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RISKMINDS 2010 COVER:Superreturn A3 07 24/11/10 11:39 Page 1

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“This Is The Best Risk Management Conference In The World” ve Se Bo
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Eduardo Canabarro, Global Head Of Quantitative Analysis, MORGAN STANLEY to mbe y
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NEW TOP 50 d
REGULATOR 0!
The 17th Annual

500+ CROs,
Senior Risk
Practitioners, Norah Barger
Regulators & Deputy Director, Division
Academics In Of Banking Supervision
Attendance & Regulation
In 2009 THE FEDERAL RESERVE
BOARD

Risk Modelling, Measurement & Management In The New World Order


25 CROs Give You Strategic Insights Into The New Agenda For Bank RIsk Management

Hugo Banziger Benoit Ottenwaelter Paul Smith Alden Toevs Jacques Beyssade William Dawson Executive Claude Piret Richard Evans
CRO & Member Of Group CRO & Group CRO CRO CRO VP, Chief Credit & Risk CRO & Member Of CRO, Institutional
The Management Member Of The STANDARD BANK COMMONWEALTH NATIXIS Officer, Wealth, The Management Clients Group
Board Executive Board BANK AUSTRALIA Brokerage & Retirement Board CITI
DEUTSCHE BANK SOCIETE GENERALE WELLS FARGO & COMPANY DEXIA

Understanding The Practical Implementations Of The New Regulatory Paradigm On Bank Business & Risk Models
Monday 6 December 2010 – The Global Risk Regulation Summit Day

Julie Dickson Jose-Maria Roldan Sylvie Matherat Peter Praet Svein Andresen Ulrich Bindseil Arnoud Vossen Patrick Raaflaub
Superintendent Director General, Director Of Financial Director Secretary General Head Of Risk Secretary General Director
OSFI Banking Supervision Stability NATIONAL BANK FINANCIAL Management CEBS FINMA
BANCO DE ESPANA BANQUE DE FRANCE OF BELGIUM STABILITY BOARD ECB

Cutting Edge Methodologies In Market, Credit, Liquidity & Gain In-Depth Knowledge
Operational Risk Management
From Four
Plus Technical Workshops
The Fundamentals Of
Risk Management
Darryll Hendricks
Managing Director, Global
Riccardo Rebonato
Global Head Of Corporate
Andreas Gottschling
Global Head Of Risk Analytics
Evan Picoult
Managing Director,
John Hull
Head Of Risk Methodology Markets, Head Of Quantitative & Instruments, Global Head Risk Architecture, CITI UNIVERSITY OF TORONTO
UBS Research, Global Banking Of Operational Risk & Adjunct Professor
RBS Management COLUMBIA BUSINESS 6 December 2010
DEUTSCHE BANK SCHOOL

Counterparty Credit
NEW – The Ri$kMinds 2010 Guest Lectures Risk Management
Broaden your understanding of risk management and the global economic cycle through MORGAN STANLEY, R2 FINANCIAL TECHNOLOGIES
this new series of lectures from leading academics & global figureheads
THE FEDERAL RESERVE BOARD
FINANCIAL ENGINEERING PUBLIC PERCEPTIONS OF RISK 10 December 2010
Paul Embrechts, Professor, David Spiegelhalter, Winton
Department Of Mathematics, Professor For The Public
ETH ZURICH Understanding Of Risk,
Department Of Mathematics,
Coherent Stress Testing
CAMBRIDGE UNIVERSITY Riccardo Rebonato, RBS
GEOPOLITICAL RISK
Pippa Malmgren, Founder, 10 December 2010
CANONBURY GROUP RECOVERING FROM DISASTER
Gerald Ratner, Founder, New
RISK MANGEMENT AT NASA RATNER ONLINE
Jeevan Perera, Risk Manager, Liquidity Risk Management
NASA SPACE CENTRE HISTORY OF FINANCIAL CRISES OENB, COMMERZBANK &
Forrest Capie, Professor Of Economic HSH NORDBANK
History, CITY UNIVERSITY 10 December 2010

Main Conference Lead Sponsor: Co-Sponsors:


7- 9 December 2010
Hotel President Wilson,
Geneva, Switzerland
Tel: +44 (0) 20 7017 7200
Fax: +44 (0) 20 7017 7807
Email: Info@icbi.co.uk Supported By Media Partners
Refreshment Sponsor:
www.icbi-riskminds.com
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 1

What Makes RiskMinds The World’s


Most Prestigious Risk Management
Conference?
TWICE AS MANY CROs as 2009
Greetings From RiskMinds HQ! Gain Cutting Edge Insights Into How Chief Risk Officers Across The
Globe Are Reshaping Risk Management & Bank Business
Having attracted over 500 CROs, risk practitioners and
academics in both 2008 and 2009, Ri$kMinds has proven MEET 25 GLOBAL LEADING CHIEF RISK OFFICERS:
itself once again as the largest and most prestigious risk
1. Benoit Ottenwaelter, Group Chief Risk Officer &
management conference.
Member Of The Executive Board, SOCIETE GENERALE
2. Richard Evans, CRO, Institutional Clients Group, CITI
For 2010, the agenda has changed. Basel III, post-sub-prime
economic fallout and ‘bankers bonuses’ have combined to 3. Hugo Banziger, CRO & Member Of The Management Board,
DEUTSCHE BANK
politicise risk. What once were the concerns of an elite few
risk managers are now the concerns of daily newspapers, 4. Claude Piret, CRO & Member Of The Management Board, DEXIA
news reels and political manifestos. 5. Dr. Sebastian Fritz-Morgenthal, Head of Group Risk Management
HSH NORDBANK AG
• How will risk management change as a result of the 6. David Li, CRO, CHINA INTERNATIONAL CAPITAL CORPORATION
tsunami of regulatory change? 7. David Watts, CRO, WESTPAC NEW ZEALAND
• How will CROs adapt to foster a new culture of risk within 8. Stephen Anderson, CRO, Europe, HSBC
their firms? 9. Alden Toevs, CRO, COMMONWEALTH BANK AUSTRALIA
• How will models change as a result of the crisis? 10. Christiane Laibach, Chief Risk Officer, KFW IPEX BANK
• What tools will YOU need to ensure the stability and 11. William Dawson, Executive VP, Chief Credit & Risk Officer, Wealth,
prosperity of your financial institution and indeed wider Brokerage & Retirement, WELLS FARGO & COMPANY
global systemic safety? 12. Beat Hodel, CRO, RAIFFEISEN
13. Holger Demuth, CRO, Member of the Executive Board,
Meet like minded risk managers, CROs, regulators, academics CLARIDEN LEU
and industry leaders at this year’s RiskMinds and get the 14. Jacques Beyssade, CRO, NATIXIS
answers to all of these questions and more. RiskMinds 2010 15. Paige Wisdom, Chief Enterprise Risk Officer, FREDDIE MAC
is designed to equip the modern risk manager with the 16. Jamal Saleh, CRO, COMMERCIAL BANK OF DUBAI
knowledge & tools required to navigate banks in the post- 17. Jens Kaessner, CRO, DEUTSCHE POSTBANK
crisis world.
18. John Hollows, CRO, KBC
19. Martha Cummings, CRO, BANCO SANTANDER
See you in Geneva!
20. Olivier Irisson, Deputy CRO, BPCE
Katy McDonnell, Conference Director 21. Nasir Ahmad, CRO, BANQUE CANTONALE VAUDOISE
RiskMinds 2010 22. Morten Friis, CRO, RBC
23. Paul Smith, Group CRO, STANDARD BANK
24. Petri Viertio, CRO, POHJOLA
25. Stephen Allen, Head Of Risk Management Group,
Raise Your Profile At MACQUARIE GROUP

Ri$kMinds 2010 We’re on Twitter: Follow us @riskminds and use the #RM10 event hashtag
for up to the minute details on the industry and our event.
A small number of speaking opportunities remain Join Us On Linked In: www.linkedin.com search ‘Ri$kMinds’ in the groups
on the agenda. Contact Rustum Bharucha at section and join the online debate!
rbharucha@icbi.co.uk or +44 (0) 20 7017 7225
NEW For 2010

NEW Norah Barger, THE FED – Top regulatory figurehead confirms to


Have You Recently Published A Paper? Speake
r
speak at RiskMinds for the first time!
Do You Have A Blog? 18 of the 25 Chief Risk Officers speaking this year have never
NEW
Do You Tweet? CROs spoken at RiskMinds before
Hear It Straight From The CRO’s Mouth – Be it risk appetite, risk
NEW culture or risk management in the Middle East, the CRO showcase
CROsse
blog Showca on Wednesday 8 December promises honest and frank presentations
from CROs
If the answer to any of the above is YES then contact New Liquidity Risk Management Workshop – Friday 10 December
NEW n
Jen Flynn on jflynn@icbi.co.uk Focus O y 2010 – gain insights into cutting edge techniques for modelling and
Liqudit
mitigating liquidity risk at this in full day in depth workshop
This year, we are considering launching the Ri$kMinds
Including: Darryll Hendricks, Managing Director, Global Head Of Risk
blog which will host a number of features including: NEW Methodology, UBS and
Top rs
 Links to recent papers/articles from some of our top Practitio
ne Andreas Heise, Director, Head Of Liquidity Risk Management,
speakers (and delegates) DEUTSCHE BANK
 Information on our top speakers including interviews With speakers ranging from
 Guest articles from leading academics, CROs and risk Jeevan Perera
Risk Manager
practitioners NASA
NEW
Guest s to author
Lecture Forrest Capie (famous for his writings on the history of the
Keep an eye on www.icbi-riskminds.com for more
History Of The Bank Of England), the 2010 Guest Lectures
information or to submit your articles/ideas aim to stretch minds beyond.....

