Haibo Huang MD, Global Head of Credit Stress and Portfolio Analytics
Morgan Stanley
Phil Ohana
Global Head of Market Risk Audit
UBS
Alberto Scalari Head of Counterparty Credit Stress Testing BMO
Alisa Rusanoff Head of Credit Crescendo ACS
Agenda | Day 1 | March 25, 2025
8:00 REGISTRATION AND BREAKFAST
8:50 CHAIR’S OPENING REMARKS
Moderated by Sudeep K. Lahiri, Executive Director, Morgan Stanley
MACROECONOMIC ENVIRONMENT – PANEL DISCUSSION
9:00 Reviewing macroeconomic environment changes and impacts to credit
• Managing conflicting macroeconomic indicators
Managing anticipation of increased defaults
• Understanding the impact from the growth of private credit providers
• Effectiveness of historical indicators in predicting a recession
Managing high inflation and interest rates
• Interest rate environment and corporate credit defaults
• Commercial real estate loans in the post COVID world
Changes in debt levels to consumer with higher rates
Alisa Rusanoff, Head of Credit, Crescendo ACS
Haibo Huang, MD, Global Head of Credit Stress and Portfolio Analytics, Morgan Stanley
Saad Aslam, EVP, Head of Credit Review, Citizens Alice Wang, Director, Analytics & Quantitative Solutions, BlackRock
BASEL END GAME
9:45 Reviewing basel proposal and its impact to credit risk
• Overview of the basel 3 proposal and the basel End Game
Delving into key changes for credit risk under the basel guidance
• Assessing the potential impacts to the market and pricing
• Expectations on impacts to models and valuations
Reviewing approaches across jurisdictions
Phil Ohana, Global Head of Market Risk Audit, UBS
10:20 MORNING REFRESHMENT BREAK AND NETWORKING
INTEREST RATE RISK
10:50 Mitigating the impact of interest rate risk on commercial and consumer debt
• Assessing economic trends and factors impacting interest rate changes
Managing the impact to ongoing business operations
• Reviewing risks of refinancing in a changing rate environment
• Maintaining up-to-date models and assumptions
Increased debt burden with raises in credit card interest rate payments
• Increased competition of money market accounts
• Balancing inflation price rises and increased interest rates
Impact of changing rates on the prepayment model
• Impact to profitability with high rate on commercial loans
• Reviewing loans reaching maturity with higher rates
Changes to debt-to-income ratios with rate increases
Santosh Mishra, Head of Credit & Climate Modeling and Analytics, KeyBank
INTEREST RATE RISK
11:25 Effectively navigating uncertainty in macro and funding markets – how prepared are FIs for the road ahead?
Assessing US interest rate and funding market outlook
• US macro-outlook: base case and potential risks
• US interest rate outlook: base case and pitfalls
Fed balance sheet outlook: base case and risks
• USD funding market outlook: base case and risks
Mark Cabana, Managing Director, Head of US Rates Strategy, Bank of America
DELINQUENCY RATES
12:00 Assessing increased delinquency rates after a period of low rates
• Impact of pandemic measures on delinquency rates
Changes as restrictions and payment deferrals expire
• Monitoring rates across portfolios
• Managing upside trends in delinquencies
Liming Brotcke, Senior Director, Head of Model Validation, Ally
12:35 LUNCH BREAK AND NETWORKING
COMMERCIAL REAL ESTATE
1:35 Anticipating and mitigating potential CRE risks on the horizon
• Identifying and managing concentration risk across the industry
• Management of exposure and ripple effect across the industry Impact of interest rate rises on commercial loans
• Monitoring and stress testing risks to drive diversification
• Future of regulation to test resiliency of wholesale banking
Credit loss impacts of holding a non-performing asset
• Repricing loans with decreased rental demand
• Monitoring trends in CRE and increased realized losses
Managing the impact to smaller banks exposed to CRE risk
• Increased delinquencies with reduced office occupancy
• Diminishing risk appetite to finance CRE sector
Interaction with CECL in estimating expected losses
COLLATERAL VALUATION – PANEL DISCUSSION
2:10 Mitigating the impact of maturing commercial mortgage-backed securities (CMBS) 2025
• Evaluating post-pandemic shifts in commercial real estate demand and collateral valuation.
Assessing AI-driven valuation models and their role in improving transparency and accuracy.
• Addressing the growing importance of ESG factors in commercial asset valuation. The influence of interest rate volatility on collateral and market sentiment.
• Leveraging big data analytics to overcome valuation uncertainties and improve risk forecasting.
