Day 1, October 21st

08:00 Registration and breakfast

08:50 Welcome address: Duncan Wood, Editor-in-Chief, RISK MAGAZINE

09:00Keynote address: Market-driven scenarios for portfolio risk management

Ben Golub, Senior Managing Director, Chief Risk Officer, Member of Global Executive Committee, BLACKROCK

09:40 Keynote address: Using risk management techniques to improve performance

Jane Buchan, Managing Director, Chief Executive Officer and Co-Founder, PAAMCO

10:20 Chief Risk Officers' roundtable: Aligning risk and value

  • How do you know that you are getting the most from your risk management strategy?
  • How should firms be structured to optimize the management of risk
  • How can embedding risk management into business processes drive positive shareholder value? What are the issues here? What are the controversies
  • Value-added risk management: preparing for new and varied scenarios
  • Driving value via technology

Moderator: Severino Renna, Executive Director, MSCI

Alec Crawford, Partner & Chief Risk Officer, Equity Investments, LORD ABBETT
William L. Dawson, Executive Vice President, Chief Risk Officer, Wealth, Brokerage and Retirement, WELLS FARGO & COMPANY
Yury S. Dubrovsky, Managing Director, Chief Risk Officer, LAZARD
Patrick Trew, Chief Risk Officer, CQS

11:00 Morning coffe break


Stream one

Enterprise risk management

Stream two

Derivatives trading

Stream three

Portfolio and investment risk

Stream four

Technology and e-trading


Chairman's opening remarks: Rob Bonds, Director, Fixed Income Market & Portfolio Strategy, WELLS FARGO SECURITIES

Chairman's opening remarks: Michael McClain, President and Chief Operating Officer, THE OPTIONS CLEARING CORPORATION

Chairman's opening remarks: Jasmine Burgess, Chief Risk Officer, PROLOGUE CAPITAL

Chairman's opening remarks: Irene Aldridge, Managing Director, ABLE ALPHA TRADING


How a robust ethics culture can impact risk-taking behaviors

  • Ethics as part of the organization's culture
  • Risk-taking behaviors dependent on company's culture
  • Adequate procedures and regular training to ensure culture is aligned with business objectives

Marc Schaedeli, Group Control, Head of Group Risk Management, NESTLE

The drive to reduce systemic risk and the transformation of clearing

  • How CCPs are meeting the heightened expectations of new standards such as PFMI and CCA among others
  • The impact of the new CCP environment on market participants
  • Where the risk management efforts in the marketplace are headed next.

Craig Donohue, Executive Chairman, THE OPTIONS CLEARING CORPORATION

How can you use Structured Products to hedge risk?

  • Hedging costs vs. counterparty risk
  • How to measure due diligence and valuation?
  • Risk/return profile for Structured Products market

Sivan Mahadevan, Managing Director, Head of Global Equity and Credit Derivatives Strategy, MORGAN STANLEY


Technology challenges around risk management

  • HFT good or bad for the market
  • How is technology going to evolve in current economic situation
  • No luxury to make big changes vs. strive for IT simplificatio
  • Economic imperatives of technology
  • IT staff hire and people management

Jennifer Courant, Head of Risk Systems and Technology, Franchise Risk Architecture, CITIGROUP



Measuring and analyzing systemic risk

  • How can systemic and sovereign risk analysis be integrated into stress testing?
  • IMF Financial Stability Assessment Program
  • How can financial, sovereign and macro risk interactions be modeled?
  • Modeling banking, sovereign, and macro risk across countries using GVAR models (joint IMF-ECB work on Europe) and using network models.

Dale Gray, Senior Risk Expert in the Monetary and Capital Markets Department, INTERNATIONAL MONETARY FUND

Bilateral margining and dispute management

  • Clear dispute process for identifying, clarifying, monitoring and documenting disputes
  • Market reaction to regulatory requirements
  • Future changes to collateral management

John Griffin, Head of Derivatives and Trading, HARTFORD INVESTMENT MANAGEMENT



Spread risk modeling: What is the new normal?

  • Effectively measuring spread risk in a true multi-asset class framework is increasingly important
  • Traditional spread modeling for fixed income works well only for linear factor models
  • A Monte Carlo risk framework allows for more powerful, relative-value models that naturally capture correlation and security structure
  • This talk will explore the use of relative value models for spread modeling for corporates, mortgages, and sovereign bonds.

Bill McCoy, Vice President, Senior Product Manager, Fixed Income Product Development, FACTSET

How will algo trading transform the bond market?

  • What is the current status of electronic and algorithmic trading in bonds?
  • How will algorithms reduce transaction costs and slippage?
  • Likely movement of prices and how to achieve executable prices

Robert Almgren, Visiting Scholar and Adjunct professor in Financial Mathematics, Courant Institute of Mathematical Sciences, NEW YORK UNIVERSITY, Co-founder, QUANTITATIVE BROKERS

1:00 Lunch


Enterprise Risk Management "Pain Points" in the CCAR process

  • ERM as it flows through the CCAR process
  • Key areas of ERM deficiency leading to CCAR failures and MRIA / MRAs
  • Focusing on enhancement of ERM elements will bolster CCAR results as well as other processes integrated with ERM

Jared Forman, Principal, Risk Advisory Services, DIXON HUGHES GOODMAN

CCPs product availability, evolution, quality of offerings and risks that they carry

  • What are the riskiest CCPs
  • Protection against FCM and CCPs default
  • What are the risks of choosing CCP that is not a major player?
  • More margins means more risks - do we want to be at the cutting edge? What's the natural development of the CCPs?

