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New Challenges for Operational Risk Measurement and Management

Sponsored by the Federal Reserve Board of Governors and the Federal Reserve Bank of Boston
May 14 –15, 2008

The Federal Reserve Bank of Boston and the Federal Reserve Board of Governors hosted a conference on AMA implementation in May 2008. The conference provided a forum for discussion of critical issues related to the upcoming implementation of the Basel II Accord in the area of Operational Risk. Discussion topics included regulatory initiatives (e.g., results from the 2008 US Range of Practice Exercise), quantification issues, the relationship between risk measurement and risk management, home/host, scenario analysis challenges, and many others.

Agenda and Presentations

Some conference presentations are available in PDF format. pdf

 

Tuesday, May 13

5:00 – 6:00 REGISTRATION
5:00 – 7:00 COCKTAIL RECEPTION – ROOFTOP TERRACE

Wednesday, May 14

7:30 – 8:30 REGISTRATION AND CONTINENTAL BREAKFAST
8:30 – 8:40

WELCOME

James Nolan, Senior Vice President, Supervision Regulation & Credit Department, Federal Reserve Bank of Boston

8:40 – 10:00

OPENING REMARKS: RISK MANAGEMENT LESSONS FROM RECENT FINANCIAL TURMOIL

Eric Rosengren, President & CEO, Federal Reserve Bank of Boston
 

KEYNOTE ADDRESS: RISK MANAGEMENT AND BASEL II

Randall Kroszner, Member of the Board of Governors, Federal Reserve System
10:00 – 10:30 BREAK
10:30 – 12:30

BUILDING AN AMA FRAMEWORK THAT SATISFIES REGULATORY REQUIREMENTS AND MEETS BUSINESS NEEDS

Jay Newberry, Managing Director and Head of Operational Risk, Citigroup
(presentation: Delivering Business value and the Use of External Data)

Joseph Sabatini, Managing Director and Global Head of Operational Risk, JPMorgan Chase
(presentation: Advancing the Art of Scenario Analysis)

Yousef Valine, Head of Institutional Risk Management and COO, Risk Management, Wachovia Corporation
(presentation: Execution Risk Management at Wachovia)

John Walter, Senior Vice President for Risk & Capital Analysis, Bank of America
(presentation: Advances in Loss Data Analytics: What We Have Learned at ORX)
12:30 – 2:00 LUNCH
2:00 – 3:30

CHALLENGES AND EXPERIENCES IN AMA IMPLEMENTATION

Mike Constantinou, Head of Operational Risk Framework and Measurement, Barclays Group
(presentation: Barclays AMA challenges)

Michael Kalkbrener, Vice President, Risk Analytics & Instruments, Deutsche Bank
(presentation: Deutsche Bank’s AMA Model)

Marc Leipoldt, Senior Risk Reviewer, ABN AMRO Bank
(presentation: Challenges and experiences in AMA implementation: Views from Aspiring Banks)

3:30 – 4:00  BREAK
4:00 – 5:00

THE 2008 LOSS DATA COLLECTION EXERCISE

Harvey Crapp, General Manager, Credit & Operational Risk Services, Australian Prudential Regulation Authority

Mark O’Dell, Deputy Comptroller for Operational Risk, Office of the Comptroller of the Currency
(presentation: AIGOR's LDCE Proposal)

5:00 – 7:00 COCKTAIL RECEPTION -- HARBORVIEW DINING ROOM

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Thursday, May 15

7:45 – 8:30 CONTINENTAL BREAKFAST
8:30 – 8:35

WELCOME

Adrienne Haden, Assistant Director – Banking Supervision and Regulation,  Federal Reserve Board of Governors
8:35 – 9:20

KEYNOTE ADDRESS: NEW CHALLENGES FOR OPERATIONAL RISK MEASUREMENT AND MANAGEMENT - A REGULATOR'S PERSPECTIVE

Roger Cole, Director of Banking Supervision and Regulation, Federal Reserve Board of Governors
9:20 – 10:20

RESULTS FROM THE 2007 US RANGE OF PRACTICE EXERCISE

Patrick de Fontnouvelle, Vice President, Federal Reserve Bank of Boston

Steven Strasser, Senior Advisor Operational Risk, Office of the Comptroller of the Currency

(presentation: 2007 U.S. Operational Risk Range of Practice – An Update)

10:20 – 10:45 BREAK
10:45 – 12:15

INTEGRATING OPERATIONAL RISK MEASUREMENT AND MANAGEMENT

Don Rosenthal, Senior Vice President, Enterprise Risk Management, State Street
(presentation: Challenges in Building an Advanced Measurement Approach (AMA) Operational Risk Model)

Bruce Stevenson, Senior Vice President – Economic Capital & ICAAP, HSBC USA
(presentation: The Practical Use of Operational Risk Capital)

Kevin Storm, Senior Vice President, Economic Capital & Market Risk, U.S. Bank
(presentation: Operational Risk Modeling at U.S. Bank)

12:15 – 1:45 LUNCH
1:45 – 3:00 

REGULATORY CHALLENGES FOR IMPLEMENTATION AND QUALIFICATION – GLOBAL PERSPECTIVES

Harvey Crapp, General Manager, Credit & Operational Risk Services, Australian Prudential Regulation Authority

Tsuyoshi Oyama, Deputy Director General, Financial Systems and Bank Examination, Bank of Japan

Andrew Sheen, Manager, Operational Risk Policy Team, UK Financial Services Authority

Martin Sprenger, Head of Market & Operational Risk, Swiss Federal Banking Commission
3:00 – 4:15

REGULATORY CHALLENGES FOR IMPLEMENTATION AND QUALIFICATION – U.S. PERSPECTIVES

Kevin Bailey, Deputy Comptroller for Regulatory Policy, Office of the Comptroller of the Currency

Roger Cole, Director of Banking Supervision and Regulation, Federal Reserve Board of Governors

Eric Hirschhorn, Senior Financial Economist, Supervision Policy Office of Thrift Supervision

Mark Schmidt, Regional Director, Atlanta Region, Federal Deposit Insurance Corporation
4:15   CONFERENCE ADJOURNS

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