The Future of Risk, Forecast versus Foresight Dichotomy
Join us as we explore a myriad of regulatory impacts and best practices. What are the next steps now that the FRTB reporting milestone has passed, and how will the most recent regulatory scrutiny around backtesting force financial institutions to look for new solutions?
Date:
September 29, 2022
Time:
10:00 - 11:00 a.m. EDT
3:00 - 4:00 p.m. BST
Presented By:
Sophie Marnhier-Foy
Richard Moss
Patrick Cronin
Ignacio Ruiz
Location:
Virtual Event
In addition will cover the following points:
- Are there new market best practices and use cases converting the need for intraday XVA and fast computation from nice-to-have to must have?
- Regulation is quickly evolving on all fronts including ESG, Basel 4, and more. What does it mean for your firm? What are the corresponding system prerequisites?
- Driven by new requirements for more granular calcs and therefore more reporting, is there a way to manage and optimize the related costs?
Speakers |
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Sophie Marnhier-Foy, Senior director, Adenza product strategy
Sophie Marnhier Foy is the Global Head of Product Marketing for Adenza. Prior to this role, Sophie was the Director of Product Management for the Calypso Risk, CCP and Margin offerings. She has also held the position of Principal Product Manager for Calypso Middle Office solutions. Before joining Calypso Technology (now Adenza), Ms Marnhier-Foy worked for Calyon (now Credit Agricole CIB) in New York and Paris, working on Risk Control and Front Office project management. Prior to Calyon, she worked for PricewaterhouseCoopers (PWC) in Paris as a bank auditor. Sophie is based in San Francisco.
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Richard Moss, Global Head of Risk Solutions, Adenza
Richard Moss, is the Global Product Leader for AxiomSL’s Risk Calculation and Risk Reporting product line. In his role at AxiomSL Richard has pioneered the creation of BCBS 239 compliant Data Dictionary led solutions for Counterparty Credit, Capital and Liquidity Reporting. The design work led by Richard and his team has helped Financial Institutions in Europe to consistently meet the changing landscape of EBA reporting requirements. In addition, this body of work has also been adapted for other jurisdictions that are closely aligned with Basel recommendations, Canada being one of them. Prior to joining AxiomSL, Richard led enterprise wide strategic regulatory reporting initiatives at Bank of America. His background includes assignments at Barclays Capital, where he was responsible for Equity Derivatives product control and an Audit function at Ernst & Young. Richard has a B.A. with Honours in Economics from Durham University and is a Chartered Accountant.
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Patrick Cronin, Managing Director, Business Development Partnerships, AIB
Patrick has been a member of the Quant Team in AIB since 2006. From 2015 to Feb 2021 he was the Risk lead in the implementation of Calypso in AIB and since Feb 2021 he is the Head of Calypso Change within AIB. This implementation has included products such as Loans/Deposits, FX Spots/Forwards/Flexi Forwards/FX Swaps, IRDs such as Swaps/Caps/Floors, Credit Derivatives such as CDS/RPS, Futures & Future Options, Equity, Fixed Income, Repos, Equity Options, FX Options and XVA/MCPFE. Patrick’s educational background is Applied Mathematics/Physics and he is a CFA charter holder.
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Ignacio Ruiz, Head of Counterparty Credit Risk Analytics and Measurement, Scotiabank
Ignacio Ruiz is currently the Head of Counterparty Credit Risk Analytics and Measurement at Scotiabank. Previously, he was the head of Counterparty Credit Risk Analytics at Credit Suisse, head of Equity Risk Analytics at BNP Paribas, and was a freelance consultant in risk analytics for several years. He has published several papers in top journals, and has authored two books: “XVA Desks” and “Machine Learning for Risk Calculations”.
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Thank You To Our Sponsor |
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Continued Risk Learning Credits: 1 |
PRMIA Continued Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email [email protected].
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