Global Risk Management Summit - ICMA Centre
Global Risk Management Summit - ICMA Centre
Global Risk Management Summit - ICMA Centre
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Keynote speakers:<br />
magazine’s<br />
Separately bookable pre-summit day:<br />
Implementing capital allocation - Optimising<br />
advanced techniques and methodologies for<br />
allocating regulatory and economic capital<br />
Main summit highlights:<br />
• Comprehensive five-streamed agenda bringing together 100 + renowned<br />
industry practitioners<br />
• Senior executive panel debates and CRO perspectives – hear the experts’ views!<br />
• New streams with exclusive angles on:<br />
- Developments in credit risk modelling and analysis, credit derivatives and<br />
structured credit products<br />
- Advanced risk management strategies, ALM and liquidity risk management<br />
- Applied derivatives modelling and analysis<br />
- <strong>Risk</strong> management for asset managers, institutional investors, hedge funds<br />
and funds of funds<br />
- <strong>Global</strong> risk management for insurance<br />
- Advanced strategies in operational risk<br />
• Numerous networking opportunities throughout the event<br />
One separately bookable post-summit seminar:<br />
Quantitative risk management for currencies and<br />
interest rate risk<br />
PLUS New location: Monte Carlo<br />
Monte Carlo, 26 – 29 April 2005<br />
www.globalrisksummit.com<br />
<strong>Global</strong> <strong>Risk</strong> <strong>Management</strong> <strong>Summit</strong><br />
Europe’s premier networking event for risk management<br />
and derivatives trading professionals<br />
Brand<br />
new for<br />
2005!<br />
Sung Cheng Chih, Director<br />
- <strong>Risk</strong> and Performance<br />
<strong>Management</strong>,<br />
GOVERNMENT OF<br />
SINGAPORE INVESTMENT<br />
CORPORATION [GIC]<br />
Michel Martino, Secretary<br />
General of the EU Banking<br />
Advisory Committee,<br />
EUROPEAN COMMISSION<br />
Peter William Skinner,<br />
Member of the European<br />
Parliament,<br />
COMMITTEE OF<br />
ECONOMIC AND<br />
MONETARY AFFAIRS<br />
Ryozo Himino, Secretary<br />
General, BASEL<br />
COMMITTEE ON BANKING<br />
SUPERVISION<br />
Jerry del Missier, Head of<br />
Rates and Private Equity,<br />
Regional Head of<br />
Europe, BARCLAYS CAPITAL<br />
<strong>Risk</strong> magazine’s Derivatives<br />
House of the year<br />
GRMS 2005 Advisory Board<br />
Arthur Berd, Senior Vice<br />
President, LEHMAN<br />
BROTHERS INC.<br />
Robert A. Jarrow, Director<br />
of Research, KAMAKURA<br />
CORPORATION and Ronald<br />
and Susan Lynch Professor<br />
of Investment <strong>Management</strong>,<br />
Johnson Graduate School<br />
of <strong>Management</strong>, CORNELL<br />
UNIVERSITY<br />
Evan Picoult, Managing<br />
Director, <strong>Risk</strong> Architecture,<br />
CITIGROUP<br />
Leo M. Tilman, Chief<br />
Institutional Strategist,<br />
BEAR, STEARNS & CO.<br />
INC.<br />
Kenneth Winston, <strong>Global</strong><br />
Chief <strong>Risk</strong> Officer,<br />
MORGAN STANLEY<br />
INVESTMENT<br />
MANAGEMENT<br />
Hear from these senior executives:<br />
Register<br />
before 28 FEB 2005<br />
and SAVE UP TO<br />
€600<br />
Peter Carr, Head of<br />
Quantitative Financial<br />
Research, BLOOMBERG L.P.<br />
and Director of Masters in<br />
Math Finance Program,<br />
NYU COURANT INSTITUTE<br />
Michael K. Ong, Professor<br />
of Finance, Stuart<br />
Graduate School of<br />
Business, ILLINOIS<br />
INSTITUTE OF<br />
TECHNOLOGY<br />
Riccardo Rebonato, <strong>Global</strong><br />
Head of Market <strong>Risk</strong>,<br />
<strong>Global</strong> Head of Quantitative<br />
Research and Head of<br />
Quantitative Sales, ROYAL<br />
BANK OF SCOTLAND<br />
Subu Venkataraman,<br />
Managing Director and<br />
Chief <strong>Risk</strong> Officer,<br />
HIGHBRIDGE CAPITAL<br />
Kanwardeep Ahluwalia, Senior Managing Director, <strong>Global</strong> <strong>Risk</strong> <strong>Management</strong>,<br />
BEAR STEARNS INTERNATIONAL LTD<br />
Frederic Berney, Executive Director and Chief <strong>Risk</strong> Officer,<br />
HARCOURT INVESTMENT CONSULTING AG<br />
Stephen Blyth, Managing Director, DEUTSCHE BANK<br />
Luca Celati, Chairman and Chief Investment Officer,<br />
ABRAXAS CAPITAL MANAGEMENT<br />
Colin B. Church, GCIB Chief <strong>Risk</strong> Officer EMEA, CITIGROUP<br />
Luc Estenne, Chief Executive, PARTNERS ADVISERS S.A<br />
Mark W. Griffin, Chief <strong>Risk</strong> Officer, GENWORTH FINANCIAL<br />
Petri Viertiö, Chief <strong>Risk</strong> Officer, SAMPO PLC<br />
Stream Sponsors Cocktail Reception Sponsor Recruitment Sponsor Co-Sponsors Supporting Associations
Dear Delegate,<br />
Will 2005 be another boom year for alternative investment? Now that the Basel II capital<br />
framework is in place, can bank risk managers face a more predictable regulatory<br />
framework?<br />
<strong>Risk</strong> magazine’s <strong>Global</strong> <strong>Risk</strong> <strong>Management</strong> <strong>Summit</strong> in Monte Carlo this coming April will<br />
provide you with opportunity to put questions such as those directly to the investors,<br />
bankers and regulators who are shaping the global financial marketplace in 2005 and<br />
beyond. People like Mr Ryozo Himino, Secretary General of the Basel Committee on<br />
Banking Supervision, who is one of our keynote speakers in Monte Carlo.<br />
Our programme also features speakers from, HBOS, UBS, Calyon, Citigroup, CSFB, and<br />
Bear Stearns. There will be leading names from the world of quantitative finance, such as<br />
Bruno Dupire, Marcus Overhaus and Jon Gregory. And the growing interest of asset<br />
managers and insurance companies in derivatives will be reflected by speakers from<br />
Goldman Sachs Asset <strong>Management</strong> and Chubb, among others.<br />
The list goes on an on! But only a glance at the programme will tell you that we have<br />
lined up the best possible speakers on derivatives and risk management issues. Our<br />
magazine covers a lot of ground, and so will our summit.<br />
You will hear how top regulators and leading banks are going to be implementing Basel<br />
II. You will hear about the latest innovations and ideas in options pricing. Our summit is<br />
designed to take you to the cutting edge of financial markets.<br />
<strong>Risk</strong> events are much more than an opportunity to learn, however. We provide delegates<br />
with the chance to get involved in questioning and discussing the issues – and of course<br />
the chance to relax and mix with valuable contacts, old and new.<br />
Our <strong>Global</strong> <strong>Risk</strong> <strong>Management</strong> <strong>Summit</strong> is an exciting new event format. <strong>Risk</strong> and I do<br />
hope you will join us in Monte Carlo on April 26 – 29, 2005.<br />
With best wishes,<br />
Matthew Crabbe,<br />
Editorial Director,<br />
<strong>Risk</strong><br />
“A glance at the programme will tell you<br />
that we have lined up the best possible<br />
speakers on derivatives and risk<br />
management issues”.<br />
<strong>Risk</strong> magazine's <strong>Global</strong> <strong>Risk</strong><br />
<strong>Management</strong> <strong>Summit</strong> will be taking<br />
place at the Monte Carlo Grand Hotel,<br />
which is a unique four-star luxury<br />
convention resort located in the heart<br />
of the Principality of Monaco in<br />
between the Mediterranean sea and<br />
the legendary casino of Monte Carlo<br />
Don’t miss hearing from more than<br />
100 influential practitioners and<br />
