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

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, Managing Director, Chief Risk Officer, CQS MANAGEMENT

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

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

Chairman's opening remarks

Chairman's opening remarks


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

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


Examining market structures to safeguard stability in HFT markets

  • Trading venues that decrease complexity
  • Tools to create a robust framework to police and identify abuses
  • Rules to improve stability
  • Fine tuning rules on trading strategies

Erozan Kurtas, Head of HFT Monitoring, SEC



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?

John McMurray, Board Director, Chief Risk Officer and Chief Auditor, RUSSELL INVESTMENTS

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

Brian S. Strauss, Managing Director and Chief Risk Officer, KCG AMERICAS
Further speakers to be confirmed


Effectively measuring and managing model risk

  • CCR models behavior during macroeconomic shock and what it does to your portfolio
  • How do different models incorporate macro aspects into models
  • Credit scores and its meaning

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

CCP liquidity risk management

  • Basel III and its impact on CCP
  • New standardized approaches for measuring CCP risk exposure
  • Backtesting counterparty risk: how good is your model?
  • CCP exposure calculation
  • Regulatory requirements

Speaker to be confirmed

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


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

CCP liquidity risk management

  • Basel III and its impact on CCP
  • New standardized approaches for measuring CCP risk exposure
  • Backtesting counterparty risk: how good is your model?
  • CCP exposure calculation
  • Regulatory requirements

Speaker to be confirmed

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

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 simplification
  • Economic imperatives of technology
  • IT staff hire and people management

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

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?

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
Further speakers to be confirmed

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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