Day 2, October 22nd

08:00 Registration and breakfast

08:50 Welcome address:

09:00 Keynote address: Progress in Basel: Aligning implementation to a common vision

Charles Taylor, Deputy Comptroller for Regulatory Policy Office, OFFICE OF THE COMPTROLLER OF THE CURRENCY (OCC) and Chairman, Supervision and Implementation Group, BASEL COMMITTEE

09:40 Panel Discussion: Keeping up with the SEFs

  • What improvements need to be made to streamline the clearing and reporting processes?
  • What is the ideal means of achieving pre-trade clearing certainty in RFQ and CLOB models? And what is your view on ‘tokens'?
  • What level of transparency pre-trade and post-trade is desired and how it can be achieved?
  • Ahead of the mandate for Package trades, what is your view on timing and what will be mandated? MAT to MAT, MAT to Mandated, what else and when?
  • CLOB access for market participants; good or bad at what level?
  • As there are differing risk functions on limit hub(s) vs. SEF's, how will the limit hubs keep up with the SEF's as they seek to differentiate themselves amongst their competition? 

Sam Priyadarshi, Head of Fixed Income Derivatives, VANGUARD
Speakers to be confirmed

10.20 Morning coffee break

 

Stream one

Enterprise risk management

Stream two

Derivatives trading

Stream three

Portfolio and investment risk

Stream four

Technology and e-trading

10.50

Chairman's opening remarks

Chairman's opening remarks

Chairman's opening remarks

Chairman's opening remarks

11:00

Managing your operational risk indicator framework

  • Balancing the costs and benefits of collecting more indicators
  • Managing spread sheet risk
  • Techniques for aggregating indicators
  • Calculating composite indicators
  • Documenting your indicator framework

Speaker to be confirmed

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

Dynamic hedging

  • Hedging interest-rate risk while treating it as "unrewarded risk"
  • Analyzing the variable annuity and traditional with-profits business
  • Contrasting different approaches
  • Lessons learnt for ALM best practice

Jon Kinderlerer, Managing Director, Head of Risk Advisory, CREDIT SUISSE

Cyber security risk management

  • Identifying a suitable conceptual framework within broader ERM
  • Review of current developments in cyber security regulation in the US
  • Examine risk disclosure practices

Suprotik Ghose, Head of Security, Risk & Control, Americas, Markets & International Banking, RBS

11.40

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

Peter Aerni, Managing Director, Global Risk Management, BANK OF AMERICA

Charges of Basel III implementation

  • Counterparty charger under new capital and liquidity ratios
  • The forecasted impact of new margin requirements on the bank's capital
  • How are the banks implementing counterparty charges
  • Derivatives pricing under new Basel regulations

Speaker to be confirmed

Renminbi market' growth prospects and its impact on portfolio management

  • How is the the FX market going to affect your overall risk management profile?
  • What are the plans for Chinese currency reforms? Is China likely to end the "currency wars"

Richard Cochinos, Head Americas G10 FX Strategy, CITIBANK NA

Buy-side priorities in handling big data

  • How are the needs changing?
  • Challenges of handling big data
  • Regulatory changes and risk issues
  • Connecting risk and performance

Speaker to be confirmed

12:20 Lunch

1:20

CVA: stress testing the costs of dynamic hedging

  • Stress tests of CCR and CVA are usually static
  • The dynamic hedging aspect of CVA is important
  • The costs associated with it can be larger than the CVA itself
  • The stress test of those costs requires simulation models
  • It should be performed for the largest counterparties

Eduardo Canabarro, Managing Director, Global Head of Risk Analytics, MORGAN STANLEY

 

SEFs one year on - success stories and lessons learnt

  • Who is thriving and who is not?
  • Who are the SEFs newcomers?
  • Regulation and position limits
  • Practitioners experiences
  • What is Sefs game plan to run their business in the long term?

Ray Kahn, Managing Director, Global Head of Futures, BARCLAYS

Making the most of traditional assets - smarter equity and fixed income investing

Speaker to be confirmed

 

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

Speaker to be confirmed

2:00

 

Lessons to be learned from the London whale dystopia

  • A look at the evolution of JPM's central investment office function from hedging to high-risk trading
  • Unforeseen consequences resulting from the rushed development of a critical risk model
  • A perfect storm of mistakes in management oversight, model governance, model development and validation leads to financial disaster
  • Video stream highlights from the March 15, 2013 Senate hearings on the London Whale

Jon Hill, Head of Quantitative Analytics Group (QAG), MORGAN STANLEY

Risk capital allocation with organizational constraints

  • Review existing risk capital allocation methodology and their practical limitations
  • Propose a new allocation method that explicitly captures the organizational constraints
  • The new method is computationally efficient and produces stable and sensible allocation results
  • Compare the business incentive from different allocation methods, and show that the new method gives the right incentive for risk reduction

Yadong Li, Director, Head of Counterparty Exposure Risk Modeling, BARCLAYS

Market volatility, liquidity issues and customer bond positions

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

Speaker to be confirmed

Fixed income market structure and the evolution of electronic trading

  • Benefits and risks of electronic trading related to price transparency, liquidity and operational efficiency
  • Market participants' direct access and the move towards greater regulation and the potential for market fragmentation
  • How the introduction of electronic trading could affect regulation and compliance

Speaker to be confirmed

2:40

How to define, monitor and action operational risk appetite

  • Determining both qualitative and quantitative acceptable levels of risk taking?
  • What are the repercussions of exceeding/breaching appetite/tolerance thresholds?
  • Building blocks and concepts for a strong and active risk appetite/tolerance framework

Philippa Girling, Executive Vice President, Business Chief Risk Officer, CAPITAL ONE COMMERCIAL BANK

 

Panel: FCM negotiations, clearing documentation and margin requirements for uncleared trades

Barry S. Seeman, Global Head of Derivatives Structuring, AEGON USA
Further speakers to be confirmed

 

Impact of portfolio margining for listed and cleared OTC products

Speaker to be confirmed

HFT simplified: regulatory directions and plans to reduce equity markets complexity

  • What types of orders should be dropped
  • Plans for high-speed trading groups to fish out information about investors' orders
  • Regulatory scrutiny around HFT: what are the plans to protect the investor

Speaker to be confirmed

3.20 Afternoon coffee break

3:40 Keynote interview: Stuart Lewis, Group Chief Risk Officer and Management Board Member, DEUTSCHE BANK interviewed by Duncan Wood, Editor-in-Chief, RISK MAGAZINE

4.20 CROs leaders debate: Setting up a good conduct risk framework

  • Contrasting views of conduct risk, its definition and regulatory requirements
  • Online communication, good sense and sound judgment - setting the right culture across the company that is now under regulatory scrutiny
  • Developing a conduct risk appetite framework
  • Why many conduct risk controls have historically failed
  • Remuneration as key component of conduct risk: How staff should be rewarded and incentivized to behave in the right way
  • Influencing culture to deliver better risk outcomes: strategic initiatives, risk appetite, developing talent and agile internal model governance

Saad P. Aslam, Global Head of Credit Policy, Risk Review and Credit Risk Regulatory Interaction, CREDIT SUISSE
Jacques Beyssade, Chief Risk Officer, NATIXIS
Anthony S. Dell, Global Chief Compliance and Ethics Officer, ARES MANAGEMENT
Stuart Lewis, Group Chief Risk Officer and Management Board Member, DEUTSCHE BANK

5:00 Closing remarks:

End of the Risk USA conference

 

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