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? 

Michael O'Brien, Director of Global Trading, EATON VANCE
Sam Priyadarshi, Head of Fixed Income Derivatives, VANGUARD
Speakers to be confirmed

___________________________________________________________________

10:20 Are you ready for the CCAR and DFAST review?

  • Guidance on how your firm can meet increasingly heightened regulatory stress testing expectations?
  • How do you aggregate two conflicting stress tests?
  • Applying different scenarios across asset classes
  • Quantitative and qualitative analysis of the CCAR results and lessons learned

Speaker to be confirmed

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

Chairman's opening remarks

Chairman's opening remarks

Chairman's opening remarks

11:40

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

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

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

12:20

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?
  • Derivatives pricing under new Basel regulations

Speaker to be confirmed

 

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

Bob Burke, Head of Global OTC Clearing and FX Prime Brokerage, BANK OF AMERICA MERRILL LYNCH
Further 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

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

Isaac Chang, Global Head of Fixed Income, KCG
Further speakers to be confirmed

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

Improving buy-side performance with dark pool strategies

  • Best trading venues in today's fragmented market
  • How can you estimate cost before entering a trade?
  • What criteria should you consider when narrowing down your dark pool venues?
  • How do you avoid toxic order flow?

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

  • Standard models for uncleared trades - how will they affect market participants?
  • What are the appropriate margining practices?
  • Negotiating clearing agreements with FCMs
  • What are the key legal, trading and operational issues relating to SEFs and the clearing documentation?

Daniel Almeida, Global Risk Strategy and Operations, Enterprise Risk Management, AFLAC
Barry S. Seeman, Global Head of Derivatives Structuring, AEGON USA
Further speaker to be confirmed

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

Obstacles to liquidity and current market conditions

  • Liquidity conditions in fixed income markets
  • Regulatory and structural factors that may impede greater liquidity

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

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

 

Follow us
2014 Brochure
Lead Sponsor
Presentation
Co-Sponsor
Publishing Partner
Communications
Accredited by
Powered by: