:20 – 12:20 pm
Insurance
Registration
Members of Industry Associations (PRMIA, Society of Actuaries, AIMA)
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