2
1
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 14:51 Page 3

Day 2 Main Conference: Wednesday 8 December 2010

RISK MODELLING, MEASUREMENT & MANAGEMENT IN THE NEW WORLD ORDER


08.45 Registration & Coffee
Chairman’s Opening Address
09.00
Chaired By: Thomas Kimner, Head of Americas Risk Practice, SAS
THE RI$KMINDS 2010 GUEST SUPERVISOR ADDRESS
09.10
Addressing The Key Issues In Today's Global Financial System
Julie Dickson, Superintendent, OSFI

THE RI$KMINDS 2010 NEW RESEARCH PAPER


09.50 Financial Engineering And The Financial Crisis: Warnings, Guilt And Lessons Hopefully Learned
Paul Embrechts, Professor, Department Of Mathematics, ETH ZURICH

THE RI$KMINDS 2010 GUEST CRO ADDRESS


10.45 Reshaping The New Agenda For Risk Management
How Have Banks Revised Strategies, Systems, Assumptions & Internal Models In Light Of The 2007-2009 Crisis?
Hugo Banziger, CRO & Member Of The Management Board, DEUTSCHE BANK

11.15 Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition


STREAM D
STREAM A STREAM B STREAM C STREAM E
Successful Risk & Capital
Market Risk Management In Innovations In Credit & Strategic & Regulatory Risk Management Cutting Edge Insights From The
Modelling In Volatile Times
The New Regulatory Paradigm Counterparty Risk Modelling In The New World Order Ri$kMinds Thought Leaders
Chaired By
Chaired By Chaired By Chaired By Chaired By
RBSA/CITIZENS FINANCIAL GROUP
MUREX RISK DYNAMICS PRICEWATERHOUSECOOPERS PRMIA
The RiskMinds 2010 The Ri$kMinds
The Ri$kMinds Thought
Thought
Market & Credit Risk Integration In PIT vs TTC CHIEF RISK OFFICER SHOWCASE Leadership Guest
Leadership Guest Lectures
Lectures
The Trading Book vs The Banking Book: Developing A Dual PD PIT-TTC Risk Strategy & Infrastructure
The 2010 Citi Masterclass
11.40
Delivering A Holistic View Of Risk Exposures Ratings Framework Aligning Business Strategy, Risk Strategy Q and A Off The Record
Darryll Hendricks, UBS Scott Aguais, RBS Price Risk Vs Value Risk Julie Dickson, OSFI
And Risk Infrastructure
Evan Picoult, CITI &
Beat Hodel, RAIFFEISEN
COLUMBIA BUSINESS SCHOOL
Managing Market Risk Exposures Incorporating Capital Costs At Origination Risk Management Post Crisis
In A Changed World: How To Improve Deal Origination Through How Will Methods & Models Change To
12.15 Creating An Appropriate Analytical Tool Set Accounting For Portfolio Effects Represent The New Normal? GUEST LECTURE 1:
To Manage The New Market Risk Exposures Mikael Nyberg Nasir Ahmad
Kevin Oden, WACHOVIA MOODY’S ANALYTICS BANQUE CANTONALE VAUDOISE Financial Crises In
Middle East Risk Management Long Term Perspectives
Riding The Waves Of Retail Lending Quant Heaven? Risk Management In Dubai,
How Origination, Credit And Economic Cycles The Road To Credit Risk Management GCC, Middle East
Delivering The Risk Enabled And Forrest Capie, CITY UNIVERSITY
12.50
Often Coincide For Disastrous Effects Is Quant Heaven Jamal Saleh
Capital Efficient Enterprise
Joseph Breeden, STRATEGIC ANALYTICS Eduardo Epperlein, NOMURA COMMERCIAL BANK OF DUBAI
Laurence Trigwell, IBM

13.25 Lunch
Forward Thinking For Scenario Analysis Implementing Risk Appetite
Risk Management In The New Agenda For Risk Management
Basel III & Credit Risk Effectively Embedding Plausible Overcoming The Challenges Of
Do We Need To Reinvent
Private Equity Don't Throw The Baby Out With The Economic Scenarios Into Implementing A Risk Appetite Framework
14.30 The Entire Risk Management Process?
Bathwater Bank-Wide Stress Tests Across Your Institution
Ken Abbott, MORGAN STANLEY Joerg Erlebach, COMMERZBANK
Petri Viertio, POHJOLA
Paul Shotton, UBS Olivier Irisson, BPCE

LIVING WILLS WORKING GROUP


CVA Analytics Liquidity Cycles In Risk Management Living Wills I Scenario Modelling
Effective Strategies For Pre And Liquidity Cycle & The Impact On Credit How Do You Address Bank Inter-Connectivity The Advantages Of Managing
15.05 Post Trade CVA Risk Analytics Decision Making & Risk Management Risk With Scenarios GUEST LECTURE 2:
In Recovery & Resolution Plans?
Paul Jones Addressing The Challenges Of Unwinding
QuIC FINANCIAL TECHNOLOGIES Christoph Dieng, NORD LB Complex Trading Portfolios Hubert Brogniez, FINALYSE Credit Ratings And
John Whittaker, BARCLAYS CAPITAL Securitization

Systemic Risk, Procyclicality & The Are We At The Bottom Of The Roller
Interconnectedness Of Financial Institutions Living Wills II Coaster Ride And The Lending Boom
IRC Successfully Managing & Whose Responsibility Is The Recovery Is Starting Again?
Modelling Incremental Risk Charge Mitigating Systemic Risk & Resolution Plan & What Should Lessons Learnt And How To Set Sensible John Hull
15.40 The Plan Entail?
Barbara Frohn Risk Appetite In Retail Credit Risk UNIVERSITY OF TORONTO
Christian Oehler, D-FINE GRUPO SANTANDER Duncan McNab
Gonzalo de Cadenas PRICEWATERHOUSECOOPERS Uttiyo Dasgupta,
GRUPO SANTANDER HSBC

16.15 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition

Liquidity Risk & Balance Sheet GUEST LECTURE 3:


Management Working Group Early Warning Systems
OTC Derivatives Economic Capital Post-Crisis
Leveraging Capital Market Information In
Liquidity Stress Testing Determining The Impact Of Derivatives Evaluating The Key Issues & Challenges How NASA Manages Their Risks
Credit Risk Management
For Securities Firms Legislation On The Cost & Efficiency Of Risk Around Economic Capital & Assessing Its
16.45
Defining Liquidity Destruction Triggers, Management & On Inter Bank Liquidity Relevance In Bank Business
Volker Kintrup
Scenario Development & Data Consistency RSU RATING SERVICE UNIT
In Liquidity Stress Tests Ahmet Yetis, BARCLAYS CAPITAL Jean-Bernard Caen, DEXIA
Kenji Fujii, MIZUHO SECURITIES CO Jeevan Perera, NASA SPACE CENTRE

Enterprise Liquidity Impact Of Basel III GUEST LECTURE 4:


Business Value In Risk Management Impact Of Basel III On Banks:
Essential Elements For Managing A Case Study In Risk Appetite Setting
Prerequisites For Providing Business
17.20 Enterprise Liquidity Understanding The Implications Of And Alignment Perceptions Of Risk
Value With Risk Management
Calibration And Interaction With Regulators Shahram Elghanayan, SUNGARD
Simon Haldrup, DANSKE BANK
Aaron Sanders, QRM Harry Stordel, CREDIT SUISSE Communicating Risks And Deeper
Uncertainties In Words, Numbers
New Strategies For Credit Portfolio Stress Testing Economic Capital For & Pictures
Impact Of Basel III Q And A
Management Risk Appetite Design & Capital
Charging For Balance Sheet Usage
How Should Current Models Be Revamped Planning Framework
Linking Funds Transfer Pricing And Harry Stordel, CREDIT SUISSE
17.55 In Response To Basel III? Broadening Stress Tests To Achieve A
Capital Charging Mattia Rattaggi, UBS
Ludger Overbeck Group Level Risk Appetite Validation Figure
Mark Johnston, MACQUARIE GROUP Christian Lajoie, BNP PARIBAS
COMMERZBANK & UNIVERSITY Sebastian Fritz-Morgenthal, David Spiegelhalter
OF GIESSEN HSH NORDBANK CAMBRIDGE UNIVERSITY

Champagne Roundtable Discussions

Reputational Risk -
Financial Expert Judgement & Strategies
18.30 PIT vs TTC Managing Risks In NASA
Resource Management: Risk Models: For Rebuilding And
- Scott Aguais Jeevan Perera
Thorsten Kanzler Klaus Boecker Sustaining Reputation:
19.15 Head Of Credit Portfolio Analytics Risk Manager
Group Treasurer Senior Risk Controller Leo Johnson
RBS NASA SPACE CENTRE COMMERZBANK UNICREDIT GROUP Partner
PRICEWATERHOUSECOOPERS

19.30 Cocktail Reception - End Of Day 2

4
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 14:51 Page 4

Day 3 Main Conference: Thursday 9 December 2010


RISK MODELLING, MEASUREMENT & MANAGEMENT IN THE NEW WORLD ORDER
08.30 Registration & Coffee

Chairman’s Opening Address


08.45
Chaired By: Charles Richard, Senior Vice President, QRM

THE RI$KMINDS 2010 ‘FINANCIAL MINDS’ THINKTANK


Determining The New Blueprint For Financial Engineering
Sophisticated Complex Models Vs Crude Robust Risk Measures: Is There Room For Both Strategies In The Post-Sub-Prime World?
09.00 Greg Hopper, Managing Director, GOLDMAN SACHS
Paul Shotton, Deputy Head Of Portfolio Risk Control And Head Of Group Risk Methodology, UBS
Riccardo Rebonato, Global Head Of Corporate Markets, Head Of Quantitative Research, Global Banking, RBS
Evan Picoult, Managing Director, Risk Architecture, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOL

GETTING BACK ON TOP


Recovering And Learning From A Reputational Disaster
09.45 Take Home Insights From The Ri$kMinds Disaster Guru: Learn How To Overcome Adversity & Rebuild Yourself & Your Business With This
‘Real Life’ Case Study From A Top Business Executive
Gerald Ratner, Founder, RATNER ONLINE

10.30 Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition


STREAM A STREAM B STREAM C
Innovations In Credit & STREAM D STREAM E
New Approaches To Measuring & Strategic & Regulatory Risk
Counterparty Risk Modelling The Latest Developments In The Ri$kMinds 2010
Managing Liquidity Risk Chaired By Marcia A. Banks, Management In The Guest Lectures In Finance
Operational Risk & ERM
Chaired By QRM Associate Director, IACPM New World Order
Wrong Way Risk, Stress Testing, Building A Common Framework Second Generation Operational
Liquidity Risk Management Alpha & The CVA For Credit & Market Risk Risk Modelling Integration Of Risk Factors In A
Liquidity Regulation 2.0 - Impact How Can Banks Adopt Counterparty Developing A Comparable Cross-Silo Cutting Edge Operational Liquidity-At-Risk Framework
On The Financial Industry Management Strategies
11.00 Comparable Measure Risk Management
To Successfully Incorporate
Andreas Heise Regulatory Change? David Buckham
DEUTSCHE BANK Greg Hopper Pieter Klaassen Robin Philips MONOCLE SOLUTIONS
GOLDMAN SACHS UBS JP MORGAN

Calibrating Counterparty Op Risk Under Basel III


“Water, Water Everywhere…” Credit Risk Models Through Stress Testing Credit Portfolios
The Value Of Operational Risk GUEST LECTURE 5
A Unitary Approach To Managing Stressed Periods The Role Of Sovereign Risk For
Management In The New Regulatory
Liquidity To Generate Liquidity At Risk Examining The Conceptual Foundation Scenario Development
11.35 Environment Stress Testing And Reverse Stress
& The Potential Impact On Minimum
Suresh Sankaran Capital Requirements Juan Licari Testing For Solvency
Michael Pykhtin Philippa Girling
FISERV MOODY’S ANALYTICS
THE FEDERAL RESERVE BOARD MORGAN STANLEY
Alexander McNeil
Liquidity Risk Tell Me What You Know Maxwell Professor Of
A Balance Sheet Risk Management CVA Risk Management That You Don't Know Mathematics, Department of
Approach & VaR Maximum Entropy & Information Operational Risk Management Actuarial Mathematics &
12.10 Dr. Mario Onorato For Stress Testing Purposes It Is Time To Build Out The ‘M’ In ORM Statistics
ALGORITHMICS UK & Eduardo Canabarro Jay Newberry, CITI HERIOT-WATT UNIV
CASS BUSINESS SCHOOL, CITY MORGAN STANLEY Riccardo Rebonato
UNIVERSITY, LONDON RBS
12.45 Lunch