academics including:<br />
Carol Alexander, Chair of <strong>Risk</strong> <strong>Management</strong> and Director of<br />
Research, ISMA <strong>Centre</strong>, UNIVERSITY OF READING<br />
Arthur Berd, Senior Vice President,<br />
LEHMAN BROTHERS<br />
Eugen Buck, Head of Portfolio <strong>Risk</strong> <strong>Management</strong>,<br />
RABOBANK NEDERLAND<br />
JP Bouchaud, Chief Scientist,<br />
CAPITAL FUND MANAGEMENT, PARIS<br />
Bill Courtney, Credit, Market and Liquidity <strong>Risk</strong>s Director,<br />
ROYAL & SUNALLIANCE INSURANCE GROUP PLC.<br />
Bruno Dupire, Quantitative Research,<br />
BLOOMBERG L.P.<br />
Bijan Khandani, Head of Basel II Programme,<br />
HBOS TREASURY SERVICES<br />
John Hardt, Managing Director, <strong>Global</strong> Head of Balance Sheet<br />
<strong>Management</strong>, Group Treasury, DEUTSCHE BANK<br />
Christian Hille, Trader, International Credit Structuring Group,<br />
NOMURA INTERNATIONAL PLC.<br />
Edward Fishwick, Head of <strong>Risk</strong> <strong>Management</strong>,<br />
MERRILL LYNCH INVESTMENT MANAGERS<br />
Pierangelo Franzoni, Chief Investment Officer,<br />
MPS ASSET MANAGEMENT IRELAND LTD.<br />
Alla Gil, Managing Director and the Head of Capital Markets<br />
Strategy Group, CITIGROUP<br />
Jon Gregory, <strong>Global</strong> Head of Credit Derivatives Research and<br />
Analytics Development, BNP PARIBAS<br />
Juergen Guhe, Head of <strong>Risk</strong> Aggregation and Control,<br />
ALLIANZ GROUP<br />
Philip Halperin, Director of <strong>Risk</strong> <strong>Management</strong>,<br />
ALFA BANK<br />
Ali Hirsa, Head of Analytical Trading Strategy,<br />
CASPIAN CAPITAL MANAGEMENT, LLC<br />
Farshid Jamshidian, Co-ordinator of Quantitative Research,<br />
NIB CAPITAL BANK<br />
Philippe Jeanne, Head of Eastern Europe, Middle East, Africa<br />
and Brazil Trading, CALYON<br />
Kai Leifert, Head Compliance and <strong>Risk</strong> <strong>Management</strong>,<br />
CREDIT SUISSE ASSET MANAGEMENT<br />
Steve Manning, Head of <strong>Risk</strong> <strong>Management</strong>,<br />
LLOYD'S OF LONDON<br />
Robert McAdie, <strong>Global</strong> Head of Credit Strategy,<br />
BARCLAYS CAPITAL<br />
Marcus Overhaus, Managing Director, <strong>Global</strong> Head Quantitative<br />
Research and Structuring, <strong>Global</strong> Equity Derivatives,<br />
DEUTSCHE BANK AG<br />
Bogie Ozdemir, Director, Model Validation Group,<br />
BANK OF MONTREAL<br />
George Pastrana, Managing Director, Group Strategic Analysis,<br />
UBS<br />
Melanie L. Petsch, Director, Investment Product Development,<br />
TIAA-CREF<br />
Fatima Pires, Financial Supervision Expert,<br />
EUROPEAN CENTRAL BANK<br />
Eric Rosengren, Senior Vice President,<br />
FEDERAL RESERVE BANK OF BOSTON<br />
Amlan Roy, Director, Pensions Advisory & Structuring Group<br />
Coordinator, <strong>Global</strong> Demographics Project,<br />
CREDIT FIRST SUISSE BOSTON<br />
Thomas Schmitz-Lippert, Head of Department, Policy and<br />
International Affairs, Banking Supervision, BAFIN<br />
Erik Valtonen, Head of Quantitative Analysis,<br />
AP3<br />
Peter Zangari, Managing Director,<br />
GOLDMAN SACHS ASSET MANAGEMENT
Pre-summit day: Tuesday 26 April, 2005 www.globalrisksummit.com<br />
8.20 Registration and refreshments<br />
8.50 Welcome address<br />
KEYNOTE 9.00 Keynote address: evolution of the regulatory framework: how it should interact with industry practices<br />
Ryozo Himino, Secretary General, BASEL COMMITTEE ON BANKING SUPERVISION<br />
PANEL 9.40 Panel discussion: cross border home/host implementation issues, from dialogue to implementation<br />
Eugen Buck, Head of Portfolio <strong>Risk</strong> <strong>Management</strong>, RABOBANK NEDERLAND<br />
Bijan Khandani, Head of Basel II Programme, HBOS TREASURY SERVICES<br />
Michel Martino, Secretary General of the EU Banking Advisory Committee, EUROPEAN COMMISSION<br />
Fatima Pires, Financial Supervision Expert, EUROPEAN CENTRAL BANK<br />
10.30 Morning break<br />
PLENARY 10.50 Plenary address: economic capital within a comprehensive, value-based capital management framework<br />
George Pastrana, Managing Director, Group Strategic Analysis, UBS<br />
11.30 Implementing Pillar II<br />
• What is required?<br />
• Home/host issues<br />
• The industry’s view<br />
Simon Hills, Director, BRITISH BANKERS’ ASSOCIATION<br />
Q & A 12.10 Q&A with the regulators: an opportunity to get your Basel II questions answered by the experts<br />
Andrea Enria, Secretary General, COMMITTEE OF EUROPEAN BANKING SUPERVISORS<br />
Oliver Page, Director, Basel, FINANCIAL SERVICES AUTHORITY<br />
Eric Rosengren, Senior Vice President, Supervision, FEDERAL RESERVE BANK OF BOSTON<br />
Thomas Schmitz-Lippert, Head of Department, Policy and International Affairs, Banking Supervision, BAFIN<br />
1.00 Lunch<br />
PANEL<br />
Implementing capital allocation: optimising advanced techniques<br />
and methodologies for allocating regulatory and economic capital<br />
2.10<br />
2.20<br />
3.00<br />
3.40<br />
4.00<br />
4.40<br />
5.30<br />
Chairman’s opening remarks<br />
The implications of the changing composition of trading books<br />
• Delineation of boundaries between the banking and trading books<br />
• VaR models<br />
• <strong>Risk</strong> management<br />
• Valuation<br />
Oliver Page, Director, Basel, FINANCIAL SERVICES AUTHORITY<br />
Capital treatment of counterparty risk<br />
• Modelling counterparty exposure of<br />
- OTC derivatives trades<br />
- Repo-styled transactions<br />
• EPE x alpha - a potential solution to capture small extra risks in counterparty<br />
risk portfolios?<br />
Marcus Fleck, Regulatory <strong>Risk</strong> Analyst, DRESDNER BANK AG<br />
Afternoon break<br />
Recognition of double default<br />
• Indents of scope<br />
• Calibration<br />
• Operational issues<br />
Speaker to be confirmed<br />
STREAM 1: WORKING GROUP ISSUES STREAM 2: STRATEGY AND MANAGEMENT SOLUTIONS<br />
Panel discussion: can transparency (IAS 39) and prudence (Basel II) be reconciled?<br />
Melissa Allen, European Head of New Business and Technical Accounting Support, CREDIT SUISSE FIRST BOSTON<br />
Iain Coke, Financial Services Industries Manager, INSTITUTE OF CHARTERED ACCOUNTANTS IN ENGLAND AND WALES<br />
Michael Dickinson, Portfolio <strong>Management</strong> – Transaction and Structured Solutions Group, BNP PARIBAS<br />
Ian Tyler, Senior Manager, Group Treasury, ROYAL BANK OF SCOTLAND<br />
End of pre-summit day<br />
Chairman’s opening remarks<br />
<strong>Management</strong> of the economic capital process<br />
• Developing an optimal capital structure<br />
• Building the economic capital model into the management decision making process<br />
• Performance measurement and incentive compensation<br />
• Strategic planning<br />
John Hardt, Managing Director, <strong>Global</strong> Head of Balance Sheet <strong>Management</strong>,<br />
Group Treasury, DEUTSCHE BANK<br />
CASE<br />
Case study: Implementing Basel - experience of a Canadian bank<br />
STUDY<br />
• Validation:<br />
- a validation framework<br />
- the roles and responsibilities<br />
- the role of Internal Audit<br />
- independence<br />
• Impact on economic capital: the impact of using Basel parameters in internal models<br />
for economical capital estimation. Do we capture the economic risk?<br />
• The strategic implications: with regulatory capital becoming more risk sensitive, do<br />
we need to reassign the roles and accountabilities among the corporate groups?<br />
Bogie Ozdemir, Director, Model Validation Group, BANK OF MONTREAL<br />
