1. Bay Street Professionals Group ：Risk Management Workshop Plus
(RMWP)
Instructor List:
Xuping Zhang, Director of ValuationProduct Control, Market Risk, BMO Financial Group
Upon graduating from McMaster University where Xuping studied Financial Mathematics, she first
joined the Model Validation group in Scotiabank. After spending more than 9 years at Scotiabank,
Xuping has become Director of Model Validation and Approval group leading a team of quantitative
members, covering all valuation model validation activities. Recently, Xuping joined the Valuation
Product Control group in BMO Financial Group, responsible for managing model risk of valuation models,
from model owner/user perspective, covering valuation model sued for all asset classes: Equity, FX,
FixedIncome,CommodityandCreditDerivatives.
Warren Cai,Director of Risk Management,Financial Risk, Manulife Financial
Warren has over 9 years’ experience on risk management, covering market, credit, liquidity, investment
risks and capital management projects. He started his career in a consulting role for a risk management
software vendor company in Toronto. During his tenure, he provided consulting services to many tier
one financial institutions globally. In 2011, he joined Manulife Financial to oversee company’s derivative
usages and embedded risks. In 2014, he further expanded his responsibilities of covering the risks for
company’s entire asset holdings, including fixed income, equities, derivatives, mortgages, structured
assetsand alternative investments.
Warren is a CFA charter holder and holds Master of Mathematical Finance degree from the University of
Toronto.He alsoservesasa boardmemberof a non-for-profitorganizationinToronto.
Know
Framework
Know
Modeling
Know
Market
Know
Customer
2. Jonathan Zhang, Associate Director,Strategic Research and Initiatives,Sun Life Investment
Management
Jonathan has over 7 years’ experience in the investment industry, specializing in investment strategies,
portfoliomanagement,performance attribution,andriskanalytics.
Jonathan holds a Master of Finance from Queen's School of Business. He is a CFA charter holder and a
memberof the TorontoCFA Society.
Wei Jiang,SeniorManager ofInternational Retail CreditRisk Models
Upon graduationfromUniversityof Toronto,Wei spentalmost3yearsin a marketresearchfirmserving
on the consultingteamprovidingdataanalysisandvisualizationsupport.PriortojoiningScotiabankin
2014, he completedapart-time MasterinStatisticswhile working.InJanuary2016, as a further
recognitionof hiscontinueddeliveryof greatservice,he waspromotedtoseniormanagerof creditrisk
models.Hisvaluable insightswillbenefitmanywhowishtopursue a careerinrisk managementordata
analytics
Workshops
Step 1: Know Framework: Risk Management Life Cycle - WarrenCai
Risk functions within a financial institution could cover across front office, middle office and back office.
Some financial institutions even build risk oversight function to make sure the risk management
practices are properly performed. There is a huge demand of risk management professionals in this
industryandit isan excellentprofessionforthose whoare interested.
The workshop will provide a general overview of the risk management function with some discussions
on recenthottopics.
Arrangement
Thiscase sessionisintendedtoprovide anoverview of the typical life cycle of the riskmanagement
functionwithinafinancial institution,withheavyemphasisonMarketRisk. The topicsinclude:
RiskData Analysis 数据分析
RiskScenarioGenerationandModel 风险情境模拟
o CommonModels
o Impact of the recentnegative ratesenvironment
AssetModeling资产建模
RiskModels/Methodologies 风险模型方法论
3. o Analytical Models
o StochasticModelsandSimulation
o Applicationsof the models:VaR,PFE,Tail Risketc.
RiskReportingandAnalysis 风险报告与分析
4. Step 2: Know Modeling:ValuationModelsand Model Validation- Xuping Zhang
In recent years, more complex derivative products have emerged which leads to the development of
more complicated models. This calls the need for more active and effective management of model risk,
throughmodel validationandgovernance activities.
As a result, model development and model validation have become the two most common job
functions for people who have quantitative background/training (such as mathematics, physics,
computer science etc.). The module is for people who want to become a “Quant” in the risk
managementarea.
Arrangement
The market risk session I will mainly cover two areas: introduction of valuation models and model
validation.
Introduction of valuation models will start with a brief overview of the derivative market and followed
by the descriptionof valuationmodelsusedfordifferentassetclassessuchasEquityandFX.
Then model validation and governance will be discussed which includes model development to approval
cycle and ongoingmodel performance monitoring.
Step 3: Know Market: InterestRate Risk Management– Jonathan Zhang
Interest rate risk is the exposure of a bank's financial condition to adverse movements in interest rates.
Accepting this risk is a normal part of banking and can be an important source of profitability and
shareholder value. Insurance companies are exposed to the interest rate risk on their general accounts,
as they sell long-term insurance products whose present value depends on interest rates. Excessive
interestrate riskcan pose a significantthreatto these financialinstitutions’ earningsandcapital base.
5. This case study covers the fundamentals of the source of interest rate risk and their impacts to a bank
and life insurance company; the role of ALM/LDI team in these financial institutions in managinginterest
rate risk; the tools used by ALM/LDI team to measure and hedge interest rate risk; as well as an
overview of integrating investment strategy, risk measurement, and risk management to achieve higher
riskadjustedreturnforthe insurance surplusportfoliosintoday’slow interestrate environment.
Arrangement
Sourcesand impactof interestrate risk
Role of ALM/LDI in bankand insurance company
o Interestrate riskmeasurementandillustration:
o Bank - Gap Analysis,EV measure
o Insurance company - EaR, CaR
Managing interestrate risk - KRD matching,DV01 hedging,CFhedging
Application - Enhancingportfolioriskadjustedreturninthe low interestrate environment
Step 4: Know Customer: Retail Credit Risk – Wei Jiang
6. Retail banking has been the bread and butter business for Canadian banking as the combined portfolio
size for retail products well exceeds 60-70% for the Big 5 Canadian banks. The 2008 US subprime
mortgage crisis originated from lending to customers with high risk profile and little ability to pay, which
tookplace in retail banks.
Arrangement
The case sessiononretail creditriskwill coverfourmajorareas:adjudication,accountmanagement,
Adjudication, account management, and collection are all key stages within the lifecycle of retail
products. During the session, introduction to each will be given, along with the decision areas
residing in each, as well as the optimized strategies that govern each decision area. Key input
variablesinthe optimizedstrategieswill alsobe covered.
Fraud related to retail banking will be introduced, with a classification of the types of fraud
banks usually encounter. Finally, detailed step-by-step procedure of model development and
validationof creditscoringmodelswill be covered.
Module Schedule
Section Name Date Day Time
Module 1 Fundamentals Overview 1-May Sun 2pm - 5pm
Module 2
Case StudyI: Risk Management Framework + Model
Development & Validation 8-May Sun 2pm - 5pm
Module 3 Case Study II: Market Risk + Credit Risk 15-May Sun 2pm - 5pm
Module 4*
Why Someone Else Getsthe Interview:Resume Skills
+ 1v1 Editing 18-May Wed
6:30pm -
9:30pm
Module 5
Why Someone Else Getsthe Interview:Resume Skills
+ 1v1 Editing 25-May Wed
6:30pm -
9:30pm
Module 6
Why Some Else Gets the Offer: How A Hiring
Manager Thinks About Interview + Current Job
Market Panel 28-May Sat 1pm - 3pm
Module 7** 2 v 1 Exclusive Interview Practice 28-May Sat 3pm - 5pm
* Module 4 & 5 have identical contents,just differenttime slots
** Module 7 will be restrictedto limitednumberofcandidates