Spencer DeMelo, Capital Markets Audit Risk, Northern Trust
Vineet Gupta, MD, Analytics and Quantitative Solutions, Blackrock
2:55 AFTERNOON REFRESHMENT BREAK AND NETWORKING
CREDIT DEFAULTS – PANEL DISCUSSION
3:25 Assessing the impact of credit defaults
• Prevention & detection of defaults
Managing an uptick in defaults with volatility
• Underwriting in the current market
• Adequate reserving for potential losses
Adjusting scenarios and projections to reflect losses
• Assessing impact on bank revenues and industry
Bernardo Mandri, Executive Director, Head of Credit Risk Review, ICBC
4:10 Reviewing the impact of credit risk and allowance measurement in an uncertain economic environment
• Reviewing impact of approaches and effectiveness in mitigating downturn risks
• Variations in approaches and impact to allowances
Lessons learned across jurisdictions and implementation approaches
• Process review for estimation of credit losses
• Future changes to advance best practice
Impact of GFC on approaches with relax in rules
• Treatment of realized losses during historical GFC periods.
Alice Wang, Director, Analytics & Quantitative Solutions, BlackRock
STRESS TESTING
4:45 Breaking the silo between market and credit through consistent stress testing scenarios
• Global scenarios vs cluster risks vs idiosyncratic
o An optimal framework and practice
The time dimension and the resetting nature of collateral
• Liquidation costs vs MPOR
• The adoption of default probabilities
PFE, XVA, MTM Counterparty Stress
• Crisis ahead
• Reviewing the big trades that could impact hedge funds
Alberto Scalari, Head of Counterparty Credit Stress Testing, BMO
5:20 CHAIR’S CLOSING REMARKS
5:30 END OF CREDIT RISK CONGRESS
Why should you be attending these sessions?
Macroeconomic Environment
Reviewing macroeconomic environment changes and impacts to credit
• Understand the impact from growth of private credit providers
• Manage conflicting macroeconomic indicators
• Assess changes in debt levels to consumer with higher rates
Collateral Valuation
Mitigating the impact of maturing commercial mortgage-backed securities (CMBS) 2025
Assess AI driven valuation models and their role in improving transparency and accuracy
Leverage big data analytics to overcome valuation uncertainties and improve risk forecasting
Address the influence of interest rate volatility on collateral market sentiment.
Basel End Game
Reviewing basel proposal and its impact to credit risk
• Review approaches across jurisdictions
• Assess the potential impacts to the market and pricing
• Delve into key changes for credit risk under the basel guidance
Stress Testing
Breaking the silo between market and credit through consistent stress testing scenarios
• Review the big trades that could impact hedge funds
• Anticipate emerging crises
• Developing an optimal framework and best practises
Interest Rate Risk
Mitigating the impact of interest rate risk on commercial and consumer debt
• Assess US interest rate and funding market outlook
• Evaluate the US dollar funding market
• Projecting the federal reserve balance sheet
Sponsorship & Partnerships
Thought leadership
Advance your expertise, knowledge, and experience with a presentation, a panelist, or a roundtable discussion. Why not enhance that with an article published in Connect Magazine and CeFPro® Connect?
Lead generation
Meet with key decision makers and senior professionals at CeFPro® events, roundtables, or at an invite-only dinner.
Branding and awareness
Want to advance your organization and/or your products or offerings? What better way than at a live in-person event where you will meet leading decision-makers, or online through CeFPro®’s market intelligence reports, Connect Magazine, or Connect member’s hub.
Networking
Whether over coffee, lunch, drinks reception, or dinner, expand your network connections in person.
Past sponsors
from our
Positioning in the industry
Whether you are the industry leader or a start-up, CeFPro® has opportunities to maintain, advance, or promote your standing among the risk community.
Targeted and one-on-one meetings
General promotion is no replacement for connecting with key decision-makers and C-suite professionals, whether at an event, a closed-door forum, a networking reception, or a VIP dinner.
Reach business buyers
Outside of marketing and promotion, CeFPro®’s extensive range of offerings can provide clients with opportunities to reach key decision-makers and buyers.
Would your organization like to partner with us on this event?
To discuss how we can deliver your thought-leadership at the event, help you generate leads, and provide you with unique networking and branding opportunities, please contact sales@cefpro.com or call us on (+1) 888 6777007 | +44 (0)207 164 6582 for more information.