Managing the economic capital process for retail portfolios<br />
• The managerial challenges of typical measurement techniques<br />
• Basel I, Basel II, and managing the "wedge" between regulatory and economic capital needs<br />
• Integrating retail securitization into the capital process<br />
• Bringing capital measures to life: retail decisioning models and risk-adjusted<br />
performance measures<br />
Geoffrey Rubin, Director, Economic Capital Group, CAPITAL ONE
Q & A<br />
Main summit programme:<br />
Day one – Wednesday 27 April, 2005<br />
8.20 Registration and refreshments<br />
KEYNOTE<br />
8.50<br />
9.00<br />
Welcome address<br />
Keynote address: risk management challenges for asset managers and fund sponsors<br />
CRO<br />
PERSPECTIVE<br />
9.40 CRO perspective: how is risk management being influenced by the regulatory environment?<br />
10.30<br />
11.00<br />
Morning break and opportunity to visit the exhibition<br />
STREAM 1: CREDIT RISK MODELLING<br />
AND ANALYSIS<br />
Chairman’s opening remarks<br />
11.10 Credit spreads models and reality<br />
• Defining the variables driving the price of credit risk<br />
• Structural vs. reduced form models and variations:<br />
evolution and empirical relevance<br />
• Credit spread dynamics in a low volatility environment<br />
Georg Grodzki, <strong>Global</strong> Head of Investment Grade Credit<br />
Research, RBC CAPITAL MARKETS<br />
STREAM 2: ADVANCED RISK<br />
MANAGEMENT STRATEGIES<br />
Chairman’s opening remarks<br />
Peter C. Stockman, Member of PA's <strong>Management</strong> Group,<br />
PA CONSULTING GROUP<br />
Managing risk in a riskier world – making global practice<br />
local reality<br />
• <strong>Global</strong> trends in risk management: what’s happening and why?<br />
• Navigating the global risk mosaic<br />
• Assessing the value of ERM and managing the trade off’s<br />
• Choices for risk management, risk measurement and<br />
risk governance<br />
• Moving beyond implementation to assimilation<br />
• Managing the upside and the downside: risk reward<br />
management to create stakeholder value<br />
Steve Manning, Head of <strong>Risk</strong> <strong>Management</strong>,<br />
LLOYD’S OF LONDON<br />
STREAM 3: APPLIED DERIVATIVES<br />
MODELLING AND ANALYSIS<br />
Chairman’s opening remarks<br />
<strong>Risk</strong> Topology: risk reporting for the future<br />
• Limitations of static portfolio risk reporting: sensitivities,<br />
VaR, scenario testing<br />
• Conceptualising risk as a terrain across future times and<br />
different market conditions<br />
• Practical calculations of scenario risk across all times<br />
and market levels<br />
• How to include hedging techniques through time<br />
• <strong>Risk</strong> landscapes: presentation of results for trading and<br />
management use<br />
• Real life case study for equity derivatives<br />
Kanwardeep Ahluwalia, Senior Managing Director, <strong>Global</strong><br />
<strong>Risk</strong> <strong>Management</strong>, BEAR STEARNS INTERNATIONAL LTD<br />
11.50 Measuring, pricing and hedging counterparty risk<br />
<strong>Global</strong> risk management and trading in emerging markets Hedging large risks: a Monte-Carlo approach<br />
in derivatives<br />
• Why is an asset-class approach needed?<br />
• Fat tails and stochastic volatility<br />
• Measuring counterparty exposures<br />
• <strong>Risk</strong> profiles optimization – trading risk zones<br />
• Optimally hedged MC for options<br />
• Allocating economic capital against counterparty risk • Hedging counterparty and country risks in emerging countries • Monte Carlo hedging for different risk measures<br />
• Hedging and trading derivatives counterparty risk<br />
• Exotic emerging structures<br />
• Extensions: transaction costs and volatility hedging<br />
Thomas Nyiro, European <strong>Global</strong> Head of Cash Exposure Philippe Jeanne, Head of Eastern Europe, Middle East, JP Bouchaud, Chief Scientist, CAPITAL FUND<br />
<strong>Management</strong> for Credit <strong>Risk</strong> <strong>Management</strong>,<br />
DEUTSCHE BANK AG<br />
Africa and Brazil Trading, CALYON<br />
MANAGEMENT, PARIS<br />
12.30 Lunch and opportunity to visit the exhibition<br />
1.50 Basel II Q&A session: what is still left to be decided after Basel II?<br />
Ryozo Himino, Bijan Khandani, Geoffrey Rubin,<br />
The Basel Handbook<br />
A Guide for Financial Practitioners<br />
Edited by Michael K. Ong<br />
"The three pillars of Basel II are a sound structure on which other regulatory models are likely to be<br />
built. Early preparation is therefore essential. Michael Ong is one of the few modern risk managers<br />
who has held leadership roles in the banking practice and academia. He is widely respected for his<br />
Secretary<br />
General, BASEL<br />
COMMITTEE<br />
Head of Basel II<br />
Programme,<br />
HBOS<br />
Director,<br />
Economic<br />
Capital Group,<br />
work in both fields and has assembled an excellent pool of authors to help banks prepare for Basel II."<br />
David R. Koenig, Chair, Board of Directors, Professional <strong>Risk</strong> Managers'<br />
International Association (PRMIA)<br />
ON BANKING TREASURY<br />
CAPITAL ONE<br />
SUPERVISION SERVICES<br />
<strong>Risk</strong> Books Order:<br />
Online www.riskbooks.com Email books@incisivemedia.com Fax +44 (0)20 7484 9800<br />
“One of the most meaningful forums<br />
in Europe for the exchange of ideas<br />
related to risk management and<br />
derivatives trading”<br />
Jürgen Hromadka, Department Manager, DZ BANK AG<br />
Sponsored by:
Sung Cheng Chih, Director - <strong>Risk</strong> and Performance <strong>Management</strong>, GOVERNMENT OF SINGAPORE INVESTMENT CORPORATION [GIC]<br />
Kanwardeep Ahluwalia, Senior Managing Director, <strong>Global</strong> <strong>Risk</strong> <strong>Management</strong>, BEAR STEARNS INTERNATIONAL LTD<br />
Colin B. Church, GCIB Chief <strong>Risk</strong> Officer EMEA, CITIGROUP<br />
Mark W. Griffin, Chief <strong>Risk</strong> Officer, GENWORTH FINANCIAL<br />
Kenneth Winston, <strong>Global</strong> Chief <strong>Risk</strong> Officer, MORGAN STANLEY INVESTMENT MANAGEMENT<br />
STREAM 4: RISK MANAGEMENT FOR ASSET<br />
MANAGERS AND INSTITUTIONAL INVESTORS<br />
Chairman’s opening remarks<br />
<strong>Risk</strong> management tools – strategic implications for<br />
asset managers<br />
• <strong>Risk</strong> is more predictable than return<br />
• A framework for asset management<br />
• Do risk management tools only work when you don’t<br />
need them?<br />
• Predicting the predictability of unpredictability<br />
Kenneth Winston, <strong>Global</strong> Chief <strong>Risk</strong> Officer, MORGAN<br />
STANLEY INVESTMENT MANAGEMENT<br />
Integrated quantitative equity portfolio management<br />
• <strong>Risk</strong> management<br />
• Portfolio construction<br />
• Return attribution<br />
• <strong>Risk</strong> budgeting<br />
Peter Zangari, Managing Director, GOLDMAN SACHS<br />
ASSET MANAGEMENT<br />
Telephone +44 (0)870 240 8859<br />
www.globalrisksummit.com<br />
STREAM 5: GLOBAL RISK MANAGEMENT<br />
FOR INSURANCE<br />
Chairman’s opening remarks<br />
Alexander Scott, Director General,<br />
CHARTERED INSURANCE INSTITUTE<br />
<strong>Global</strong>isation of insurance regulation<br />
• Main developments in international organisations<br />
• EU and US dialogue<br />
• Outlook on future developments<br />
Christian Pierotti, Head of Institutional Relations and<br />
International Affairs, COMITÉ EUROPÉEN DES<br />
ASSURANCES (CEA)<br />
Prudential reform – key areas for decision-making<br />
