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Programme
Programme
Risk Japan Virtual: 2020 Programme
08:45 – 09:00
Online registration and virtual log-in
09:00 – 09:05
Welcome remarks by Risk.net
09:05 – 09:25
Keynote address: Making risk management a priority in the era of transition
Tomoko Amaya
Vice Commissioner for International Affairs
Financial Services Agency (FSA), Government of Japan
Ms. Amaya is Vice Commissioner for International Affairs at Japan’s Financial Services Agency (JFSA) since July 2019. She is a member of the Basel Committee on Banking Supervision (BCBS), representing the agency. She is also engaged with the Financial Stability Board (FSB) and represents the agency at the Resolution Steering Group (ReSG).
Ms. Amaya joined the Ministry of Finance (MOF) in 1986 and has broad experience in financial supervision and international financial regulations over her career at FSA and MOF. Prior to the current position, she served as Deputy Secretary-General of Securities and Exchange Surveillance Commission (SESC) (2017-2019) and Secretary General of Certified Public Accountants and Auditing Oversight Board (CPAAOB) (2015-2017). Her career at JFSA also includes Director for Market and Risk (2008-2010) and Director for International Insurance Services (2002-2006). From 2013 to 2015, Ms. Amaya served as Senior Executive Director at Deposit Insurance Corporation. She was also Visiting Professor at Graduate School of Public Policy, the University of Tokyo in 2011-2013.
Ms. Amaya earned B.A. in Law at the University of Tokyo. She also finished Mid-Career Associate Program, IR/PS at the University of California, San Diego.
09:25 – 10:05
Rethinking and refocusing on risk management functions
- Lessons from the COVID-19 Crisis
- Crisis Management and Business Continuity
- Client support and social
- Risk Management for the Recovery Phase
- Strategic risk: how the risk management to the change in the business plan after COVID outbreak?
- Stress tests reflecting the COVID breakouts and outlook
- Credit risk, investment risk, and underwriting risk
- Post-COVID Risk Management in the New Normal World
- Structural changes in the risk environment
- Operational resilience
- Climate changes and Sustainability
- Risks arising from digitalization, virtualization and new business model
10:05 – 10:25
Networking Break
10:25 – 11:05
Time to move on! The Libor transition
- Transitioning from LIBOR OTC Derivatives to Risk Free Rates (RFR), understanding the adaptation challenges for market participants
- Monitoring liquidity risks (PE and Private assets)
- Valuation and risk management challenges – transitioning legacy contracts
- The Repo-market turmoil and the concerns raised about the new benchmark rate
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 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 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 engages in pre-sales, project delivery and client services within the interest rates and credit domains.
Based in Tokyo, he is as well in charge of managing the Murex interest rates solution within the APAC region, and collaborates closely with his counterparts in the EMEA and NA regions. Recently, he has been especially exposed to the challenges induced by the Interest Rates Benchmark Reform, and as a member of Murex’ dedicated working group, he acts as the liaison with Japanese clients during the transition.
Benjamin joined Murex in 2009, and has participated to numerous projects in the areas pertaining to interest rates derivatives, including multi-curve and collateral-based discounting, exotics modelling and volatility management.
Benjamin holds an engineer’s degree from the French Grande Ecole Supélec and a PhD in physical electronics from Tokyo Institute of Technology.
11:05 – 11:30
Charting a pathway towards a successful XVA program
- Understanding XVA’s impact on business processes
- Thx XVA balancing act explained
- Implementing XVA: strategies and best practises
Yingqi is co-working with system vendors and consulting firms to provide solutions to financial institutions in APAC region with his technical and analytic background in LIBOR Transition as well as Pricing, XVA and Risk Management.
ニューメリックス・ジャパン株式会社 アジアパシフィック・ビジネス・デベロップメント プリセールス・コンサルタント
NumerixにおいてAPAC地域のベンダー協業を通じたサービス提供を担当。LIBOR移行を含む時価計算、XVAやリスク計測などの領域で様々な情報ベンダーやコンサルティングファームと協業して金融機関にソリューションを提供している。
11:30 – 11:50
Networking Break
11:50 – 12:20
Operational resilience and operational risk - “what is going to break you?”
- What is operational resilience? Difference between operational resilience and BCM, operational risk
- Regulatory environment – BIS, PRA/FCA, EBA, US
- Important business and impact tolerance – How should we exactly implement operational resilience?
- Next development – Future initiatives in Japan
12:20 – 12:50
Financial exposure to climate change risk – addressing the compliance requirements
- Why do companies need to disclose their financial exposure to climate change risk?
- What can we learn from the catastrophe risk modeling industry that has been quantifying physical risk for over 30 years?
- Which best practices are recommended to confidently measure and report on the threats of physical risk?
- What should an effective financial disclosure report contain concerning physical risk quantification?
