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 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

Panelists:
Jeffrey Donarski, Federal Reserve Bank of Chicago
Steven Durfey, Federal Reserve Bank of Chicago
Richard Westerkamp, Federal Reserve Bank of Richmond

Break

Risk Identification, Scenario Design and Loss Estimation Practices

A panel discussion on the link between day-to-day risk identification, scenario design, and loss estimation practices.

Moderator:
Jeremy Caldwell, Federal Reserve Bank of Richmond

Panelists:
Robert Linklater, TD Bank US Holdings LLC
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Thomas Scrivener, Bank of America Corporation
Sebastiano Visentini, Morgan Stanley
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Lunch

Supervisory Model Changes: Principles, Processes, and Governance

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

Moderator:
James Vickery, Federal Reserve Bank of New York
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Panelists:
Patrick deFontnouvelle, Federal Reserve Bank of Boston
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Michael Moise, Board of Governors of the Federal Reserve System
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Robert Sarama, Federal Reserve Board
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Break

Establishing Risk-based Approaches for Comprehensive Coverage of Capital Planning

A panel discussion on how firms use risk-based approaches to prioritize within various aspects of capital planning practices, including internal audit, model development and model risk management.

Moderator:
Patrick deFontnouvelle, Federal Reserve Bank of Boston

Panelists:
Matthew Kramer, U.S. Bancorp
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John Mulligan, HSBC North America Holdings Inc.
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Agus Sudjianto, Wells Fargo & Company
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Adjourn and Reception Immediately following in Harborview Dining Room, 31st Floor

Session 1.A: Supervisory Expectations for Large and Noncomplex Firms: Estimation Approaches

A panel discussion on SR 15-19 supervisory expectations and firms' practices in the areas of PPNR, Retail, and Wholesale Credit Risk estimation approaches.

Moderator:
Anna Baram, Federal Reserve Bank of San Francisco

Panelists:
Douglas Croker, Regions Financial Corporation
John Guo, Fifth Third Bancorp
Jonathan Mahoney, M&T Bank Corporation

Session 1.B: Supervisory Expectations for Audit of Capital Planning Practices

A panel discussion on the role of audit in capital planning and specific challenges and best practices.

Moderator:
Milt Simpson, Federal Reserve Bank of San Francisco

Panelists:
Matthew Frame, Federal Reserve Bank of Philadelphia
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Wei Qian, State Street Corporation
Peder Skoog, Wells Fargo & Company

Break

Session 2.A: Estimation Approaches for BAU vs. Stress Testing

A panel discussion on the strengths and weaknesses of using the same estimation approaches for BAU and stress testing.

Moderator:
Yaniv Gershon, Federal Reserve Bank of Boston

Panelists:
David Heike, JPMorgan Chase & Co.
Gregory Hopper, The Goldman Sachs Group, Inc.
Vivian Sung, Federal Reserve Bank of New York
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Session 2.B: Life-cycle of a Model, from Development and Implementation to Replacement with Next Generation

A panel discussion on roles and responsibilities of modelers and leadership, including decisions on when to stop making model changes (e.g. steady state), when to sunset a given model, and the development of next generation models.

Moderator:
Kathleen Johnson, Federal Reserve Board

Panelists:
Peter Franke, Bank of America Corporation
Nathaniel Hoover, Federal Reserve Bank of Boston
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Michael Szwejbka, U.S. Bancorp
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Lunch

Session 3.A: Independent Review of Qualitative Approaches

A panel discussion on the independent review of qualitative approaches, including adjustments and overlays.

Moderator:
Jonathan Taylor, Federal Reserve Bank of Boston

Panelists:
Brinda Bhattacharjee, The Goldman Sachs Group, Inc.
David Palmer, Federal Reserve Board
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Deniz Senturk, State Street Corporation

Session 3.B: FBO Perspective on the CCAR Exercise

A panel discussion on the key insights and observations from FBOs about capital planning, the CCAR process and the firm's capabilities.

Moderator:
Vandana Sharma, Federal Reserve Bank of New York

Panelists:
Ken Abbott, Barclays US LLC
Jason Alfano, Credit Suisse Holdings USA Inc.
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Stuart Clarke, Deutsche Bank USA Corporation

Adjourn