• <strong>Risk</strong>-based capital and supervisory intervention<br />
• Industry standard calculations and individual models<br />
• Solvency standards and financial reporting convergence<br />
Peter Vipond, Director, Financial Regulation and Taxation,<br />
ASSOCIATION OF BRITISH INSURERS<br />
PANEL Panel debate: Assessing Solvency II: looking at<br />
the regulatory environment<br />
• The future of Solvency II<br />
• Challenging regulations<br />
• Solvency measurements<br />
Moderator: John Thirlwell, Non-Executive Director,<br />
SVB SYNDICATES LTD<br />
Ian Shackell, Director of Audit and Compliance, AMLIN<br />
Patricia Plas, Director, Economic and Finance, CEA<br />
Peter Vipond, Director, Financial Regulation and Taxation,<br />
ASSOCIATION OF BRITISH INSURERS<br />
Juergen Guhe, Head of <strong>Risk</strong> Aggregation and Control,<br />
ALLIANZ GROUP<br />
Main summit programme:<br />
Day one – Wednesday 27 April, 2005 continued on next page<br />
Keynote and CRO perspective<br />
speaker biographies<br />
Sung Cheng Chih<br />
Mr. Sung joined the Government of<br />
Singapore Investment Corporation (GIC) in<br />
1993. He is currently Director of the <strong>Risk</strong> and<br />
Performance <strong>Management</strong> Department<br />
where he is responsible for firm-wide risk<br />
allocation, risk control and performance monitoring.<br />
Concurrently, he is also Chairman of GIC’s Operating<br />
Committee where he is responsible for the co-ordination of<br />
all investment support functions within the firm. In<br />
addition, as member of both the <strong>Management</strong> Investment<br />
Committee and the External Fund <strong>Management</strong> Policy<br />
Group, Mr Sung is actively involved in the decision-making<br />
process for asset allocation, macro strategies and external<br />
manager selection within GIC.<br />
Prior to assuming his current responsibilities, Mr Sung had<br />
worked in various capacities in investment management,<br />
quantitative research, business management, and<br />
corporate planning within GIC.<br />
Kanwardeep Ahluwalia<br />
Kanwardeep Ahluwalia has worked for 9yrs<br />
at Bear Stearns International. He reports<br />
directly to the <strong>Global</strong> Heads of Market <strong>Risk</strong><br />
and Credit <strong>Risk</strong>, and has a variety of<br />
responsibilities overseeing Market and<br />
Credit <strong>Risk</strong> for Europe & Asia, together with firmwide<br />
responsibility for credit, equity, and fixed income<br />
derivatives, and firmwide model review. Prior to joining<br />
Bear, Kanwardeep worked in the <strong>Risk</strong> Assessment Group<br />
of the Securities & Futures Authority. And before entering<br />
finance, he undertook research in theoretical physics.<br />
Colin Church<br />
Colin Church, EMEA GCIB Chief <strong>Risk</strong> Officer,<br />
has overall responsibilities for market, credit,<br />
franchise and operational risk in the EMEA<br />
region and is a member of the EMEA<br />
Operating Committee. Previous roles at<br />
Citigroup have included Fixed Income Sales and Trading,<br />
European Treasurer and EMEA Regional Market <strong>Risk</strong> Head.<br />
Colin graduated from Georgetown University in 1980 with a<br />
degree in Economics<br />
Kenneth Winston<br />
Kenneth Winston is <strong>Global</strong> Chief <strong>Risk</strong> Officer<br />
at Morgan Stanley Investment <strong>Management</strong><br />
(“MSIM”). In this role, he directs MSIM’s<br />
global risk management program, covering<br />
all asset classes, product vehicles, client<br />
types and operating regions programs. MSIM’s risk<br />
management activities comprise optimization of<br />
investment results through the intelligent use of<br />
investment risk; monitoring of individual and aggregate<br />
investment risk; and oversight and control of noninvestment<br />
risks such as operational, legal, regulatory, and<br />
reputation risks. Mr. Winston joined MSIM in August 2004<br />
from Oppenheimer Funds, Inc. where he held the position<br />
of Senior Investment Officer and Director of Product<br />
Design and <strong>Risk</strong> <strong>Management</strong> since 2001.
PANEL<br />
Main summit programme:<br />
Day one – Wednesday 27 April, 2005 continued<br />
2.40<br />
3.20<br />
4.00<br />
4.30<br />
PLENARY<br />
5.10<br />
5.50<br />
KEYNOTE<br />
6.20<br />
7.30<br />
STREAM 1: CREDIT RISK MODELLING<br />
AND ANALYSIS<br />
Credit concentration risk: measuring and limitation<br />
• Objectives<br />
• Fundamentals<br />
• Single name concentrations<br />
• Cluster/segment risks<br />
Christian Löbke, Head of Credit Portfolio Control,<br />
HVB GROUP<br />
The underlying dynamics of credit correlations:<br />
• Equity return dynamics, aggregate distributions and<br />
portfolio credit risk<br />
• Fat tails, asymmetry, persistence, and other stylized facts<br />
• The correlation spectrum and the taxonomy of models<br />
Arthur Berd, Senior Vice President, LEHMAN BROTHERS<br />
Artem Voronov, NEW YORK UNIVERSITY<br />
Afternoon break and opportunity to visit the exhibition<br />
Panel debate: correlation in credit portfolios<br />
Jon Gregory, <strong>Global</strong> Head of Credit Derivatives Research<br />
and Analytics Development, BNP PARIBAS<br />
Dominic O'Kane, Managing Director, Head of Fixed Income<br />
Quantitative Research (Europe) LEHMAN BROTHERS<br />
Panellists to be confirmed<br />
Plenary address: Making insurance risk management effective<br />
Keynote address: the Reinsurance Directive: a European solution for a global strategy<br />
Cocktail reception<br />
End of day one<br />
“<strong>Risk</strong> magazine's annual meeting<br />
is an effective and wonderful<br />
way to get an overview of the<br />
previous year's advances in<br />
valuation, product development<br />
and risk management”<br />
Emanuel Derman, Professor, COLUMBIA UNIVERSITY and<br />
Consultant, PRISMA CAPITAL PARTNERS<br />
STREAM 2: ADVANCED RISK<br />
MANAGEMENT STRATEGIES<br />
Enterprise-wide risk management in a financial conglomerate<br />
• Business case for enterprise wide risk management<br />
• Impact of different regulatory frameworks and requirements<br />
• Building a consistent approach to enterprise-wide<br />
risk management<br />
Petri Viertiö, Chief <strong>Risk</strong> Officer, SAMPO PLC<br />
3.20 Advanced strategies for operational risk management<br />
• Latest methods for measuring and quantifying risk<br />
• New developments in supporting technology and systems<br />
• Governance and integration with other risk management<br />
disciplines<br />
• Approaches for insurance companies and others outside<br />
the banking sector<br />
Eddie B. Niestat, Member of PA's <strong>Management</strong> Group, PA<br />
CONSULTING GROUP<br />
Computing portfolio level risk vs. instrument level risk<br />
• Top down vs. bottom up portfolio construction<br />
• Application to the fixed income markets<br />
• Allocating the risk budget most effectively<br />
• Ongoing monitoring of risk and return<br />
Paul Conyers, Head of Portfolio Research, ABN AMRO<br />
STREAM 3: APPLIED DERIVATIVES<br />
MODELLING AND ANALYSIS<br />
Unifying volatility models in discrete and continuous time<br />
• GARCH models and their continuous limit – local volatility<br />
not volatility diffusion!<br />
• The equivalence of the market model of implied volatilities<br />
and the general local volatility model with stochastic<br />
parameters in the instantaneous volatility<br />
• New analytic and empirical results on hedging with local<br />
volatility – capturing the proper dynamics of implied<br />
volatility surfaces in the hedge ratios<br />
Carol Alexander, Chair of <strong>Risk</strong> <strong>Management</strong> and Director of<br />
Research ISMA <strong>Centre</strong>, UNIVERSITY OF READING<br />
Volatility derivatives: modelling, trading and arbitrage<br />
• Index options, variance/vol swaps and their options,<br />
futures on VIX and on realized variance: a rich playfield<br />
• Fair pricing, arbitrage and trading strategies between<br />
volatility instruments<br />
• Linking tightly the P&L to the volatility view with standard<br />
options: a revolution in Delta hedging<br />
• Application to derive arbitrage bounds for variance<br />
options and links to the Skorohod embedding problem<br />
• Optimal risk management of volatility derivatives<br />
Bruno Dupire, Quantitative Research, BLOOMBERG L.P.<br />
Pricing and hedging FX options<br />
• Beyond stochastic volatility: stochastic skew<br />
• New results on hedging barrier options with vanillas<br />
Peter Carr, Head of Quantitative Financial Research,<br />
BLOOMBERG L.P. and Director of Masters in Math Finance<br />
Program, NYU COURANT INSTITUTE
STREAM 4: RISK MANAGEMENT FOR ASSET<br />
MANAGERS AND INSTITUTIONAL INVESTORS<br />
Portfolio diversification - Responding to changing<br />
volatility environments<br />
• How much risk should be taken on?<br />
Edward Fishwick, Head of <strong>Risk</strong> <strong>Management</strong>,<br />
MERRILL LYNCH INVESTMENT MANAGERS<br />
<strong>Risk</strong> budget calibration in a Bayesian portfolio<br />
construction process using risk factors rotation strategies<br />
• Long-short risk factors rotation strategy in an equity portfolio<br />
• Implementing a forecasting tool for risk factors rotation<br />
• <strong>Risk</strong> budget calibration using factors views<br />
• Overlapping strategies and risk allocation<br />
Pierangelo Franzoni, Chief Investment Officer,<br />
MPS ASSET MANAGEMENT IRELAND LTD.<br />
New challenges for pension fund management<br />
• Merging absolute and relative return - is this possible?<br />
• Belief statements and investment style<br />
• Challenges for risk management<br />
Erik Valtonen, Head of Quantitative Analysis, AP3<br />
www.globalrisksummit.com<br />
STREAM 5: GLOBAL RISK MANAGEMENT<br />
FOR INSURANCE<br />
Reviewing governance, risk and compliance in<br />
general insurance<br />
• How to implement an integrated framework to ensure an<br />
improved management of general insurance<br />
• Relationship between governance, risk management and<br />
compliance in general insurance<br />
• Challenges inherent in managing risks in general insurance<br />
• Techniques used to ensure consistency, flexibility<br />
and sensitivity<br />
• Implementation challenges: rolling out a new way of<br />
managing the business<br />
• Compliance: control approaches when reviewing an<br />
“all-embracing” framework<br />
• Value added: what makes the framework work for managers?<br />
Lotfi Baccouche, <strong>Risk</strong> and Compliance Officer, CHUBB<br />
INSURANCE COMPANY OF EUROPE SA<br />
CASE<br />
Case Study: <strong>Risk</strong> <strong>Management</strong> for a non-Life Insurer<br />
STUDY<br />
• Insurance is different from banking: what works<br />
and what’s different?<br />
• The search for meaningful risk measurement<br />
methodologies<br />
• Links with risk-based capital<br />
• The challenges of implementing a risk management<br />
culture inside a risk business!<br />
Bill Courtney, Credit, Market and Liquidity <strong>Risk</strong>s Director,<br />
ROYAL & SUNALLIANCE INSURANCE GROUP PLC.<br />
<strong>Global</strong> risk management twice removed<br />
• <strong>Risk</strong> management of a reinsurance company<br />
• Uncertainty arising from underwriting other peoples risk<br />
• Sources of uncertainty<br />
• Reinsurance portfolio management<br />
• Some useful tools<br />
Julian Richardson, Underwriting <strong>Risk</strong> Manager <strong>Global</strong><br />
Markets, GE INSURANCE SOLUTIONS<br />
Mark W. Griffin, Chief <strong>Risk</strong> Officer, GENWORTH FINANCIAL<br />
Peter William Skinner, Member of the European Parliament, COMMITTEE OF ECONOMIC AND MONETARY AFFAIRS<br />
Main summit programme:<br />
End of day one<br />
Plenary and Keynote speaker<br />
biographies<br />
Mark W. Griffin<br />
Mark attended the University of Waterloo in<br />
Canada and graduated with a B.Math<br />
Degree in 1982. Mark became a Fellow of<br />
the Society of Actuaries and the Canadian<br />
Institute of Actuaries in 1983. Mark began<br />
his career with the Metropolitan Insurance Company,<br />
working in the Canadian Office and the New York Head<br />
Office. Between 1986 and 1999, Mark worked for Morgan<br />
Stanley and Goldman Sachs, with time spent in the New<br />
York and London offices of both firms. While on Wall<br />
Street, Mark was responsible for a range of insurancespecific<br />
work including asset-liability management, fixed<br />
income as well as overall asset allocation strategy,<br />
mergers and acquisitions, and securitization. In January<br />
2000, Mark joined GE as the Chief <strong>Risk</strong> Manager of GE<br />
Financial Assurance and is currently the Chief <strong>Risk</strong> Officer<br />
of Genworth Financial. Mark is a Chartered Financial<br />
Analyst and also holds the Financial <strong>Risk</strong> Manager (FRM)<br />
and Professional <strong>Risk</strong> Manager (PRM) designations.<br />
Peter William Skinner<br />
Peter Skinner has always had an interest in<br />
European politics through his studies and<br />
connections through the European Trade<br />
Union Movement. This helped to forge not<br />
only his identity with European ideas for<br />
collaboration, but also convinced him of his wish to be<br />
active in European politics. He has been a Member of the<br />
European parliament since 1994, first representing Kent<br />
West, before being elected an MEP for the South East<br />
Region. Peter has been a Member of the Economic and<br />
Monetary Affairs Committee for 10 years and has been the<br />
European Parliamentary Labour Party's spokesperson and<br />
the EPLP - UK Treasury Link for 3 years. He is currently<br />
Parliament Rapporteur for the Reinsurance Directive. His<br />
main interests lay in financial services, in particular the<br />
transatlantic legislators dialogue. He is also active in<br />
promoting the risk capital action plan as part of the Lisbon<br />
Agenda for growth potential within the EU, aimed primarily<br />
at the SME sector. Peter is a substitute Member of the<br />
Industry, Research and Energy Committee and takes a<br />
special interest in the link between science and<br />
innovation. He hopes to promote the connection between<br />
research at universities with the translation in to<br />
commercial products. Peter is a senior Member of the US<br />
Delegation and regularly visits the US to discuss trade<br />
issues and financial services. He is currently working on<br />
equivalence issues in terms of the regulation of the<br />
Financial Services Industry. Peter Skinner is also an expert<br />
in field of Health and Safety and from 1996 to 2004 was the<br />
European Parliament's permanent Rapporteur for the<br />
Health and Safety Agency in Bilbao. He is firmly committed<br />
to improving conditions in the work place. Peter is<br />
President of the Kent Health and Safety Group, a trustee of<br />
Veterans Support UK and is also a Vice Patron of The<br />
Dame Vera Lynn Trust for Children with Cerebral Palsy.
