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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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€ 895 € 1,070 € 75<br />

€ 895 € 1,070 € 75<br />

€ 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 />

Incorrect mailing, data protection: If any of the details on the mailing label are incorrect,please return the brochure to our<br />

database administrator at Incisive Media so that we can update our records and ensure that future mailings are correct. Please<br />

find our mailing address and fax details above.<br />

Please tick the box if you do not want to be provided with details of relevant products or services via Mail �� Phone �� Fax<br />

�� Email �� by Incisive Media plc �� or reputable external companies ��

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