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STREAM ONE:
Advances in derivatives trading and products |
STREAM
TWO:
New frontiers in risk management |
| 10.30 |
Chairman's opening remarks
Steve Kou, Associate Professor, COLUMBIA UNIVERSITY |
Chairman's opening remarks
Stephen J. Christie, Partner, Ernst & Young LLP |
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EXOTIC DERIVATIVES & STRUCTURED PRODUCTS TRADING |
Risk management challenges for mortgage banks |
| 10.40 |
Back testing of exposure simulations
- What are we testing and why: regulator perspective vs. banks prospective;
models vs. implementation
- Limitations: long term predictions; EAD – conditional on default
- The scale of the challenge
- Practical set up
Vladimir Chorniy, Head Of Counterparty Risk Analytics, Group Risk Management, BNP PARIBAS |
Overcoming the risk challenges of speciality finance projects:
infrastructure, energy, renewables
- Due diligence process and risk issues
- Qualitative and quantitative measures
- Scenario analysis and IRR
- Downside risk
- Project lifecycle
Vasilios Siokis, Chief Risk Officer, CHEYNE CAPITAL MANAGEMENT |
| 11.20 |
Beating the spread: Modelling interest rate correlation
- Spread options in the market: from plain vanilla to state-of-the-art
- Modelling approaches: from Black-Scholes to Libor Market Model
- Risk management: quantifying risk and practical hedging
Christian J Waite, Quantitative Analyst, Global Markets, BBVA |
Risk convergence
From conformance to performance: Achieving value beyond regulatory compliance
- Unprecedented regulatory change and its influence on new approaches to managing risk
- Responding to 'Risk fatigue' and the inefficiencies of burgeoning compliance, internal control and risk management programmes
- Moving towards a converged operating model - a roadmap for financial institutions to improve efficiency through integration, coordination and streamlining
Chris Maher, Principal, Financial Services Risk Management, Ernst & Young |
| 12.00 |
Covered call strategies
- Setting
- Risk/return characteristics
- Option risk premiums
- Portfolio considerations
- Actual implementation
Bas Peeters, Head of Structured Products, ING INVESTMENT MANAGEMENT |
The uses and implications of enterprise risk budgeting
- The importance of Enterprise Risk Budgeting as a business management tool
- The Major Challenge - Data Consolidation
- The challenge of sparse data sets
- Economic Capital Calculation for developing economies
David Thomas, Risk Management Product Manager, TEMENOS |
| 12.40 |
Lunch and an opportunity to visit the exhibition hall |
| 13.50 |
Guest academic address:
Ioannis Karatzas, Professor of Applied Probability, COLUMBIA UNIVERSITY |
| 14.30 |
What is a good risk measure?
- Controversy of the tail conditional expectation
- Advantage of using VaR
- Axioms for VaR
- Consistency of VaR with market psychology
- Robustness of VaR
- A justification of using VaR in Basel II
Steve Kou, Associate Professor, COLUMBIA UNIVERSITY |
Managing hedge fund risk: A CRO’s perspective and the right questions to ask as an investor and regulator
- Transitioning from institutional risk to hedge fund risk
- Building a risk framework
- Mistakes made by fund of funds and the question they should be asking
- Protecting from the Amaranth effect
Harvey Toor, Chief Risk Officer, SQUARE INVESTMENT MANAGEMENT |
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REGULATORY VIEW ON TRADING STRATEGIES |
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| 15.10 |
Commission’s review of the commodity derivatives business under MiFID and CDR
- The main contours of the review and explanation of the Commission call for evidence
- Commodity and commodity derivatives: two separate markets?
- What regulation do we need for the commodity derivatives sector?
Jiri Krol, Internal Market DG , EUROPEAN COMMISSION |
The unbundling of alpha and beta
- Examples
- Structured products including CPPI
- What is driving this unbundling?
- What impact is it having on the industry?
- Do Alpha and Beta always lend themselves to being unbundled?
Malcolm Kemp, Director and Head of Quantitative Research ,
THREADNEEDLE |
| 15.50 |
Afternoon break and an opportunity to visit the exhibition hall |
| 16.20 |
Regulation of the hedge fund and private equity industries
- Background
- FSA approach
- Benefits of “alternatives”
- HF risks & regulatory approach
- PE risks & regulatory approach
- What next?
Bruce Robson, Manager, Asset Management Sector, FINANCIAL SERVICES AUTHORITY |
Trading costs, the fundamental law of active management, and optimal
holding periods
- Extending the fundamental law of active management to include trading costs
- Drivers of trading costs: commissions, bid/ask spreads, market impact, and necessary leverage
- At what point does increasing breadth through shorter holding periods no longer cover trading costs?
