Day 2

Day Two: Wednesday, November 2, 2011

Day Two - Stream 1 | Day Two - Stream 2 | Day Two - Stream 3

08:20 Coffee and registration

08:50 Welcome address: Nick Sawyer, Editor-in-Chief, RISK

09:00 GUEST ADDRESS: Risk Appetite - Understanding the tolerance for P&L swings

Christian Sewing, Group Chief Credit Officer, DEUTSCHE BANK

09:40 PANEL DISCUSSION: Risk and investment issues facing institutional investors, asset managers, pension funds and insurance companies

Moderator: Nick Sawyer, Editor-in-Chief, RISK

Elizabeth Ward, Executive Vice President and Chief Enterprise Risk Officer, MASSMUTUAL FINANCIAL GROUP
Prakash Shimpi, Chief Risk Officer, ING INSURANCE US
Henry T. C. Hu, Allan Shivers Chair in the Law of Banking and Finance, UNIVERSITY OF TEXAS LAW SCHOOL
Stephen Gruppo, Chief Risk Officer, TIAA-CREF

10:20 PANEL DISCUSSION: Risk and investment challenges facing investment and large retail banks

Moderator: Mark Pengelly, US Editor, RISK
Joe Rockey, Executive Vice President, PNC FINANCIAL SERVICES
Joseph Bench,  EVP & Treasurer, IDB BANK
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETS
Michael L. Brosnan, Senior Deputy Comptroller, Large Bank Supervision, OFFICE OF THE COMPTROLLER OF THE CURRENCY (OCC)

11:00 Morning break and an opportunity to visit the exhibition

Stream one: SYSTEMIC AND CREDIT RISK

Chairman's opening remarks:Thomas Donahoe, Former Global Chief Risk Officer, ALADDIN CAPITAL HOLDINGS

11:30 Building confidence in banks and the banking system

• The value of stress testing in building market confidence
• Developing assumptions and scenarios:  Macro shocks and idiosyncratic factors
• Capital planning, risk management and expectations for the use of stress testing

Michael L. Brosnan, Senior Deputy Comptroller, Large Bank Supervision, OFFICE OF THE COMPTROLLER OF THE CURRENCY (OCC)

12:10 Monte Carlo simulation of counterparty credit risk across all asset classes and instrument types

• Theoretical foundation and Generic Monte Carlo simulation of counterparty exposure   
• Risk neutral vs real world measure
• Counterparty risk measures: Basel II (PFE, EPE, ...) and Basel III (CVA, DVA, Bilateral CVA)
• Exposure in the presence of collateral: cash and asset collaterals and collateral conditions, close-out risk   
• Aggregation of exposures by netting sets
• Wrong way risk in CVA by model construction - joint simulation of market risk factors and credit processes
• Optimizations for large portfolios of liquid instruments

Serguei Issakov, Senior Vice President, Quantitative Research & Development, NUMERIX

12:50 Lunch and an opportunity to visit the exhibition

1:50 Effective Enterprise Risk Management in today's market

• Development of a holistic, enterprise wide ERM where all risks are captured
• Challenges and opportunities of integration of credit and market risks
• Assuring ERM is impactful in day to day decision making-engaging the enterprise
• Importance of scenario stress testing and unified view to complement underlying specific models
• Challenges and opportunities of emerging global regulation-impact on ERM
• Link between risk management and capital planning

Lori Evangel, Enterprise Risk Officer, METLIFE

2:30  Dissecting systemic risk

• Sources of systemic risk
• Approaches to managing systemic risk
• Comparison and structural challenges

Viju Joseph, Chief Risk Officer, ETON PARK CAPITAL MANAGEMENT

3:10 Afternoon break and an opportunity to visit the exhibition

3:40 The US mortgage market - stalled or derailed?

• How did we get here - a brief messy history 
• Its discontents and finger pointing
• Risk - assessment and quantification challenges
• Outlook for climbing out and some prescriptions

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

4:20 PANEL DISCUSSION: Evaluating the future of risk management for the financial industry

• How has risk management evolved/changed in the post Lehman/credit crisis environment?
• Managing systemic risk: how should risk management work to identify systemic risks before they become systemic?  What are the areas to focus on?
• How will the risk management profession change in the new world of Dodd-Frank?
• What information should the Board of Directors receive given the enhanced governance expectations today?
• Mitigating policy risk: enhancing the dialogue between regulators, supervisors and risk managers

Moderator: Thomas Donahoe, Former Global Chief Risk Officer, ALADDIN CAPITAL HOLDINGS
Gary Mandelblatt, Chief Risk Officer, NOMURA
Stefan Walter, Secretary General, BASEL COMMITTEE ON BANKING SUPERVISION
Bennett W. Golub, Chief Risk Officer, Co-Head of the Risk & Quantitative Analysis Group, BLACKROCK
Paige H. Wisdom, EVP and Chief Enterprise Risk Officer, FREDDIE MAC

Stream two: DERIVATIVES MODELING, PRICING AND TRADING

Chairman's opening remarks: Jonathan G. Harris, Vice President, Corporate Analytics and Research, FANNIE MAE

11:30 Calibrating to option prices

• Survey of existing approaches
• Generating implied vol surfaces by specifying their dynamics
• Alternatives to implied volatility for generating option prices

