Agenda dei lavori del Convegno Unione Bancaria e Basilea 3 - Risk & Supervision 2016 (Roma, Palazzo dei Congressi, 21/22 giugno). Si tratta della XVI edizione dell'evento annuale ABI sul risk management, il capitale e la vigilanza europea. Come ogni anno questo evento rappresenta il punto di riferimento dell’industria bancaria su questi temi e fornisce, ai suoi partecipanti, le risposte più attese con il supporto di regulators italiani ed europei, di accademici, di società di consulenza e IT e con il coinvolgimento di tutti i professionisti che nelle banche lavorano ogni giorno su queste materie.

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Convegno
UNIONE BANCARIA E BASILEA 3
RISK & SUPERVISION 2016
Roma, Palazzo dei Congressi
21/22 giugno
Programma Provvisorio
In collaboration with
ROME
21●22 JUNE
PALAZZO
DEI CONGRESSI

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AGENDA STRUCTURE
TUESDAY 21 – MORNING (9.30 AM - 1.00 PM)
OPENING PLENARY SESSION
SUPERVISION AND RISKS: INSIDE THE SINGLE SUPERVISORY MECHANISM
Chair Giovanni Sabatini, ABI
TUESDAY 21 – AFTERNOON (2.30 PM - 5.30 PM)
PARALLEL SESSION A
LIQUIDITY RISK
Chair Giampaolo Gabbi, Università di Siena
PARALLEL SESSION B
CREDIT RISK
Chair Giacomo De Laurentis, Università Bocconi
PARALLEL SESSION C
RISK GOVERNANCE ORGANISATIONAL PROFILES
Chair Paola Schwizer, Università di Parma
PARALLEL SESSION D
RISK DATA AGGREGATION AND RISK REPORTING – PART ONE
Chair Severino Meregalli, SDA Bocconi
PARALLEL SESSION E
OPERATIONAL RISK - CYBER, MODEL, CONDUCT: NEW RISKS?
Chair Paolo Prandi, Università Cattolica - Sede di Brescia

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WEDNESDAY 22 – MORNING (9.15 AM - 1.00 PM)
PARALLEL SESSION F
SMALL BANKS AND SPECIALISED FINANCIAL INTERMEDIARIES
Chair Alessandro Carretta, Università degli Studi di Roma Tor Vergata
PARALLEL SESSION G
RECONCILING RISK MANAGEMENT AND ACCOUNTING
Chair Maurizio Comoli, Università del Piemonte Orientale
PARALLEL SESSION H
COUNTERPARTY AND MARKET RISK
Chair Mario Anolli, Università Cattolica del Sacro Cuore
PARALLEL SESSION I
THE “NEW” SREP
Chair Giuseppe Lusignani, Università di Bologna
PARALLEL SESSION L
RISK DATA AGGREGATION AND RISK REPORTING – PART TWO
Chair Severino Meregalli, SDA Bocconi
PARALLEL SESSION M
OPERATIONAL RISK - SCENARIOS AND OPERATIONAL RISK RAF
Chair Marco Giorgino, Politecnico di Milano
WEDNESDAY 22 – AFTERNOON (2.15 PM - 4.30 PM)
CLOSING ROUNDTABLE
BUSINESS RISK FOR BANKS: TOWARDS NEW BUSINESS MODELS?
Chair Francesco Ninfole, MF - Milano Finanza

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TUESDAY 21 – MORNING (9.30 AM - 1.00 PM)
8.15 am Participant registration and welcome coffee in the exhibition area
OPENING PLENARY SESSION
SUPERVISION AND RISKS: INSIDE THE SINGLE SUPERVISORY MECHANISM
Chair Giovanni Sabatini, ABI
9.30 am Opening and welcoming remarks
Giovanni Sabatini, Direttore Generale ABI
The completion of the Banking Union, challenges and prospects
Mario Nava, Direttore, Monitoraggio del sistema finanziario e gestione delle crisi
Commissione Europea
Changes in the regulatory framework for banks: a review of future developments
Paolo Angelini, Vice Capo del Dipartimento Vigilanza bancaria e finanziaria Banca d’Italia
11.00 am Coffee break and networking in the exhibition area
11.45 am SREP and ECB priorities
Giovanni Pepe, Partner KPMG Advisory
Risk and regulation: a marriage to last?
Pietro Penza, Partner PwC
12.30 pm Bank Capital Regulation: an academic perspective
Kose John, Charles William Gerstenberg Professor of Banking and Finance Stern School of
Business, New York University and Laura H. Carnell, Professor of Finance Fox School of
Business, Temple University
1.00 pm Buffet lunch and networking in the exhibition area
2.00 pm Start of Parallel Sessions
Renato Maino Lecture

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TUESDAY 21 – AFTERNOON (2.30 PM - 5.30 PM)
PARALLEL SESSION A
LIQUIDITY RISK
Chair Giampaolo Gabbi, Università di Siena
2.30 pm
5.30 pm
Opening speech by the Chair
Giampaolo Gabbi, Professore Ordinario di Economia degli Intermediari Finanziari
Università di Siena
ILAAP process and waiting for supervision
Alessandro Allegri, Funzionario Banca d'Italia
ILAAP and SREP assessment on liquidity
Francesca Scaglia, Group Head of Liquidity & Interest Rate Risk Management – Senior Vice
President UniCredit
The Net Stable Funding Ratio (NSFR), liquidity planning and ALM
Luigi Mastrangelo, Partner Deloitte Consulting
The Liquidity Risk Management Model
Alberto Mietto, Responsabile Modelli Rischi Tassi e Liquidità Banco popolare
Liquidity: a building site with work in progress
Carla Ghidinelli, Senior Consultant Engineering
ILAAP: an integrated and perspective approach to liquidity risk
Carlo de Bernardi, CFA, Head of Liquidity and Interest Rate Risk Banca Popolare di Milano
Liquidity Stress Testing
Daniela Migliasso, Responsabile ufficio “Monitoraggio Rischio Liquidità di Gruppo”, Direzione
Rischi Finanziari e di Mercato Intesa Sanpaolo
Closing of the first day of the conference

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PARALLEL SESSION B
CREDIT RISK
Chair Giacomo De Laurentis, Università Bocconi
2.30 pm
6.00 pm
Opening speech by the Chair
Giacomo De Laurentis, Professore Ordinario di Finanza Università Bocconi
The estimation of RWAs on defaulted assets: regulatory requirements, system best
practices and a possible method of estimation
Fabio Salis, Responsabile Risk Management Banco Popolare
IFRS 9 & Stress Testing: requirements and impacts of an integrated framework
Anselmo Marmonti, Regional Leader Risk&Finance Intelligence - Central East Europe SAS
IFRS 9: new accounting standards, the most advanced risk metrics and impacts on credit
processes Francesco Grande, Responsabile Unità di Consulenza Cerved
Carlo Gabardo, Head of Analytics Experian
The revision of the standardised approaches for credit risk: the new risk drivers and the
possible impact on credit allocation choices
Aldo Letizia, Responsabile Risk Management Banca Popolare Pugliese
The experience of an AIRB validation in the ECB era
Marino Ranzieri, Responsabile Risk Management Credito Emiliano
Prevention and management of problem credit: end-to-end management and the role of
the servicer
Giorgio Costantino, Management Consulting - Senior Director CRIF Credit Solutions
Alberto Sondri, Director Crif Servicing
From the new standard model to the modelling review: developments in credit risk
management and measurement procedures
Daniele Monzali, Director EY
New European Scenarios for Credit Risk Modelling
Giovanni Gandini, Managing Director Accenture
Stefano Bonini, Senior Manager Accenture
Credit Risk Validation: new challenges in SSM framework
Lucia Ghezzi, Head of Group Internal Validation UniCredit
Vincenzo Molè, Head of Local Credit Risk Validation UniCredit
Closing of the first day of the conference

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PARALLEL SESSION C
RISK GOVERNANCE ORGANISATIONAL PROFILES
Chair Paola Schwizer, Università di Parma
2.30 pm
5.30 pm
Risk governance organisational profiles: introduction to the topic
Paola Schwizer, Professore Ordinario di Economia degli Intermediari Finanziari
Università di Parma
The internal audit function and the expectations of its stakeholders
Ettore Corsi, Capo Servizio Internal Audit Credito Emiliano - Credem
Banks and risk culture
Fabio Arnaboldi, Head Country Italy Audit UniCredit
Risk Culture as an enabler of Bank Governance: scope, application
and...SREP expectations
Luca Galli, Partner EY
Effective coordination among business control functions: the value of cooperation
Maria Martinelli, Responsabile Area Compliance UBI Banca
The board of auditors in relation to ICAAP and SREP
Roberto Dal Mas, Consulente Senior della Direzione Federazione Lombarda delle BCC
The internal control system and corporate governance in the perspective of the new European
Banking Supervision
Valerio Pesic, Professore aggregato di Private equity e Venture Capital
Università La Sapienza di Roma
Closing of the first day of the conference

