Day 1, October 21st

08:00 Registration and breakfast

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

09:00 Keynote Address:

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, 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

Chairman's opening remarks

Chairman's opening remarks


Effective implementation of the LCR

  • How should your firm prepare for the implementation?
  • Characteristics and components of the LCR
  • Timing and operational requirements
  • Overview of the most significant issues vs. likely regulatory response
  • How to assess the liquidity of assets for inclusion in LCR ratio

Speaker to be confirmed

Corporate perspective on trading and hedging derivatives

  • Is Basel III and clearing requirements going to limit the use of derivatives by corporates?
  • Details on the new regime for reporting derivatives trades
  • Tackling clearing issues for corporates
  • Initial and variation margins to central counterparties (CCPs)

Speaker to be confirmed

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


Funding, liquidity and balance sheet optimization

  • Funding costs and credit counterparty risk modeling
  • Embedding new types of complex and non-linear risks
  • Funding costs for the hedging strategy of a portfolio of trades
  • Initial margins impact on valuation and on multiple discount curves

Speaker to be confirmed

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


Are you ready for the CCAR and DFAST review?

  • Guidance on how your firm can meet increasingly heightened regulatory stress testing expectations?
  • How do you aggregate two conflicting stress tests
  • Applying different scenarios across asset classes
  • Quantitative and qualitative analysis of the CCAR results and lessons learned

Speaker to be confirmed

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


Market volatility, liquidity issues and customer bond positions

  • Changes in the market and regulatory activities, bond pricing and interest rates
  • Steps that buy-side firms are taking in response to market signals and their concerns about liquidity
  • Different scenarios in case of market crisis



Managing current real time trading risk exposure

  • The impact of Fed tapering on volatility thus returns in your portfolio
  • What are the modifications to traditional style?
  • Strategies designed to boost collateral returns

Speaker to be confirmed



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

  • Are the US capital rules driving European banks away?
  • Why haven't Coco bonds been embraced in the US?
  • Is there a future for REPOs and securities lending under the US version of leverage ratio rules?
  • 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?

Jeffrey Samuel, Head of Regulatory Policy Americas, BARCLAYS


Minimizing costs of OTC trading

  • How to lower costs associated with running a swap business under Basel III leverage and capital rules
  • Combating the regulatory impact and administrative burden and hedging costs
  • Reviewing and adjusting of liquidity management and collateral optimization costs
  • Cost of model development and approval: initial margin charges and capital charges models

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

Improving buy-side performance with dark pool strategies

  • Best trading venues in todays fragmented market
  • How can you estimate cost before entering a trade?
  • What criteria should you consider when narrowing down your dark pool venues?
  • How do you avoid toxic order flow?

Speaker to be confirmed



Setting the limits for risk

  • Business analytics for what is a profitable and what no longer is
  • Impact on liquidity and balance sheet management

Jasmine Burgess, Chief Risk Officer, PROLOGUE CAPITAL

Margin optimization techniques

  • Standard for trades efficiency
  • Criteria for choosing the right FCM and CCP
  • What tools should you have available to keep margins tight

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

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

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 Office, Head of Strategy, FINRA

5:00 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

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


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