Day 1 Program 2015 October 21

08:00 Registration and breakfast

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

09:00 Keynote address: Changes in the market structure and their implications for financial stability

Patrick Pinschmidt, Deputy Assistant Secretary, U.S. TREASURY DEPARTMENT

09:40 Keynote address: Key risks facing the banking sector

Darrin Benhart, Deputy Comptroller for Supervision Risk Management, OFFICE OF THE COMPTROLLER OF THE CURRENCY

10:20 Five new investment trends and how they will affect how you manage risk

Remy Briand, Managing Director, Global Head of Research, MSCI

11:00 Morning coffe break


Stream one: Saving the repo market

Stream Two: Sefs and clearing

Stream three: XVA

Stream four: Investment risk


Chairman's opening remarks: Jeff Kidwell, Director, Head of Direct Repo, AVM

Chairman's opening remarks: Al Qureshi, Executive Director, U.S. BANK

Chairman's opening remarks: Samim Ghamami, Economist, FEDERAL RESERVE BOARD

Chairman's opening remarks: Stephan Meili, Managing Director, Risk Management, CITI


Regulatory concerns around repo market

  • Reforms of the repo market so far
  • Consequences of new regulations
  • Risks and opportunities in the repo market going forward

Antoine Martin, VP, Head of Money and Payments Studies Function, FEDERAL RESERVE BANK OF NEW YORK

Panel: Reviving swap futures and MAC tradingWhy are they not taking off?

  • MAC trades (Mutually Agreed Coupon) - size, availability and standardized products
  • What are the risks involved?

Moderator: Al Qureshi, Executive Director, U.S. BANK
Braj Agrawal, Managing Trader, Derivatives, COLUMBIA THREADNEEDLE INVESTMENTS
Raj Bhandula, Senior Derivatives Trader, GENWORTH FINANCIAL
Ray A. Kahn, Managing Director Global Head of Futures Clearing / Americas Head of ADS, BARCLAYS

Challenges faced managing an XVA desk

  • Review of XVA
  • Different perspectives: Accounting, capital, risk and return over life of trade
  • Situations that challenge 'standard' pricing and hedging
  • Conclusion

Paul Bowmar, Managing Director, Head of XVA for the Americas, BNP PARIBAS

Machine intelligence for Market Regime Detection

  • Identify analogues across market regimes leveraging all available data
  • Reveal market relationships and opportunities missed by specific queries
  • Rapidly understand implications of today's conditions for future risks and returns

Carl Dietz, Principal Solution Architect, Financial Services, AYASDI



Panel: Repo clearing for the buy-side

  • How to bring the buy-side (non-dealer clients) to repo clearing (Repo CCP)?
  • New risks of Triparty Repo Reform
  • New market risks of bankruptcy stay (FDIC, SIFI, FSOC)
  • Direct Lending, transacting securities borrows between collateral provider beneficial owners and outright shorts
  • Synthetic repo
  • Participation in Fed's RRP

Moderator: Peter Nowicki, Independent Treasury Risk Advisor
Jeff Kidwell, Director, Head of Direct Repo, AVM
Mike Mcauley, Managing Director, Global Head of Product and Strategy, BNY MELLON

Panel: Operating in the new SEF world

  • Impartiality of access and how this has changed the market?
  • What technological innovations are being put forward to help source liquidity and reduce costs?
  • What trading or access models from other markets can be adopted for swaps trading?
  • How are firms determining which SEFs to connect to?
  • What have we learnt in SEFs trading so far?

Moderator: James Wallin, Senior Vice President, ALLIANCEBERNSTEIN
Mike Du Plessis, Managing Director and Global Head of FX, Rates and Credit Execution Services, UBS
Elisabeth Kirby, U.S. Markets Strategy, TRADWEB MARKETS
Michael Noto, Head of Fixed Income eDistribution - Americas, BARCLAYS
Mariam Rafi, Managing Director, North American Head of OTC Clearing, CITI

PFE, CVA and WWR analytics: making quants life easier without losing quality

  • Analytic formula for "amortization" effect enabling generic PFE profiles
  • Analytic expressions for CVA with/without correlation of exposure with the counterparty credit quality
  • Simple analytic estimator for WWR impact on CVA and its upper and lower bounds
  • The formalism developed appears quite useful for both BAU risk management and CCAR/stress testing practice

Mark Syrkin, Financial Institution Supervision Group, FEDERAL RESERVE BANK OF NEW YORK

Panel: Cross asset risk aggregation

  • Best metrics
  • How to create an accurate VaR?
  • How do you handle a portfolio of fundamentally based assets idiosyncratic in nature?
  • How do you integrate risk in the portfolio?

