Day 2

Day Two: Wednesday 28 October 2009

Day Two - Stream 1 | Day Two - Stream 2 | Day Two - Stream 3

08:55 Welcome address

Nick Sawyer, Editor, RISK

09:00 CRO Roundtable – exploring the key issues faced by CRO’s in today’s landscape

- How has the role of CRO changed as a result of recent events?
- What are the key challenges over the next 6-12 months?
- How can CROs ensure board level buy-in?

Moderator: Hank Prybylski, Partner & Global Financial Services Risk Leader, ERNST & YOUNG
Charles Mires, Chief Risk Officer, ALLSTATE INSURANCE
Nancy Foster, Chief Risk Officer, CIT GROUP
Tim Wilson, Chief Risk Officer, CAXTON
Martha Cummings, Chief Risk Officer, SANTANDER
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading,
RBC CAPITAL MARKETS

10:00 Reform of the regulatory system

- What changes need to be made in the structure of the regulatory system?
- What are the most important measures we can take to reduce systemic risk?
- What are the key changes that need to be made in the securitization process?
- Where do hedge funds and private equity fit into the new regulatory structure?

Hal S. Scott, President and Director, COMMITTEE ON CAPITAL MARKETS REGULATION

10:40 Is a ‘Systemic Risk Regulator’ Possible?

- Limitations and unrealistic goals of regulatory reform
- Problems of short-term funding and leverage
- Should we have a systemic risk regulator, and if so, should it be the Fed?
- Possible role of a systemic risk advisor

Alex J. Pollock, Fellow, AMERICAN ENTERPRISE INSTITUTE (AEI)
& Former President and Chief Executive Officer, FEDERAL HOME LOAN BANK OF CHICAGO

11:20 Morning coffee break

Don't miss... 14.20 Special Keynote Address: Barry Zubrow, Chief Risk Officer, JP MORGAN CHASE

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Day Two: Stream 1

Effective portfolio management

11:50 Chairman’s opening remarks

Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading,
RBC CAPITAL MARKETS

12:00 Stress testing of portfolios to ensure future robustness

- Lessons learned from the crisis
- Internal stress testing mechanisms vs government prescribed scenarios
- Extreme scenarios – what is deemed as unlikely these days?
- Securing board-level buy-in to extreme event forecasts

Moderator: Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETS
Joe Dziwura, Senior Managing Director, Risk Management, TIAA CREF
Evan Sekeris, Senior Economist, FEDERAL RESERVE BANK OF RICHMOND

12:40 Best practices for investment risk management

- Overview of a best practices framework for investment risk management.
- Risk Measurement - using the right tools accurately to quantify risk from various perspectives.
- Risk Monitoring - tracking the output from the tools and flagging anomalies on a regular and timely basis.
- Risk-Adjusted Investment Management (RAIM) - uses the information from Measurement and Monitoring to align the portfolio with expectations and risk tolerance.

Frank Nielsen, Executive Director & Head of Applied Research (Americas), MSCI BARRA

13:20 Lunch and opportunity to visit the exhibition

14:20 Special Keynote Address: Barry Zubrow, Chief Risk Officer, JP MORGAN CHASE

15.00 Building a risk management team from the ground floor at Ground Zero and thoughts on emerging derivative risk management best practices for financial institutions

Cary Lyne, Senior Risk Manager, NORTHERN TRUST GLOBAL INVESTMENTS

15:40 Beyond quantitative analysis - portfolio risk management today

- How to consider managing risk by using both quantitative and qualitative measures
- Defining risks and calibrating proper mitigations
- Looking beyond VAR measures

Daniel Wallick, Principal, Investment Strategy Group, VANGUARD

16:20 Afternoon coffee break

Day Two: Stream 2

Enterprise Risk Management

11:50 Chairman’s opening remarks

12:00 ERM Emerging Practices
- Risk Culture and Framework
- ERM Key Themes
- Role of ERM During Turbulent Times

Lori Evangel, Enterprise Risk Management, METLIFE

12:40 Convergence of structured products and funds

- Structured products with fund-like economics
- Funds with structured product-like economics
- Comparisons from risk perspective

