Seventh Annual Stress Test Modeling Symposium Seventh Annual Stress Test Modeling Symposium

On October 10 and 11, 2018, the Board of Governors of the Federal Reserve System and the Federal Reserve Bank of Boston will jointly host the Seventh Annual Stress Test Modeling Symposium. On October 10 and 11, 2018, the Board of Governors of the Federal Reserve System and the Federal Reserve Bank of Boston will jointly host the Seventh Annual Stress Test Modeling Symposium.

October 10-11, 2018
Federal Reserve Bank of Boston
600 Atlantic Avenue
Boston, MA 02210
directions & visitor information

Registration is closed. For any questions please reach out to modelingsymposium@frb.gov.

The Federal Reserve and Board of Governors organizes a symposium on best practices and challenges as they relate to stress testing. The goal of the symposium is to improve our understanding of how to develop a robust stress testing framework. Both internal and external subject matter experts may attend by invitation only.

Agenda

Day 1 - Morris Auditorium

9:00 a.m.

Welcoming Remarks

Lisa Ryu, Federal Reserve Board

9:15 a.m.

Capital Planning: What has changed since the financial crisis, and what is next?

A panel discussion on best practices when moving from building capital to maintaining capital; managing capital counter-cyclically; and where is the focus from a risk perspective at this point in the economic cycle.

Moderator:
Jeremy Caldwell, Federal Reserve Bank of Richmond

Panelists:
Jeff Colson, Wells Fargo & Company
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Ryan Loftus, JP Morgan Chase & Company
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John Manzi, The Goldman Sachs Group, Inc.
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10:45 a.m.

Break

11:15 a.m.

Supervisory Model Changes: Principles, Processes, and Governance

A panel discussion on the Federal Reserve’s approach to model changes and enhancements, including governance and areas of active research and development.

Moderator:
James Vickery, Federal Reserve Bank of New York

Panelists:
Filippo Curti, Federeal Reserve Bank of Richmond
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Jung-Eun Kim, Federeal Reserve Bank of Richmond
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Matt Plosser, Federal Reserve Bank of New York
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12:30 p.m.

Lunch

1:45 p.m.

CECL and Stress Testing

A panel discussion on the key considerations and assumptions needed to implement the new CECL accounting standard into stress testing models and methodologies.

Moderator:
Kathleen Johnson, Federal Reserve Board

Panelists:
Raymond Conover, Bank of America Corporation
Charlie Johnston, Capital One Financial Corporation
Gopal Sharathchandra, The PNC Financial Services Group, Inc.
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3:00 p.m.

Break

3:30 p.m.

Performance Monitoring

A panel discussion on developing a comprehensive model performance monitoring program, including identifying measures to assess model performance that are appropriate for the type of model being used and determining performance thresholds and appropriate actions when thresholds are exceeded. This panel will also include a discussion on the use of benchmark or challenger models to assess reliability of model estimates.

Moderator:
Yaniv Gershon, Federal Reserve Bank of Boston

Panelists:
Bill Keirstead, The Goldman Sachs Group, Inc.
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David Palmer, Federal Reserve Board
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Charles Shen, JP Morgan Chase & Company
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5:00 p.m.

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

Day 2 — Break-out Sessions
Track A – Morris Auditorium
Track B – New England Room

9:15 a.m.

Session 1.A: Retail Modeling (Credit Card & Auto Loan)

A panel discussion on best practices in capturing changes in economic conditions and underwriting standards in retail credit loss models.

Moderator:
Sarah Hewitt, Federal Reserve Bank of New York

Panelists:
Bill Hunt, Citibank, N.A.
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Ram Naraya, Capital One Financial Corporation
Kiran Yalavarthy, Wells Fargo & Company

 

Session 1.B: Stress Testing and Capital Planning for IHCs

A panel discussion on issues germane to IHCs own stress test scenarios, framework, and modeling and the capital planning process.

Moderator:
Afshin Taber, Federal Reserve Bank of New York

Panelists:
David Biegel, HSBC North America Holdings, Inc.
Stan Ince, Credit Suisse Holdings USA Inc.
Bipasha Majumdar, MD, Barclays US LLC

10:45 a.m.

Break

11:15 a.m.

Session 2.A: PPNR Projections

A panel discussion on the use of qualitative approaches to projecting PPNR, including when it is appropriate and how to substantiate assumptions and estimates, the importance of clear documentation, and the need for independent review.

Moderator:
Irene Sanchez, Federal Reserve Bank of New York

Panelists:
Christopher Haniff, Barclays US LLC
Niko Kruger, Bank of America Corporation
Johnbull Okpara, Morgan Stanley

 

Session 2.B: Capital Planning: Policy and Governance

A panel discussion on best practices for developing and maintaining a robust capital policy and sound governance over the capital planning program.

Moderator:
Matt Frame, Federal Reserve Bank of Philadelphia

Panelists:
Randall King, The PNC Financial Services Group, Inc.
Susan McDonald, State Street Corporation
Keith Sancton, TD Bank US Holdings LLC

12:45 p.m.

Lunch

2:00 p.m.

Session 3.A: Measures of Model Performance

A panel discussion of measures of model performance that may be used to support a performance monitoring program, including statistical performance testing, documenting key assumptions and assessing sensitivity of material model estimates to those assumptions, and the use of benchmark or challenger models to assess reliability of model estimates.

Moderator:
Patrick deFontnouvelle, Federal Reserve Bank of Boston

Panelists:
Nathanial Hoover, Federal Reserve Bank of Boston
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Deniz Senturk, State Street Corporation
Michael Szwejbka, U.S. Bancorp
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Session 3.B: Scenario Design

A panel discussion on stress scenarios and the use of multiple scenarios as part of ongoing capital adequacy assessments to assess a broad range of risks or events that could affect a firm’s capital adequacy.

Moderator:
Jeff Donarski, Federal Reserve Bank of Chicago

Panelists:
Heather Espinosa, Citigroup Inc.
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Prasoon Saurabh, HSBC North America Holdings, Inc.
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Sebastiano Visentini, Morgan Stanley
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3:30 p.m.

Adjourn

up down Lodging & Dining