James Wallin, Senior Vice President, ALLIANCEBERNSTEIN

Better risk-reward measures for risk and capital allocation

  • How regulatory, economic and liquidity changes should drive risk allocation/limit changes
  • Risk reward traps. How Stress tests, VaR and scenario are less than half the risk story. An introduction to ‘strategy risk'
  • Live examples relevant to market risk, PFE modeling, trader performance and capital allocation to funds

Jasmine Burgess, Chief Risk Officer, PROLOGUE CAPITAL



Panel discussion: Managing current real time trading risk exposure

  • What's the real-time picture of your risk exposure?
  • Lessons learned from equities algorithmic trading: best strategies for the other asset classes
  • Tools available to enhance your infrastructure

Moderator: Brian Strauss, former Chief Risk Officer, KCG AMERICAS
Irene Aldridge, Managing Director, ABLE ALPHA TRADING
Marc Vesecky, Chief Risk Officer, TOWER RESEARCH CAPITAL


Effectively measuring and managing model risk

  • Defining Model Risk
  • Inherent model risk assessment
  • Alternate exposure concepts
  • The strategic value of measuring model risk

Sean C. Keenan, Senior Managing Director, Model Risk Management, AIG


The right way to capture Wrong Way Risk?

  • Modeling bilateral counterparty default for derivatives
  • Defining wrong way risk
  • Removing state dependent discounting
  • Capturing credit spreads via generalized means

Peter Carr, Managing Director, MORGAN STANLEY

How should investors oversee hedge fund investments in the new normal trading environment

  • Investor due diligence checkpoints when evaluating a hedge fund investment
  • What are the benefits/drawbacks of different types of investment risk oversight for hedge funds?
  • Should risk be part of the investment process or separate

Michelle McCarthy, Managing Director, Chief Risk Officer, NUVEEN INVESTMENTS

Risks associated with electronic trading

  • Risk profile and significance of electronic trading
  • Recent risk events and the threat posed by technology glitches
  • Operational risk framework to ensure electronic trading controls are fit for purpose

Vishal Sood, ‎Global Head of Electronic Trading Technology & North America Head of Equities Technology, CITI


Building a sustainable business under the Fed's enhanced prudential capital standards for IHCs

  • Key challenges for FBOs in complying with the new requirements
  • How may leverage requirements impact FBO business models?
  • What changes need to be made to the business and balance sheet in order to comply with the regulatory standards?
  • Are the FBOs too big to fail?

Jeff Samuel, Head of Regulatory Policy Americas, BARCLAYS

Risk capital allocation with organizational constraints

  • Review existing risk capital allocation methodology and their practical limitations
  • Propose a new allocation method that explicitly captures the organizational constraints
  • The new method is computationally efficient and produces stable and sensible allocation results
  • Compare the business incentive from different allocation methods, and show that the new method gives the right incentive for risk reduction

Yadong Li, Director, Head of Counterparty Exposure Risk Modeling, BARCLAYS

Concentrated portfolios: high-conviction equity strategies

  • Why is there interest today?
  • How do asset managers create these strategies?
  • Should risk management be different for these strategies
  • How do you combine these strategies?

Andrew Chin, Chief Risk Officer, ALLIANCEBERNSTEIN

How to price leveraged ETF options consistently with ETF options

  • Pricing leveraged ETF options consistently with ETF options
  • Building the LETF volatility skew from the ETF volatility skew
  • Explicit formulas and relationships

Roger Lee, Associate Professor of Mathematics, UNIVERSITY OF CHICAGO

4:00 Afternoon coffee break

4:20 Afternoon keynote address: FINRA priorities - key risks and emerging regulatory issues

  • Overview of the mission and mandate of FINRA's new Office of Risk and Strategy
  • Insight into how FINRA is leveraging risk analytics and surveillance to enhance investor protection and market integrity
  • Review of some of the key risks and exam priorities FINRA is focused on, including conflicts of interest, complex products, business conduct and risk oversight
  • Discussion of emerging regulatory issues, including new products, business models and industry trends

Carlo di Florio, Chief Risk Officer, Head of Strategy, FINRA

Panel discussion: Liquidity risk management and funding in a changing interest rate environment

  • Hedging interest rate risk
  • Inflation risk versus liability risk: Measuring the true impact of inflation risk within liability risk
  • How will rising interest rates affect pricing?
  • Diversifying versus hedging expected inflation risk in nominal bond portfolios
  • How well embedded is ALM into holistic risk management calculations?
  • Risk and return tradeoffs in balance sheet management
  • What is the sensitivity of one's pool of assets to market liquidity and how one can potentially optimize it?

Moderator: Matthew Crabbe, Managing Director, RISK
Rob Bonds, Director, Fixed Income Market & Portfolio Strategy, WELLS FARGO SECURITIES
Claude Bergeron, Executive Vice-President and Chief Risk Officer, CAISSE DE DEPOT ET PLACEMENT DU QUEBEC
Sorina Zahan, Partner and Chief Investment Officer, CORE CAPITAL MANAGEMENT

5:40 Closing remarks: Duncan Wood, Editor-in-Chief, RISK MAGAZINE

5:50 Drinks reception

>> View the agenda for day 2 of the conference

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