Julien Dauchez, Director, Fund Linked Derivatives Structuring, BARCLAYS CAPITAL

13:20 Lunch and opportunity to visit the exhibition

14:20 14:20 Special Keynote Address: Barry Zubrow, Chief Risk Officer, JP MORGAN CHASE

15.00 Panel: Moving operational risk up the agenda

- Key components of an effective OpRisk structure
- Transferable skills for other risk disciplines
- Diffusing OpRisk best practice throughout the organization
- Op risk manager authority - what does the ORM approve
- Op risk management - a job or a career

Moderator: Jay Newberry, Managing Director, Global Operational Risk Management, Citi
Joseph Sabatini, Managing Director and Global Head of Operational Risk, JPMorgan Chase
Marta Johnson, Senior Vice President – Global Markets Operational Risk and Control, Bank of America

15:40 Empowering risk managers throughout the organisation

- Ensuring risk management thinking is diffused throughout organisation
- Defining risk culture
- Effective reporting to board to ensure buy-in
- Future challenges and priorities for risk management

Mike Yamamoto, Managing Vice President, Risk Management, CAPITAL ONE

16:20 Afternoon coffee break

Day Two: Stream 3

Risk management for the buy-side

11:50 Chairman’s opening remarks

12:00 Corporates: Microsoft’s 360-degree exposure reporting system

- Need for a holistic exposure view during the crisis
- Overview of the development of the 360-Degree Exposure report and content
- Benefits of the 360-degree exposure report and lessons learned

Bertan Akin, Senior Quantitative Manager, MICROSOFT CORPORATION

Winner: Adam Smith Award for Best Practice and Innovation 2009 in Effective Risk Management

12:40 Investment risk management for pension funds

- Key investment risks
- The challenge of measuring the risk of Private Investments
- Adapting sell side risk measures to pension funds
- Combining the risk of internal and external portfolios

Joe Masri, Head of Risk Management, CANADA PENSION PLAN INVESTMENT BOARD

13:20 Lunch and opportunity to visit the exhibition

14:20 Special Keynote Address: Barry Zubrow, Chief Risk Officer, JP MORGAN CHASE

15.00 Panel: Risk management for hedge funds

- Unique challenges of managing risk whilst pursuing an absolute return strategy
- The future role of leverage given recent market shocks
- What new regulation will mean for the hedge fund industry

Moderator: Tom Donahoe, Former Chief Risk Officer, ANGELO GORDON

Larry Tint, Former Chief Executive Officer, BARCLAYS GLOBAL INVESTORS
Aaron Brown, Chief Risk Officer, AQR CAPITAL MANAGEMENT
Tim Wilson, Chief Risk Officer, CAXTON
Joe Masri, Head of Risk Management, CANADA PENSION PLAN INVESTMENT BOARD

15:40 Risk management for insurers

- Bad assets, bad liabilities, bad decisions, or bad business?
- Do insurance companies contribute to overall systemic risk?
- The future of insurance company regulation

Moderator:Charles Mires, Former Chief Risk Officer, Allstate Insurance; Senior Managing Director, Clutterbuck Funds,
Matt Halperin. Senior Managing Director, Risk Management, TIAA-CREF,
Terri Vaughan, Chief Executive Officer, National Association of Insurance Commissioners (NAIC),
Paul Hannon, Supervising Risk Management Specialist, New York State Insurance Department

16:20 Afternoon coffee break

16:40 Human behaviors as a risk factor

- human biases when subjectively assessing the probably of rare events
- the illusion of our ability to make decisions
- group think and how it affects decision making

Elliot Noma, Managing Director, GARRETT ASSET MANAGEMENT; Senior Risk Consultant, ASSET ALLIANCE

17:20 Panel: The future of the risk management profession

- Roles and responsibilities
- Ways of working with the business
- Remuneration structures
- Future challenges

Dale Gray, Senior Risk Expert, INTERNATIONAL MONETARY FUND (IMF)
Elliot Noma, Managing Director, GARRETT ASSET MANAGEMENT; Senior Risk Consultant, ASSET ALLIANCE
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETS

18:00 Closing remarks

18:10 End of conference