Capital Management Post-Crisis


Balance Sheet Structuring A Practical Guide For Turning Your Model Risk & Model Control: How Banks Have Altered Their
Balance Sheet Structuring In A Pricing Infrastructure Into A CVA Incorporating Liquidity Fluctuations Post-Crisis ERM Strategies Capital Management Approaches,
Funding Constrained World Infrastructure Into Model Risk Assessments Repositioning ERM In Measures & Decision Making
14.00
Alexander Sokol The Post-Crisis Environment Processes
Martyn Hoccom NUMERIX Pierpaolo Montana Nancy Loucks, STATE STREET
RBS WESTLB Fernando De La Mora
PRICEWATERHOUSECOOPERS

Re-Thinking Valuation:
Liquidity Risk Management Towards A Comprehensive Scenario Domiciling Offshore Pro-Cyclicality:
PD Ratings Framework:
Better Including Liquidity Risk In The Framework For Valuing Credit The Bermuda Case Study Modelling Credit Cycles,
Implementing A Dual PD Ratings
Overall Risk Management Framework
14.35 Instruments In Illiquid Markets Framework Using Internal PD Models Crises And Market Uncertainty
Dominique Laboureix Fawaz Elmalki
Dan Rosen Scott Aguais, RBS CONYERS DILL & PEARMAN Jorge Sobehart, CITI
BANQUE DE FRANCE & CEBS
R2 FINANCIAL TECHNOLOGIES

15.10 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition

PANEL SESSION
Forward Looking Capital Integration Of Operational Risk With The Ri$kMinds Problem Solving
Liquidity Risk Regulation & Provisioning & Expected Loss Future Of Securitisation Debate Controls And Compliance Working Groups
Stress Testing Provisioning: Is This The Renaissance For Structured Moderator: Get Your Questions Answered By
Liquidity Risk Regulation, Reporting & How Are New Capital Buffer Standards
Credit & Securitisation? What Is The Dr. Hans-Peter Güllich, AVANON The Experts! Make The Most
15.40 The Role Of Stress Testing Impact Availability & Use Of Tier 1
Future For CLOs, CDOs & Mortgage Of Your Time At The Conference And
Capital?
Evan Sekeris Backed Securities? Panellists: Post Your Related Questions To
Stefan Schmitz
FEDERAL RESERVE BOARD OF Joachim Pfeifer, COMMERZBANK The Expert Practitioners Running
OENB
RICHMOND Alexander Batchvarov Wolfgang Huetter, VOLKSBANK Each Table
MERRILL LYNCH Deon Tromp, STANDARD BANK Credit Risk Modelling &
Management
Allan Yarish
Transfer Pricing CHANNEL CAPITAL ADVISORS ‘Expert Judgement’ Overcoming Market
Exploring Boundaries Of Risk Challenges
Integrating Liquidity Costs & Steering & Risk Models
Credit Risk Models
Bank Business & Performance Claas Becker A Bayesian Approach To Risk Stress Testing Under
16.15 Stress Testing & Conservatism
Management According To Transfer DEUTSCHE BANK Models & Input Data Basel III
Pricing Klaus Boecker Capital Management
Christian Duesterberg, RBS
Arno Kratky, COMMERZBANK UNICREDIT GROUP

16.50 End Of Ri$kMinds 2010

Post Conference Technical Workshops - Friday 10 December 2010

Liquidity Risk Management Workshop Coherent Stress Testing Workshop Counterparty Credit Risk Modelling Workshop
Stefan Schmitz, Economist, OENB Dan Rosen, CEO, R2 FINANCIAL TECHNOLOGIES
Riccardo Rebonato, Global Head Of Corporate Markets,
Arno Kratky, Head Of Liquidity Risk, COMMERZBANK Michael Pykhtin, Senior Economist, FEDERAL RESERVE BOARD
Head Of Quantitative Research, Global Banking, RBS
Clemens Harzer, Risk Manager, Deputy Manager, Eduardo Canabarro, MD, Head Of Creidt & Market Quantitative
Liquidity Risk Controlling, HSH NORDBANK Risk, MORGAN STANLEY

5
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 4

Day 3 Main Conference: Thursday 9 December 2010


RISK MODELLING, MEASUREMENT & MANAGEMENT IN THE NEW WORLD ORDER
08.30 Registration & Coffee

Chairman’s Opening Address


08.45
Chaired By: Charles Richard, Senior Vice President, QRM

THE RI$KMINDS 2010 ‘FINANCIAL MINDS’ THINKTANK


Determining The New Blueprint For Financial Engineering
Sophisticated Complex Models Vs Crude Robust Risk Measures: Is There Room For Both Strategies In The Post-Sub-Prime World?
09.00 Greg Hopper, Managing Director, GOLDMAN SACHS
Paul Shotton, Deputy Head Of Portfolio Risk Control And Head Of Group Risk Methodology, UBS
Riccardo Rebonato, Global Head Of Corporate Markets, Head Of Quantitative Research, Global Banking, RBS
Evan Picoult, Managing Director, Risk Architecture, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOL

GETTING BACK ON TOP


Recovering And Learning From A Reputational Disaster
09.45 Take Home Insights From The Ri$kMinds Disaster Guru: Learn How To Overcome Adversity & Rebuild Yourself & Your Business With This
‘Real Life’ Case Study From A Top Business Executive
Gerald Ratner, Founder, RATNER ONLINE

10.30 Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition


STREAM A STREAM B STREAM C
Innovations In Credit & STREAM D STREAM E
New Approaches To Measuring & Strategic & Regulatory Risk
Counterparty Risk Modelling The Latest Developments In The Ri$kMinds 2010
Managing Liquidity Risk Chaired By Marcia A. Banks, Management In The Guest Lectures In Finance
Operational Risk & ERM
Chaired By QRM Associate Director, IACPM New World Order
Wrong Way Risk, Stress Testing, Building A Common Framework Second Generation Operational
Liquidity Risk Management Alpha & The CVA For Credit & Market Risk Risk Modelling
Liquidity Regulation 2.0 - Impact How Can Banks Adopt Counterparty Developing A Comparable Cross-Silo Cutting Edge Operational
On The Financial Industry Management Strategies
11.00 Comparable Measure Risk Management
To Successfully Incorporate
Andreas Heise Regulatory Change?
DEUTSCHE BANK Greg Hopper Pieter Klaassen Robin Philips
GOLDMAN SACHS UBS JP MORGAN GUEST LECTURE 5

Calibrating Counterparty Stress Testing And Reverse Stress


Op Risk Under Basel III Testing For Solvency
“Water, Water Everywhere…” Credit Risk Models Through Stress Testing Credit Portfolios
The Value Of Operational Risk
A Unitary Approach To Managing Stressed Periods The Role Of Sovereign Risk For
Management In The New Regulatory
Liquidity To Generate Liquidity At Risk Examining The Conceptual Foundation Scenario Development
11.35 Environment Alexander McNeil
& The Potential Impact On Minimum
Suresh Sankaran Capital Requirements Juan Licari Maxwell Professor Of
Michael Pykhtin Philippa Girling Mathematics, Department of
FISERV MOODY’S ANALYTICS
THE FEDERAL RESERVE BOARD MORGAN STANLEY Actuarial Mathematics &
Statistics
Liquidity Risk Tell Me What You Know HERIOT-WATT UNIVERSITY
A Balance Sheet Risk Management CVA Risk Management That You Don't Know Post-Crisis ERM Strategies
Approach & VaR Maximum Entropy & Information Repositioning ERM In The
Post-Crisis Environment
12.10 Dr. Mario Onorato For Stress Testing Purposes
ALGORITHMICS UK & Eduardo Canabarro Nancy Loucks
CASS BUSINESS SCHOOL, CITY MORGAN STANLEY Riccardo Rebonato STATE STREET
UNIVERSITY, LONDON RBS
12.45 Lunch

Are We At The Bottom Of The Capital Management Post-Crisis


Balance Sheet Structuring Roller Coaster Ride And The Model Risk & Model Control: How Banks Have Altered Their
Balance Sheet Structuring In A Lending Boom Is Starting Again? Incorporating Liquidity Fluctuations Topic & Speaker To Be Confirmed Capital Management Approaches,
Funding Constrained World Lessons Learnt And How To Set Into Model Risk Assessments Measures & Decision Making
14.00
Sensible Risk Appetite In For more information contact Processes
Martyn Hoccom Retail Credit Risk Pierpaolo Montana Rustum at rbharucha@icbi.co.uk
RBS Uttiyo Dasgupta WESTLB Fernando De La Mora
HSBC UK & EUROPE PRICEWATERHOUSECOOPERS

Re-Thinking Valuation:
Liquidity Risk Management Towards A Comprehensive Scenario Domiciling Offshore Pro-Cyclicality:
PD Ratings Framework:
Better Including Liquidity Risk In The Framework For Valuing Credit The Bermuda Case Study Modelling Credit Cycles,
Implementing A Dual PD Ratings
Overall Risk Management Framework
14.35 Instruments In Illiquid Markets Framework Using Internal PD Models Crises And Market Uncertainty
Dominique Laboureix Fawaz Elmalki
Dan Rosen Scott Aguais, RBS CONYERS DILL & PEARMAN Jorge Sobehart, CITI
BANQUE DE FRANCE & CEBS
R2 FINANCIAL TECHNOLOGIES

Afternoon Tea &


15.10
Opportunity To Visit The Ri$kMinds Exhibition
Forward Looking Capital The Ri$kMinds Problem Solving
Liquidity Risk Regulation & Provisioning & Expected Loss ‘Expert Judgement’
Future Of Securitisation Debate Working Groups
Stress Testing Provisioning: & Risk Models
Is This The Renaissance For Structured Get Your Questions Answered By
Liquidity Risk Regulation, Reporting & How Are New Capital Buffer Standards A Bayesian Approach To Risk
Credit & Securitisation? What Is The The Experts! Make The Most
15.40 The Role Of Stress Testing Impact Availability & Use Of Tier 1 Models & Input Data
Future For CLOs, CDOs & Mortgage Of Your Time At The Conference And
Capital?
Evan Sekeris Backed Securities? Post Your Related Questions To
Stefan Schmitz Klaus Boecker
FEDERAL RESERVE BOARD OF The Expert Practitioners Running
OENB UNICREDIT GROUP
RICHMOND Alexander Batchvarov Each Table
MERRILL LYNCH
Credit Risk Modelling &
Transfer Pricing Asset Allocation In
Exploring Boundaries Of Management
Integrating Liquidity Costs & Steering Allan Yarish Situations Of Stress
Credit Risk Models Overcoming Market
Bank Business & Performance CHANNEL CAPITAL ADVISORS Coherent Asset Allocation In The
Stress Testing & Conservatism Risk Challenges
16.15 Management According To Transfer Presence Of Exceptional Events
Pricing Claas Becker Stress Testing Under
Christian Duesterberg
Arno Kratky DEUTSCHE BANK Riccardo Rebonato Basel III
RBS
COMMERZBANK RBS Capital Management
16.50 End Of Ri$kMinds 2010