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PARALLEL SESSION D
RISK DATA AGGREGATION AND RISK REPORTING – PART ONE
Chair Severino Meregalli, SDA Bocconi
2.30 pm
5.30 pm
Opening speech by the Chair
Severino Meregalli, Lecturer SDA Bocconi
Risk Data Aggregation: an opportunity to transform processes
Roberto Monachino, Group Chief Data Officer UniCredit
International best practices in BCBS 239, Risk Data Aggregation and Data Quality
Luca D’Amico, Director Italy Moody’s Analytics
“B I R D” on the Anvil - The proposed data centric European Reporting Framework
Saloni Ramakrishna, Senior Director Oracle
A step forward: Business Data Quality & KQI
Renato Valera, Head of Consulting & Delivery Irion
BCBS 239 in the SSM context: Rethinking the foundations among compliance, business
and income statement constraints
Sergio Gianni, Partner Avantage Reply
Synergies between “Big Data” and Risk Data Aggregation: the Intesa Sanpaolo project
initiatives
Domenico Fileppo, Responsabile Servizio Sistemi Applicativi Dati e Rischio – Direzione
Sistemi Informativi Intesa Sanpaolo
Credit Risk Management and Data integrity
Natale Schettini, Responsabile Credit Risk Management Banca Popolare di Milano
Closing of the first day of the conference

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PARALLEL SESSION E
OPERATIONAL RISK - CYBER, MODEL, CONDUCT: NEW RISKS?
Chair Paolo Prandi, Università Cattolica di Milano - Sede di Brescia
2.30 pm
5.30 pm
Opening speech by the Chair
Paolo Prandi, Professore di Risk Management Università Cattolica di Milano - Sede di
Brescia
SMA – The latest revision of the new and single approach to OR capital requirements
Michael Schöppe, Senior Officer BaFin
IT, Model & Conduct Risk: areas of overlap and possible methodological approaches
Domenico Pepe, Responsabile Funzione Operational & IT Risks UBI Banca
Operational Risk: back to basics?
Veruska Orio, Responsabile Servizio Operational e Reputational Risk Intesa Sanpaolo
Cyber Risk in the Digital Age: identifying and managing the new forms of emerging
operational risks
Nicasio Muscia, Senior Manager Accenture
Diego Travaini, Senior Manager Accenture
Mitigating Cyber Risk: integration between risk management and security in the BPER Group
Daniele Tassile, Responsabile Rischi Operativi BPER Banca
Christian Ciceri, Responsabile Architetture e Sicurezza ICT BPER Banca
Refocusing Operational Risk: from the measurement to the modern management of
operational risks in business
Matteo Coppola, Partner & Managing Director The Boston Consulting Group
Corporate strategies and approaches for Conduct Risk Governance and the viewpoint of
senior bodies
Paola De Martini, Consigliere di Gestione Banca Popolare di Milano
Closing of the first day of the conference

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WEDNESDAY 22 – MORNING (9.15 AM - 1.00 PM)
PARALLEL SESSION F
SMALL BANKS AND SPECIALISED FINANCIAL INTERMEDIARIES
Chair Alessandro Carretta, Università degli Studi di Roma Tor Vergata
9.15 am
11.00 am
11.45 am
1.00 pm
Opening speech by the Chair
Alessandro Carretta, Professore Ordinario di Economia degli intermediari finanziari
Università degli studi di Roma Tor Vergata
Once upon a time there was proportionality... now: feasibility and sustainability of business
models
Marco Corbellini, Vicedirettore Generale Federazione Lombarda delle BCC
Performance and risks in regional and local banks
Lorenzo Rigodanza, Docente a Contratto Università degli Studi di Parma
Rehabilitating the Bank through Basel-compliant Tools and credit advisors
Alessio Balduini, CEO Credit Data Research
Carlo Spagliardi, Direttore Generale Eurocons
Coffee break and networking in the exhibition area
The new proposals from the Basel Committee on the standardised approach for credit risk.
The effects on risk management in small banks
Vittorio Vecchione, Responsabile Risk Management Istituto per il Credito Sportivo
e Professore di Risk Management LUISS Guido Carli
But is Italy a country for asset based lending?
Diego Tavecchia, Responsabile Commissioni Tecniche e Relazioni Internazionali Assifact
Beatrice Tibuzzi, Responsabile Relazioni Istituzionali, Vigilanza, Studi e Statistiche Assilea
Buffet lunch and networking in the exhibition area