12:50 – 12:50
End of virtual conference day one
08:45 – 09:00
Online registration and virtual log-in
09:00 – 09:05
Welcome remarks by Risk.net
09:05 – 09:45
Incorporating ESG into your CSR, investment, and overall risk management strategy
- How does your organization choose and implement the risk responses to the identified ESG-related risks?
- Are members of the board aware of the ESG-related risks that could affect your company’s overall corporate strategy and business objectives?
- The importance of adopting an ERM framework to help identify and manage ESG-related risks
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.
09:45 – 10:10
Evolving credit risk insights from data and workflow advancement
- Trends in the use of data
- How are our customers combining data, analytics and business intelligence from traditional web-based platforms?
- How does that Impact evolving data requirements?
- Case studies in the uses of data
- Text analysis in S&P Global Ratings research, transcripts and news
- Combining financial statement data and S&P Global Ratings’ criteria in an automated way
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.
10:10 – 10:30
Networking Break
10:30 – 10:55
XVA: the present and the future of derivatives pricing
- Why certain banks calculate CVA differently or not even at all?
- How the review of the CVA capital framework will result in major changes on how dealers capitalise on derivatives?
- XVA challenges – dealing with legacy technologies
- XVA Loss and Capital Buffers as a result of COVID-19
- Accounting CVA implementation in JGAAP and challenge of Japanese Banks
- PD and LGD data requirement for CVA/DVA pricing
Hiroyuki Yoshizawa is an Executive Director and head of product in IHS Markit Japan GK.
He leads the business development across fixed income pricing, derivative valuation Service, illiquid asset valuation, and financial data solution.
His business offers the solution to risk management, regulatory compliance and accounting correspondence that are facing liquidity data challenge of financial instruments under recent circumstances. He is also involved in many discussions of data approach investment strategy.
Prior to joining IHS Markit, he had been a fixed income trader for more than 25 years in international banks and actively traded various credit, structured, and emerging market products.
10:55 – 11:20
Establishing capital requirements for CVA/XVA
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Addressing the lack of divergence between regulatory CVA and market practice
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The poor recognition of CVA hedges – what are the consequences?
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Changes to the current CVA framework – what are the available options?
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Japan’s new financial accounting rule for 2021, what are the implications for local industry? How will this affect CVA and XVA practices?
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Varying adoption models: business and technology challenges
Alexandre looks after the definition, positioning and go-to-market strategy of Murex product solutions with a focus on Risk Management and Regulatory Transformation. His most recent work centers on the implementation of the bilateral Initial Margin and Basel III capital reforms, and on XVA desks operating models. Alexandre also co-heads the Murex task force on the Interest Rates Benchmark Reform.
Since joining Murex in 2000, Alexandre has held both senior client-facing and product management positions, last serving as global head of the Risk Control practice and general manager for Murex Ireland, where he drove the development of the MX.III XVA management solution and Credit Risk simulation engine.
Alexandre holds a « Grande École » MSc in Management and Finance from HEC Paris.
Satoshi Kumeta
Director, Financial Engineering Group Fixed Income, Currency and Commodities (FICC) Dept.
Daiwa Securities
Satoshi Kumeta is Head of XVA in FICC, where he owns planning and development of XVA accounting and regulation such as FRTB-CVA, and management CVA hedge to control P&L as well. He belonged to model development division in MUFG Bank and Mitsubishi UFJ Securities as Quants for more than 10 years prior to joining Daiwa Securities, and responsible for model development of plain vanilla/exotic products mainly for commodity and interest rate. He also contributed to introduction of OIS discounting and CVA accounting. Satoshi has Bachelors and Masters in Mathematics from Tokyo Institute of Technology.
11:20 – 11:40
Networking Break
11:40 – 12:10
Risk management for consumer lending market - New Frontier of Banking Business
12:10 – 12:35
The outlook of Auditing in the era of Digital Transformation – Data Science and Compliance and Auditing Techniques (CAATs)
- How crucial data is to all businesses
- The appropriate data analysis methods for compliance to use for different business sectors
- What are the applications and the use cases of data science and CAATs
12:35 – 13:05
Gazing into the future and analysing emerging risks that will affect the Japanese market
- The impact of low interest rates on Japanese bank, what is going to happen in the next 12 months?
- The global geopolitical landscape – how will Brexit, the Coronavirus, US-China trade war, U.S elections, Hong Kong anti-extradition protests, and US–Japan trade deal impact local market participants?
- Digital currency risk – how can Japan prevent cybersecurity and technological threats and cases like the Bitpoint incident from happening again?
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).
Senior Advisor of Nomura Institute of Capital Market Research and Nomura Securities Co. Nakata previously served in various senior management roles including the Head of Global Markets in Europe and the COO in Asia region.
13:05 – 13:10
Chairman’s closing remarks
13:10 – 13:10