Post Conference Technical Workshops - Friday 10 December 2010

Liquidity Risk Management Workshop Coherent Stress Testing Workshop Counterparty Credit Risk Modelling Workshop
Stefan Schmitz, Economist, OENB Dan Rosen, CEO, R2 FINANCIAL TECHNOLOGIES
Riccardo Rebonato, Global Head Of Corporate Markets,
Arno Kratky, Head Of Liquidity Risk, COMMERZBANK Michael Pykhtin, Senior Economist, FEDERAL RESERVE BOARD
Head Of Quantitative Research, Global Banking, RBS
Clemens Harzer, Risk Manager, Deputy Manager, Eduardo Canabarro, MD, Head Of Creidt & Market Quantitative
Liquidity Risk Controlling, HSH NORDBANK Risk, MORGAN STANLEY

5
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 5

0
ay 201
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M m 5.
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b The Fundamentals Of Risk Management Workshop
ec m –
D
6 .30a
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Incorporating The Latest Practical Requirements And
Technical Innovations Into Your Risk Management Framework:
Stress Testing, Liquidity Risk, Counterparty

Workshop Agenda
SESSION 1 SESSION 2 SESSION 3 SESSION 4
Background Counterparty Default Risk Stress Testing Model Risk
• The credit crisis: how it happened • Default probabilities: Real world vs risk- • Developing the scenarios • Understanding the role of models
• The key lessons: tail risk, incentives, the role neutral probability measures • Evaluating the scenarios • Exploring the nature of model risk
of models, liquidity risk transparency, etc • The expected cost of counterparty defaults • What to do with the results • Pricing vs hedging
• Scenario analysis and the assessment of • Evaluating standard vs non-standard
Market Risk Liquidity Risk
loss probability distributions products
• How can we improve VaR and C-VaR • Trading risk vs funding risk
• The role of copulas
• Extensions of the standard historical • Quantifying liquidity
simulation approach • Liquidity black holes
• Stressed VaR

About Your Workshop Leader

John Hull, Maple Financial Professor of Derivatives & Risk Management written three books “Risk Management and Financial Institutions” (new this year), "Options,
UNIVERSITY OF TORONTO Futures, and Other Derivatives" (now in its sixth edition) and "Fundamentals of Futures and
John Hull is an internationally recognized authority on derivatives and has Options Markets" (now in its fifth edition). The books have been translated into many
many publications in that area. Recently his research has been concerned languages and are widely used in trading rooms throughout the world. He has won many
with credit risk, executive stock options, volatility surfaces, market risk, and teaching awards, including University of Toronto's prestigious Northrop Frye award, and was
interest rate derivatives. He was, with Alan White, one of the winners of the voted Financial Engineer of the Year in 1999 by the International Association of Financial
Nikko-LOR research competition for his work on the Hull- White interest rate model. He has Engineers.

We’re on Twitter: Follow us @riskminds and use the #RM10 event hashtag for up to the
minute details on the industry and our event.
Join Us On Linked In: www.linkedin.com search ‘Ri$kMinds’ in the groups section and join the online debate!

Liquidity Risk Management Workshop


pm 0
.30 201
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0a cem da
– 4 er
8.3 De Fri

Led by: Stefan Schmitz, Economist, OENB


10

Arno Kratky, Head Of Liquidity Risk, COMMERZBANK

1
Dr Clemens Harzer, Risk Manager, Deputy Manager, Liquidity Risk Controlling, HSH NORDBANK

SESSION 1: • Pricing application and behavioural adjustments SESSION 4:


Introduction To Liquidity Risk • Liquidity management and steering impact of fund Liquidity Risk Management Under Basel III &
• What is liquidity risk? transfer prices on business Stress Testing
• Managing liquidity risk • Outlook: The impact of future regulation • What does current regulation dictate?
SESSION 2: SESSION 3: • Stress Testing for liquidity risk
Transfer Pricing Liquidity Value at Risk In The Spotlight
• General framework for banking and financial risk • Liquidity maturity statement
• Conceptional principles of fund transfer pricing • Insolvency Risk
framework • Stress Testing
• Pricing component • Liquidity Value At Risk

About Your Workshop Leaders


Stefan Schmitz Arno Kratky Clemens Harzer
Economist Head Of Liquidity Risk, Risk Manager, Deputy Manager,
OENB COMMERZBANK Liquidity Risk Controlling
Stefan joined Oesterreichische Arno works in Group Treasury heading HSH NORDBANK
Nationalbank (OeNB) in 2003 where he the team Liquidity Analytics. He is deals Dr Harzer has worked in liquidity risk
covers the macroprudential analysis of with conceptional enhancements of the management since 2007 focussing on
liquidity risk, payment systems, and liquidity management framework such liquidity value at risk, insolvency risk,
funded pension products. Publications include: "Why as fund transfer pricing systems, stress testing and new products, new market and project management.
Central Banks Should Look At Liquidity Risk", Central liquidity contingency planning. After graduating in Prior to 2007, Dr Harzer worked in market risk at HSH
Banking Vol. XVII No. 4, (with A.Ittner); Institutional industrial engineering, he joined Dresdner Bank in 1994 Nordbank and from 2002 to 2006 at Deutsche
Change in the Payments System and Monetary Policy, to a trading desk for interest rate derivatives. He pursued Genossenschafts und Hypothekenbank (DG HYP)
Routledge, London, 2006 (co-edited with Geoffrey E. a career in different roles in finance and risk looking at market risk management and performance
Wood); Carl Menger and the Evolution of Payment management and spent 5 years in London responsible measurement. Dr Harzer’s postgraduate studies at
Systems: From Barter to Electronic Money, Edward for market, credit and liquidity risk. After the merger of Universität Tübingen focussed on nuclear physics.
Elgar, Cheltenham, 2002 (co-edited with M. Latzer). Commerzbank and Dresdner Bank he became a member
of the Treasury Management Team in Group Treasury of
Commerzbank.

6
Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
For latest programme or to register please visit: www.icbi-riskminds.com
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 6

pm 0
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Testing Workshop:
10

A Bayesian Approach To The Analysis Of Financial Risk


Workshop Agenda
SESSION 1 SESSION 2 SESSION 3
Introduction: Stress Testing In Theory & Stress Testing: • Graphical representation of stress results Review Of ‘Coherent Stress Testing’:
Practice • Bottom up versus top down • Checking for consistency with subjective “Rebonato’s refreshingly original book is the most significant
• Uses and misuses of: - Determining the pros and cons in different conditional probabilities: linear programming advance in financial risk management in many years. It is
rigorous yet thoroughly practical, proposing an operational
- VaR environments (trading book, banking book, • Other intuitive and quantitative checks Bayesian framework that complements purely statistical
- Economic capital approaches with the causal/economic structure needed for
etc) • How to link a bottom-up with a top down coherent stress testing. Prominently displayed and mixed
- Scenario analysis • The link between stress testing and risk stress test: compare and contrast with beautifully throughout are both the expansive wisdom of a
- Stress testing appetite economic capital serious scholar, and the pragmatic applied sense of a
seasoned industry veteran. Rebonato has defined the new
• Stress testing • How to use expert judgement: • The link with regulatory requirements frontier of best-practice financial risk management. I am
- What is 'in the data' and what comes from - Conditional probabilities open-mouthed with admiration.”
Francis X. Diebold, Paul F. and Warren S. Miller Professor
expert judgement? - Correlations SESSION 4 of Economics, Co-Director, WHARTON FINANCIAL
- Causation • Real-life worked-out examples INSTITUTIONS CENTER, Professor of Finance and
Statistics, UNIVERSITY OF PENNSYLVANIA
• Conclusion: The Reality Of Stress Testing
• Q and A

About Your Workshop Leader


Riccardo Rebonato, Global Head of Corporate Markets, Market Risk and Journal of Risk Management in Financial Institutions. He holds Doctorates in Nuclear Engineering and
Head of Quantitative Research, Global Banking & Markets in Science of Materials/Solid State Physics. He was a Research Fellow in Physics at Corpus Christi
ROYAL BANK OF SCOTLAND College, Oxford, UK. Dr Rebonato is also the author of the books Coherent Financial Stress Testing: A
Dr Riccardo Rebonato is Head of Front Office Risk Management and Head of the Bayesian Approach (2010), The LMM-SABR Model: Pricing, Calibration and Hedging (2009), Plight of
Quantitative Analytics at GBM, RBS. He is also a Visiting Lecturer at Oxford University the Fortune Tellers (2007), Volatility and Correlation in Option Pricing (2004, 1999), Modern Pricing of
(Mathematical Finance) and Adjunct Professor at Imperial College (Tanaka Business Interest-Rate Derivatives (2002), Interest-Rate Option Models’ (1998, 1996). He regularly publishes
School). He sits on the Board of Directors of ISDA and on the Board of Trustees for academic papers on finance in academic journals such as Quantitative Finance, Journal of Investment
GARP and is a member of the Bloomberg Risk Council. He is an Editor for the International Journal of Management, International Journal of Theoretical and Applied Finance, Applied Mathematical Finance,
Theoretical and Applied Finance, for Applied Mathematical Finance, for the Journal of Risk and for the Journal of Risk Management in Financial Institutions and others.

We’re on Twitter: Follow us @riskminds and use the #RM10 event hashtag for up to the
minute details on the industry and our event.
Join Us On Linked In: www.linkedin.com search ‘Ri$kMinds’ in the groups section and join the online debate!

Innovations In Counterparty
pm 0
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0a em day
– 4 er
8.3 Dec Fri
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Credit Risk Management &


10

Modelling Workshop
The recent financial crisis has highlighted the need for the industry to understand the complexity and interconnectedness of the web of financial transactions that constitutes the over-the-counter (OTC)
markets, and to develop better approaches for accurately measuring, managing and mitigating Counterparty Credit Risk (CCR). In particular, the Basel Committee identified several areas where capital for CCR
proved to be inadequate. For instance, wrong-way risk was evident through the crisis and was not adequately incorporated into the framework. Second, mark-to-market losses due to credit valuation
adjustments (CVA) were not directly capitalised, with roughly two-thirds of CCR losses due to CVA. Also, large financial institutions were more interconnected than previously modelled. Finally, Central
Counterparties (CCPs) were not widely used to clear trades. This workshop discusses the evolution of CCR measurement, the latest techniques available to practitioners, as well as some of the key issue and
challenges to implement an effective CCR program in the aftermath of the crisis and in the context of new derivatives regulation.
Session 1: • Risk control and risk management for CCR • Wrong-way exposures and market-credit Session 5:
Introduction: Counterparty Credit Risk (CCR) • Counterparty limits correlations Calculating Economic & Regulatory Capital
• Credit risk in the trading book • Mitigating CCR - Master agreements and For CCR
• Definition of CCR and CCR components: CP collateral management Session 4: • Economic capital and capital allocation
exposures, CP credit quality, LGDs, • Hedging CCR Pricing & Hedging CCR • General modelling of credit risk capital
codependence • Credit value Ajustment (CVA) • Credit risk capital, Basel II, and Basel III
• Credit limits, mitigation and collateral Session 3: • Unilateral and bilateral CVA • Computing counterparty credit risk (CCR)
• CCR pricing and hedging Modelling Counterparty Credit Exposures • Semi-analytical methods and MC simulation capital and alpha
• CCR risk measurement, capital and • Counterparty exposures – PFEs and risk • Effect of netting and collateral agreements • Stress testing, wrong-way risk, and
management measures • CVA allocation and pricing new transactions correlations
• CCR and the Basel regualtion • PFE Methodologies: MtM + add on, MC • Wrong-way exposures and CVA
simulation • Dynamic market risk hedging of CVA using Session 6:
Session 2: • Analytical/semi-analytical methods greeks Challenges & New Directions For CCR
CCR Management • Detailed modelling netting and collateral • Hedging CCR using Contingent CDSs
• How and where to manage CCR in a financial agreements • Practical issues of hedging CVA
institution – trading desk, market risk, credit • Exposures for credit instruments: CDSs,
portfolio management, collateral CDOs and structured credit
management

