Day 1, October 22

Risk USA - Conference Program 2013

8:00 Registration and breakfast

8:50 Welcome address: Duncan Wood, Editor, RISK

9:00 Keynote address: On the intersection of compliance and risk

  • The CCO's duties and its role in supporting risk governance and risk management
  • CCO reporting lines and risk governance: challenges for entities that are part of a larger organization

Gary Barnett, Director of the Division of Swap Dealer and Intermediary Oversight, CFTC

9:40 Executive address: Simplicity and strong supervision: rules are not enough

  • The benefits of bank risk models in calculating risk weights
  • The need for proper supervision and greater transparency
  • Why simplifying the rules would place higher demands on bank supervisors


10:20 CRO roundtable: Leadership and risk culture

  • Developing and implementing a strong and transparent risk culture
  • Principles of a sound framework
  • What does a good risk culture look like
  • What can we do to improve, increase or change risk culture
  • Risk appetite: which risks do you take, avoid and manage in current market environment

Moderator: Thomas Campanile, Partner, Financial Services, ERNST & YOUNG
Richard Ferguson, Chief Risk Officer, Americas, DEUTSCHE BANK
Jonathan Stein, Chief Risk Officer, HESS CORPORATION
Hilmar Schaumann, Chief Risk Officer, FORTRESS INVESTMENT GROUP
Patrick Trew, Chief Risk Officer, CQS MANAGEMENT (Risk Awards 2013; Hedge Fund of the Year)

11:00 Morning coffee break


Stream 1

Risk management of trading and banking book

Stream 2

Credit and counterparty risk

Stream 3

Risk management of investment portfolios


Chairman's opening remarks: Dmitry Green, Chief Risk Officer, SABA CAPITAL

Chairman's opening remarks: Gurpreet Chhatwal, Senior Director, Risk & Analytics, CRISIL Global Research & Analytics

Chairman's opening remarks: Marcos López de Prado, Head of Quantitative Trading, HESS ENERGY TRADING COMPANY


Effective risk management in current market conditions

Ken Phelan, Chief Risk Officer, RBS AMERICAS

Algorithmic exposure for Counterparty Risk, CVA, and FVA

  • Foundation of modern approach to Counterparty Risk, CVA, and FVA: hybrid models and American Monte Carlo method
  • Algorithmic exposure vs. direct simulation
  • Optimizations for practical implementation: primary and secondary factors, main correlations, parallelization of hybrid models
  • Real world measure: model calibration and exposure simulation
  • FVA for general instruments

Serguei Issakov, Global Head of Quantitative Research, Senior Vice President, NUMERIX

Inflation and Real Yield Tail Hedging

Vineer Bhansali, Managing Director, PIMCO


Risk management 2013 and beyond

  • Regulatory risk management is not just about being in compliance with laws and regulations
  • Products and services must be fully understood and vetted to understand impacts to the customer and financial institution
  • Risk culture and good governance are the foundation for success

Claudia Russ Anderson, Executive Vice President, Group Risk Officer, Community Banking, Regulatory Compliance and Operational Risk Management, WELLS FARGO

The FVA debate

  • Theory vs. practice in derivatives pricing
  • Accountants vs. traders
  • Unintended consequences of FVA
  • Private value vs. fair market value
  • Best practice proposal

John Hull, Maple Financial Chair in Derivatives and Risk Management, Joseph L. Rotman School of Management, UNIVERSITY OF TORONTO


Managing a diverse retirement portfolio: Navigating through uncertainty

  • The "new normal" and potential implications i.e. search for yield and effective tail risk management
  • Moving from wealth accumulation to wealth de-accumulation
  • Critical retirement risk factors and their effective management

Jayesh Bhansali, Managing Director, Head of Global Derivatives and Quantitative Portfolio Management, TIAA-CREF

1:00 Lunch


How can we reduce complexity in risk models and pricing without reducing risk sensitivity

