Day 2 Program 2015

7:45 BREAKFAST BRIEFING: Applications of algorithmic differentiation to portfolio risk management

  • Optimal hedging
  • Risk reprojection
  • Hedging stability

Russell Goyder, Director of Quantitative Research and Development, FINCAD

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

Alex Batlin, Group Chief Technology Officer, Applied Innovation (R&D) and Market Research Director, UBS

09:4Panel 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

Brian Kelly, Investor, Author and Financial Markets Commentator, BRIAN KELLY CAPITAL
Joshua Lim
, Head of Treasury and Trading Operations, CIRCLE INTERNET FINANCIAL
Tim Swanson
, Blogger and Author of ‘The Anatomy of a Money-like Informational Commodity: A Study of Bitcoin'
Further speakers to be confirmed

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

Anshuman Prasad, Director, Risk and Analytics, CRISIL Global Research and Analytics

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

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

Speaker to be confirmed

 

 

Panel: Regulatory response to market finance

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

Maggie Sklar, Senior Counsel, Office of Commissioner Wetjn, CFTC
Justin Slaughter, Chief Policy Adviser & Special Counsel, Office of Commissioner Bowen, CFTC
Further speakers to be confirmed

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

Michael Cloherty, Head of U.S. Rates Strategy, BMO CAPITAL MARKETS
Margaret Kerins, ‎Managing Director, Group Head Fixed Income Strategy, BMO CAPITAL MARKETS
Brian A. Kinney, Managing Director, Global Head of Fixed Income Beta, Global Fixed Income, Cash and Currency, STATE STREET GLOBAL ADVISORS
Further speakers to be confirmed

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

Moderator: Greg Strassberg, Managing Director, Head of Risk, ARDEN ASSET MANAGEMENT
Saad P Aslam, Global Head Credit Risk Review, Chief Risk Officer Division, CREDIT SUISSE
Joseph Ceonzo, Head of Enterprise Risk Management, LAZARD
Tracy Rucker-Wilson, Head of Investment Risk, VANGUARD
Patrick Trew, Chief Risk Officer, CQS

12:20

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?

Art Murton, Director, Office of Complex Financial Institutions, FDIC

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

Rob Snow, Co-Founder, Managing Member, CARILLON CAPITAL
Brian Weinstein, Managing Partner, BLUE ELEPHANT CAPITAL MANAGEMENT
Further speakers to be confirmed

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

Kelsey Biggers, Global Head of Performance Analysis and Investment Risk (PAIR), FRANKLIN TEMPLETON

 

Agile risk management: Enhance effectiveness of all three lines of defense while adding value

  • New risk management practices have surfaced gaps in infrastructure as well as resulted in unintended challenges
  • Target state operating model for Agile Risk Management: A single process for risk and business management
  • Leveraging innovations in risk reporting to drive effectiveness and efficiency

Moderator: Cory Gunderson, Managing Director and Global Financial Services Industry Leader, PROTIVITI
Michael Brauneis, Managing Director, Regulatory Compliance Practice Leader, PROTIVITI
Further speakers to be confirmed

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?

Lourenco Miranda, Managing Director, Global Head of Operational Risk Quantification, Economic Capital, Loss Data Collection and CCAR, AIG

 

 

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

Speaker to be confirmed

Liquidity risk management for investment funds

  • Why liquidity has become such an important issue
  • Reconciling the views of compliance vs portfolio management functions
  • Liquidity Risk Management Framework
  • Asset Liquidity Profile
  • Investor Liquidity Profile and Redemption Analysis
  • Reporting and Stress Testing

Roderick Fisher, Head of Regulatory and Industry Standard Risk Solutions, STATESTREET GLOBAL EXCHANGE

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?

Massimo Cutuli, Senior Risk Manager, Global Head of Derivatives Clearing Risk, GOLDMAN SACHS
Patrick McKenna, Chief Risk Officer, CIBC WEALTH MANAGEMENT
Further speakers to be confirmed

2:40

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?'

Speaker to be confirmed

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

Anthony Cucinotta, Head of Trading, CAPITAL ADVISORS GROUP
Michael Nappi, Senior Investment Grade Trader, EATON VANCE

Effective stress scenario design

  • Scenario design for stress testing
  • What to stress in a stress scenario?
  • Performance measurement in the CCAR World

Atul Gupta, Managing Director,
Risk Capital and Stress Testing, MUFG UNION BANK, N.A.

Macro trading and political risk

  • Chinese bubble
  • Turmoil in Greece
  • Swiss/Euro peg
  • Fed tightening (?)

Steven Geovanis, Managing Director, Chief Risk Officer, LYXOR ASSET MANAGEMENT

3:20 Afternoon coffee break

3:40 Afternoon keynote: Key risks facing the banking sector
Darrin Benhart, Deputy Comptroller for Supervision Risk Management, OFFICE OF THE COMPTROLLER OF THE CURRENCY

4:20 Panel: Navigating market liquidity

  • New 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

Moderator: Roderick Fisher, Head of Regulatory and Industry Standard Risk Solutions, STATESTREET GLOBAL EXCHANGE
Frederic Dassori, Head of US Principal Rates Electronic Trading, CREDIT SUISSE
Paul Hamill, Global Head of FICC, Execution Services, CITADEL
Uzi Rosha, Global Chief Compliance Officer, CARGILL RISK MANAGEMENT

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

5:50 Drinks reception

 

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