About Your Workshop Leaders


Dan Rosen, Visiting Fellow, Michael Pykhtin Eduardo Canabarro, Managing Director,
THE FIELDS INSTITUTE FOR RESEARCH IN Senior Economist Head Of Credit & Market Quantitative Risk
MATHEMATICAL SCIENCES, & President, FEDERAL RESERVE BOARD MORGAN STANLEY
R2 FINANCIAL TECHNOLOGIES Michael Pykhtin is a Senior Economist in the Quantitative Risk Eduardo is responsible for the development of the methods and
Dr. Dan Rosen is a Visiting fellow at The Fields Institute for Research Management Section at the Federal Reserve Board. He is models used to measure market and credit risks as well as for the
in Mathematical Sciences and an Adjunct Professor at the University responsible for carrying out policy analysis and independent independent review and validation of pricing and risk models used
of Toronto's Masters program in Mathematical Finance. In addition, research related to financial markets, risk management and by the bank. Prior to his current position, Eduardo was with Lehman
he is the President and Co-Founder of R2 Financial Technologies and regulation of financial institutions. Prior to joining the FRB in 2009, Brothers for three years as Managing Director and Global Head of
acts as an advisor to institutions in Europe, North America, and Latin America on Michael had had a successful nine year career as a quantitative researcher at Bank of Quantitative Risk Management. He was responsible for all quantitative risk functions in
derivatives valuation, risk management, economic and regulatory capital. America and KeyCorp. Michael has edited “Counterparty Credit Risk Modelling”, published the Risk Management organization including market, credit and operational risk analytics,
by Risk Books in 2005. He is also a contributing author to several recent edited model validation, risk technology and regulatory interface related to the implementation of
collections. Michael has extensively published in the leading industry journals. He is an the quantitative frameworks. Eduardo has also worked for Goldman Sachs and Salomon
Associate Editor of the Journal of Credit Risk. Michael holds a Ph.D. degree in Physics Brothers in Quantitative Research, Modelling and Risk Management.
from the University of Pennsylvania.

To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225 7
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 7

Monday 6 December 2010


THE RI$KMINDS GLOBAL RISK REGULATION SUMMIT
Overcoming The Practical & Implementation Challenges Of Basel III
& Evaluating The Impact Of The New Regulatory Package
07.15 Registration & Coffee Panellists: Panellists:
• Svein Andresen, Secretary General, FINANCIAL STABILITY BOARD • Ulrich Bindseil, Head Of Risk Management, ECB
07.45
• Jose-Maria Roldan, Director General, Banking Supervision • Patrick Raaflaub, Director, FINMA
Chairman’s Opening Welcome BANCO DE ESPANA • Thierry Lopez, Director, PRICEWATERHOUSECOOPERS
David Schraa • Sylvie Matherat, Director Of Financial Stability • Marc Saidenberg, Senior Vice President,
Director, Regulatory Affairs BANQUE DE FRANCE
Financial Sector Policy and Analysis, Bank Supervision Group
IIF
David Schraa is Director of the Regulatory Affairs Department of the Institute of International 10.30 Morning Coffee FEDERAL RESERVE BANK OF NEW YORK
Finance. The Department supports the IIF's representation of internationally active financial
institutions to the Basel Committee on Banking Supervision, IOSCO, IAIS, the Financial Stability 10.55
Board, Joint Forum, IASB and other international regulatory groups.
13.00 Lunch For All Speakers & Delegates
THE CENTRAL BANK PERSPECTIVE
08.00 Long Term Debt, Retail Deposits & Collateral Requirements
14.00
Understanding Central Bank Expectations & The Future Landscape For
OPENING KEYNOTE ADDRESS Funding Liquidity A Post-Crisis Lesson In Risk Appetite: The Importance Of Risk
Strengthening The Resilience Of The Banking Sector • The role of the central bank collateral framework for banks' Appetite, Risk Governance And Risk Culture
Basel III & Financial Stability funding liquidity in normal and stressed times • What does risk appetite mean? What are the key dimensions to
Stefan Walter • The role of non-conventional measures be looked at?
Secretary General • The interaction of the collateral framework and monetary policy • How can we reconcile top down and bottom up approaches?
BASEL COMMITTEE ON BANKING SUPERVISION implementation technique with liquidity regulation
Stefan Walter assumed the position of Secretary General of the Basel Committee on Banking • Which level of involvement is expected from the executive
Supervision as of September 2006. Previously, Mr. Walter was a senior vice president in the • Short term and long term incentives and market effects management and board of directors?
Bank Supervision Group of the Federal Reserve Bank of New York, where he headed the Ulrich Bindseil, Head Of Risk Management, ECB • What kind of risk statement should be delivered and to what
Financial Sector Policy and Analysis Function. He was responsible for assessing financial sector Ulrich studied Economics and joined the Deutsche Bundesbank
developments and risks and for developing bank supervisory policies on issues related to risk economics department in 1994. In 1997 he went to the European
audience?
management and capital adequacy. Mr. Walter holds a B.A. in Political Economy from the Monetary Institute and in 1999 to the ECB. He has been Head of the • How can we formalize risk culture? What are the key success
University of California at Berkeley and a Masters in International Affairs from Columbia Liquidity Management Section, Head of the Risk Management Division, factors for its effective deployment?
University. and is currently Deputy Director General of Market Operations of the
ECB. He has published papers and books on monetary policy
Dominique Bourrat
implementation and central bank risk management. Managing Director
08.30
RISK DYNAMICS
Creating An Integrated Global Regulatory Framework For Systemic 11.20 Dr. Dominique Bourrat has a PhD in Mathematical Sciences – Nuclear Physics from ULG Belgium
and University of Montreal Canada. She has over 20 years of extensive experience in the field of
Risk Mitigation: How Desirable And Achievable Is An Internationally risk management applied to the financial world. After having developed mathematical models for
Integrated Approach To Regulation? The Role Of Capital For Systematically Relevant Financial Institutions the CERN in Geneva, giving rise to international publications, she joined the dealing room of
Svein Andresen Patrick Raaflaub, Director, FINMA Paribas to develop risk management and hedging models in the derivatives market. She then
After starting his career at Credit Suisse and EBDI Consulting AG, Patrick enriched her skills at INSEAD before joining MasterCard to set up and manage its European Risk
Secretary General Raaflaub joined Swiss Re in 1994, where he worked in a number of different Management centre. Later, she led Fortis’ cross-risk modelling department towards Basel II
FINANCIAL STABILITY BOARD company divisions in Germany, Italy, the United States and Switzerland. He compliance. As a founder of Risk Dynamics and industry expert, she now focuses on supporting
Svein has held his current position since the FSF’s initiation in 1999. Prior held the position of CFO of Swiss Re Italia, Divisional Controller for America in major financial institutions in leveraging their Pillar II and economic capital strategy, interfacing
to this he held various positions at the Bank for International Settlements the United States and Head of Finance in Zurich. In the latter function he was with regulators and facilitating roundtables around the globe.
(BIS). He was Advisor to the General Manager of the BIS from 1997 to the local CFO for Swiss Re Zurich and responsible for IT. In 2005 Patrick
2000. From 1995 through to 1997, he led the Secretariat to G10 central Raaflaub was appointed CFO for continental Europe and Asia. From 2006 to
bank Governors on financial issues. He was Secretary to the Committee 2008, he was responsible for Group Capital Management. His position involved the capi-talisation of 14.25
on the Global Financial System from 1992 till 1997 and to the Markets Committee from 1995 till the group, legal entity structure of the group, relationships with the rating agencies and dealing with
1997. He joined the BIS Monetary and Economic Department in 1989. Prior to joining the BIS, Regulatory Affairs. On 8 May 2008 Patrick Raaflaub was elected CEO of the Swiss Financial Market Defining Risk Appetite In The New Regulatory Environment
Mr. Andresen was an Assistant Professor of Economics at the University of North Carolina at Supervisory Authority FINMA which was founded by merging the formerly separated Swiss Federal • Risk appetite - its heightened importance in the new environment
Chapel Hill. Banking Commission, the Federal Office of Private Insurance and the Anti Money Laundering Control
Authority. Patrick Raaflaub took up operations on 1 January 2009. • Designing and implementing a robust risk appetite framework -
what does "good" look like?
09.00 • New regulatory developments and how they may shape risk
11.45
Macro-Prudential Regulatory Challenges: Understanding Markets, appetite
Inside The New Provisions For Liquidity Management & Regulation • Economic, industry and risk developments and how they are
Policy, Tools & Financial Institutions: What Does Macro Prudential
How Will The New Liquidity Package Impact Bank Business & What likely to shape risk appetite
Policy Mean For Risk Managers?
Will The Regulators Require? Alan Smith
Jose-Maria Roldan
Marc Saidenberg, Senior Vice President, Financial Sector Policy and Global Head of Risk Strategy
Director General, Banking Supervision
Analysis, Bank Supervision Group HSBC
BANCO DE ESPANA
Mr. José María Roldán has been in his current role since October 2000. FEDERAL RESERVE BANK OF NEW YORK Alan Smith is responsible for the Risk Appetite, ICAAP, Economic Capital,
He is currently a member of the Basel Committee on Banking Marc R. Saidenberg heads the financial sector policy & analysis function, having worked for Merrill Scenario Stress Testing, and Risk Methodology infrastructures for the
Supervision (BCBS), and the Committee of European Banking Lynch and Company where he served as a managing director. He was previously employed at the Group. Alan's unit also oversees Pension Risk across HSBC. He is a
Supervisors (CEBS). In January 2009 he became the Chairman of the Federal Reserve Bank of New York beginning his career in the Research and Statistics Group in member of the Global Risk Management Board, the Capital Demand and
Standards Implementation Group (SIG, formerly the Accord September 1995 as an economist. In December 2000, he was appointed an officer of the New Basel 2 Oversight Committees and chairs the Group Economic Capital
Implementation Group). Between January 2007 to January 2009, he was the Chairman of the York Fed and assigned to the economic capital competency center and in December 2001 was and Scenario Stress Testing Committees. Alan has worked with HSBC for
Accord Implementation Group (AIG). Between 2005 and January 2009, he was a member of promoted to assistant vice president. He was assigned to credit risk in the risk management 15 years in a variety of senior finance, risk and capital management roles.
the Advisory Board of XBRL International. During 2004 and 2005, Mr. Roldán was also the function in December 2003. In January 2004, Mr. Saidenberg was assigned to the large complex Prior to HSBC, Alan worked with KPMG London, latterly within its Financial Sector Advisory
Chairman of the Committee of European Banking Supervisors (CEBS). banking organizations relationship management department and was promoted to vice president practice.
in July 2004. Mr. Saidenberg left the Bank to work for Merrill Lynch in November 2005.