Main summit programme:<br />
Day two – Thursday 28 April, 2005<br />
8.30<br />
KEYNOTE<br />
9.00<br />
9.40<br />
CRO<br />
PERSPECTIVE<br />
10.30<br />
11.00<br />
11.10<br />
11.50<br />
Registration and coffee<br />
Keynote address: trends in the derivatives industry<br />
CRO hedge funds perspective: how does risk management in hedge funds differ from risk management in other financial institutions?<br />
• Institutionalisation of hedge funds<br />
• Will regulation slow down the market?<br />
Morning break and opportunity to visit the exhibition<br />
STREAM 1: EVOLUTIONS IN CREDIT DERIVATIVES AND<br />
STRUCTURED CREDIT PRODUCTS<br />
Chairman’s opening remarks<br />
Outlook for credit derivatives/synthetic securitisation<br />
Robert McAdie, <strong>Global</strong> Head of Credit Strategy,<br />
BARCLAYS CAPITAL<br />
Synthetic credit baskets - from first-to-default baskets to<br />
CDOs squared<br />
Christian Hille, Trader, International Credit Structuring<br />
Group, NOMURA INTERNATIONAL PLC.<br />
12.30 Lunch and opportunity to visit the exhibition<br />
1.50 <strong>Risk</strong> management and risk attribution for correlation products<br />
• Spread Value-at-<strong>Risk</strong> (VaR) and expected shortfall<br />
calculations for a portfolio of tranches<br />
• Consistent attribution of VaR between tranches and to<br />
names inside tranches<br />
• Extension to CDO-squared products<br />
• Applications to hedging<br />
Damian Taras, Vice-President (Quantitative Analyst),<br />
DRESDNER KLEINWORT WASSERSTEIN<br />
STREAM 2: ALM AND LIQUIDITY RISK MANAGEMENT<br />
Chairman’s opening remarks<br />
Using the goal of stockholder value to guide<br />
resource allocation<br />
• Focus on maximising risk-adjusted returns<br />
- RoE and Value Creation -- two related measures<br />
- key drivers of a firm's market capitalisation<br />
• Use of RoE and value creation inside the firm<br />
- (can be) drivers of resource allocation within a firm<br />
- this approach provides stockholder perspective on<br />
resource decisions<br />
• Opportunities and challenges<br />
John Hardt, Managing Director, <strong>Global</strong> Head of Balance<br />
Sheet <strong>Management</strong>, Group Treasury, DEUTSCHE BANK<br />
Review of liquidity risk regulation updates<br />
Strategic ALM for pension funds<br />
• What is strategic ALM?<br />
• Demographics in Europe, US, Asia. Implications from<br />
demographic changes<br />
• Asset returns: historical and futuristic; relative returns and<br />
new asset classes<br />
• New finance theory--asset allocation for long-term investors<br />
• Equity premium, risk preferences and horizons<br />
• Liabilities and liability change drivers<br />
• Inflation and duration matching<br />
• Opportunities and challenges--macro and micro<br />
• New tools and new mind-set needed--derivatives, risk<br />
management and structures<br />
Amlan Roy, Director, Pensions Advisory & Structuring<br />
Group Coordinator, <strong>Global</strong> Demographics Project, CREDIT<br />
FIRST SUISSE BOSTON<br />
STREAM 3: APPLIED DERIVATIVES MODELLING<br />
AND ANALYSIS<br />
Chairman’s opening remarks<br />
Pricing and hedging in a stochastic volatility framework<br />
• Black Scholes and beyond : the case for<br />
stochastic volatility<br />
• Overview over stochastic volatility models and<br />
their application<br />
• Hedging under stochastic volatility: theory<br />
• Hedging under stochastic volatility in practice<br />
• Discussion<br />
Marcus Overhaus, Managing Director, <strong>Global</strong> Head<br />
Quantitative Research and Structuring, <strong>Global</strong> Equity<br />
Derivatives, DEUTSCHE BANK AG<br />
Bermudan and trigger option stream rollover strategies<br />
• Definition of an option and its price process<br />
• Semipositive and trigger options<br />
• Finite option streams<br />
• The rollover operator and its associativity<br />
• Properties of the rollover option of a regenerative trigger<br />
option stream<br />
• Minimax optimality of the Bermudan rollover option<br />
• Stream rollover trading strategies<br />
Farshid Jamshidian, Co-ordinator of Quantitative Research,<br />
NIB CAPITAL BANK<br />
Pricing and hedging of long-term equity derivatives
Jerry del Missier, Head of Rates and Private Equity, Regional Head of Europe, BARCLAYS CAPITAL<br />
Frederic Berney, Executive Director and Chief <strong>Risk</strong> Officer, HARCOURT INVESTMENT CONSULTING AG<br />
Luca Celati, Chairman and Chief Investment Officer, ABRAXAS CAPITAL MANAGEMENT<br />
Luc Estenne, Chief Executive, PARTNERS ADVISORS S.A.<br />
Subu Venkataraman, Managing Director and Chief <strong>Risk</strong> Officer, HIGHBRIDGE CAPITAL<br />
STREAM 4: RISK MANAGEMENT FOR HEDGE FUNDS<br />
AND FUNDS OF FUNDS<br />
Chairman’s opening remarks<br />
STREAM 5: ADVANCED STRATEGIES IN<br />
OPERATIONAL RISK<br />
Overview of hedge fund risk management process: compare KEYNOTE Keynote address: cross-border implementation of OR<br />
and contrast with risk issues for funds of hedge funds<br />
models: the regulatory aspects<br />
• Limits of IT technology for hedge funds and funds of<br />
Michel Martino, Secretary General of the<br />
hedge funds<br />
EU Banking Advisory Committee,<br />
• Are there any magic bullets for lack of transparency?<br />
EUROPEAN COMMISSION<br />
• Toward risk factors for hedge fund strategies<br />
Michel Martino has been involved in<br />
Drago Indjic, Partner, SOFT FINANCE SA, GENEVA, and<br />
banking regulation and supervision since<br />
Center for Hedge Funds, LONDON BUSINESS SCHOOL<br />
1994. He has participated in the<br />
Committee of European Banking Supervisors since its<br />
inception in 2004. Michel has contributed to the<br />
development of EU legislation in the field of financial<br />
conglomerates and capital adequacy.<br />
Between the numbers, beyond fraud: reporting risk,<br />
Using scenario analysis to determine operational risk<br />
framing of risk information and human weaknesses<br />
capital - a practical approach<br />
• What is reporting risk?<br />
• The nature of operational risk<br />
• Sources of reporting risk<br />
• Overview of approach and use of the 4 AMA elements<br />
• A case study: how returns are framed for stability in<br />
• The irrelevance of small losses to capital<br />
alternative investments allocation decisions<br />
• Correlation assumptions and implementation<br />
• Conclusions<br />
• Overview of implementation process<br />
Luca Celati, Chairman and Chief Investment Officer,<br />
• Validation<br />
ABRAXAS CAPITAL MANAGEMENT<br />
David Palmer, Director, CREDIT SUISSE FIRST BOSTON<br />
<strong>Risk</strong> management with limited transparency<br />
• Return based vs. exposure driven approaches<br />
• Defining the risk returns drivers<br />
• Optimal disclosure of information<br />
Frederic Berney, Executive Director and Chief <strong>Risk</strong> Officer,<br />
HARCOURT INVESTMENT CONSULTING AG<br />
Sponsored by:<br />
www.globalrisksummit.com<br />
Chairman’s opening remarks<br />
Laurence Trigwell, Financial Services Industry Director,<br />
EMEA, COGNOS<br />
Mutual expectations from Pillar II and Pillar III –<br />
supervision, transparency and governance<br />
• Pillar II and Pillar III:<br />
- Basel I’s translation onto Basel II<br />
- capital in the system<br />
- differentiation between risk classes<br />
• Pillar II – The supervisory review:<br />
- supervision versus regulation<br />
- risk based supervision<br />
- assessment of capital ratios<br />
• Pillar III – transparency:<br />
- what does it mean and to whom?<br />
- how can it be evidenced?<br />
- impact on shareholders/regulators/ other stakeholders<br />
• Summary:<br />
- read-over into CAD 3 in the EU<br />
- rating agencies<br />
- the route to Basel III and onwards<br />
David Clark, Director, OPERATIONAL RISK RESEARCH<br />
FORUM [ORRF]<br />
Main summit programme:<br />
Day two – Thursday 28 April, 2005 continued on next page<br />
Keynote and CRO perspective<br />
speaker biographies<br />
Jerry del Missier<br />
Jerry del Missier is a Managing Director and<br />
Head of Rates and Private Equity at Barclays<br />
Capital. He is also the Regional Head of<br />
Europe and a member of the firm’s Executive<br />
Committee. Mr. del Missier joined the firm<br />
from Bankers Trust in London where he had been a Senior<br />
Managing Director of Derivatives Products, responsible for<br />
the European business for five years. Prior to this, he was<br />
based in Toronto, Canada, where he was responsible for the<br />
Canadian Dollar interest rate derivatives business. Before<br />
Bankers Trust, he worked for the Bank of Nova Scotia.<br />
Frederic Berney<br />
Frédéric Berney joined Harcourt in March<br />
2003. He began his career at Credit Suisse in<br />
Zurich in 1995 where he was involved in the<br />
first implementation of an independent<br />
market risk management system. In 1997 he<br />
became market risk manager for the Swiss CSFB Equities<br />
Derivatives division. In 1999 he joined ex-colleagues of<br />
CSFB at Sanwa International in London in order to set up<br />
the independent risk management function. He became<br />
senior vice president in 2001, responsible for the risk<br />
measurement team.<br />
Luca Celati<br />
Luca Celati is the co-Founder of Abraxas<br />
Capital <strong>Management</strong>, the FSA-regulated<br />
manager of Abraxas Fund, a macro hedge<br />
fund that specialises in the trading of<br />
gamma. He is the author of The Dark Side of<br />
<strong>Risk</strong> <strong>Management</strong>, which first introduced psychometric<br />
testing and behavioral finance in a risk text. His research<br />
interests are mostly in Alternative Investments, liquidity<br />
and the psychological factors in trading and risk decisions.<br />
Previously, he was the <strong>Global</strong> Head of <strong>Risk</strong> <strong>Management</strong> in<br />
the Debt division of DRKW in London and a proprietary<br />
trader at Bankers Trust in London and New York. There he<br />
pioneered the early applications of credit derivatives in<br />
loan trading and portfolio management since 1992.<br />
Luc Estenne<br />
Luc D. Estenne is Chief Executive of Partners<br />
Advisers S.A., a Geneva based familly office<br />
which provides global hedge fund<br />
investment advisory services to a group of<br />
privately held investment companies and<br />
selected institutions in Europe. From 1994 to 1996, Mr<br />
Estenne was an officer of Bank Brussels Lambert (BBL) in<br />
New York and Brussels, trading proprietary capital. Prior to<br />
joining BBL, he held different positions in the <strong>Global</strong><br />
Technology and Operation group of JP Morgan Brussels.<br />
Subu Venkataraman<br />
Subu Venkataraman is currently the Chief<br />
<strong>Risk</strong> Officer and Managing Director at<br />
Highbridge Capital <strong>Management</strong>, a multistrategy<br />
hedge fund, where he is responsible<br />
for the implementation of “best practices”<br />
risk management policies and procedures as well as<br />
refinements to capital allocation and performance<br />
monitoring processes.<br />
Before joining Highbridge, Subu was Executive Director,<br />
Market <strong>Risk</strong>, at Morgan Stanley, where he was the global<br />
head of risk monitoring (equity, commodity and foreign<br />
exchange) as well as the head of the risk analytics and<br />
methodology group. Subu has also held positions as<br />
Senior Economist at the Federal Reserve Bank of Chicago,<br />
as well as academic positions at the University of Florida<br />
and Northwestern (Kellogg).
