Programme

Programme

Risk Japan Virtual: 2021 Programme

09:0009:05

Chairperson’s Opening Remarks | Day 1

09:00 - 09:05

09:0509:30

Keynote Address

09:05 - 09:30

09:3010:00

Risk Management during/after COVID: Where are we and where are we heading?
Panel Discussion

12:00 - 12:01

  • What are the emerging risk drivers 1 year after COVID?
    • Rollback of regulatory or fiscal measures, or monetary policy
    • Interest rate hike and inflation risks
    • Geopolitical issues and international relationships
    • Climate risks
    • Regulatory environments – firewall, fintech, and personal data
  • What risk officers will need to do to address those new risks?
    • Designing stress scenarios
    • Credit and investment risk management strategy
    • Risk intelligence
    • Regulatory affairs and advocacies
  • Stead state after-COVID (will be there at all?)
    • Integrated risk management in post-COVID
    • Continuous efforts to ESG/climate risks
    • Digitalization of risk management

10:0010:30

Hesitancy with LIBOR: Preparation for the transition

09:30 - 10:15

  • What have we learned from the markets response to new alternative rate products
  • New transitional rate and how it will impact the timeline
  • Operational inefficiencies that still plague the banks
  • How to prepare for the potential dangers of the ‘wait and see’ approach from the market 
     
Yutaka Yoshida

Joint General Manager of Risk Management Division

AOZORA BANK, LTD.

Yutaka Yoshida is Joint General Manager of Risk Management Division of AOZORA BANK, LTD. he has been responsible for validation and verification of pricing models of various derivatives(IR,FX,CR,EQ,COM), securitized products(CDO,ABS,CMBS) and establishment of their Market risk measurement systems.

Prior to the current role, he was also engaged in development of Credit and Operational risk measurement models.

Recently, he is working on establishment of Market risk measurement system according to new regulations(IM, CVA/DVA, Libor cession, and FRTB).

He has Bachelor’s and Master’s degrees in Management Engineering from the Tokyo Institute of Technology.

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.

 

Shinichiro Itozaki

Senior Manager

MITSUBISHI UFJ MORGAN STANLEY SECURITIES Co. Ltd.

Dr. Shinichiro Itozaki is a Senior Manager of Financial Engineering Division at Mitsubishi UFJ Morgan Stanley Securities Co. Ltd. Dr. Itozaki is responsible for planning and quantitative research of XVA, ISDA SIMM, interest rate benchmark reform, and OTC derivatives market reform in general. Dr. Itozaki received a Ph. D. in Mathematical Sciences from the University of Tokyo.

Shinichi Yoshiya

Executive Director, Legal & Compliance

Morgan Stanley MUFG Securities

Shinichi Yoshiya is an Executive Director in the Legal Division of Morgan Stanley. Mr. Yoshiya covers a broad range of complex cross-border financial regulatory matters and transactions for Morgan Stanley’s Japan and Asia Pacific region including OTC derivatives regulations of Japan, U.S. and EU, the Volcker Rule, Resolution Stay, MiFID2, Brexit, LIBOR and Basel 3 capital rules. Prior to joining Morgan Stanley, Mr. Yoshiya was an attorney at Davis Polk & Wardwell LLP advising on financial regulatory matters. Mr. Yoshiya has held academic appointments at Duke University Law School as Visiting Professor and currently teaches global financial regulations at Meiji University Law School. Duke University, Law School (LL.M.), Aoyama Gakuin University, Business School (M.B.A.), Sophia University (LL.B.). Mr. Yoshiya is admitted to the bar of the state of New York.

10:3011:00

Opportunity to Build Efficiency Around Operations with UMR Phase 5

10:15 - 10:55

  • How to navigate through new legal agreements for IM exchanges
  • The challenges of working with third-parties and complying with UMR
  • Opportunity to build efficiency around collateral management workflows
  • How to manage risks with the new SIMM calibration process
     
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.

 

Seiichi Tanaka

General Manager, Wholesale Operations Planning Office

Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.

Seiichi Tanaka is General Manager of Wholesale Operations and Procedures Planning Office, Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.

Since 2008, Mr. Tanaka has been actively engaged in a variety of projects related to international financial regulations, including central clearing, trade reporting, margin requirements and benchmark reform.

Mr. Tanaka graduated from the School of Political Science and Economics of Waseda University in Tokyo, Japan, and is a U.S. CPA (Certified Public Accountant).

11:0011:30

Navigating the Challenges of FRTB

10:55 - 11:35

  • How to choose between the standardised approach and internal approach
  • The benefit of having a standardised data regulation
  • Mitigating capital risks and monitoring capital ratio requirements
  • Solving the technology infrastructure risks and creating a resilient model
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.

 

11:3012:00

Collaborating Together to Build an ESG Driven Market

11:35 - 12:05

  • How Japan has responded to the environmental concerns and obliging to TCFD reporting
  • Monitoring supply chain for businesses to advocate for sustainability
  • What products are available and how to support the ESG investments
  • New technologies that are being utilized within ESG
     
Shuichi Hayashida

Head of Japan & Vice Head of Southeast Asia

World Bank Group, MIGA

Shuichi Hayashida is Head of Japan and Head of Southeast Asia 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 Laws from University of London, Master of Science in Finance from the Kelley School of Business, Indiana University. He is also a US-certified CPA and a Japanese CMA (chartered member of the Security Analysts Association of Japan).