09.30 14.50
12.10
Capital Provisioning, Procyclicality & Accounting In The New Crisis Management & Resolution Developing An Integrated Crisis
Inside The New Provisions For Liquidity Management & Regulation Management & Resolution Framework: Creating A Single & Sound
Paradigm: How Can We Avoid The Mistakes Of The Past? How Will The New Liquidity Package Impact Bank Business & What
Sylvie Matherat Market For The Financial Services Industry
Will The Regulators Require? • The reforms of crisis management and resolution frameworks,
Director Of Financial Stability • Linking the dimensions of liquidity risk (intraday, tactical,
BANQUE DE FRANCE within and across borders, triggered as a result of the crisis
Sylive Matherat joined Société Générale as an inspector before moving to
structural) • The need for the EU to go well beyond the global cross-border
the Banque de France in 1986. In October 2007, she took on the role as • Impact assessment liquidity coverage ratio arrangements, and establish a truly integrated crisis management
head of the Directorate of Financial Stability. She is a member of the • Operationalising liquidity buffers and resolution framework for its single market
Basel Committee and the chair of its Accounting Task Force, and
represents the Basel Committee on the IASB’s Standards Advisory
• Quo vadis NSFR • The debate on this, our specific proposal, and its merits relative
Council, Financial Instruments Working Group and Financial Crisis Advisory Group. She is also a • Monitoring tools - The case for international harmonisation to other proposals that are on the table
member of the Banking Supervisory Committee of the European Central Bank and the chair of • Getting disclosure right - Trade-off between transparency and self- Wim Fonteyne
one of its two main groups.
fulfilling prophecy Senior Economist
Thierry Lopez, Director, PRICEWATERHOUSECOOPERS INTERNATIONAL MONETARY FUND
10.00 Thierry has 15 years of banking experience. He is the Basel II Leader, the Risk Management Wim Fonteyne is a Senior Economist in the IMF’s European Department.
Services Leader, the Governance, Risk and Compliance Leader and the Banking Industry Services For the past five years, he has been closely involved in the dialogue
THE PRACTITIONER COMMENT & Driver at PricewaterhouseCoopers Luxembourg. Thierry is coordinating a global offer to banks, between the IMF and the EU on financial sector policies. He is co-author
CHALLENGE SESSION insurance undertakings, investment funds, operational companies and the public sector, amongst of the IMF book “Integrating Europe’s Financial Markets” (second edition
numerous other European institutions. Thierry is a member of various consultative committees on
The below two leading regulatory liaisons will offer comment on the liquidity risk management, including the Institute of International Finance. Thierry is involved in the
forthcoming) and lead author of a recently published paper on bank
resolution in the EU.
prior presentations and challenge the presenters on their comments. academic circle and research as Risk Management Professor at the HEC-Business School of the
Audience members will also have the chance to pose their questions University of Liège. He has written articles and well-known books in English with John Wiley & Sons
and in French with De Boeck Université. 15.15
anonymously and in real time through emailing question@icbi.co.uk
Commentators: Portfolio Optimisation Under Basel III: Effectively Positioning The
12.35
• Barbara Frohn, Managing Director, GRUPO SANTANDER Balance Sheet In The Face Of Basel III Using Advanced Portfolio
In her role, Barbara Frohn assumes responsibility for the internal validation of Risk Models and
Economic Capital at a corporate level. The Model Validation group consists of four hubs, Madrid,
THE PRACTITIONER COMMENT & Optimization Techniques
London, Brazil and Boston each with responsibility over their respective regions and not only CHALLENGE SESSION • Portfolio optimization fundamentals
performs quantitative, but also qualitative and IT/data quality related reviews of the various risk The below two leading regulatory liaisons will offer comment on the • Defining the objective function: Liquidity constraints & capital
quantification tools used within the group. In addition, as part of Santander´s Public Policy group prior presentations and challenge the presenters on their comments.
Barbara Frohn represents Grupo Santander in various international forums. Preceding her move constraints
to Madrid, Barbara fulfilled during 15 years of employment at ABN AMRO various roles in a.o. Audience members will also have the chance to pose their questions • Analyzing Alternative Structures: Single period solutions & multi-
Global Relationship Management, Energy Finance and Asset Securitisation. Lastly, she headed anonymously and in real time through emailing question@icbi.co.uk period solutions
the Basel II Requirements & Strategic Advisory department within Group Risk Management. Commentators: • Conclusion
• Adam Gilbert, Managing Director, JP MORGAN • Mattia Rattaggi, Managing Director, Miguel Nathwani
Adam is currently Head of Regulatory Policy in the Corporate Risk Management Group where Head Of Group Supervisory Relations, UBS Practice Leader, Credit Risk & Capital
he is responsible for analyzing the impact of regulatory proposals, developing the firm's Prior to his current role, Mattia occupied senior positions in Group Compliance and Group Risk
strategic responses and working with lines of business and corporate functions on the Control. Before joining UBS in 1999, Mattia worked in the Treasury of ZKB heading Asset and QRM
implementation of final rules. In addition, Adam is a leader in the firm's capital management Liability Management and as a Senior Economist at the Swiss Bankers Association. Mattia Mr. Nathwani manages the Credit Risk & Capital Management Practice
process through his co-chairmanship of the Economic Capital Working Group, chairmanship of holds a Ph.D from the University of Fribourg, and pursued post doctoral research at the Area at QRM. Prior to joining QRM in 2002, Mr. Nathwani managed
the Regulatory Capital Policy Committee, and oversight of the firm's Basel II implementation. University of Cambridge (UK). Economic Capital & Funds Transfer Pricing Methodology at Bank One. Mr.
Adam also is a member of the North America Reputation Risk Committee and advises lines of Nathwani holds an MBA in Quantitative Finance and Competitive Strategy
business on supervisory and regulatory matters. Previously, Adam has held roles as Head of • Andrew Cross, Managing Director, CREDIT SUISSE from the University of Chicago, an MS in Physics from the University of
Risk Policy, Chief Operating Officer of the Credit Portfolio Group and Head of Corporate Andrew Cross is a Managing Director in the Risk Measurement & Management department of Washington and a BS in Physics from the University of California,
Regulatory Reporting. Adam is active in numerous industry groups related to capital, risk Credit Suisse, based in London. He has responsibility for measuring and reporting all credit risk, Berkeley.
management and regulatory reform. He joined JPMorgan Chase in 1997 after having spent 10 country risk, market risk and economic risk capital for Credit Suisse and for managing credit risk
years in various positions at the Federal Reserve Bank of New York, including as a seconded systems and information management requirements. In addition, Mr Cross acts as Credit
member of the Secretariat of the Basel Committee on Banking Supervision. Suisse's global Basel II Programme Director managing both the internal preparation project as
well as Credit Suisse's external response.

Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
8 For latest programme or to register please visit: www.icbi-riskminds.com
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 8