Beyond the Gaussian copula model<br />
• A market standard model?<br />
• Multi-factor models<br />
• Choice of copula<br />
• The correlation skew<br />
• Advanced pricing issues (CDO^2, moving attachment<br />
points, cross-subordination...)<br />
Jon Gregory, <strong>Global</strong> Head of Credit Derivatives Research<br />
and Analytics Development, BNP PARIBAS<br />
Jean-Paul Laurent, Professor, ISFA Actuarial School,<br />
UNIVERSITY OF LYON<br />
Credit-equity and hybrids<br />
• Managing a hybrid trading book<br />
• Potential new uses and new products<br />
• Impacts of fixed income/equity divisional mergers<br />
• Where hybrids make sense<br />
• And where they don't<br />
Tolga Uzuner, Director, Fixed Income, CREDIT SUISSE<br />
FIRST BOSTON<br />
3.50 Afternoon break and opportunity to visit the exhibition<br />
PLENARY 4.20 Plenary address: what's missing from corporate finance risk models?<br />
• Diversification vs. investment expertise: how to measure trade-off<br />
• Sources of fat-tail risk distributions<br />
• Integrated risk, economic capital, risk budgeting - three pillars of risk management process<br />
• How to identify cost effective hedges<br />
Alla Gil, Managing Director and the Head of Capital Markets Strategy Group, CITIGROUP<br />
PANEL<br />
Main summit programme:<br />
Day two – Thursday 28 April, 2005 continued<br />
2.30<br />
3.10<br />
5.00<br />
5.40<br />
6.00<br />
STREAM 1: EVOLUTIONS IN CREDIT DERIVATIVES AND<br />
STRUCTURED CREDIT PRODUCTS<br />
CMS and hybrid coupon market models for pricing callable<br />
CMS and hybrid coupon swaps<br />
• Extending LIBOR and swap market models<br />
• Ease of volatility calibration<br />
• Expressions for drift under terminal and spot measures<br />
• Reduced factor fast drift calculations for LIBOR, swap and<br />
CMS models<br />
Raoul Pietersz, Senior Derivatives Researcher, ABN AMRO<br />
BANK and ERASMUS UNIVERSITY ROTTERDAM<br />
Traders’ panel debate: are traders too reliant on modelling/procedures?<br />
End of summit<br />
“Great opportunity to hear and<br />
speak with the leaders in so many<br />
aspects of my business”<br />
Douglas C. Moss, Division Director, Quantitative Applications<br />
Division, MACQUARIE BANK LIMITED<br />
STREAM 2: ALM AND LIQUIDITY RISK MANAGEMENT<br />
Trading off liquidity, duration, and return in a product<br />
development context<br />
Melanie L. Petsch, Director, Investment Product<br />
Development, TIAA-CREF<br />
Role of ALM and risk management in the insurance<br />
industry and the link with value creation<br />
• ALM impact on value creation<br />
• From risk management to product engineering<br />
• RAS experience:<br />
- governance<br />
- asset liability strategy and product innovation<br />
- creating a coherence between RORAC optimisation and<br />
P&L targets on non Life business: management techniques<br />
Michele Gaffo, Head of <strong>Risk</strong> and Investment Strategy, RAS<br />
Session to be confirmed<br />
Guy Coughlan, Director of ALM, JP MORGAN CHASE<br />
STREAM 3: APPLIED DERIVATIVES MODELLING<br />
AND ANALYSIS<br />
Pricing swaps and swaptions: an integrated approach<br />
• A simultaneous approach in pricing swaps and swaptions<br />
in an Affine model<br />
• Improvement of estimation due to the integrated approach<br />
• Its impact on pricing MBS<br />
Ali Hirsa, Head of Analytical Trading Strategy, CASPIAN<br />
CAPITAL MANAGEMENT, LLC<br />
Modelling and risk management of mortgage pipeline risk<br />
• Pipeline in the U.S.<br />
• Pipeline in the Netherlands<br />
• Fall-out modelling<br />
• Hedge strategies for the mortgage pipeline<br />
Dick Boswinkel, Senior Vice President, Mortgage Analytics<br />
Research & Development, ABN AMRO NORTH AMERICA<br />
A review of FX model performance, past and future<br />
Jessica James, Director, FX <strong>Risk</strong> Advisory Group,<br />
CITIGROUP
STREAM 4: RISK MANAGEMENT FOR HEDGE FUNDS<br />
AND FUNDS OF FUNDS<br />
Extended session: Optimal hedging<br />
• Asymmetry tamed - the problems of risk measures<br />
• Local and global volatility - the relation to alpha<br />
• Optimisation of long, short, leveraged portfolios<br />
• The time dimension<br />
• Optimal market exposure<br />
Con Keating, Principal, FINANCE DEVELOPMENT CENTRE<br />
EXTENDED SESSION<br />
www.globalrisksummit.com<br />
STREAM 5: ADVANCED STRATEGIES IN<br />
OPERATIONAL RISK<br />
PANEL Panel session: Examining operational risk and<br />
regulatory compliance in US and European financial<br />
services<br />
Eric Rosengren, Senior Vice President,<br />
FEDERAL RESERVE BANK OF BOSTON<br />
David Clark, Director, OPERATIONAL RISK<br />
RESEARCH FORUM [ORRF]<br />
John Thirlwell, Non-Executive Director,<br />
SVB SYNDICATES LTD<br />
Effective operational risk reporting: a look at the latest<br />
governance challenges<br />
Speaker to be confirmed by COGNOS<br />
QUANTITATIVE EXPERTS’ CORNER<br />
Insurance for operational risk<br />
• Operational risk and insurance - comparing their coverage<br />
• Insurance pricing<br />
• Insurance as a mitigant for the capital charge<br />
• Operational risk management and insurance buying<br />
John Thirlwell, Non-Executive Director, SVB SYNDICATES LTD<br />
Operational risk management in a non-Basle home<br />
ANEL Panel debate: pace of development, information<br />
country. Challenges to transnational implementation:<br />
sharing issues<br />
Russia, Ukraine, Kazakhstan, Netherlands<br />
• How useful are the models that theorists come up with? • Environment of a transitional home-country economy not<br />
• Delivering quantitative models with practical applications conducive to standard technique<br />
– Is there any perceived benefit from financial<br />
• Implementing Basle standards where Basle does not<br />
engineering programmes being set up?<br />
yet exist. Issues of transnational implementation,<br />
Peter Carr, Head of Quantitative Financial Research,<br />
home/host implications<br />
BLOOMBERG L.P. and Director of Masters in Math<br />
• 'Learn by doing': operational risk policy; risk coordinators<br />
Finance Program, NYU COURANT INSTITUTE<br />
• Loss collection: process, sources of information, pricing<br />
Alla Gil, Managing Director, Financial Strategy Group, incidents. 1st year results analysis. External data:<br />
CITIGROUP<br />
sources and applicability<br />
Kai Leifert, Head Compliance and <strong>Risk</strong> <strong>Management</strong>, • Standard techniques: self-assessment pilot runs. KRI<br />
CREDIT SUISSE ASSET MANAGEMENT<br />
reporting in headquarters and Bank's subsidiaries<br />
Marcus Overhaus, Managing Director, <strong>Global</strong> Head<br />
• Non-standard techniques: compensation for external<br />
Quantitative Research and Structuring, <strong>Global</strong> Equity<br />
data deficiencies<br />
Derivatives, DEUTSCHE BANK AG<br />
Stephen Blyth, Managing Director, DEUTSCHE BANK<br />
• Insurance program design: applying internal and external<br />
loss data to optimise and justify design<br />
• Operational risk management during interbank crises in<br />
Russia and Ukraine in 2004: data and tools<br />
Philip Halperin, Director of <strong>Risk</strong> <strong>Management</strong>, ALFA BANK<br />
Christian Hille, Trader, International Credit Structuring Group, NOMURA INTERNATIONALPLC<br />
Philippe Jeanne, Head of Eastern Europe, Middle East, Africa and Brazil Trading, CALYON<br />
Main summit programme:<br />
