Day 2 Program 2015 October 22

7:30 Registration and breakfast for the breakfast briefing


8:00 BREAKFAST BRIEFING: Algorithmic differentiation - Game-changer for market risk management
Algorithmic Differentiation (AD) is a game changer for valuation and risk in the front and middle office. Calculating greeks is the foundation of effective portfolio hedging and AD delivers incredible performance improvement (often 100-1000x) over the traditional method of finite difference (bumping). Historically, the biggest challenge to adopting AD has been the high implementation cost, putting it beyond the reach of most firms. Join Russell Goyder, PhD, on October 22 at 7:30am for breakfast and to learn about AD and:

  • How it accelerates risk from overnight to pre-trade
  • The cost of adding it to your risk analytics library
  • The principles behind making it Universal for all trade, model, and valuation methods
  • Performance benchmarking against bumping
  • How to use it to control your market risk profile precisely
  • How to use it to improve portfolio hedging accuracy, stability and cost

Russell Goyder, Director of Quantitative Research and Development, FINCAD

8:00 Registration and breakfast

08:50 Main conference opening 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

09:40 Keynote address: Ongoing work and challenges of derivatives reform


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


Chairman's opening remarks: Bruce Morris, SVP and Head of North America, INCISIVE MEDIA

Chairman's opening remarks: Jasmine Burgess, Chief Risk Officer, PROLOGUE CAPITAL

Chairman's opening remarks: Lev Zaks, Head of Consulting Services, Multi-Asset Class Risk Solutions, AXIOMA

Chairman's opening remarks: Robert J. Gerden, Global Financial Services Risk Executive and Author


CCP resolution

  • What is the plan for CCP resolution?
  • Central counterparty recover process
  • Key principles

Andrew Gracie, Executive Director, Resolution Directorate, BANK OF ENGLAND



Panel: Regulatory response to market finance

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

Moderator: Anat R. Admati, George G.C. Parker Professor of Finance and Economics
Graduate School of Business, STANFORD UNIVERSITY
Gwendolyn A. Collins, Officer, Head of Risk Policy and Systems and Operational Resiliency Policy, Board of Governors, FEDERAL RESERVE SYSTEM
Justin Slaughter, Chief Policy Adviser & Special Counsel, Office of Commissioner Bowen, CFTC
Adam Yonce, Division of Economic and Risk Analysis, SEC

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

Moderator: Jean-Francois Chauwin, Managing Director, Business Development, Multi-Asset Class Risk Solutions, AXIOMA
Michael Cloherty, Head of U.S. Rates Strategy, RBC
Michael A Huff, ‎Director, Investment Market Risk & Derivatives, GENWORTH FINANCIAL
Aaron Kohli, Interest Rate Strategist BMO CAPITAL MARKETS

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
Joseph Ceonzo, Head of Enterprise Risk Management, LAZARD
Tracy Rucker-Wilson, Head of Investment Risk, VANGUARD
Patrick Trew, Chief Risk Officer, CQS


Bank resolution - progress and challenges

  • Can a big bank be resolved safely today?
  • ISDA resolution protocol
  • TLAC rules & the implications for bank structure
  • US bankruptcy and resolution proceedings
  • European resolution approaches

Wilson Ervin, Vice Chairman, Group Executive Office, CREDIT SUISSE

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

Moderator: Duncan Wood, Editor-in-Chief, RISK MAGAZINE
Jasmine Burgess, Chief Risk Officer, PROLOGUE CAPITAL
Rob Snow, Co-Founder, Managing Member, CARILLON CAPITAL
Brian Weinstein, Managing Partner, BLUE ELEPHANT CAPITAL MANAGEMENT

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

Tilak Lal, Chief Risk Officer, K2 ADVISORS


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

  • New risk management practices
  • Challenges in adding value to the business including:
  • Being viewed to protect and enhance the business
  • Emerging risks - looking ahead and what's around the corner
  • Providing a holistic/aggregated/horizontal view of risk (vs siloed)
  • Risk management practices we should aim for

Moderator: Matthew Perconte, Associate Director Risk & Compliance Solutions , PROTIVITI
Cory Gunderson, Managing Director and Global Financial Services Industry Leader, PROTIVITI
Michael Brauneis, Managing Director, Regulatory Compliance Practice Leader, PROTIVITI

1:00 Lunch


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

  • What is "systemic risk" and what makes an institution a SIFI?
  • Is being SIFI the same as being "too big to fail?"
  • Should SIFIs be regulated differently and, if so, why and how?
  • Are "SIFI surcharges" imposed recently too small, too large, or just right? why?

Anat R. Admati, George G.C. Parker Professor of Finance and Economics
Graduate School of Business, STANFORD UNIVERSITY

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

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


Operational continuity and shared services

Janet Farrow, Co-Head of Global Recovery and Resolution Planning, BARCLAYS

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

Moderator: Alberto Gallo, Head of Macro Credit Research, ROYAL BANK OF SCOTLAND tbc
Anthony Cucinotta, Head of Trading, CAPITAL ADVISORS GROUP
Zack Ellison, Director, U.S. Public Fixed Income, SUN LIFE INVESTMENT MANAGEMENT
Michael Nappi, Senior Investment Grade Trader, EATON VANCE
Jim Switzer, Head of Trading, ALLIANCEBERNSTEIN

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.

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?

Moderator: Cory Gunderson, Managing Director and Global Financial Services Industry Leader, PROTIVITI
Gunjan K. Banati, Director of Risk Management, Fund Research and Analytics, ROYCE & ASSOCIATES
Jonathan G Harris, VP-Quantitative Modeling Balance Sheet Management, CAPITAL ONE
Patrick McKenna, Chief Risk Officer, CIBC WEALTH MANAGEMENT

3:20 Afternoon coffee break

3:40 Plenary: CCP waterfalls: resilience and recovery

Oliver Frankel, Managing Director, Head of Central Counterparty Risk, GOLDMAN SACHS

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
Stephen Berger, Director of Government and Regulatory Policy, CITADEL
Michael Cloherty, Head of U.S. Rates Strategy, RBC
Frederic Dassori, Head of US Principal Rates Electronic Trading, CREDIT SUISSE

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

5:50 End of the conference


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