Credit Risk, Treasury and ALM, and Balance Sheet Management initiatives
2025 Speaker Line-up
Saad Aslam EVP, Head of Credit Review Citizens
Mark Cabana Managing Director, Head of US Rates Strategy Bank of America
Haibo Huang MD, Global Head of Credit Stress and Portfolio Analytics Morgan Stanley
Alisa Rusanoff Head of Credit Crescendo ACS
Liming Brotcke Senior Director, Head of Model Validation Ally
Spencer DeMelo Capital Markets Audit Risk Northern Trust
Bernardo Mandri Executive Director, Head of Credit Risk Review ICBC
Alberto Scalari Head of Counterparty Credit Stress Testing BMO
To view the full Credit Risk USA 2025 speaker biographies scan the QR code or click here
Vineet Gupta MD, Analytics and Quantitative Solutions Blackrock
K.
Executive Director Morgan Stanley
Santosh Mishra Head of Credit & Climate Modeling and Analytics KeyBank
Alice Wang Director, Analytics & Quantitative Solutions BlackRock
Phil Ohana Global Head of Market Risk Audit UBS
Sudeep
Lahiri
Convince your Boss
#1 What Your Boss Will Say: “What’s included within the ticket price?”
“For the price of my ticket, not only will I gain full access to CeFPro’s Credit Risk USA Congress, I will also receive breakfast, lunch, and refreshments throughout, and a complimentary drinks reception at the end of the Congress.”
The learning opportunities don’t stop there as once the event has ended I will receive exclusive access to post-event materials and resources, and a portal log in to CeFPro Connect, my new personalized gateway to the latest risk intelligence and insights.”
#2 What Your Boss Will Say: “Will you learn anything of value that we can integrate into our strategy?”
“The agenda for the event has been carefully curated through an extensive research project involving speaking to more than 25 credit risk experts from prestigious financial institutions. As a result, the agenda is a direct reflection of the top-of-mind challenges and opportunities that senior practitioners are integrating into their own strategies.
These sessions will offer me practical insights and the latest advancements into credit risk management through collaborative action that I will then be able to directly apply to enhance and innovate our own operation. The knowledge I gain will help our department refine our approach, identify new opportunities, and address emerging challenges in the industry.”
Head of Departments Directors Managing Directors 5
#3 What Your Boss Will Say: “What specific benefits will attending this event bring to our team?”
“There is the opportunity to turn this event into a team building and development exercise with sessions on current critical matters such as: Macroeconomic Environment, Interest Rate Risk, Credit Defaults, basel End Game, Delinquency Rates and many more. As such there are group discounts available which make it easier for us to get the team together, deep dive into these critical subject matters, and discuss what we have learnt and how we can apply this in between breaks.
If it’s just me attending, I will still receive access to the post-event materials and resources to consolidate the knowledge gained which I can then share with the team when I return. I can also refer the team to CeFPro Connect where they can make a free account and benefit from all the additional resources on offer.
During the event, whether I attend with colleagues or by myself there will be over 8 hours of networking opportunities with industry leaders to discuss our sector and obtain their knowledge for our own gain and application.”
#4 What Your Boss Will Say: “What will we do with you out of the office for 2 days?”
“The venue will have WIFI so I will be able to bring my laptop with me if necessary. There are also many breaks throughout the day for lunch and refreshments so I will have many opportunities to step out and support the team if needed.
The benefits and resources that not just me, but our department will gain from at least one of us taking advantage of the excellent opportunity to better understand our industry will be a valuable use of my time for greater good. By attending, the extended learning opportunities that I will be exposed to beyond the event will continue making this a worthwhile investment of my time.”
#5 What Your Boss Will Say: “How will you share the knowledge and insights gained with the rest of the team?”
“I will be able to take notes throughout the sessions so that I can share key takeaways and points of reflection that we should consider. If you like, I could even do a presentation or report on the findings and my recommendations to share everything I have learnt.
There’s also the post-event materials and resources which will include copies of the presentations, behind-the-scenes deep-dive interviews with the speakers, and related articles and videos that support what I have learnt which I can share with the team also.”
For further help in convincing your boss to let you attend, Scan the QR code or click here for access.
Enjoy a premium experience with anticipatory service, sophisticated style and incredible views.
Situated in the Financial District close to One World Observatory, offers breathtaking elegance and contemporary design.
New York Marriott Downtown 85 West Street At, Albany St, New York, NY 10006, United States
Explore Downtown NYC. Provides guests with an optimal location in Lower Manhattan, close to an array of NYC attractions.
Nearby Hotels
Conveniently located just steps from Wall Street and the heart of the Financial District, putting you at the center of all the action.