End of summit<br />
Plenary and Traders’panel speaker<br />
biographies<br />
Alla Gil<br />
Alla Gil is a Managing Director and the Head<br />
of Capital Markets Strategy Group. She is<br />
responsible for providing enterprise level<br />
finance advisory for clients worldwide. Her<br />
group advises the senior management of<br />
major Citigroup's clients on liquidity, currency, interest<br />
rate, and credit risks as well as asset / liability, and<br />
economic capital management and optimization. Alla's<br />
background is in theoretical mathematics and optimization.<br />
She has 14 years of financial experience. Prior to starting<br />
at Citigroup in 1997, Alla worked at Goldman Sachs and<br />
CIBC.<br />
Stephen Blyth<br />
Stephen Blyth is Managing Director and<br />
head of European Arbitrage Trading at<br />
Deutsche Bank in London. He was formerly<br />
Managing Director at Morgan Stanley in<br />
New York. Dr Blyth was previously a<br />
Lecturer in the Department of Mathematics at Imperial<br />
College London and holds an PhD in Statistics from<br />
Harvard University.<br />
Christian Hille<br />
Christian T. Hille is a trader in Nomura’s<br />
International Credit Structuring Group,<br />
where he is responsible for correlation and<br />
credit option trading.<br />
Before moving into trading he co-headed<br />
Nomura's Models & Methodology Group in London and<br />
was responsible for structured credit and exotic fixed<br />
income products. In the last 2 years he has been focussing<br />
on pricing and hedging credit basket products (from nthto-default<br />
baskets to synthetic CDO tranches and callable<br />
tranches) using fast valuation techniques. More recently<br />
he has developed new techniques for pricing and riskmanaging<br />
CDO squared products. Before joining Nomura<br />
International plc, Christian worked as a Manager for<br />
Arthur Andersen Financial <strong>Risk</strong> Consulting, responsible for<br />
quantitative projects. He holds a MSc in Physics from<br />
Technical University Clausthal (Germany) and a MSc in<br />
Mathematical Finance from Oxford University.<br />
Philippe Jeanne<br />
Mr. Jeanne has over 15 years of experience<br />
in Foreign Exchange and Fixed Income.<br />
Appointed Head of Eastern Europe Middle<br />
East Africa and Brazil Trading for Calyon in<br />
2004, Mr. Jeanne was previously in charge of<br />
Emerging Markets trading globally. Prior to this, he spent 3<br />
years in New York, in charge of the USD derivatives<br />
business and started his career at Calyon in 1995 handling<br />
non-euro derivatives, euro exotic options and<br />
commodities. Before joining Calyon, Mr. Jeanne worked at<br />
ASKL-CGER heading their Paris dealing room and spent 5<br />
years at Barclays, as a market-maker on interest rate<br />
options, arbitrage and structured deals. Mr. Jeanne is<br />
graduated from ESTP and has an ESSEC Master in Finance.<br />
Mr. Jeanne has published several financial articles.
Post-summit day: Friday 29 April, 2005<br />
9.00 Registration and refreshments<br />
FX <strong>Risk</strong> <strong>Management</strong><br />
9.30 Traditional hedging strategies<br />
• Forwards vs. options<br />
• Hedging large moves - tail risk<br />
• Hedge Rebalancing Issues<br />
• Which hedge tenor?<br />
• New developments in hedge accounting<br />
Speaker to be confirmed<br />
11.00 Morning break<br />
11.30 Active risk management<br />
• Use of active strategies - do they work?<br />
• Setting the benchmark<br />
• Model performance - trend, forward rate bias, active option strategies<br />
• Model enhancements<br />
Jessica James, Director, FX <strong>Risk</strong> Advisory Group, CITIGROUP<br />
1.00 Lunch<br />
Interest Rate <strong>Risk</strong> <strong>Management</strong><br />
2.00 Portfolio interest rate risk management<br />
• Coping with directionality (using swaps and FRAs)<br />
• Portfolio protection<br />
• Expressing views by overlaying a neutral benchmark with swaps or other derivatives<br />
• Overcoming financing costs (with forward start swaps)<br />
• Managing duration risks (using cashflow swaps)<br />
• Hedging curve shifts (parallel shifts, rotations, changes in curvature)<br />
Speaker to be confirmed<br />
3.30 Afternoon break<br />
4.00 Exposure management - altering return profiles with the use of interest rate products<br />
• Insurance products<br />
• Minimum return guarantees<br />
• Hedging with caps and swaptions<br />
• Annuity options<br />
• Payer/receiver swaptions<br />
Speaker to be confirmed<br />
5.30 End of seminar<br />
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€ 2,610 € 3,122 € 225<br />
€ 2,610 € 3,122 € 225<br />
€ 3,355 € 4,013 € 300<br />
�� Operational <strong>Risk</strong> magazine: 2 issue trial<br />
�� <strong>Risk</strong> magazine: 2 issue trial<br />
�� Baselalert: 2 issue trial<br />
�� Structured Products: 2 issue trial<br />
ACCOUNT ADDRESS IF DIFFERENT FROM ABOVE:<br />
Book after 28 March 2005:<br />
Fee Fee incl. VAT 19.6%<br />
€ 2,095 € 2,506<br />
€ 970 € 1,160<br />
€ 970 € 1,160<br />
€ 2,835 € 3,391<br />
€ 2,835 € 3,391<br />
€ 3,655 € 4,371<br />
�� Asia <strong>Risk</strong>: 2 issue trial<br />
�� <strong>Risk</strong> Books: Catalogue<br />
�� Credit: 2 issue trial<br />
�� US Credit: 2 issue trial<br />
SIGNATURE: DATE:<br />
Incisive Financial Publishing VAT No: GB 756978165 For companies in EU member states only: Please write your VAT/TVA/BTW/IVA/ MCMS/MWST/FPA number here<br />
We accept company cheques, credit cards and bank transfers. Please allow a minimum of seven working days for a bank transfer to reach us and phone or fax us when it has been sent. Please state the event name and delegate name to which it relates.<br />
A limited number of guest rooms at a special<br />
discounted conference rate have been<br />
reserved at the Monte Carlo Grand Hotel.<br />
Anticipated demand will be high so please<br />
book early to avoid disappointment.<br />
To make a reservation, please contact Adele<br />
at the Event Workshop on:<br />
Tel: +44 (0)1189 869111 or email:<br />
beds@theeventworkshop.co.uk<br />
4051/05<br />
Warning: <strong>Risk</strong> and are registered trademarks, and the titles, contents and style of this brochure are the copyright of Incisive<br />
Media. We will act on any infringement of our rights anywhere in the world. © Incisive Media.<br />
Cancellation: A refund (less 10% administration fee) will be made if notice of cancellation is received in writing three weeks before<br />
the event. We regret that no refunds can be given after this period. A substitute delegate is always welcome at no extra charge.<br />
Disclaimer: The programme may change due to unforeseen circumstances, and Incisive Media reserves the right to alter the<br />
venue and/or speakers. Incisive Media accepts no responsibility for any loss or damage to property belonging to, nor for any<br />
personal injury incurred by, attendees at our conferences, whether within the conference venue or otherwise. *All discounts<br />
must be redeemed when booking, discounts will not be valid or applied after this time. Incisive Media reserve the right to<br />
decline any discount offers and this offer cannot be used in conjunction with any other offer.<br />
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find our mailing address and fax details above.<br />
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