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

Counterparty risk, CVA and wrong way risk

Dongsheng Lu, Head of Quantitative Research - Derivatives Trading, THE BANKOF NEW YORK MELLON

 Truth in advertising - proving investment strategy by reviewing risk data

  • Matching investment strategy decisions with risk exposures
  • Analyzing risk exposure over time with market and Portfolio Manager behavior
  • Independent and objective analysis from risk team
  • Buy in from senior management

Fred Gjerstad, Senior Vice President & Head of Investment Risk, STATE STREET


Managing Risk in a Separately Managed Account Structure: Challenges and Considerations
• Market & Portfolio Risk
• Operational Risk
• Liquidity Risk
• Strategy & Model Risk
Scott Ladner, Director of Alternative Strategies, HORIZON INVESTMENTS

Counterparty extinctions in the coming Ice Age
• New bank and trading regulations will require more cash, and hotter cash
• Money market changes will reduce supply of collateral-eligible cash, and cool it down
• Sovereign debt problems, collateral shortages and political fights could freeze the market altogether
• Counterparties will have to find warm regions in the Ice Age, or face extinction
Aaron Brown, Head of Risk Management, AQR CAPITAL MANAGEMENT

Harvesting alternative risk premium and managing risk through engineered diversification

  • Systematically harvesting market risk premium is an increasingly popular source of alpha
  • An innovative way of managing risk is engineering strategies to have low cross-correlation
  • This allows for efficient liquid alternative investment portfolios to be created at low cost
  • Specific examples from the equity derivatives and listed volatility markets

Benjamin Bowler, Global Head of Equity Derivatives Research, BANK OF AMERICA MERRILL LYNCH



CoCo Bonds
• Overview of CoCo bonds
• Role of CoCo bonds in improving the capital structure of a bank
o Structure of the product
o Various categories/ triggers and other special features
o Impact on Tier 1 and Tier 2 capital
• Pricing and valuation techniques
• Current status and acceptability - US, UK/Europe, Other
• Assessing risks
• Conclusions
Anshuman Prasad, Director, Risk and Analytics, CRISIL Global Research & Analytics

Basel II: Credit risk modeling and quantitative oversight of banks

  • Focus: Basel II compliance/ banks in parallel run
  • Default definition/ technical defaults
  • Data quality
  • Validation as an effective challenge process
  • Management oversight, controls and audit review as essential components of quantitative oversight
  • Conclusion: RWA, Pillar 2 and CCAR - Key principle that firms evaluate risk using multiple approaches

Eugenia Kulikova, Risk and Policy, THE FEDERAL RESERVE BANK OF BOSTON

Liquidity and Toxicity contagion

Maureen O'Hara, Professor of Finance, CORNELL UNIVERSITY

4:00 Afternoon coffee break

4:20 Afternoon keynote speaker: How to combine market, credit and liquidity risk into a unified risk framework
Lesley Jones, Group Chief Credit Officer, RBS GROUP

5:00 Panel discussion: Risk professionalism and standards of practice

  • Should risk management standards of practice (SoP) be adopted across professions and the financial industry?
  • Are professional risk management SoP desired at the individual level and the group level?
  • Is there a need to explore the potential use of SoP as a basis for professional guidance?
  • What are the pros and cons for requiring such standards?
  • Should risk managers come together to align under such standards?
  • If so, when and how?

Moderator: Dan Rodriguez, Managing Director and CRO for Systematic Market Making Group, CREDIT SUISSE
Ken Radigan, Senior Vice President, AIG and Chief Risk Officer, Commercial Casualty, CHARTIS
Hilmar Schaumann, Chief Risk Officer, FORTRESS INVESTMENT GROUP
Aaron Brown, Head of Risk Management, AQR CAPITAL MANAGEMENT

Qualified Risk Director Guidelines

5:50 Closing remarks: Duncan Wood, Editor, RISK

6:00 Drinks reception

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