Peter Carr, Managing Director, Global Head of Market Modeling, MORGAN STANLEY; Executive Director, Masters in Math Finance Program, Courant Institute, NYU (Risk Awards 2003, Quant of the Year)

12.10 Model performance monitoring and back testing as a business and risk management tool

• Elements of a successful model performance monitoring program
• Regulatory issues OCC 2011-12 and other sources
• Making model performance monitoring an integral part of the model development and usage effort
• Using market information to gauge model performance
• Customizing the monitoring to meet the business needs
• Back testing behavioral models; avoiding traps

Jonathan G. Harris, Vice President, Corporate Analytics and Research, FANNIE MAE

 12:50 Lunch and an opportunity to visit the exhibition

1.50 CVA and Wrong Way Risk

• Calculation of CVA and DVA
• Basel III requirements
• A model for wrong way/right way risk
• Results from using the model
• Impact of wrong way/right way risk on the Greeks
• Impact of collateral, threshold, independent amount, cure period etc

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

2.30 Did CDS trading improve the market for corporate bonds?

• Defining bond market efficiency, liquidity, and quality.
• How bond trading changed when CDS came on stream.
• Empirical results on whether bond markets improved with CDS ntroduction

Sanjiv Das, Professor, Finance, SANTA CLARA UNIVERSITY

3:10 Afternoon break and an opportunity to visit the exhibition

3:40 The US mortgage market - stalled or derailed?

• How did we get here - a brief messy history 
• Its discontents and finger pointing
• Risk - assessment and quantification challenges
• Outlook for climbing out and some prescriptions

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

4:20 PANEL DISCUSSION: Evaluating the future of risk management for the financial industry

• How has risk management evolved/changed in the post Lehman/credit crisis environment?
• Managing systemic risk: how should risk management work to identify systemic risks before they become systemic?  What are the areas to focus on?
• How will the risk management profession change in the new world of Dodd-Frank?
• What information should the Board of Directors receive given the enhanced governance expectations today?
• Mitigating policy risk: enhancing the dialogue between regulators, supervisors and risk managers

Moderator: Thomas Donahoe, Former Global Chief Risk Officer, ALADDIN CAPITAL HOLDINGS
Gary Mandelblatt, Chief Risk Officer, NOMURA
Stefan Walter, Secretary General, BASEL COMMITTEE ON BANKING SUPERVISION
Bennett W. Golub, Chief Risk Officer, Co-Head of the Risk & Quantitative Analysis Group, BLACKROCK
Paige H. Wisdom, EVP and Chief Enterprise Risk Officer, FREDDIE MAC

Stream three: RISK MANAGEMENT FOR INVESTORS

 Chairman's opening remarks: Elliot Noma, Managing Director, GARRETT ASSET MANAGEMENT

11.30 Multi-asset modeling for risk management and stress testing

• VaR and other risk measures for joint loss distributions for multi-asset classes
• Consistent stress testing via common macroeconomic variables
• Marginal measures of risk across multi-asset classes

Ashish Das, Managing Director and Head of Research,
MOODY'S RESEARCH LABS

12.10 "Empty voters," "empty creditors," and other "decoupling" phenomena

• Overview of debt and equity "decoupling"
• Concepts of "empty creditor," "empty voter," and "hidden (morphable) ownership"
• Relationship to shareholder voting, the market for corporate control, bankruptcy, and systemic risk

Henry T. C. Hu, Allan Shivers Chair in the Law of Banking and Finance, UNIVERSITY OF TEXAS LAW SCHOOL

12:50 Lunch and an opportunity to visit the exhibition

1:50   Price Risk vs. Value Risk

Evan Picoult, Managing Director, Risk Architecture, CITI; Adjunct Professor, COLUMBIA BUSINESS SCHOOL

2:30 The ETF/ETN/ETP

• How ETFs/ETNs have changed the investment space
• Assessing the liquidity risk and potential tracking error
• Structural risks of leveraged ETPs
• Roll risk and other considerations when investing in commodity ETPs

Elliot Noma, Managing Director, GARRETT ASSET MANAGEMENT

 3:10 Afternoon break and an opportunity to visit the exhibition

3:40 The US mortgage market - stalled or derailed?

• How did we get here - a brief messy history 
• Its discontents and finger pointing
• Risk - assessment and quantification challenges
• Outlook for climbing out and some prescriptions

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

4:20 PANEL DISCUSSION: Evaluating the future of risk management for the financial industry

• How has risk management evolved/changed in the post Lehman/credit crisis environment?
• Managing systemic risk: how should risk management work to identify systemic risks before they become systemic?  What are the areas to focus on?
• How will the risk management profession change in the new world of Dodd-Frank?
• What information should the Board of Directors receive given the enhanced governance expectations today?
• Mitigating policy risk: enhancing the dialogue between regulators, supervisors and risk managers

Moderator: Thomas Donahoe, Former Global Chief Risk Officer, ALADDIN CAPITAL HOLDINGS
Gary Mandelblatt, Chief Risk Officer, NOMURA
Stefan Walter, Secretary General, BASEL COMMITTEE ON BANKING SUPERVISION
Bennett W. Golub, Chief Risk Officer, Co-Head of the Risk & Quantitative Analysis Group, BLACKROCK
Paige H. Wisdom, EVP and Chief Enterprise Risk Officer, FREDDIE MAC

5:00 Chairman's closing remarks. End of the Risk USA conference