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PARALLEL SESSION G
RECONCILING RISK MANAGEMENT AND ACCOUNTING
Chair Maurizio Comoli, Università del Piemonte Orientale
9.15 am
11.00 am
11.45 am
1.00 pm
Reconciling risk management and accounting: two parallel lines?
Maurizio Comoli, Professore Ordinario di Economia Aziendale Università del Piemonte
Orientale
Credit risk measurement for accounting and prudential purposes: common input data and
differentiated calculation processes
GianPietro Val, Dirigente preposto Banco Popolare
IAS-IFRS system and the management of credit risk: peculiarities in the field of Consumer
finance
Federico Lusian, Manager Parva Consulting
IFRS 9 and the transition from incurred loss to expected loss and the impact in determining
the so-called generic reserve: current trends
Bruno Picca, Membro del Consiglio di Amministrazione e Comitato Rischi Intesa Sanpaolo
IFRS 9 challenges and solutions: the approaches and putting them into practice
Marco Macellari, Management Consulting - Manager CRIF Credit Solutions
Daniele Vergari, Management Consulting - Principle CRIF Credit Solutions
When IFRS 9 meets P&L: the implications of credit risk for banks
Cristiano Zazzara, Managing Director, Head of Relationship Management, Global Risk
Services S&P Global Market Intelligence
Coffee break and networking in the exhibition area
The relationship between risk management and accounting: evolution of the regulatory
framework, current trends and empirical evidence
Elisabetta Stegher, CFO UBI Banca
Credit risk measurement for prudential and accounting purposes: what will change with the
application of IFRS 9?
Francesco Zeigner, Director Deloitte Consulting
ABI's IFRS 9 Project and the work of the European Banking Federation: state of the art in
implementing the standard
Luca Giannini, Ufficio Tributario, Bilancio e Vigilanza ABI
Banks and SMEs struggling with IFRS 9. How to organise change in the current context
Alessio Balduini, CEO Credit Data Research
Carlo Spagliardi, Direttore Generale Eurocons
Buffet lunch and networking in the exhibition area

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PARALLEL SESSION H
COUNTERPARTY AND MARKET RISK
Chair Mario Anolli, Università Cattolica del Sacro Cuore
9.15 am
11.00 am
11.45 am
1.00 pm
Opening speech by the Chair
Mario Anolli, Professore Ordinario Università Cattolica del Sacro Cuore
The new framework of market risk published by the Basel Committee in January 2016:
standardised models, capital floors and sovereign bond weighting
Rita Gnutti, Head of Market and Counterparty Risk Internal Models Intesa Sanpaolo
XVAs: market standards, hedging and future developments
Niccolò Cottini, VP Financial Risk Methodologies UniCredit
Coffee break and networking in the exhibition area
Importance of the Independent Price Verification process for the purposes of proper
management of market risk in terms of implementing the Fundamental Review of
Trading Book regulations
Paolo Brognara, Managing Director Accenture
Abulenta Librazhdi, Manager Accenture
When a regulatory requirement becomes an opportunity: a new approach to risk model
validation
Marco Polito, Chief Risk Officer CC&G e Montetitoli
Silvia Sabatini, Risk Policy Manager Cassa Compensazione e Garanzia
Buffet lunch and networking in the exhibition area