Tuesday 7 December 2010


DAY THE RI$KMINDS CRO FORUM
1
15.45 17.50 -18.10 Structured Q And A 09.15
THE PRACTITIONER COMMENT & From Ubiquity To Precision: A Future For Global Banking: How
CHALLENGE SESSION 18.10 Regulation Could Fundamentally Change Banking As We Know It
The below two leading regulatory liaisons will offer comment on the Richard Kibble
prior presentations and challenge the presenters on their comments. The Ri$kMinds Regulatory Working Group Partner, Financial Services Strategy Team
Audience members will also have the chance to pose their questions Creating A Blueprint For The Future Of Regulatory Risk Management PRICEWATERHOUSECOOPERS
anonymously and in real time through emailing question@icbi.co.uk • Barbara Frohn, Managing Director, GRUPO SANTANDER Richard joined PwC in 2008 to help build the firm’s corporate strategy and
capability business. He has 20 years’ experience advising financial institutions
Commentators: • Alan Smith, Global Head Of Risk Strategy, HSBC in the UK and Europe, on the full range of strategic, operational, and
• Christian Lajoie, Head Of Group Supervision Issues • Christian Lajoie, Head Of Group Supervision Issues organisational issues. His focus covers retail financial services, wholesale, and
BNP PARIBAS asset management. Prior to joining PricewaterhouseCoopers, Richard was
BNP PARIBAS the UK Managing Partner at Marakon (1990-2007). His particular areas of expertise include corporate
Mr. Christian Lajoie has been working for BNP Paribas since 1973. Throughout his
career, he has held various executive positions both in businesses and central • Mattia Rattaggi, Managing Director, Head Of Group strategy, strategic management, large-scale change management and linking people development to
functions. He currently reports to the Group Executive Committee. performance. More recently Richard worked with 6 major UK banks on the impact of proposed
Supervisory Relations, UBS regulations on the UK economy and advised the UK’s largest mutual on strategic direction and key
• Andrew Jennings, Managing Director, Risk, CITI • Andrew Cross, Managing Director, CREDIT SUISSE issues. Richard also co-authored the PricewaterhouseCoopers publication on the financial crisis
Responsible for oversight of all risks in Citi’s UK legal entities. Policy advisor for Pillar 2 entitled ‘The Day After Tomorrow’.
and ICAAPs and regulatory capital developments. Initially responsible for • Andrew Jennings, Chief Regulatory Liaison Officer, CITI
implementation of Basel II across Citigroup, although subsequently the role was split • Adam Gilbert, Managing Director, JP MORGAN
into two parts, and I assume responsibility for the policy of implementing Basel II 09.45
across the group. Previously, the Business Credit Risk manager for Citigroup’s • Andreas Gottschling, Global Head Of Risk Analytics &
European Leasing business and Head of Operational Risk in Europe. Chief Risk Officer Instruments, Global Head Of Operational Risk Management, Balancing Risk & Opportunity In The Search For Growth: How Can
for the Investment banking division of Schroders plc prior to it being acquired by Citi in Risk Management & Measurement Frameworks Both Support The
2000. Formerly a banking regulator with the Bank of England, Head of Surveillance for DEUTSCHE BANK
UK securities institutions and Head of Supervision of primary dealers, market makers Financial System & Foster An Environment For Growth?
and other participants in the UK Government Bond Market.While at the Bank of 18.45 - 19.15 Benoît Ottenwaelter, Group Chief Risk Officer &
England had specific responsibility for the approval of UK banks’ market risk models Member Of The Executive Board
and was the Bank of England’s representative on the Basel Risk Committee and on the Champagne Roundtable Discussions
Basel Market Risk Working Group. He was originally an accountant with KMPG. SOCIETE GENERALE
• Jose Brandao De Brito, Head Of Financial Markets Research Benoît Ottenwaelter began his career with the Société Générale Group in
1988 as Head of Back Office Capital Markets in Paris. In 1990, he moved
MILLENIUM BCP to Société Générale Strauss Turnbull in London as Head of Equity
Panellists: Derivatives. In 1994, Benoît returned to the Paris office as Head of
• Dominique Bourrat, Managing Director, RISK DYNAMICS • Morten Friis, CRO, RBC
Treasury and Foreign Exchange and then became SG CIB’s Global Head of
• Alan Smith, Global Head Of Risk Strategy, HSBC • Dominique Bourrat, Managing Director, RISK DYNAMICS Debt, Currencies and Commodities. In 2004, Benoît was appointed Deputy Head of Corporates
• Richard Reid, Director Of Research, INTERNATIONAL CENTRE and Institutions and became a member of the Executive Committee of SG CIB and of the Group
• Wim Fonteyne, Senior Economist Management Committee. Since January 2007 he has been Head of Corporates, Institutions and
INTERNATIONAL MONETARY FUND FOR FINANCIAL REGULATION the Advisory Division.
• Miguel Nathwani, Practice Leader, Credit Risk & Capital, QRM
19.15 - 20.00 Welcome Drinks Reception 10.15
16.10 Afternoon Tea Sponsored By THE CRO COMMENT & CHALLENGE SESSION
16.30 Leading industry figurehead Stephan Schoess will offer comment on
the prior presentations and challenge the presenters on their
Regulation And Optimal Financial Structure & Growth comments. Audience members will also have the chance to pose
Richard Reid, Director Of Research their questions anonymously and in real time through emailing
INTERNATIONAL CENTRE FOR FINANCIAL REGULATION question@icbi.co.uk
Before his current appointment Richard was a Managing Director of Citigroup's Economics Commentator:
Department in London. Previously Richard was Chief International Economist for Donaldson Lufkin • Stephan Schoess, Chief Economist
& Jenrette, where he developed thematic issues such as the impact of the “New Economy” on
equity markets and the changing structure of Europe’s financial systems. Richard spent fourteen THE OPTIONS CLEARING CORPORATION (OCC)
years as Chief European Economist for UBS, five of which were spent in the company's Frankfurt Prior to his current position, Mr. Schoess managed OCC’s risk-management department
office. In addition to his private sector experience Richard has also advised HM Treasury and the
Civil Service committee on international monetary affairs and is a noted commentator on
The Ri$kMinds CRO Forum with responsibilities for formulating, devising, and controlling OCC’s risk-management
procedures. Before joining OCC in 1998, Mr. Schoess held positions as Principal of
Hedge, Inc., Managing Director of the Chicago Board Options Exchange, Senior
Bundesbank and the ECB.
Tuesday 7 December 2010 Strategic Planner at Continental Illinois National Bank of Chicago, and Associate
Professor of Finance at Northeastern Illinois University.
17.00
Panellists:
THE RI$KMINDS REGULATORY THINKTANK 07.30 Registration & Coffee
• Pippa Malmgren, Founder, THE CANONBURY GROUP
Determining The Cumulative Impact Of Basel III: Assessing The
Aggregate Impact Of The New Capital & Liquidity • Norah Barger, Deputy Director, Division Of Banking Supervision
Requirements: How Will Basel III Impact Bank Business, & Regulation, THE FEDERAL RESERVE BOARD
08.00
Economic Output & The Global Trajectory For Economic • Richard Kibble, Partner, Financial Services Strategy Team,
Growth & Recovery? Chairman’s Opening Address PRICEWATERHOUSECOOPERS
Robert Sullivan • Benoît Ottenwaelter, Group Chief Risk Officer & Member Of
17.00 - 17.10 Financial Services Assurance & Advisory Partner, The Executive Board, SOCIETE GENERALE
The Economist Perspective Global Banking & Capital Markets Leader
Jose Brandao De Brito, Head Of Financial Markets Research PRICEWATERHOUSECOOPERS 10.45 Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition
Bob is the lead engagement partner for one of PwC’s largest Global
MILLENIUM BCP Financial Institution clients and the Global Banking and Capital Markets
José joined Millennium BCP in 2009 as Head Of Financial Markets Research, a unit that covers the 11.15
Leader. Prior to his current roles, he was the leader of PwC’s US Financial
major global economies, policy issues, and developments in financial markets. He has written Services Advisory business, which comprises over 500 professionals and the Financial Risk
several op-eds for both the Portuguese and the international press including the Financial Times. Management Advisory and Assurance Practice. The Advisory business provides process
THE CRO THINKTANK I
improvement, transaction and crisis management advisory services to major financial institutions. Risk Culture & Ethics: What Systems & Processes Can Enhance The
17.10 - 17.20 Bob has managed risk management advisory and assurance engagements for a broad range of Risk Culture In Every Financial Institution To Make Sure Things Are
companies including large financial services firms, energy and other commodity trading firms, and
The Supervisor Perspective large corporations. He also provides technical advisory services on accounting for financial
Different This Time?
Peter Praet, Director instruments and related risk management issues to major derivative dealers as well as to major
NATIONAL BANK OF BELGIUM financial institutions and corporations. THE IFRI CRO DISCUSSION
Peter Praet was appointed Executive Director of the National Bank of The Mission of the International Financial Risk Institute (IFRI) is to
Belgium in 2000 and is responsible for financial stability. Mr. Praet serves on 08.15 provide opportunities for senior risk practitioners, especially the Chief
several high-level international committees, including the Basel Committee Risk Officers of the world's major financial institutions, to discuss and
on Banking Supervision. He is an Alternate Director of the Committee of
G10 Governors. He is also Co-Chair of the Research Task Force of the Basel
WHERE’S THE NEXT ICEBERG? exchange ideas on both the principles and the practical application of
Committee on Banking Supervision. Geopolitical Risk, Macro Economic Policy & Scenario Management: financial risk management. The Institute thereby seeks to develop
Understanding What Risks Lie In Wait On The Horizon & How Should thought leadership and provide learning opportunities by and for senior
17.20 - 17.30 Banks Prepare For The Next Crisis? risk professionals, with a view to enhance risk management best
Pippa Malmgren practice in the financial industry as a whole. www.ifri.ch
The CEBS Perspective
Arnoud Vossen Founder Chaired By:
Secretary General THE CANONBURY GROUP Richard Evans
Dr Malmgren served as financial market advisor to President GW Bush on
CEBS the National Economic Council in The White House from 2001-2002 where CRO, Institutional Clients Group
Arnoud Vossen was departmental director at De Nederlandsche Bank before she was responsible for financial market issues. Before joining the CITI
joining CEBS as Deputy Secretary General in 2008. More specifically, he administration, she served as the Deputy Head of Global Strategy at UBS Richard joined Citibank in June 2008 as Chief Risk Officer for the
was responsible for cross-sectoral policy issues like financial crime, Warburg and as the Chief Currency Strategist for Bankers Trust. She headed Institutional Clients Group (which covers Markets, Securities and Banking
corporate governance, supervisory reporting and accounting. Before that, he the Global Investment Management business for Bankers Trust in Asia out of Hong Kong. She is a and Alternative Assets). He is based in London and runs a global team of
set up the oversight department at De Nederlandsche Bank and was heavily frequent guest on the BBC and a guest presenter on CNBC’s Squawk Box (UK). She is also a Senior 1250 risk personnel. Prior to joining Citi, Richard was the Deputy and Co-
involved in the merger of Euronext. Advisor to Deustche Bank in Australia and the Middle East, Prudential Real Estate Investments Chief Risk Officer of Deutsche Bank AG for eight years. Prior to that, Richard spent over eighteen
worldwide and Amwal in Qatar. She is a Governor of the Ditchley Foundation in the UK. years with JP Morgan, working in London, Sydney, Brussels and New York. After trading for
thirteen years, he moved into Risk Management from 1993 onwards. In 1995, Richard was
17.30 -17.40 seconded to the Bank of England to investigate the collapse of Barings Bank and was one of the
08.45 primary authors of the official report presented to Parliament. In January 2004 Richard was named
The CRO Perspective ‘Risk Manager of the Year’ by RISK Magazine. Richard was a Director of Euroclear SA and PLC and
Morten Friis, CRO, RBC Chairman of the Board’s Risk Policy Committee from 2005-2008. He is also a member of the
GUEST SUPERVISOR ADDRESS Executive Committee of the International Financial Risk Institute (IFRI) and was President of IFRI
As Chief Risk Officer, Mr. Friis oversees the strategic management of risk on an enterprise-wide
basis. He is a member of RBC’s Group Executive, which sets the overall strategic direction of RBC. The New Risk Paradigm For Banks: How Can The Next Generation from 2003 to 2005.
Mr. Friis joined RBC in 1979 and was appointed chief risk officer in 2004. Prior to this position, Mr. Of Banks Avoid The Mistakes Of The Past?
Friis was Executive Vice-President and Chief Credit Officer for RBC. Morten Friis, CRO, RBC
Norah Barger (see biographical details previously)
17.40 - 17.50 Deputy Director, Division Of Banking Supervision &
Regulation Stephen Allen
The Practitioner Perspective THE FEDERAL RESERVE BOARD Head Of Risk Management Group
Andreas Gottschling Norah is the Deputy Director for the Division Of Banking Superivison & MACQUARIE GROUP
Regulation at the Federal Reserve Board in Washington DC. She is also Stephen is the Head of Risk Management for the Macquarie Group
Global Head Of Risk Analytics & Instruments, Global the co-chair of the Trading Book Group in Basel where she works on globally. Stephen joined Macquarie in 1993 and has undertaken a broad
Head Of Operational Risk Management addressing issues relating to the application of Basel II to certain range of roles within the organisation, predominantly in the investment
DEUTSCHE BANK exposures arising from trading activities. A current focus of this group is the appropriate banking area. He began his career with Macquarie in the infrastructure and
capital treatment of event risk in the trading book. utilities advisory business in Australia and later established the European
Dr. Andreas Gottschling assumed the role of Global Head of Risk infrastructure business for Macquarie. Stephen’s roles at Macquarie have included Head of Credit
Analytics and Instruments at Deutsche Bank in 2005 and is responsible for Macquarie Group, Global Head of Macquarie’s Infrastructure and Utilities Advisory practice,
for all Credit, Counterparty, Operational and VaR Analytics for the Group. CEO of the independently listed toll road investor the Macquarie Infrastructure Group and Head of
Prior to this he was Head of Quantitative Analysis at Deutsche Bank Research responsible for the London office of the Macquarie Group.
all internal econometric and mathematical modeling activities as well as external model
assessment.

