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	Programme 13 June 2007
8.30	Registration and breakfast
9.00	Editor's opening remarks: Nick Sawyer, Editor: RISK MAGAZINE
9.10	ROUNDTABLE European Chief Risk Officer roundtable: Critical issues facing European risk managers Moderator: Vasilios Siokis, Chief Risk Officer, CHEYNE CAPITAL MANAGEMENT Raj Singh, Chief Risk Officer, ALLIANZ Frederic Berney, Executive Director and Chief Risk Officer, HARCOURT INVESTMENT CONSULTING Colin Church, Chief Risk Officer, EMEA, CITIGROUP Edward Fishwick, Head of Risk Management, BLACKROCK
10.10	Morning break and opportunity to visit the exhibition hall

Click to go directly to a stream:
Stream 1: Advances in derivatives trading and products
Stream 2: New frontiers in risk management
Stream 3: Latest developments in quantatitative credit risk modelling

	STREAM ONE: Advances in derivatives trading and products	STREAM TWO: New frontiers in risk management
10.40	Chairman's opening remarks Paolo Verzella, Researcher in Mathematical Finance, UNIVERSITY OF MILANO BICOCCA	Chairman's opening remarks Senior Executive, ERNST & YOUNG
	DEALING WITH VOLATILITY	TALKING INSURANCE
10.50	Structured products in investment and risk management Latest trends in structured products and the risks and rewards thaht follow Structured products in asset allocation and portfolio management framework Investment and risk assessment in structured products Volatility as underlying of structured products : trends & ideas Antoun Ghosn, Head of Marketing, Structured Products for EEMEA, SOCIÉTÉ GENERALE CORPORATE & INVESTMENT BANKING	Dual perspectives Implementing sound risk management in the competitive insurance market through Solvency II Maintaining a competitive position in the European market Implementing an efficient capital strategy whilst dealing with the challenges that come with Solvency II Olav Jones, Head of Insurance Risk and Valuation, Fortis Central Risk Management – FCRM, FORTIS Alberto Corinti, Secretary General, CEIOPS
11.30	OTC derivatives – operations challenges and developments Feasibility of standard processing Current regulatory focus on operations issues Efficiencies in OTC clearing Julian Day, Policy Director, ISDA	Role of ALM and risk management within a Solvency II environment Embedded option and risk evaluation Approaches to measure risk under Solvency II Trading off liquidity, duration, and return in a product development context The RAS experience Michele Gaffo, Head of Risk Management, RAS
12.10	Lunch and an opportunity to visit the exhibition hall
	DEALING WITH VOLATILITY
13.30	Advanced coding techniques on the sell side Generic trade frameworks Reuse without inheritance Functional and higher-order programming Multiple inheritance for multiple models Optimization techniques Thomas Hyer, Director, UBS	Longevity risk – art of betting on life and death The buzz over longevity bonds Evaluating catastrophe and mortality bonds Espen Nordhus, Partner, SECURIS INVESTMENT PARTNERS
		THE EUROPEAN PENSION MARKET
14.10	The pricing of options with fourier transform methods: from the frontier to the trading desk The pricing of the derivative component: the PDE and the fourier transform approaches Cutting edge quadrature algorithms: Newton-Cotes and Gauss Fourier transform formulas for the pricing Implementation to the trading desk: the calibration of alpha Marcello Minenna, Enforcement Officer, CONSOB	Case study A pension fund's LDI strategy Jeremy Stone, Chairman, WHSMITH PENSION FUND
14.50	Afternoon break and an opportunity to visit the exhibition hall
15.20	Determining volatility factor exposures of equity-oriented hedge funds Calls and puts Straddles Variance swaps VIX Futures and Gamma derivatives David Kuenzi, Head of Risk Management and Quantitative Research, GLENWOOD	Risk management for pension providers How is regulation affecting the market? Understanding and managing non-financial risks Erwin Maartens, Chief Risk Officer, TIAA-CREF
16.00	EXTENSIVE MASTERCLASS A simple dynamic model for portfolio credit derivatives Review of implied copula approach Extension to a dynamic model Binominal tree representation Calibration Application to the valuation of forwards and options on CDOs Application to LSS transactions John Hull, Maple Financial Group Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, UNIVERSITY OF TORONTO
17.20	Chairman's closing remarks
17.30	End of Risk 07 conference
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	STREAM THREE: Latest developments in quantitative finance
10.40	Chairman's opening remarks
10.50	Hedging options on variance Measuring hedging performance Model candidates Pricing options on variance Hedging options on variance Oleksandr Chybiryakov, Quantitative Analyst, DEUTSCHE BANK
11.30	New developments in structured credit derivatives Pricing and structuring issues Trading strategies for synthetic CDOs The correlation skew - pricing and risk management issues and new models The role of the rating agencies Alternatives strutures (CPPI/CPDO, LSS) and asset classes Jon Gregory, Head of Credit Derivatives Research, BARCLAYS CAPITAL
12.10	Lunch and an opportunity to visit the exhibition hall
13.30	Variance swaps and structured volatility arbitrage Part 1: Why trade volatility with variance swaps? P&L path-dependency of vanilla options Pure volatility trading with variance swaps Part 2: Structured volatility arbitrage A simple winning strategy The Dresdner Equity Volatility Arbitrage Index Sebastien Bossu, Vice-President, Equity Structuring, Global Derivatives — Product Development, Dresdner Kleinwort Martin Hartmann, Head of Strategy Indices, Dresdner Kleinwort
14.10	Pseudo-Spectral methods for continuous-time lattices Continuous-time lattices and Markov chains Markov generator construction and approximation Pseudo-spectral and finite difference methods Matrix multiplication via fast exponentiation Application to local vol and stochastic volatility models Manlio Trovato, Director, Complex Interest Rate Options Analytics, MERRILL LYNCH
14.50	Afternoon break and opportunity to visit the exhibition hall
	EXTENDED MASTERCLASS
15.20	A simple dynamic model for portfolio credit derivatives Review of implied copula approach Extension to a dynamic model Binominal tree representation Calibration Application to the valuation of forwards and options on CDOs Application to LSS transactions John Hull, Professor of Finance, Director, Faculty of Management, UNIVERSITY OF TORONTO
16.00	EXTENSIVE MASTERCLASS A simple dynamic model for portfolio credit derivatives Review of implied copula approach Extension to a dynamic model Binominal tree representation Calibration Application to the valuation of forwards and options on CDOs Application to LSS transactions John Hull, Maple Financial Group Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, UNIVERSITY OF TORONTO
17.20	Chairmans closing remarks
17.30	End of Risk 07 conference
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