Day 2, October 23

Risk USA - Conference Program 2013

8:00 Registration and breakfast

8:50 Welcome address: Duncan Wood, Editor, RISK

9:00 Keynote speech: Ensuring maximum efficiency in market access and trade execution

  • Liquidity challenges
  • Challenges in trade executions in todays fragmented market
  • Long terms, hedge funds and short term trade
  • Impact of regulation

Richard Prager, Managing Director, Head of Trading & Liquidity Strategies Group, BLACKROCK

9:40 CRO Roundtable: Exploring key challenges faced by CROs in current market conditions

  • What are the issues and new requirements
  • Skillsets required by financial risk professionals today
  • How has the role of CRO changed due to the high volume of regulations
  • Evaluating how regulation have changed and shaped the financial services industry
  • List of priories for the next year

Moderator: Duncan Wood, Editor, RISK
Geoffrey Craddock, Executive Vice President, Chief Risk Officer, OPPENHEIMERFUNDS
Jeff Holman, Managing Director, Chief Risk Officer, HIGHBRIDGE CAPITAL
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETS

10:20 Morning coffee break


Stream 1

Risk management of trading book

Stream 2

Regulatory risk and CCAR

Stream 3

Risk management of alternative investments


Chairman's opening remarks: Atanas Goranov, Managing Director, Derivatives Officer, GUARDIAN LIFE

Chairman's opening remarks: Patrick McDermott, Senior Vice President, Operational Risk Management, UNION BANK

Chairman's opening remarks: Robert Savage, Chief Strategist, FX CONCEPTS



Central Counterparties, Customer Clearing, Systemic Risk and Procyclicality

  • Overview of Financial Market Infrastructure (FMI) risk and what can go wrong?
  • Central Counterparty (CCP) risk and how it can impact customer clearing
  • Systemic risk and what could happen if a large member of a CCP fails
  • What is margin procyclicality and how do clearing and margin rules generate procyclicality?
  • Collateral demand and liquidity management for buy-side firms
  • What collateral is eligible for meeting margin requirements?
  • How should one risk manage against risk sensitive margin requirements?
  • Other clearing risk topics and industry initiatives

Greg Fell, Managing Director, Global Head-Payments Systems Risk Management, CITIGROUP

Asset allocation and security selection for bank portfolios under Basel III capital regime

Ahmet Yetis, Director, BLACKROCK


Liquidity and risk management within alternative portfolios

  • What matters
  • What works
  • Outsourcing versus DIY

Judith Posnikoff, Managing Director, Founding Partner, PACIFIC ALTERNATIVE ASSET MANAGEMENT COMPANY


Panel discussion: Trading new frontiers: SEFs vs Exchanges

  • What are the differences between DCM and SEFs?
  • How will trading behaviour change now that SEFs are live?
  • What will it take to be a successful SEF - what's the model that will win out?
  • Who will be the winners and losers?

Moderator: C. Thomas Richardson, Managing Director, Head of Market Structure & Electronic Trading Services, WELLS FARGO SECURITIES
Raymond Kahn, Managing Director, Global Head of OTC Derivatives Clearing, BARCLAYS
Supurna VedBrat, Managing Director
Co-Head of Electronic Trading & Market Structure, BLACKROCK

Effectively measuring and managing model risk

  • Basics of model risk
  • The regulatory back drop
  • Approaches to measuring and aggregating model risk
  • Approaches to managing model risk

Kevin D. Oden, Chief Market & Institutional Risk Officer, WELLS FARGO BANK

Realistic expectations, critical considerations and risks involved in allocating assets in alternative investments

  • Knowing what you don't know: practical approach to diversification and sizing
  • Prognosis versus port-mortem: building a forward-looking risk framework
  • Integration of risk management and investment decision-making
  • Evolution or risk transparency

Tatiana Segal, Managing Director, Head of Risk Management, SKYBRIDGE CAPITAL

12:20 Lunch



Drawdown risk management

  • Drawdown under IID Normal assumption
  • How long does it take to recover from a loss?: The Triple Penance Rule
  • Drawdown under non-IID Returns
  • The implications of hiring and firing traders based on their Sharpe ratio

Marcos López de Prado, Head of Quantitative Trading, HESS ENERGY TRADING COMPANY

Panel discussion: Reputational risk - and the role of operational risk management

  • What is rep risk? Risk or Impact?
  • What is the source of RepRisk?
  • Why does it feel different today?
  • What is the role of OpRisk Management in managing it?
  • Quantification (should we and if so why / how?)