12:0012:30

Creating Model Risk Management Frameworks: Preparing for model fallibility

12:05 - 12:45

  • Building model risk management infrastructures to mitigate damage
  • What does a proper model risk governance and model risk validation look like
  • Navigating model risks with a lack of data support
  • Improving model performances using AI and machine learning
     
Susumu Higaki

Director, Head of XVA quant modelling

MUFG Bank

Susumu Higaki is Head of XVA quant modelling at MUFG Bank and managing global XVA quant group including two securities firms in London & Tokyo. Prior to the current role, he worked as rates exotics & credit derivatives quant and was heavily involved in the industry initiative to develop the SIMM for the Uncleared Margin Rule. He has Bachelor’s & Master’s degrees in physics from Kyoto University.

12:3012:30

End of Risk Japan Day 1

12:45 - 12:50

09:0009:30

Approaching Credit Models with Uncertain Factors

09:00 - 09:45

  • The differences between approaching credit risk as a small bank vs large bank
  • How to approach customers unable to repay loans
  • Basel’s impact on building credit models and how to maximize effectiveness
  • How to utilize technology to optimize credit risk models
  • How to adjust for prolonging debt forgiveness but having enough room to invest

09:3010:00

UMR Phase 5 – What’s next?
Panel Discussion

12:00 - 12:01

  • Beyond UMR compliance, what can be done to optimize the new Initial Margin requirements?
  • What is the best way to manage the UMR Threshold?
  • UMR simulations to optimize the total IM
  • What-if IM and impact on collateral costs
  • Should firms start preparing for the next wave of UMR compliance in 2022?
Sophie Marnhier-Foy

Director, Product Management – Margin & Risk

Calypso

Sophie Marnhier Foy is the Director of Product Management for Margin and Risk at Calypso Technology. In her role, she designs the Calypso margin solutions to meet the various regulatory margin and clearing requirements. Currently, she is working very closely with Calypso clients implementing ISDA-SIMM to ensure that their compliance with the Uncleared Margin Rules for September 2019 and 2020 will be successful.

Ms. Marnhier-Foy is also in charge of Calypso Risk solutions including the regulatory, CCP, and counterparty risk offerings. Prior to this role, she held the position of Principal Product Manager for Calypso Middle Office solutions.

Before joining Calypso, Ms. Marnhier-Foy worked for Calyon (now Crédit Agricole CIB) in New York and Paris, working on Risk Management and Front Office project management. Prior to Calyon, she worked for PricewaterhouseCoopers (PWC) in Paris as a Bank Auditor.

10:0010:30

Integrating Climate Risk Into Credit Risk Assessment
Presentation

12:00 - 12:01

  • Current and future challenges
  • Assessing Credit Risk and Opportunity in a Changing Climate
Stephen Chen

Associate Director, Senior Credit Product Specialist

S&P Global Market Intelligence

Stephen Chen focuses on providing a comprehensive and customized credit risk management solution for Japanese clients in a various industries ranging from financial institutions to corporations. it includes credit products like quantitative and qualitative analysis tools, rating and credit reports, historical rating and default database that are provided via desktop, feeding, API depending on clients’ needs. Prior to this, Stephen was engaged in corporate financial advice and litigation support in M&A projects at Deloitte Tohmatsu, and was responsible for risk management at Citigroup and Morgan Stanley in Japan. He holds a bachelor's degree from Tsinghua University in China and a master's degree from Tokyo Institute of Technology.

10:3011:00

The Digital Era: How to mitigate risks during the transformation?

09:45 - 10:25

  • What are risk controls that can be placed?
  • The plethora of risks when digitalizing banking
  • Educating employees to be aware of working environments
  • Building efficient systems with the new normal
Seiichi Tanaka

General Manager, Wholesale Operations Planning Office

Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.

Seiichi Tanaka is General Manager of Wholesale Operations and Procedures Planning Office, Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.

Since 2008, Mr. Tanaka has been actively engaged in a variety of projects related to international financial regulations, including central clearing, trade reporting, margin requirements and benchmark reform.

Mr. Tanaka graduated from the School of Political Science and Economics of Waseda University in Tokyo, Japan, and is a U.S. CPA (Certified Public Accountant).

11:0011:30

The Evolution of Fraud and AML: Internal and External Threats

10:25 - 10:50

  • The digitalized world and unknown types and sources of threats
  • Transactional behaviour and how it impacts systems and controls
  • The challenge of early detection and reporting
  • Fraud and AML regulatory compliance in Japan
  • How to utilize cloud technology to enhance fraud risk detection
     

11:3012:00

Buy-side Perspective: The Uncertainty Behind Liquidity Risk

10:50 - 11:30

  • What is Japan’s current position with regulations for liquidity risk?
  • What to be aware of for liquidity risk regulations in 2022?
  • How to understand the liquidity threshold for different products?
  • With varying levels of liquidity, how to create a risk mitigation framework?

12:0012:30

The Potential of Cryptocurrency: How to navigate the volatility and unpredictability?

11:30 - 12:00

  • How does the Japanese market view cryptocurrencies?
  • The viability of cryptocurrency as an asset class or currency
  • What are the risks that still exists even with strong regulations from FSA?
  • Are the regulations to constrictive for the growth of cryptocurrency in Japan?
     
Kojiro Shidara

Head of Risk Management

ewarrant Japan Securities

Presently 

eWarrant Japan Securities   Head of risk management   

・Develop crypto currency derivative product and establish risk management structure 

・Manage option trading risk management and encourage tail risk management

・Establish risk appetite framework and introduce new VaR model for option trading

Previously

Gibraltar Life Insurance    managed ALM risk  

PCA Life Insurance  Formulated and implemented investment strategy.

Citigroup   conducted credit risk analysis

12:3013:00

Business Continuity Management: Building an operational resilient risk framework

12:00 - 12:40

  • The growing risk of cybersecurity and the next big cyber attack
  • Managing the health and safety of the staff
  • How to sustain a business when restrictions are put into place?
  • Case study: Innovating businesses for a post-COVID world
     

13:0013:00

End of Risk Japan Day 2

12:40 - 12:45