Programme

Programme

2020年のプログラム

08:4509:00

受付

08:45 - 09:00

09:0009:05

開会の辞

09:00 - 09:05

09:0509:25

基調講演:移行期にリスク管理を最優先する

09:05 - 09:25

天谷 知子 氏

総合政策局 審議官(国際・監督局担当)

金融庁

2019年7月、金融庁国際・監督局担当審議官に就任。

バーゼル銀行監督委員会メンバーとして金融庁を代表。金融安定理事会(FSB)も担当しており、傘下の破綻処理運営グループ(ReSG)における代表を務める。東アジア・オセアニア中央銀行役員会議(EMEAP)銀行監督ワーキンググループ副議長として銀行監督当局者間の地域協力にも貢献。

1986年大蔵省(現:財務省)入省後、大蔵省・金融庁において金融監督、国際金融規制などに携わる。

金融庁においては国際課企画官(保険担当)(2002~2006年)、リスク分析参事官(2008~2010年)、その後公認会計士・監査審査会事務局長(2015~2017年)、証券取引等監視委員会事務局次長(2017~2019年)などの役職を歴任。その間東京大学大学院公共政策学連携研究部特任教授(2011~2013年)、預金保険機構において審議役、調査部長(2013 ~2015年)も務める。

1986年東京大学法学部卒業、カリフォルニア大学サンディエゴ校国際関係・環太平洋研究大学院Mid-Career Associate Program修了。

09:2510:05

パネルディスカッション:リスク管理機能の再考および再フォーカス

09:25 - 10:05

  • カウンターパーティ信用リスク、市場リスク、流動性リスク ― 日本市場の参加者はいかに対応しているか?
  • デジタルトランスフォーメーションにより生じる新たなリスク ― フィンテックソリューションプロバイダー 
  • 銀行のマージンの大幅な減少 ― 銀行のスタンスは?
  • リスクマネージャー/バックエンドビジネス vs フロントエンドビジネス ― リスクとリターンのバランスをとる
  • 非金融リスクの重要性
  • ストレステスト ― 規制当局による期待の高まりと、不確実な状況において「生きるか死ぬか」チェックから「管理ツール」に目的を変更することについて考察する

10:0510:45

パネルディスカッション:LIBOR移行へ、いざ前進!

10:05 - 10:45

  • LIBOR OTCデリバティブからリスクフリーレート(RFR)への移行。市場参加者の適応に関する問題を理解する
  • 流動性リスクのモニタリング(PEおよび個人資産)
  • バリュエーションおよびリスク管理に関する課題 ― 移行前契約の切り替え
  • レポ市場の混乱と新しいベンチマークレートに関する懸念
Kouhei Iinuma

Section Head, Group Integrated Risk Management Division

Shinsei Bank

I am Section Head of Integrated Risk Management Division in Shinsei Bank. I am managing market risk and quantitative analysis including trading and banking book especially interest rate and FX products. Prior to current position, I was exotic derivative trader and product structurer. I have experienced market for twenty years. I am part-time teacher at Graduate School of Business and Finance, Waseda University.

Tatsuo Ichikawa

Director, CIO Office Quants Team

Japan Post Bank

Tatsuo is Managing Director and Head of Quant Team in Investment Division at Japan Post Bank since 2016, and he is a member of the ALM Committee. He is responsible for all quantitative analysis including asset allocation, front risk management and investment strategies as well as developing trading systems for the investment division. From 2018, he is also responsible for Rates and FX Department. Prior to joining Japan Post Bank, his career started with Morgan Stanley Japan in 1999 as Interest Rate Strategist after graduating from Graduate School of Waseda University with a Masters Degree in Mathematics.  In 2005, he joined ABN AMRO Securities Japan, which was subsequently integrated into RBS Securities Japan, as head of Japan Research.
 
Tatsuo rejoined Morgan Stanley Japan in October 2009 and became head of JGB/swap trading and sales desk.  He was promoted to Managing Director in 2010 and appointed Head of Japan Interest Rate Product Group. He was named Co-Head of Japan Fixed Income and appointed to a Board member of Morgan Stanley Japan Holdings in January 2013. His last role at Morgan Stanley MUFG was Head of Japan Fixed Income Trading.

While working at Japan Post Bank, Tatsuo is teaching fixed income investments and ALM strategy at Tokyo Metropolitan University where he earned PhD in Business Administration.

Ken Nishimura

Head of MarkitSERV Japan

IHS Markit

Ken Nishimura is Head of MarkitSERV Japan where he is in charge of its derivatives and FX trade processing business.  MarkitSERV provides multi asset class platforms, such as MarkitWire, for the management of trade confirmation, clearing, and regulatory reporting.