Booking a hotel in downtown New York for the Treasury & ALM USA event ensures you’re right in the heart of the action, making it convenient to attend every session, and soak up the vibrant city atmosphere without the hassle of commuting.
• New York Marriott Downtown
• DoubleTree by Hilton New York Downtown
• Millennium Downtown New York
• Washington Square Hotel
Registration
Launch Rate
December 13
Early Bird Rate
February 7
Standard Rate
After February 7
*For those representing a financial institution/government body
Group Rates
Seize the opportunity, bring the team to advance their professional development and knowledge with our group booking promotion.
50% OFF:
Purchase two tickets and receive the third registrant at 50% off the prevailing rate
Free Pass:
Don’t stop there, as the more people you register, the better the savings. With every four tickets bought, the fifth is on us, completely free!
Bringing your team not only enhances the overall experience, but also fosters significant team building among colleagues while allowing you to save on your registration.
What’s Included
Access to 10+ sessions
Networking: 3+ hours
Lunch + Refreshments
Networking cocktail reception
PPT slides/decks
Podcasts with industry experts
Videos and interviews from the event
Connect Magazine complimentary
CeFPro Connect membership
Community network and engagement
Market intelligence reports access
To register your place at the best rate possible, click here, or scan the QR code.
Topic Related Insights
Navigating Complex Credit Risks in a Volatile Environment
Alisa Rusanoff, Head of Credit, Crescendo ACS
How does your team assess the creditworthiness of corporate clients - and what are the key factors that you consider in your risk evaluation processes?
There is a lot of analysis that goes in, in terms of quantitative and qualitative, but quantitative is probably very similar across the board. We’re looking at the P&L, at different trends, at the balance sheet strength, at the cash flow analysis, at the projections, any M&A activity that the corporate might be involved in and other factors that are quantifiable.
And we’ll be taking a macro view on the company or on the industry. I truly believe that a lot of lenders and lot of private credit shops are focusing maybe a little bit too much on a specific risk, and not really taking account of the macro environment and of the broader trends in the United States and abroad as well.
In the globalized economy, it’s crucial to understand the supply chain risks, operational risks, and geopolitical risks, because it’s so intertwined that sometimes we don’t understand
the bigger picture of what could impact this or that corporation, whether it’s the cyclicality of the economy or shipping issues or delays or supply chain constraints.
So, I would say in addition to credit risk underwriting, we certainly include other risk assessments like governance and fraud and operational risks and supply chain risks. All of that together helps us underwrite the company to a fuller extent and try to assess, and hopefully mitigate or diversify, the majority of risks.
So credit risk is really about assessing all types of risk and building a picture that can be used to determine credit - it’s third party risk management, it’s operational resilience, it’s all of that stuff as well, not just about whether people can pay their bills or make their repayments. To continue reading click here, or scan the QR code.
Topic Related Insights
Challenges, Methodologies, and the Impact of Macroeconomic Factors on Credit Risk Management
Varun Nakra, VP Credit Risk Modelling, Deutsche Bank
You’re participating in a panel discussion at CeFPro’s Credit Risk USA event on September 25 and 26, where you’ll be looking at a number of risk dimensions, including modeling.
Can you run through some of the key methodologies and statistical techniques that you’ve used over the course of your career and currently used and how you ensure those models remain accurate and relevant in an economic environment that’s constantly changing.
Well, to begin with, the techniques and methodologies depend on the quantitative problem at hand, so there’s no cookie cutter or ‘one size fits all’ approach.
However, there is a bread-and-butter logistic regression which is being used across all the models inside and outside of credit risk. But it really just depends on what we’re modeling and what the end objective is.
For instance, a short run point in time probability of default (PD) model is pretty much built like a scorecard using regression and following modeling methodology or steps such as rates of evidence, information value, ensuring the model is balanced with respect to the factors included in the model.
But if you want to convert the short run PD model to a long run PD model, which is a true cycle PD model, then the methodology will change. It will depend on the data availability, time and resources.
As an example, one of the approaches could be to estimate a central tendency using a vector autoregressive approach, and we include some macroeconomic variables in the model, so we simulate all possible scenarios.
We can then say we had a short run PD as an input to the model, but we converted it into a ‘through the cycle’ PD which is an average over different macroeconomic scenarios.
In a nutshell it all depends on what we’re modeling – PD, LGD or traditional scorecard – and we have to customize our methodology for that end objective.
To continue reading click here, or scan the QR code.
The models remain accurate and relevant for a certain length of time, but when they stop being accurate you need to redevelop the model or recalibrate the model for one or more of several possible reasons.
Great minds think alike, but brilliant minds think differently.
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