Pre-congress seminar 2

	Workshop 2: Capital allocation and stress-testing
8:30	Registration and breakfast
9:00	Economic capital assessment: Targets and Thresholds. Taking the risk inventory. The role of economic scenarios Risks captured in the enterprise-wide stress tests Stress testing other major risks on a stand-alone basis Mike Carhill, Director of the Enterprise Risk Analysis Division, Office of the Comptroller of the Currency (OCC)
10:30	Morning break
11:00	Scenario development Loss forecasting, with a discussion of each risk type Credit-risk modeling as a newly emerging field Pre-provision net revenue and the consistency with pre-existing risk-measurement processes Mike Carhill, Director of the Enterprise Risk Analysis Division, Office of the Comptroller of the Currency (OCC)
12:30	Lunch
1:30	Model Risk and Validation Developmental Evidence Performance measurement Sensitivity measurement and model uncertainty Communication to executive management Mark Pocock, Senior Financial Economist in the Enterprise Risk Analysis Division, Office of the Comptroller of the Currency (OCC)
3:00	Afternoon break
3:30	Governance of stress testing framework and the capital adequacy process Policies and procedures, board and senior management oversight, integration of stress testing with capital planning, internal controls and validation William Forsell, Large Bank Examiner, Office of the Comptroller of the Currency (OCC)
5:00	End of seminar

Mike Carhill is the Director of the Enterprise Risk Analysis Division of the Office of the Comptroller of the Currency (OCC). The Division employs quantitative modeling experts who advise bank examiners, bankers, and policy makers on best and standard practice in risk-management-information and asset-pricing systems.

Dr. Carhill joined the OCC as a Financial Economist in the Department of Economic and Policy Analysis in 1991.

Before joining the OCC, Dr. Carhill was a staff economist with the Federal Home Loan Bank of Atlanta. While at the bank, he researched the role that interest-rate risk plays in thrift profitability and served as a consultant on risk-management issues.

Dr. Carhill received a doctorate in monetary theory from Washington University.

Mark Pocock is a Senior Financial Economist in the Enterprise Risk Analysis Division of the Office of the Comptroller of the Currency (OCC). The Division assists examiners in reviewing statistical models used for assessing enterprise risk, such as loan loss reserves, ICAAP, operational risk and stress testing. The Division also advises bank examiners, bankers and policy makers on best practices with respect enterprise risk issues.

Mark joined the OCC as a Financial Economist in the Fair Access and Compliance group in 2006 and then re-joined the agency in 2012. Between 2008 and 2012, Mark was a Manager and then Senior Manager with Ernst & Young's Credit & Capital Markets practice. While at Ernst & Young, Mark led engagements on loan loss reserve modelling, model validation, fair lending testing and other consumer credit and model governance areas.

Mark received a doctorate in economics from the University of Texas at Austin and a bachelors in economics from Brigham Young University.

Bill Forsell is a Bank Examiner in Large Bank Supervision at the Office of the Comptroller of the Currency (OCC). Prior to joining the OCC, he was a finance executive at Goldman Sachs and Morgan Stanley where his responsibilities included balance sheet, liquidity and capital management, and financial planning and analysis. He received a B.A., Phi Beta Kappa, in economics from Cornell University and an MBA from The Wharton School of the University of Pennsylvania.

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