Larry Abele, Managing Partner, AURIEL CAPITAL MANAGEMENT |
| 17.00 |
Regulatory requirements for stress testing under Basel II
- CRD requirements for stress testing
- Market, liquidity and credit risk stress testing
- Relationship between Pillar I and II and moving forward to Pillar III
Jérôme Deslandes, Banking and Financial Conglomerates, Internal Market Directorate-General, EUROPEAN COMMISSION |
Risk management framework in a fund of hedge fund
- Dealing with incomplete transparency
- Segmentation of the risks and completeness of the framework
- Risk budgeting within the segments
Frederic Berney, Executive Director and CRO, HARCOURT INVESTMENT CONSULTING |
| 17.40 |
Executive Address
Executive address :
Paul Sharma, Head of Department for Risk Modelling and Review, FINANCIAL SERVICES AUTHORITY
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| 18.10 |
Chairman's closing remarks |
| 18.20 |
Cocktail reception |
| 19.20 |
End of day 1 |
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STREAM THREE:
Latest developments in quantitative credit risk modelling |
| 10.30 |
Chairman's opening remarks
Claudio Albanese, Professor of Mathematical Finance, IMPERIAL COLLEGE |
| 10.40 |
If you build it, will they come? Effective structured credit strategy
- A case-study on how a leading bank executes a successful credit investment strategy
- Global trends, constraints and challenges
Andrew Sheets, MORGAN STANLEY
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| 11.20 |
Pricing and hedging portfolio credit derivatives in a dynamic model
- From the bottom-up to the top-down approach
- A dynamic version of the Marshall-Olkin model
- Numerical implementation: asymptotic series expansion
- Dynamic loss distribution
- The forward skew
- Hedging strategies based on quadratic risk minimization
Youssef Elouerkhaoui, Managing Director, Head of Credit Derivatives
Quantitative Research, CITIGROUP |
| 12.00 |
Semi-analytic valuation of credit linked swaps and swaptions in a Black-Karasinski framework
- Credit linked swaps
- Generic valuation considerations
- Positive hazard rates and swaption skew control
- Forward and swap measure calibration
- Valuation by conditioning on one of the driving processes
- Ornstein-Uhlenbeck process path space quadrature
Peter Jaeckel, Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics, ABN AMRO |
| 12.40 |
Lunch and an opportunity to visit the exhibition hall |
| 13.50 |
Academic Address Guest academic address:
Ioannis Karatzas, Professor of Applied Probability, COLUMBIA UNIVERSITY |
| 14.30 |
Structural model for credit and equity derivatives and bespoke CDOs
- Reconciling credit to equity derivatives
- Volatility sensitive credit derivatives
- Bespoke CDOs
Claudio Albanese, Professor of Mathematical Finance, IMPERIAL COLLEGE |
| 15.10 |
Building smile and smile dynamics in BGM/J models
- Smile risks in fixed income structured products
- BGM/J models incorporating smile dynamics
- Smile dynamics impact on pricing and hedging
Dong Qu, Global Head of Quantitative Products Group, Santander Global
Banking and Markets, SANTANDER
Frank Mao, Senior Quantitative Analyst, Santander Global Banking and
Markets, SANTANDER
|
| 15.50 |
Afternoon break and opportunity to visit
the exhibition |
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CORRELATION DEVELOPMENTS |
| 16.20 |
Liquidity risk and correlation risk – Implications for risk management
- Market liquidity risk
- Funding liquidity risk
- Causes of liquidity risk
- Linkage between liquidity risk and correlation risk
- Recent examples
- Lessons for risk management: The role of liquidity scenario testing and
arrangement of contingent liquidity provisions
Viral Acharya, Associate Professor of Finance, LONDON BUSINESS SCHOOL |
| 17.00 |
Multi-level quasi Monte Carlo method
- Quasi Monte Carlo
- Multi-level method
- Digital and barrier options
- Greeks
- Future challenges
Michael Giles, Professor, Oxford University Computing Laboratory,
OXFORD UNIVERSITY |
| 17.40 |
Executive Address
Executive address:
Paul Sharma, Head of Department for Risk Modelling and Review,
FINANCIAL SERVICES AUTHORITY |
| 18.20 |
Chairmans closing remarks |
| 18.30 |
Cocktail reception |
| 19.30 |
End of day one |
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