Day 1

Day One: Tuesday 27 October 2009

Day One - Stream 1 | Day One - Stream 2 | Day One - Stream 3

08:30 Registration and coffee

08:50 Opening address

Nick Sawyer, Editor, RISK

09:00 Keynote address: Lessons worth remembering from the recent credit crisis of 2007 -2009

Bennett W. Golub, Vice Chairman and Chief Risk Officer, BLACKROCK

09:40 Models behaving badly

The progression from metaphors to models to theories
How we use metaphors and models in language, science, finance & life
What models do for us
How models fail, and what to do about it

Emanuel Derman, Head of Risk, PRISMA CAPITAL PARTNERS; Professor, COLUMBIA UNIVERSITY

10:20 New regulation is coming- Are your prepared?

- Embracing risk-factor-based simulation

Boris Lipiainen, Global Head of Product & Strategy, THOMSON REUTERS

11:00 Morning coffee break

Day One: Stream 1

Counterparty/Credit/Liquidity Risk

11:30 Chairman’s opening remarks

Boris Lipiainen, Global Head of Product & Strategy, THOMSON REUTERS

11:40 Credit derivatives’ role in risk management: past, present and future

• What are the lessons from the crisis?
• How can transparency be improved for credit derivatives?
• How can counterparty risk be managed?

Michael Gibson, Deputy Associate Director
Division of Research and Statistics, FEDERAL RESERVE BOARD;
Sivan Mahadevan, Managing Director, Head of Credit Derivatives, Structured Credit Research, MORGAN STANLEY;
Tom Jasper, Chief Executive Officer, PRIMUS

12:20 The emerging need for risk based business strategy

- Creating competitive advantage through effective risk and liquidity management

Alexander Dorfmann, Head of Product Management- TopOffice, THOMSON REUTERS

13:00 Lunch and opportunity to visit the exhibition

14:00 Real estate risk management: what's next?

- Lessons learned
- Challenges in modeling of single family real estate assets
- Origination standards

Enrico Dallavecchia, Former Chief Risk Officer, FANNIE MAE

14:40 Volatility as an asset class: New investable instrument in volatility: VXX and VXZ

- innovations in investment in volatility
- structured product payoffs referencing volatility
- algorithmic strategies referencing volatility

Samson Koo, Head of Equities Structuring, Americas & Michael Schmanske, Head of Equity Volatility Trading, BARCLAYS CAPITAL

15:20 Coffee break

15:50 Do Unto Others: Inverse counterparty credit risk

- The risk you inflict may be more important than the risk you accept
- Liquidity effects
- Tools for managing the credit risk

Aaron Brown, Risk Manager, AQR CAPITAL MANAGEMENT

16:30 Counterparty risk and Credit Value Adjustment across all asset classes

- Strategy of computing Counterparty Risk CVA for different types of deals of increasing complexity
- CVA for vanilla swaps
- CVA for Bermudan options – simplest instruments with events – combining backward induction and forward Monte Carlo simulation
- CVA for callable path dependent deals
- Unified approach for computing CVA in Universal Hybrid Framework to account for correlations between all asset classes

Serguei Issakov, Senior Vice President of Quantitative Research and Development, NUMERIX

back to top

Day One: Stream 2

Regulation and accountancy challenges

11:30 Chairman’s opening remarks

11:40 New framework for measuring and analyzing macrofinancial and systemic risk

- Framework for analyzing systemic financial sector risk;
- Contingent claims modeling of the financial sector and extreme value dependence structure to measure contagion;
- Risk transmission and spillovers;
- Framework for guarantee fees and systemic risk charges;
- Transfer of financial sector risk to government and sovereign CDS spreads
-Conclusions from the IMF Global Financial Stability Report

Dale Gray, Senior Risk Expert, INTERNATIONAL MONETARY FUND (IMF)

12:20 Managing unquantifiable risks: challenges for CROs
- Shifting definitions of default, valuation, capital, regulatory capital, and investor classes needing protection
- Shifting center of gravity towards the IMF, the G20, systemic regulators, central counterparties, and regulatory colleges
- Decreased trust in quantitative finance even as CRO role poised to grow

Barbara Matthews, FORMER U.S. TREASURY ATTACHÉ TO THE EUROPEAN UNION & Managing Director
BCM INTERNATIONAL REGULATORY ANALYTICS

13:00 Lunch and opportunity to visit the exhibition

14:00 Liquidity risk management

- Lessons learned thus far:
o By financial institutions
o By Supervisors
- The way forward:
o Macro-prudential and Micro-prudential considerations
o Managing liquidity risk in financial institutions
o Supervisory efforts