Prior to joining IHS Markit in 2016, Mr. Nishimura was a deputy director of JFSA, where he participated in the committees and working groups under IOSCO and FSB as a representative of JFSA. Before joining JFSA, Mr. Nishimura was Head of TriOptima Japan where he was responsible mainly for commercial strategy and partnerships to expand the firm’s compression and reconciliation services for OTC derivatives in Japan. Mr. Nishimura also has a variety of experiences in relation to OTC derivatives and cash products in Nomura and a couple of buyside firms in his career.

Mr. Nishimura holds a B.Sc. from The University of Tokyo and a M.Sc. from MIT Sloan School of Management.

Benjamin Pruvost

Senior Financial Consultant

Murex

10:4511:05

休憩

10:45 - 11:05

11:0511:35

プレゼンテーション:オペレーショナルレジリエンスとオペレーショナルリスク ― 「貴組織を破壊するものは何か?」

11:05 - 11:35

  • 危機に準備し、対応し、状況を是正する ― テストは十分か?
  • KRIとKPI ― 貴組織には満期日に対する包括的な見解と改善プログラムがあるか?
  • 災害復旧の対応
  • 人材(人的ミス)、IT、組織構造、コンプライアンス向上を管理し、オペレーショナルリスクを最小限にとどめる
Shigehiko Mori

Director

Deloitte Touche Tohmatsu LLC

11:3512:05

プレゼンテーション:気候リスクとオペレーショナルレジリエンス

11:35 - 12:05

  • 保険会社は持続可能な保険のために、デジタルディスラプション、社会的リスク、気候変動など新たなリスクにどのように対応するのか?
  • 長期的な企業価値が戦略変更に与える影響 
  • 気候関連の危機を予測し、緩和するための気候リスクモデリングの活用 
  • いかに企業は、混乱を生じさせるイベントに対処するために、オペレーショナルリスクフレームワークを採用できるか?

12:0512:35

新型コロナウイルスを考慮した現在のクレジット環境の把握

12:05 - 12:35

Bruce Christie

Head of Credit Solutions APAC

S&P Global Market Intelligence

09:0009:05

開会の辞

09:00 - 09:05

09:0509:45

パネルディスカッション:CSR、投資、全体的なリスク管理戦略にESGを組み込む

09:05 - 09:45

  • 特定したESG関連リスクに関して、いかに組織としてリスク対応策を選択し、実施すべきか?
  • 貴社の取締役は、全体的な企業戦略と事業目標に影響を与えうるESG関連リスクを認識しているか?
  • ESG関連リスクを特定し、管理するために役立つERMフレームワークを採用する重要性
Miyuki Zeniya

Head of Sustainable Finance

The Dai-ichi Life Insurance Company, Limited

Ms. Miyuki Zeniya is Head of Sustainable Finance at The Dai-ichi Life Insurance Company whose AUM is about 35 trillion yen. She is responsible for ESG integration and promoting sustainable finance for all assets.

After she joined the Dai-ichi Life in 2013, she had been responsible for engagement and proxy voting since The Dai-ichi Life expressed the agreement with Japan’s Stewardship Code in 2014.

Prior to joining The Dai-ichi Life, she was a managing advisor for Polaris Capital Group and led a role to value up the investee companies as their board member. Prior to this she was Deputy President of Japanese regional bank, which was the first full-time female board member of banking industry in Japan. She also had an experience to lead IPO as CFO of HR consulting firm in 2000. She graduated with a bachelor’s degree in International Relations from Tokyo University of Foreign Studies. She started her career at Nomura Research Institute.

She was a member of a Forum for Integrated Corporate Disclosure and ESG Dialogue by METI and a member of PFA 21 Task Force for ESG Financial Strategy by MOE. From April of 2019 she is a member of Working Group of the NAP on Business and Human Rights by MOFA. She is also a member of PRI Japan Network Advisory Committee.

09:4510:10

信用評価調整(CVA) / 各種評価調整(XVA)について:

09:45 - 10:10

成功するXVAプログラムの道筋を決める

  • XVAのビジネスプロセスに対する影響を理解する
  • XVAにおけるバランスの取り方の解説
  • XVAの実施:戦略とベストプラクティス

10:1010:35

プレゼンテーション:XVA:デリバティブのプライシングの現在と未来

10:10 - 10:35

  • なぜ銀行によってCVAの計算方法が異なっていたり、まったく計算をしていなかったりするのか?
  • CVAキャピタルフレームワークのレビューによって、ディーラーのデリバティブ活用方法に主にどのような変化をもたらすか?
  • XVA問題 ― レガシーテクノロジーの対応
  • 新型コロナウイルスの影響によるXVAの損失バッファーと資本バッファー

10:3511:00

炉辺談話:CVA/XVAに関して所要自己資本を設定する

10:35 - 11:00

  • 規制CVAと市場慣行の間にダイバージェンスがないことに対処する
  • CVAヘッジの不十分な認識 - これによる結果は?
  • 既存のCVAフレームワークに対する変更 - 使用できるオプションは?
  • 日本の2021年の新しい財務会計基準による日本の業界に対する影響は? これがCVAとXVAの慣行にいかに影響するか?  
  • 変化する採用モデル:ビジネスとテクノロジーに関する課題

11:0011:20

休憩

10:45 - 11:05

11:2011:50

プレゼンテーション:消費者金融におけるリスク管理 ― 金融業の新たなフロンティア

11:20 - 11:50

Gyoshu (George) Hiramatsu

Japan Country Director, Decision Analytics Department

Experian Japan Co.