Moderator: Ann Rodriguez, Head of Enterprise and Operational Risk, GE CAPITAL
Craig R. Spielmann, Managing Director, Global Head of Operational Risk Systems & Analytics, RBS
Ivan Pooran, Head of Enterprise and Operational Risk, GE Capital Americas
Stephan Schenk, Head of Operational Risk, TD BANK


Panel discussion: Implementing an effective due diligence framework in evaluating liquid alternative investments

  • What are the main red flags to look for?
  • How does due diligence team work with investment team?
  • Recent trend of risk transparency

Moderator: James Nicholas, Global Head of Operational Due Diligence, UBS
Michelle Ruvolo-Jones, Managing Director,
Brice Wilson, Head of Operational Due Diligence, MAGNITUDE CAPITAL



Hybrid structural default modeling

Marat V. Kramin, Director, Fixed Income Analytics, WELLS FARGO SECURITIES
Stephen D. Young, Chief Risk Officer of Affiliated Managers Division, WELLS FARGO ASSET MANAGEMENT


Group wide stress test and its application to living wills recovery planning

  • Overview of DB's group wide stress test (GWST) process, governance and use cases
  • DB's approach to Recovery Planning
  • Tailoring GWST to the specific recovery planning requirements

Volker Weis, Head of Internal Capital Models, DEUTSCHE BANK

Strategic asset allocation for alternatives portfolios

  • Understanding the common risk and return drivers in alternative strategies
  • The impact of dynamic volatility, asymmetry and fat tails
  • Correlation, contagion and tail risk
  • A strategic asset allocation framework for long-term investors



Futurization of swaps in both interest rate and credit derivatives

  • Why swap futures? What's different this time?
  • What can swap futures do that swaps can't?
  • Execution, margin, and delivery mechanism of swap futures
  • Standardization, liquidity, and market structure of swaps and swap futures

Sam Priyadarshi, Head of Fixed Income Derivatives, VANGUARD


Allocating operational risk economic capital

  • What data can you use to drive the allocation?
  • How can your allocation provide incentives to improve the risk profile of the business?
  • A lot of operational risk comes from areas that don't take capital. How do you address this?
  • How do you get buy-in from across the bank?
  • How can you tie capital allocation into your Risk Appetite Statement?

Patrick McDermott, Senior Vice President, Operational Risk Management, UNION BANK

Managing risk in single-strategy, multi-strategy of fund of fund portfolios

  • Risk-adjusted asset allocation
  • Managing portfolio tail risk
  • Where do you allocate risk in a high-fee environment?

David P. Belmont, Chief Risk Officer, Risk Management, COMMONFUND

3:20 Afternoon break

3:40 Afternoon keynote address: The new normal and the SEC version 2.0
The use of quantitative models and algorithms powered by advances in technology has increased drastically in financial sector: this trend is likely to continue and will create challenges in terms of compliance, risk management and regulation. In this talk we will outline a number of these challenges and touch on some of the SEC's initiatives to meet them.
Jeff Ryan
, Quantitative Analytics Unit, SEC


*Global perspective debate*: Market risk - identifying emerging risks and opportunities

  • Ensuring growth and profitability while adapting to new market conditions
  • Biggest risk for next year and business continuity plans
  • How do you ensure that your institution not only survives in this market conditions but flourishes?
  • Restructuring financial services in volatile markets

Moderator: Joe Rennison, Staff Writer, RISK
Hans Humes, Chairman and Chief Executive Officer, GREYLOCK CAPITAL MANAGEMENT
Meyrick Douglas, Chief Market Risk Officer, PRUDENTIAL FINANCIAL
Daniel Mayenberger, Executive Director, Head of Model Risk Strategy, BANK OF AMERICA MERRILL LYNCH
Paul Shotton, Managing Director, Deputy Head of Firm-wide Risk Control & Methodology, UBS

5:00 Closing remarks and end of conference



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