Day 2, October 22nd

08:00 Registration and breakfast

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

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? 

Moderator: Paul Hamil, Global Head of FX, Rates & Credit Execution Services, UBS
John Griffin, Senior Risk Manager, Head of Derivatives and Trading, Risk Management Department, HARTFORD INVESTMENT MANAGEMENT
Peter Lee, Derivatives Trader, Fixed Income Group, VANGUARD
Richard Mazzella, Chief Operating Officer, Global Fixed Income, CITADEL
Michael O'Brien, Director of Global Trading, EATON VANCE

10:20 The future of risk: Implications for asset allocation

Kurt Winkelmann, Managing Director, Global Head of Research, MSCI

11:00 Morning coffee break

 

Stream one

Enterprise risk management

Stream two

Derivatives trading

Stream three

Portfolio and investment risk

Stream four

Technology and e-trading

11:30

Chairman's opening remarks: Brad Hoffman, Vice President, Operational Risk, Enterprise Risk Management, MASSMUTUAL

Chairman's opening remarks: John Griffin, Senior Risk Manager, Head of Derivatives and Trading, Risk Management Department, HARTFORD INVESTMENT MANAGEMENT

Chairman's opening remarks: Tracy Rucker-Wilson, Head of Investment Risk Management, VANGUARD

Chairman's opening remarks: Samantha Coyne, Head of Fixed Income Client Services, KCG

 

11:40

Basel III implementation

  • Counterparty charges 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?

April Frazer, Global Head and Managing Director of Regulatory Capital Financial Institutions Investment Banking, WELLS FARGO SECURITIES

 

Counterparty risk, funding, and capital - CVA, DVA, FVA, KVA - for all asset classes

  • Unified approach to Counterparty Risk, Funding, and Capital based on Monte Carlo simulation
  • Optimizations for practical calculations: trade compression, hybrid model partition, correlations
  • XVA scripting - extensible framework for valuation adjustments
  • Standardized approaches to capital calculations versus simulated capital

Serguei Issakov, Global Head of Quantitative Research and Senior Vice President, NUMERIX

Panel discussion: The changing role of the hedge fund CRO

  • Interplay between risk management and portfolio management
  • Managing drawdowns
  • When risk models fail
  • Crowding
  • Hedging strategies for hedge funds
  • Macro risks

Moderator: Jon Kinderlerer, Head of Business Development, Quant, CREDIT SUISSE ASSET MANAGEMENT
Wayne Dahl, Chief Risk Officer, PROSIRIS
Tim Grant, Managing Director, UBS O'CONNOR
Katherine Macleod, Chief Risk Officer, SENATOR INVESTMENT GROUP

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

12:20

Enterprise risk management: How to implement and how it can make a difference

  • Where to start
  • What to measure
  • Creating a framework
  • How to engage management so it ERM makes a difference
  • Challenges and Opportunities

Brad Hoffman, Vice President, Operational Risk, Enterprise Risk Management, MASSMUTUAL

 

Panel discussion: 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

Moderator: John McPartland, Senior Policy Advisor, FEDERAL RESERVE BANK OF CHICAGO
Bob Burke, Head of Global OTC Clearing and FX Prime Brokerage, BANK OF AMERICA MERRILL LYNCH
Ray Kahn, Managing Director, Global Head of Futures, BARCLAYS
Chris Perkins, Global Head of OTC Clearing, CITI

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

 

Panel discussion: The evolution of fixed income market structure and implications for electronic trading

  • The role of bank dealers and alternative liquidity providers: competition or cooperation
  • What are market and regulatory impetuses and impediments to adoption of electronic trading in fixed income
  • Compare and contrast: how will the fixed income market evolution be similar or different to that of equities, futures or foreign exchange

Moderator: Samantha Coyne, Head of Fixed Income Client Services, KCG
Isaac Chang, Global Head of Fixed Income, KCG
Robert Grillo, Head of FICC Electronic Sales, BANK OF AMERICA MERRILL LYNCH
Giuseppe Nuti, Head of Fixed Income Algo Trading Americas
Executive Director, UBS

1:00 Lunch

2:00

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

How to better assess downside risk in hedge fund portfolios

  • Appropriate time sampling
  • Use of multiple stressed betas
  • Incorporating qualitative overlays
  • Measuring tertiary risks

Gordon Yeager, Chief Operations Officer, Chief Risk Officer, SOLUS LP

Multi-period portfolio choice and Bayesian dynamic models

Petter Kolm, Director of the Mathematics in Finance Masters Program and Clinical Associate Professor, Courant Institute of Mathematical Sciences, NEW YORK UNIVERSITY
Gordon Ritter, Vice President, Statistical Arbitrage Group at Highbridge Capital, and Adjunct Professor, Courant Institute of Mathematical Sciences, NEW YORK UNIVERSITY

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 discussion: End user challenges in clearing and margining

  • Cash liquidity risk introduced by Dodd-Frank
  • The sustainability of the FCM business model and the risk this introduces to end users and the market?
  • Trading liquidity risk introduced by Dodd-Frank and a host of other regulations?
  • Eased costs and cash liquidity reducing attractiveness of hedging and how end users will cope with this?

Moderator: Peter Madigan, Staff Writer, RISK
Bruce Fox, Derivatives Leader, GENWORTH FINANCIAL
Boris Liberman, Vice President and Associate General Counsel, AQR CAPITAL MANAGEMENT
Barry S. Seeman, Global Head of Derivatives Structuring, AEGON USA

Managing risk beyond asset class diversification

  • The macro approach to regime shifts
  • Risk factor versus asset class diversification
  • Tail-risk hedging and dynamic approaches to asset allocation across macroeconomic scenarios: Growth, inflation, and volatile financial markets

Jan Speth, Managing Director, Head of Portfolio Risk Management Financial Modeling, BLACKROCK

Reducing risk with intraday predictive analytics

  • The case for high-frequency risk management
  • Big data techniques for assessing risk model performance
  • Examples

Irene Aldridge, Managing Director, ABLE ALPHA TRADING

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

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

Moderator: Duncan Wood, Editor, RISK

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

5:00 Closing remarks: Duncan Wood, Editor, RISK

End of the Risk USA conference

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