Day 2 Program 2015

08:00 Registration and breakfast

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

09:00 Keynote speech: Settlement for digital currency

  • Payment vs payment losses and settlement issues
  • Reducing average settlement time and ways to reduce that
  • Bitcoins settlement and transformation the way they are being traded, cleared and settled

 

09:40 Panel discussion: Bitcoin on Wall Street - risks and opportunities

  • How do digital currencies fit into the modern investment portfolio?
  • Understanding bitcoin derivatives and asset-backed coins
  • Technology underpinning the use of the virtual currency
  • Lessons learnt in the post-trade derivatives space
  • Exchanges and CCPs views
  • Current use and future potential for bitcoin transactions

10:20 Evolution of model risk management in banks

  • Regulatory expectations
  • Strengthening defence mechanisms and creating the right culture
  • Quantifying model risk
  • Model documentation: and its importance as an effective MRM tool
  • Challenges and key futuristic trends

11:00 Morning coffe break

 

Stream one: Resolutions

Stream Two: Market finance

Stream three: Liquidity risk and stress testing

Stream four: Risk culture and governance

11:30

Chairman's opening remarks:

Chairman's opening remarks:

Chairman's opening remarks:

Chairman's opening remarks:

11:40

Structural changes in bank resolution

  • ISDA resolution protocol
  • Writing down liabilities
  • What happens when a bank fails?
  • Resolution proceedings and the bankruptcy process - how do they work in practice?

Regulatory response to market finance

  • Growing risks and effects of non-dealers providing liquidity
  • Liquidity mismatch in mutual funds' portfolios

Panel: Bond market behavior and managing the impact of an interest rate hike

  • What does a normal rate look like?
  • How big of a disruption should we expect?
  • Stress testing for the best and worst case scenario
  • What will happen to asset correlations and their prices?
  • Assumptions you need to make

Panel: Measuring and demonstrating value of the risk department

  • How much risk are you willing to tolerate?
  • How many details should you share with senior management?
  • What senior management wants from risk department?
  • How regulations are changing current risk management practices

12:20

US orderly resolution (ORL) and what it means for banks

  • What does it mean for a bank to be subject to resolution?
  • How can a bank failure be managed without hiccups?
  • SEC new rules for the buy-side
  • Obstacles to an orderly resolution?

Panel: From P2P to hedge fund to customer lending - risks and returns

  • What are the risks implications
  • Market demand
  • Trends, customer credit and exit strategies
  • Tried and true methodologies
  • High frequency lending and providing trading securities

Liquidity in fixed income portfolios

  • Liquidity in bond portfolios and how to measure it?
  • Regulators vs what firms are doing
  • How do I know how liquid my position is?
  • Guess work and intelligent estimates
  • New regulatory expectations to develop better estimates
  • Industry standards

 

Techniques to manage liquidity risks and associated redemptions

  • Redemption incentives associated with pooled investment vehicles in which lenders reinvest cash collateral received to secure a loan of securities
  • Can redemptions increase during times of financial stress?
  • How the impact of liquidity risk and redemptions affects different types of buy-side institutions?

1:00 Lunch

2:00

Resolution: What financial interconnections exist between an asset manager and the investment vehicles it manages

  • To what extent could it result in the transmission of risk?
  • Do market practices ensure that any financial interconnections are sufficiently documented?
  • If an asset manager or affiliate were to become insolvent do they declare bankruptcy, or announce intent to close?

 

SiFi regulation and requirements

  • Requirements by FSOC, Fed, Basel
  • New rules for asset managers
  • Are the big asset management firms also too big to fail?
  • Buy-side view on the new market structure
  • The future for buy-side firms

 

Panel: Standardized regulatory risk reporting

  • Regulatory standards recommended to everyone
  • Heightened standards for the buy-side with limited resources and meeting these demands
  • What can the buy-side do meet these multiple requests?
  • How to measure and report liquidity?
  • Each institution has its own platform what creates difficulty to create a uniform framework and oversight in risk reporting. How can we overcome that?

2:40

Living Wills for cross-border banking

  • Systemic importance of living wills
  • Non-systemic banks: should they consider issuing resolution plans?
  • Multinational banks and their approach to living wills

Panel: The future of credit markets

  • New capital rules
  • Platform types. styles of trading and trading protocols
  • New credit markets
  • Are we about to jump into dark pools?
  • Cross border trading

 

Effective stress scenario design

Model risk appetite, management and governance

  • Regulatory compliance and model validation techniques
  • Justifying assumptions made
  • When and how escalate and inform management

3:20 Afternoon coffee break

3:40 Panel: Navigating market liquidity

  • New swap market makers, liquidity providers and their shifting roles
  • How different are the new market makers to traditional bank providers?
  • How much bank liquidity vanished from the market since 2008?
  • Future of the market, opportunities and concerns
  • Efficient and practical solutions to ensure the buy side can trade in and out of large positions

 

4:20 CRO panel: New risk management practices

  • Evaluating risk practices over the past five years
  • Have we learnt our lessons? Where are we still making the same mistakes?
  • What risk practices have we been doing over the ‘crisis years' that are still relevant and which aren't?
  • What's new in risk practices?

5:40 Closing remarks: Duncan Wood, Editor-in-Chief, RISK MAGAZINE

5:50 Drinks reception

 

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