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PARALLEL SESSION I
THE “NEW” SREP
Chair Giuseppe Lusignani, Università di Bologna
9.15 am
11.00 am
11.45 am
1.00 pm
Opening speech by the Chair
Giuseppe Lusignani, Professore di Economia degli Intermediari Finanziari
Università di Bologna
The SREP approach on Governance and Risk Appetite: a holistic approach to bank
sustainability
Aurelio Maccario, Head of Group Regulatory Affairs UniCredit
The role of the SREP in light of developments proposed by the Basel Committee
Giulio Mignola, Head of Enterprise Risk Management Intesa Sanpaolo
Coffee break and networking in the exhibition area
Methods of integration between strategic planning and RAF
Patrizia Michela Giangualano, Consiglio di Sorveglianza UBI Banca
Emiliano Cerminara, Senior Manager PwC
L The liquidity component of the SREP: ILAAP as a strategic management tool
Leonardo Bellucci, Responsabile Area Risk Management Banca Monte dei Paschi di
Siena
RAF - ICAAP - ILAAP - BUDGET and Recovery Plan: the need of a general coherence
Carlo Palego, Chief Risk Officer Banco Popolare
Buffet lunch and networking in the exhibition area

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PARALLEL SESSION L
RISK DATA AGGREGATION AND RISK REPORTING – PART TWO
Chair Severino Meregalli, SDA Bocconi
9.15 am
11.00 am
11.45 am
1.00 pm
Opening speech by the Chair
Severino Meregalli, Lecturer SDA Bocconi
The centrality of the Information Framework to meet the management and regulatory needs
of CRO-CLO-CFO
Mario Calò Carducci, Product Management - Senior Manager CRIF Credit Solutions
Giancarlo Montorsi, Management Consulting - Manager CRIF Credit Solutions
BCBS 239: witness account of the methodological approach of the FCA Bank Group
Piergiorgio Foti, Group Risk Manager FCA Bank
Data culture: Governance, Aggregation and Reporting
Cristina Gualerzi, Associate Director Protiviti
Coffee break and networking in the exhibition area
The impact of digital transformation in risk management
Giovanni Paganini, Executive Director EY
RDA/RRF: a comprehensive approach
José Luis Carazo, Partner GMS Management Solutions
New challenges and opportunities in the management of risk data: Big Data,
Blockchain and Artificial Intelligence
Paolo Ceschi, Managing Director Accenture
Enzo Barba, Senior Manager Accenture
Buffet lunch and networking in the exhibition area

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PARALLEL SESSION M
OPERATIONAL RISK - SCENARIOS AND OPERATIONAL RISK RAF
Chair Marco Giorgino, Politecnico di Milano
9.15 am
11.00 am
11.45 am
1.00 pm
Opening speech by the Chair
Marco Giorgino, Professore Ordinario di Finanza Aziendale e di Global Risk Management
Politecnico di Milano
Operational Risks between Pillar 1 and Stress Test
Marco Moscadelli, Direttore Vigilanza Creditizia e Finanziaria Banca d’Italia
e Advisor ECB-SSM
Scenario Analysis and Stress Tests
Marco Castellaneta, Responsabile Operational Risk Management Mediobanca
Michele Treccani, Quantitative Analyst Mediobanca
IT Risk and Data Quality Risk
Claudio Ruffini, Presidente Augeos
Standardised Measurement Approach (SMA): some possible impacts
Salvatore Spagnolo, Executive Director EY
Coffee break and networking in the exhibition area
Operational risk and RAF: some considerations
Benedetta Mazzolli, Responsabile Rischi Operativi e Reputazionali
Banca Monte dei Paschi di Siena
Operational Risk in a post AMA world: using risk appetite metrics to steer the operational risk
profile of the business
Gabriele Maucci, Head of Operational Reputational Risks UniCredit
Managing non-financial risks and the case study of Model Risk
Andrea Colombo, Responsabile Operational & Reputational Risk KPMG Advisory
Buffet lunch and networking in the exhibition area

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WEDNESDAY 22 – AFTERNOON (2.15 PM - 4.30 PM)
CLOSING ROUNDTABLE
BUSINESS RISK FOR BANKS: TOWARDS NEW BUSINESS MODELS?
Chair Francesco Ninfole, MF - Milano Finanza
2.15 pm Panel:
Andrea Cremonino, UniCredit
Alessio De Vincenzo, Dirigente Servizio Regolamentazione e Analisi Macroprudenziale
Banca d’Italia
Fabio Gasperini, Presidente Ernst & Young Financial-Business Advisors
Rainer Masera, Preside della Facoltà di Economia Università degli Studi Guglielmo
Marconi
Gianfranco Torriero, Vice Direttore Generale ABI
4.15 pm PRIZE DRAW FOR THOSE PRESENT IN THE HALL
4.30 pm End of the conference. See you next year!

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