11:5012:15

炉辺談話

11:50 - 12:15

12:1512:45

パネルディスカッション:将来の展望と、日本市場に影響を与える新しいリスクの分析

12:15 - 12:45

  • 日本の銀行の低金利の影響。今後12か月に何が起きるか?
  • 世界の地政学的な状況 ― 英国のEU離脱、新型コロナウイルス、米中貿易戦争、米国大統領選挙、日米貿易協定は、日本市場の参加者にどのような影響を与えるか?
  • デジタル通貨に関するリスク ― いかに日本はサイバーセキュリティと技術的脅威を回避し、BITPointハッキング事件などの事象の再発を防げるか?
Shuichi Hayashida

Head of Japan, Senior Underwriter

World Bank Group, MIGA

Shuichi Hayashida is Head of Japan and Senior Underwriter for the Multilateral Investment Guarantee Agency (MIGA), the political risk insurance and credit enhancement arm of the World Bank Group.

Hayashida works out of Tokyo office to further the World Bank Group’s mission of ending extreme poverty and boosting shared prosperity through collaboration with Japanese investors and their partners. To that end, MIGA supports investments in regions where capital is most scarce. MIGA is now the leading political risk insurance provider in fragile and conflict affected countries.

Previously he worked for MUFG Bank (formerly The Bank of Tokyo-Mitsubishi UFJ) out of Singapore, London, Tokyo with focus on project finance transactions in his capacity as both financial advisor and lender covering energy sector globally. He also worked on large scale-acquisitions, merger and divestment projects in Asia.

Hayashida has a Master of Science in Finance from the Kelley School of Business, Indiana University, a Master of Laws from the Florida Coastal School of Law, a Graduate Diploma in English Law from the BPP Law School in the UK, and a BA in Economics from Keio University.

He is also a US-certified CPA and a Japanese CMA (chartered member of the Security Analysts Association of Japan).

Koji Takahashi

General Manager, Risk Management Department

Sompo Holdings, Inc.

General Manager Risk Management Department Sompo Holdings, Inc. 

Mr. Koji Takahashi is General Manger of Risk Management Department of Sompo Holdings, Inc.  He assumed the role in April 2018 and has been responsible for overall risk management of Sompo Group, which holds the largest Japanese P&C insurance company, Sompo Japan Nipponkoa Insurance, Inc.  

He is responsible for managing whole spectrum of risks around the complex business portfolio of Sompo Group by making robust Enterprise Risk Management framework. 

Prior to leading Risk Management Department, he was Managing Director of Sompo Insurance Singapore Pte. Ltd. (2016 to 2017).  Before assuming Managing Director role, he was Senior Division Manager of Corporate Planning Division where he was responsible for Risk Management, Governance and Compliance of the Singapore insurer. (2012 to 2015) 

His prior responsibilities also include Planning Manager at Reinsurance Department (2006 to 2012) and Aviation Underwriter at Aviation Insurance Department (1991 to 2003) of Sompo Japan Insurance, Inc. 

He has a degree of MBA from University of California, Irvine (2006), and BA from Sophia University, Tokyo, Japan (1991). 

Akira Yamamoto

Deputy Chief Manager, Risk Management Division

Mitsubishi UFJ Securities Holdings

Akira Yamamoto joined Mitsubishi UFJ Securities Holdings as Deputy Chief Manager in March 2014. He delivers his insights and solutions with regard to the optimized risk return in a wide range of risk assets including Loan, Derivatives, Real Estate, Funds, and Structured Finance from the perspectives of credit and market risk.

As a senior risk manager with 30 years of experience in the commercial and investment banking industries as well as a global rating agency, he has obtained an enhanced recognition among Japanese and non-Japanese institutional investors and made contributions to the public sector through the advisories specialized in Alternative products.

Prior to joining Mitsubishi UFJ Securities Holdings, Mr. Yamamoto spent more than ten years working at MUFG Bank until 2000 being engaged in the corporate loan underwriting. After that, he worked for Standard & Poor’s as a lead analyst specialized in Structured Finance, in addition to serving at Morgan Stanley as a head of Corporate & Structured Finance Credit Risk.

Mr. Yamamoto is a Financial Risk Manager - Certified by the Global Association of Risk Professionals.

Hiromichi Nishihara

Head of Risk Management

Government Pension Investment Fund

12:5012:50

カンファレンス閉会

12:50 - 12:55