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7.45
Registration and breakfast
8.05
PRACTITIONERS VS REGULATORS DEBATE Moderator:
Mark Brickell, Managing Director, JP MORGAN Michael Ong, Senior
Vice President, ABN AMRO BANK Mike Brosnan, Deputy Comptroller for
Risk Evaluation, OFFICE OF THE COMPTROLLER OF THE CURRENCY Adrian
D’Silva, Director, Capital Markets, FEDERAL RESERVE BANK OF CHICAGO
8.55
Chairman’s opening remarks
David Rowe, Senior Vice President, Risk Management
INFINITY, A SUNGARD COMPANY
9.00
DEVELOPING AND IMPLEMENTING A SYSTEMATIC APPROACH TO RAROC
• Understanding the importance of risk weight / unexpected
loss
• Evaluating the key building blocks for implementation; integrating
with current risk measurement and management techniques
• Implementing portfolio RAROC
– integrating risk measurement with EVA as a point in time
measure
– incorporating shareholder value management
• Analysing regulatory perspective
– capital allocation limits for market risk, credit risk and
operational risk
Stuart Turnbull
Vice President, Global Analytics
CIBC
9.40
INTEGRATING RISK MANAGEMENT, RISK CAPITAL AND BALANCE SHEET MANAGEMENT
• Evaluating strategic issues for integration across business
functions
– identifying roles and responsibilities
– changing role of the ALCO
• Effectively measuring performance and value of risk management
units
• Assessing frameworks to integrate risk management, risk capital
and balance sheet management
• RAROC
• EVA and interest rate risk management
Shaheen Dil
Senior Vice President
PNC BANK
10.50
DEVELOPING AND IMPLEMENTING AN EFFECTIVE CAPITAL MANAGEMENT STRUCTURE
- ALLOCATING CAPITAL TO BUSINESS UNITS
• Forging the link between risk management, capital allocation
and performance measurement
• Developing a framework for measuring risk and translating
risk to economic capital
• Integrating balance sheet management into risk capital framework
• Linking economic capital framework with traditional capital
management
Charles Monet
Managing Director
JP MORGAN
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