Mary Arnett, Supervisory Financial Analyst, Market and Liquidity Risk, Division of Banking Supervision and Regulation, BOARD OF GOVERNORS OF THE FEDERAL RESERVE

14:40 Risk monitoring in the new age

- Multi asset portfolios and risk management
- Balance sheet management models
- Compliance needs for the Buy-side
- Regulatory environment and audits

Sinan Baskan, Director, Global FSI Solutions,
Financial Services Industry, SYBASE

15:20 Coffee break

15:50 CDS Changes in the ISDA Contract and the North American Convention

• Credit Determination Committee and Auction Mechanism
• Changes in the effective dates for protection and coupon payment
• Trading with fixed coupon and points up-front
• Convention changes: restructuring clause, curve and recovery rates

Atanas Goranov, Managing Director, Derivatives Risk Officer, GUARDIAN LIFE INSURANCE COMPANY OF AMERICA

16:30 Motivations for applying the fair value method to loans

- Developments in the regulatory and accounting framework
- Risky discounting of loans
- Valuation of loan prepayment and loan extension risks
- Fair value of credit risk and mark to market of credit risk
- Input parameter estimation
- Sensitivity analysis & scenario analysis within the fair value framework

Joint Presentation:
Dipankar Ghosh, Head of Corporate Reporting &
Dirk Bangert, Consultant, THE WORLD BANK

Day One: Stream 3

Modeling and quantitative techniques and critiques

11:30 Chairman’s opening remarks

Boryana Racheva-Iotova, President, FINANALYTICA

11:40 Pricing counterparty risk

• Credit Value Adjustment (CVA) and the price of counterparty risk
• Contract level vs. counterparty level
• CVA and risk neutral expected exposure
• Pricing new trades with a counterparty

Robert Selvaggio, Senior Vice President/Risk Management, FIDELITY INVESTMENTS

12:20 Hard-to-borrow stocks, volatility and equity bubbles

- A self-consistent model of pricing and dynamics for equities subject to restrictions on shorting
- Contrary to the stated aims of policymakers, such restrictions lead to higher volatilities and bubbles
- The pricing of options
- Effective dividend rate

Michael Lipkin, Adjunct Assistant Professor, COLUMBIA UNIVERSITY

13:00 Lunch and opportunity to visit the exhibition

14:00 Market crashes and modeling extreme market conditions

- Stable and Tempered Stable processes with volatility clustering in Modelling Financial Returns
- Modelling Tail Dependencies, choosing the appropriate copula
- Option pricing with tempered stable processes
- Factor models and dimensionality reduction
- Portfolio optimization in the presence of volatile markets

Professor Zari Rachev, Chief Scientist, FINANALYTICA

14:40 Co-VaR as the next step

• Systemic risk, externalities, risk spillovers, network effects
• Liquidity spirals - market and funding liquidity
• Systemic risk measurest
• Countercyclical implementation

Markus Brunnermeier, Edwards S. Sanford Professor of Economics, PRINCETON UNIVERSITY

15:20 Coffee break

15:50 Liquidity Horizons and the Incremental Risk Charge

- Background on the Basel Incremental Risk Charge: more stringent capital requirements for the trading book
- Key features of the IRC:
- Modeling the target level of risk through portfolio volatility
- Simple measures of the impact of liquidity horizons: how rebalancing constraints affect portfolio mean and volatility
- The impact of leverage and asset correlations

Paul Glasserman, Jack R. Anderson Professor, COLUMBIA UNIVERSITY

Risk Magazine’s Quant of the Year 2007

16:30 Value-at-Risk (VaR) vs. Conditional Value-at-Risk (CVaR) in risk management and optimization

- VaR and CVaR risk and deviation measures
- VaR vs CVaR: pros and cons
- Portfolio optimization with VaR and CVaR
- Case studies (Basel II)

Stan Uryasev, Professor, Director of the Risk Management and Financial Engineering (RMFE) Lab, UNIVERSITY OF FLORIDA; Editor-in-Chief, THE JOURNAL OF RISK

17:10 Keynote address: Giving risk managers a voice

- Giving a voice to risk management: it also needs to be able to take it
- If management is not on board, it might be a voice in the desert
- Contributing to the business, acting as an enhancer of sound practices rather than a pure control function
- Defining your firm’s risk appetite (as opposed to tolerance) might help you be more successful

Jacques Longerstaey, Chief Risk Officer, STATE STREET GLOBAL ADVISORS