Welcoming Remarks

Jim Nolan, Federal Reserve Bank of Boston

Supervisory Expectations for SR 15-18 and 15-19 Firms and IHCs

A panel discussion on several key aspects of SR 15-18 and SR 15-19, including how they may apply to IHCs. Areas of focus will include supervisory expectations for the board, estimation approaches and independent review, and audit.

Moderator: Lisa Ryu, Federal Reserve Board of Governors

Panelists: Nancy Beebe, Federal Reserve Bank of Chicago
David Palmer, Federal Reserve Board of Governors
Richard Westerkamp, Federal Reserve Bank of Richmond

Break

Material Risk Identification, Scenario Design, and Capital Planning: Supervisory expectations

A panel discussion on supervisory expectations around the link between day-to-day material risk identification and scenario design and capital planning.

Moderator: Lisa Ryu, Federal Reserve Board of Governors

Panelists: Jeremy Caldwell, Federal Reserve Bank of Richmond
Matthew Frame, Federal Reserve Bank of Philadelphia
Yaniv Gershon, Federal Reserve Board of Boston

Lunch in the Connolly Center and New England Room, 4th Floor

Capturing Idiosyncratic Risk in the Capital Planning Process: Firm Practices

A panel discussion on how certain firms identify risks that are unique to them and how they factor those risks into their capital plan.

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Moderator: Andreas Lehnert, Federal Reserve Board of Governors

Panelists: David Arseneau, Federal Reserve Board of Governors
Wynne Rumpeltin, State Street Corporation
Tom Scrivener, Bank of America Corporation

Break

Supervisory model changes: Principles, processes, and governance

A panel discussion on the Federal Reserve's approaches to model changes and enhancements, including principles, processes, and governance, and active areas for current research and development.

Moderator: Patrick deFontnouvelle, Federal Reserve Bank of Boston (Download Presentation)

Panelists: Azamat Abdymomunov, Federal Reserve Bank of Richmond (Download Presentation)
William Bassett, Federal Reserve Board of Governors (Download Presentation)
Ronel Elul, Federal Reserve Bank of Philadelphia (Download Presentation)

Adjourn and Reception Immediately following in Harborview Dining Room, 31st floor

Session 1.A: Independent Review: Quantitative estimation methods and model overlays

AV-1, 3rd Floor

A panel discussion on approaches and challenges for the independent review of quantitative methods, including a discussion of the Federal Reserve's approach to reviewing its own models. Also covered will be particular challenges associated with reviewing model overlays, which are typically put in place to address limitations in a model or its input data.

Moderator: James West, Federal Reserve Bank of Minneapolis

Panelists: Karin Chu, Northern Trust Corporation
Ryan Metcalfe, BMO Financial Group (Download Presentation)
Sanjay Mithal, Citigroup Inc.

Session 1.B: Capturing risks that are difficult to model

Morris Auditorium, 1st Floor

A panel discussion on those areas that have been most difficult to project as a result of changing firm business models, data limitations, or other difficulties in establishing empirical relationships. Panelists will focus on how one makes determinations on the best methodologies to employ, and the process of linking estimates to scenario conditions in the absence of models. In particular, the panel will focus on Operational Risk and certain aspects of PPNR.

Moderator: Jonathan Taylor, Federal Reserve Bank of Boston

Panelists: Steffanie Brady, Federal Reserve Bank of Boston
Douglas Croker, Regions Financial Corporation
Jana Litsey, Bank of America Corporation

Break

Session 2.A: Independent Review: Qualitative estimation methods and adjustments

Morris Auditorium, 1st Floor

A panel discussion on approaches and challenges for the independent review of qualitative methods, which will generally be a different approach than is used for quantitative methods. Topics may include various governance structures and how one differentiates primary estimation approaches and subsequent adjustments as estimates evolve.

Moderator: Afshin Taber, Federal Reserve Bank of New York

Panelists: Diane Daley, Citigroup Inc.
Don Schilling, KeyCorp
Nicola Wright, Goldman Sachs Group, Inc.

Session 2.B: Principles of Materiality in Capital Planning

AV-1, 3rd Floor

A panel discussion focused on how one makes determinations of materiality throughout various aspects of the capital planning framework. Panelists will discuss how the concept of materiality impacts the risk identification and integration process, decisions about model development and validation, board reporting, and other critical decisions that are part of the capital planning process.

Moderator: Kathleen Johnson Federal Reserve Board of Governors

Panelists: Andrew Barker, SunTrust Banks, Inc.
Shannon Drage, Zions Bancorporation
Priyotosh (Tosh) Mukherjee, JPMorgan Chase & Co.

Lunch in the Connolly Center and New England Room, 4th Floor

Session 3.A: Performance Testing

Morris Auditorium, 1st Floor

A panel discussion on key aspects of performance testing – including back-testing, model benchmarking, and sensitivity analysis. Topics will include: back-testing in the face of data limitations, model risk management expectations for benchmark models, and interpreting differences between a benchmark and a primary model. Both industry perspectives and Federal Reserve perspectives (with respect to supervisory models) will be shared.

Moderator: Robert Sarama, Federal Reserve Board of Governors

Panelists: Sugata Chakravarty, PNC Financial Services Group, Inc. (Download Presentation)
Anna Kovner, Federal Reserve Bank of New York (Download Presentation)
Misty Ritchie, Wells Fargo & Company

Session 3.B: Specific Issues in Capital Planning for IHCs

AV-1, 3rd Floor

A panel discussion on certain aspects of capital planning that are more applicable to IHCs. Discussion may include topics such as considering default risk of a parent, measuring transfer arrangements in the income statement, and stressing trading portfolios outside of the global market shock.

Moderator: Adrienne Manns, Federal Reserve Bank of New York

Panelists: Mark Dickerson, Federal Reserve Bank of Richmond
Jeff Donarski, Federal Reserve Bank of Chicago
Ken Krejca, Federal Reserve Bank of Chicago

Adjourn