Moderator: Wayne Dahl, Chief Risk Officer, PROSIRIS CAPITAL MANAGEMENT
Tim Grant, Managing Partner, PETIUS PARTNERS
Stephan Meili, Managing Director, Risk Management, CITI
Hilmar Schaumann, Head of Risk Management, New York, BREVAN HOWARD
Andy Sparks, Managing Director and Head of Fixed Income Research, MSCI


1:00 Lunch


Panel: Banks on the future of repos market and securities lending

  • The future for repos market and securities lending
  • Why is the financing market shrinking? How is regulation changing the way we think about this business?
  • What is driving the funding and the financing activity from banks? What about expected impacts from LCR, Leverage Ratio and NSFR implementation?
  • Are the low interest rates impacting the market functioning?
  • What about cleared repo and securities lending?
  • Is there a different business model to manage capital allocation?

Moderator: Jeff Kidwell, Director, Head of Direct Repo, AVM
Stefano Bellani, Managing Director, Global Head of Agency Lending, JPMORGAN
Tony Blasi, Managing Director, Head of US Repos, CREDIT SUISSE
Tony Toscano, Managing Director Head of US Trading, DEUTSCHE BANK

Panel: Banks vs. clearing houses

  • Should CCPs have more ‘skin in the game'?
  • When things go wrong, why should bank be charged the most?
  • Should risk be mutualised and the default system reformed?

Moderator: Duncan Wood, Editor-in-Chief, RISK MAGAZINE
Jeffrey Bandman, Acting Director, Division of Clearing and Risk, CFTC
Robert Burke, Managing Director, Head of Global OTC Clearing, BANK OF AMERICA MERRILL LYNCH
Sunil Cutinho, Senior Managing Director and President, CME CLEARING
Chris Perkins, Managing Director and Global Head of OTC Clearing, CITI



Evolution of the capital standards for the trading book

  • Expected shortfall
  • Backtesting
  • P&L attribution
  • The standardized approach

Christopher Finger, Associate Director, FEDERAL RESERVE BOARD

Luck vs skill

  • Why have active managers been struggling recently?
  • Distinguishing luck from skill
  • Evidence from US, Global, International and Emerging Equity managers
  • Where and when is skill rewarded?

Andrew Chin, ‎Chief Risk Officer and Head of Quantitative Research, ALLIANCE BERNSTEIN


Utilizing the repo market

  • The future for repo market
  • Repo market landscape
  • Effects on short term liquidity

Scott E.D. Skyrm, Managing Director, Fixed Income Financing, Futures, And Rates, WEDBUSH SECURITIES

Regulatory response to a changing market structure

Petal P. Walker, Chief Counsel
Office of Commissioner Bowen, CFTC

Adding KVA and MVA to XVA framework

  • XVA framework
  • Economic and accounting FVA
  • Capital and KVA
  • Margin and MVA

Serguei Issakov, Global Head of Quantitative Research, NUMERIX

Non-traditional approach to risk models

  • The analysis of a well-diversified fund of funds portfolio and its behavior under different volatility levels
  • How do they behave in high and low volatility levels?
  • How do they behave independently?
  • What are the underlying economic factors?

Amit Deshpande, Head of Investment Risk, CHARLES SCHWAB INVESTMENT MANAGEMENT




Panel: Regulatory initiative in repo and securities lending transparency

Moderator: Viktoria Baklanova, Senior Financial Analyst, U.S. TREASURY DEPARTMENT
Cecilia Caglio, Co-Chairs at the FSB Data Experts group (DEG), FEDERAL RESERVE BOARD
Adam Copeland, Economist, Money and Payments Studies Function, FEDERAL RESERVE BANK OF NEW YORK

Regulatory matters and industry initiatives - A clearing member view

  • CCP governance
  • CCP stress testing
  • Non-Default losses
  • CCP reporting to members
  • What is a "QCCP"?
  • Liquidity impacts

Greg Fell, Managing Director, Global Head of Financial Market Infrastructure, CITIGROUP


Wrong way risk for CVA

Peter Carr, Global Head of Market Modeling, MORGAN STANLEY


The elements of investment risk

Richard Flynn, Managing Director, Global Head of RQA Fixed Income, BLACKROCK


4:00 Afternoon coffee break

4:20 Keynote address: Addressing risks in asset management

Barbara G. Novick, Co-founder and Vice Chairman, Member of Global Executive and Global Operating Committees, Chairs of the Government Relations Steering Committee, BLACKROCK

5:00 Panel discussion: Blockchain on Wall Street - risks and opportunities

  • How do digital currencies fit into the modern investment portfolio?
  • Understanding bitcoin derivatives and asset-backed coins
  • Technology underpinning the use of the virtual currency
  • Lessons learnt in the post-trade derivatives space
  • Exchanges and CCPs views
  • Current use and future potential for bitcoin transactions

Moderator: Jonathan Levin, Co-Founder, CHINALYSIS
Bobby Cho, Director of Trading, itBit TRUST COMPANY
Joshua Lim
, Head of Treasury and Trading Operations, CIRCLE INTERNET FINANCIAL
Tim Swanson
, Director of Market Research, R3CEV

5:40 Closing remarks: Bruce Morris, SVP and Head of North America, INCISIVE MEDIA

5:50 Drinks reception

>> View the agenda for day 2 of the conference


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