Day 1 Program 2015

08:00 Registration and breakfast

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

09:00 Keynote address:
Chairman Timothy G. Massad, U.S. COMMODITY FUTURES TRADING COMMISSION

09:40 Keynote address: The economic collapse of Greece and Puerto Rico

  • Russia and Ukraine
  • The Chinese stock market slump
  • The Iran nuclear deal
  • The continuing impact of low commodity prices

Daniel Riordan, Chief Executive Officer, Global Corporate in North America, ZURICH INSURANCE

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

11:30

Chairman's opening remarks:

Chairman's opening remarks:

Chairman's opening remarks:

Chairman's opening remarks:

11:40

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?

Braj Agrawal, Managing Trader, Derivatives, COLUMBIA THREADNEEDLE INVESTMENTS
Vincent McGonagle, Director of the Division of Market Oversight, CFTC
Further speakers to be confirmed

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 Fixed Income, CVA Trading and Credit/Rates/FX Hybrid Trading, 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

 

12:20

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

Jeff Kidwell, Director, Head of Direct Repo, AVM
Michael O'Brien, Director of Global Trading, EATON VANCE
Further speakers to be confirmed

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?

Speakers to be confirmed, please visit riskusa.com for updates

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
Ali Shirazi, Senior Examiner, 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 Director, UBS O'CONNOR
Stephan Meili, Managing Director, Risk Management, CITI
Hilmar Schaumann, Head of Risk Management, New York, BREVAN HOWARD

1:00 Lunch

2:00

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?

Stefano Bellani, Managing Director, Global Head of Lending, JPMORGAN
Maureen Coen, Managing Director, FID Treasurer and Head of Repos, CREDIT SUISSE
Further speakers to be confirmed

 

Panel: Banks vs. clearing houses

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

Massimo Cutuli, Senior Risk Manager, Global Head of Derivatives Clearing Risk, GOLDMAN SACHS
Chris Perkins, Managing Director and Global head of OTC Clearing, CITI
Further speakers to be confirmed

 

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

New regulations for asset management products and services

  • The Financial Stability Oversight Council new regulations in Notice (seeking public comment)
  • Public comment regarding potential risks to U.S. financial stability from asset management products and activities - what are those?
  • Potential risks associated with liquidity and redemptions, leverage, operational functions, and resolution in the asset management industry - what is our input to far?

 

 

2:40

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

CCP waterfalls: resilience and recovery

  • A CCP is a mutualized enterprise, supported by the willingness and ability of its members
  • How resilient are CCP waterfalls, and how can they be strengthened?
  • What are the options for recovery tools if a member default exhausts resources?
  • How is member willingness and ability to support the CCP maintained in recovery?

Oliver Frankel, Managing Director, Head of Central Counterparty Risk, GOLDMAN SACHS

 

Valuations from a swap dealer perspective

  • Pricing risk for CVA, FVA, DVA, KVA
  • How do you predict long terms capital consumption?
  • Are all valuations important at various level of maturity?
  • How much capital will your trades consume and how will your models adapt
  • What would be your guess work for the next 10 years in terms of capital requirements?

Speakers to be confirmed, please visit riskusa.com for updates

Case study: 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

 

 

3:20

Panel: New details on how repo CCPs would work?

  • Benefits offered by the CCP
  • Regulatory point of view
  • What are the limitations it may bring: costs, limitation of types of collateral assets, may not be suitable for all players (e.g. Repo market impacts)
  • What are the market players it will touch? Who will use and who will not and why? What are the circumstances?

Robert P. Burke, Managing Director, Head of Global OTC Clearing, BANK OF AMERICA MERRILL LYNCH
Chris Perkins, Managing Director and Global head of OTC Clearing, CITI
Further speakers to be confirmed

Bilateral OTC derivatives: termination, valuation, netting, closeout, netting opinions

  • Netting opinions and jurisdictional considerations
  • Valuation at termination: case law issues; regulated aspects
  • Other issues

Speaker to be confirmed, please visit riskusa.com for updates

 

 

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

 

LCR, banking supervision and capital buffers to withstand serious economic shock

  • Loss absorbing capital calculation
  • Long term capital needs under different scenarios

Jimmy Yang, Managing Director, Credit and Operational Risk Analytics, BMO FINANCIAL GROUP

 

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

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

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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