To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225 9
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 9

Day 1 CRO Forum & Day 2 Main Conference: 7 & 8 December 2010
DAY
RI$KMINDS
1&2 Risk Modelling, Measurement & Management In The New World Order

12.00 15.00 17.15


Determining Risk Appetite In A Post-Crisis Environment: Global Banks In The Emerging Markets Remuneration & Risk-Taking Incentives: Practice & Regulation
Understanding The Links Amongst Risk Appetite, Strategy, The Challenges And Opportunities Facing Global Banks Operating Mark Carey
Capital Allocation, And Other Important Actions/Allocations In Emerging Markets Adviser, Division of International Finance
Alden Toevs • How do you balance the requirements of global standards THE FEDERAL RESERVE BOARD
CRO with the practical challenges of banking in the emerging Mark Carey is Adviser in the Division of International Finance at the
Federal Reserve Board in Washington, DC. He is also co-director of
COMMONWEALTH BANK AUSTRALIA markets? the National Bureau of Economic Research’s Risks of Financial
Alden joined the Commonwealth Bank of Australia on 23 June • How do we define emerging markets? Institutions Working Group, which is a mixed group of academics and
2008 as Group Chief Risk Officer. Alden provides leadership in financial professionals that focuses on risk management at financial
ensuring effective risk management and risk governance across the • The role of emerging market banks beyond pure banking
firms. He was a founding-father of Basel 2, and though he is a research economist, he has
Bank and also acts as an advisor to the Bank’s Board and Executive Paul Smith frequently worked closely with bank examiners. He has written a lot of technical papers
Management on risk management. Prior to commencing with the Commonwealth Bank, Group CRO about credit risk and also about corporate debt and corporate finance. His Ph.D in economics
Alden led First Manhattan Consulting Group’s (FMCG) risk management, MIS and is from Berkeley and his undergraduate degree in economics is from Oberlin College.
mortgage banking practice areas for 15 years, and was lead consulting partner between STANDARD BANK
2000 and 2008. Paul Smith was appointed Chief Risk Officer for the Standard Bank
Group on 1 November 1999. He reports to Jacko Maree, the Group 17.45
Chief Executive and is a member of the Group Executive Committee
12.25 and Group Credit Committee. He was previously the Head of Risk THE CRO THINKTANK IlI
within the Corporate and Investment Banking Division of Standard
Post Crisis CROs Identifying The New Challenges For A CRO In A Bank, a position he held from 1 June 1997. Paul Smith was previously a partner in the What Keeps The CRO Awake At Night?
Post Crisis World Financial Services Group of KPMG – he was a partner with the firm for 13 years out of a This CRO panel discussion will give insight into the key concerns
total period of service of 21 years. top of the list for leading global Chief Risk Officers
Martha Cummings
CRO William Dawson
15.30 Executive VP, Chief Credit & Risk Officer, Wealth,
BANCO SANTANDER
Martha Cummings is Chief Risk Officer for Banco Santander in New THE CRO THINKTANK II Brokerage & Retirement
York. She is responsible for the risk management of all credit and WELLS FARGO & COMPANY
trading operations booked in New York, including Loans, Project Risk Governance, Non-Executive Oversight & The Relationship William L. Dawson assumed his role in 2009. Bill provides
Finance, Structured Finance, Debt and Equity Capital Markets Between The Board Of Directors & The CRO: management oversight and is responsible for credit, market and
transactions as well as all trading portfolios for Latin American Equities, Fixed Income and How Can We Create A More Effective & Accountable Risk operational risk, including compliance for the following business
Derivative Products. Previously, Ms. Cummings was a consultant; her engagements included lines within this division: Wealth, Family Office Services, Brokerage
working as Program Advisor for the Wharton Executive Education Management Function?
(Wells Fargo Advisors) and Retirement. Bill has over 35 years’ experience in the financial
and assisting in business development for a private equity fund. Ms. Cummings is an Stephen Anderson services industry. Prior to joining Wells Fargo, Bill, an 8-year veteran of Wachovia
experienced investment banker specializing in international finance and has extensive CRO, Europe Corporation, most recently held the position of Chief Risk Officer, Capital and Wealth
expertise in Latin American clients and markets. Management, for Wachovia.
HSBC
Stephen joined HSBC as an International Manager in 1983 and has
12.50 worked in eight countries, covering almost all business lines. More Jacques Beyssade
recently he has specialised in risk management and COO roles. CRO
THE CRO COMMENT & CHALLENGE SESSION Stephen established the Credit Risk function in Thailand in 1998 NATIXIS
Leading industry figurehead Ruth Whaleywill offer comment on during the Asian crisis, and spent the next two years working out Jacques Beyssade began his career in 1984 at Crédit Lyonnais in
the prior presentations and challenge the presenters on their HSBC’s non-performing loan portfolio in Thailand. As COO, first for London as a financial analyst. He headed up the Champs Elysées
HSBC Singapore and more recently for HSBC Turkey, he has successfully implemented Corporate Banking Branch (1994-1997) before being appointed
comments. Audience members will also have the chance to pose major strategic cost reduction programmes. He is currently the Chief Risk Officer for HSBC
their questions anonymously and in real time through emailing Country Manager for Korea (1997-2001). He later became Head of
in Europe based in London. Debt Markets in New York (2001-2005). In 2006, he took up the
question@icbi.co.uk position of Head of Calyon’s Capital Markets division for the Asia-Pacific region. He joined
Commentator: Christiane Laibach Natixis in 2008 as Head of Risk Supervision for the Corporate and Investment Banking
• Ruth Whaley CRO division. Since July 2009, he as been the Chief Risk Officer of the bank and a member of
KFW IPEX BANK its Executive Committee.
Director Of Corporate Relations, Judge Business School
Ms Laibach was appointed Chief Risk Officer in 2009. She has
CAMBRIDGE UNIVERSITY been a member of the Board of Managing Directors of KFW IPEX- Holger Demuth
Ruth is responsible for the corporate relationships of Cambridge Judge Business Bank since 2008 and has previously held positions in the
School with a focus on recruitment across all programs, shared research, internships infrastructure finance team within the bank.
CRO, Member Of The Executive Board
and even sponsorship. Prior to her role at Cambridge University, Ruth held the position CLARIDEN LEU
of CRO at MBIA from 1999 to 2009. She also holds board positions at Nuclear Electric Holger G. Demuth has been Chief Risk Officer at Clariden Leu since
Insurance, Cambridge In America and the Eisenhower Fellowships and has previously Dr. Sebastian Fritz-Morgenthal November 17, 2008. Previously, he built up and led the Risk
held positions at Citi, CapMAC Holdings and the Union Bank Of Switzerland. Head of Group Risk Management Management unit in the Asset Management Division of Credit
HSH Nordbank AG Suisse in the position of Global Head of Risk. In 2005 he was Global
Panellists: Head of Project Office & a Member of the "One Bank" Working
• Richard Evans David Li Group at Credit Suisse. Prior to this he held various management positions at Credit Suisse
in Chicago, London and Zurich. In 1986 Holger G. Demuth studied at the International
CRO, Institutional Clients Group CRO Banking School of Credit Suisse in New York followed by studies at the Business School of
CITI CHINA INTERNATIONAL CAPITAL Zurich where he graduated with a federal diploma in banking. He subsequently completed
CORPORATION the Master of Business Administration at the University of Rochester NY and attended the
• Alden Toevs David Li’s financial career began in 1997 at the Canadian Imperial Advanced Management Program at the Harvard Business School in Boston.
CRO Bank of Commerce, and by 2003 he was director and global head
COMMONWEALTH BANK AUSTRALIA of credit derivatives research at Citi. In 2004 he moved to Barclays Jens Kaessner, CRO
Capital where he headed up the credit quantitative analytics team.
• Martha Cummings In 2008 Li moved to Beijing where he works for China International Capital Corporation DEUTSCHE POSTBANK
as Head of the Risk Management department. In April 2010 Jens was appointed Chief RIsk Officer of Deutsche
CRO Postbank Group. He is responsible for the risk methodology
BANCO SANTANDER (ratings, VaR models), Basel 2 compliant implementation of
Lesley Jones Postbank’s risk infrastructure, risk reporting and initiating
Group Chief Credit Officer appropriate risk management action. As CRO he is a member of all
13.20 Lunch For All Delegates RBS risk committees of the Group. Jens joined Postbank Group in 2002
and his previous responsibilities include Head of Credit Risk Management, Head of
See www.icbi-riskminds.com for biographical details
Plus “Meet The VIP” Lunch Tables & Private Dining With Guest Structured Credit Products and General Manager of Postbank's US subsidiary, where he
Speakers (pre-registration required – please sign up at the was responsible for all US capital markets activities. He is experienced in implementing
John Hollows portfolio models to calculate credit risk and market risk models, trading credit derivatives
conference registration desk) CRO and overseeing other trading activities. Before Postbank Jens was with HypoVereinsbank,
KBC Group Risk Control, where he worked on allocation of risk capital.
Table Hosts: See www.icbi-riskminds.com for biographical details)
• Richard Evans Paige Wisdom
CRO, Institutional Clients Group 16.15 Chief Enterprise Risk Officer
CITI FREDDIE MAC
(see biographical details previously) THE CRO COMMENT & CHALLENGE SESSION Paige Wisdom was appointed Freddie Mac’s chief enterprise risk
Leading industry figurehead Maureen Miskovic will offer officer on April 1, 2010, and is a member of the company's senior
• Norah Barger, Deputy Director, leadership team, reporting directly to the CEO. In this role,
Division Of Banking Supervision & Regulation comment on the prior presentations and challenge the presenters Wisdom is responsible for providing the overall leadership, vision
THE FEDERAL RESERVE BOARD on their comments. Audience members will also have the chance and direction for enterprise risk management and leads an
to pose their questions anonymously and in real time through integrated risk management framework for all aspects of risk across the company.
(see biographical details previously) Previously, Wisdom served as Freddie Mac's Business Unit CFO, and earlier in her career
• Pippa Malmgren emailing question@icbi.co.uk held senior finance and risk-management positions with Bank of America, Bank One
Corporation/J P Morgan, UBS/Warburg Dillon Read, Citibank Salomon Smith Barney, and
Founder Swiss Bank Corporation. She holds a Master of Business Administration from The
Commentator:
THE CANONBURY GROUP • Maureen Miskovic
University of Chicago's Graduate School of Business and a Bachelor of Science in math
and computer science from the University of Illinois, Chicago.
(see biographical details previously)
Former CRO
• Claude Piret STATE STREET 18.15
CRO & Member Of The Management Board Most recently, Maureen J. Miskovic was Executive Vice President and CRO at State
Street, responsible for leading the company’s risk management function globally. She SUMMARY OF THOUGHTS
DEXIA was also a member of the company’s Operating Group, State Street’s most senior
strategy and policy-making team. Before being appointed to this role, Ms. Miskovic Today’s leading industry commentators will meet to deliver their
14.30 served on State Street’s Board of Directors and was Chairman at Eurasia Group, a thoughts on the shape of risk management from the CRO’s
global political risk advisory and consulting firm based in New York. Previously, Ms. perspective. Comments will be available in note form on the
The New Financial Zeitgeist And Bank Risk Management: Miskovic spent six years as chief risk officer for Lehman Brothers and prior to this
How Can CROs Add Value In The New Risk-Averse Environment? appointment she was Treasurer at Morgan Stanley in London responsible for capital RIskMinds website after the event www.icbi-riskminds.com
David Watts
planning, bank relations and cash management for its European and Indian businesses. Commentators:
She has also held senior management roles at S.G. Warburg in London. • Stephan Schoess, Chief Economist
CRO
WESTPAC NEW ZEALAND Panellists: THE OPTIONS CLEARING CORPORATION (OCC)
David Watts was appointed Chief Risk Officer of Westpac New • David Watts • Maureen Miskovic, Former CRO, STATE STREET
Zealand Ltd in October 2009. David is based in Auckland and is
CRO • Ruth Whaley, Director Of Corporate Relations, Judge
responsible for all aspects of risk management including credit risk & Business School, CAMBRIDGE UNIVERSITY
restructuring, operational risk, market risk, compliance and security. WESTPAC NEW ZEALAND
He is a member of the Executive Management Team, Chairman of
the Executive Risk & Audit Committee and a Director of 9 subsidiary boards. Before joining • Paul Smith 18.30 - 19.30
Westpac David had a 17 year career at National Australia Bank where he was Chief Risk Group CRO
Officer for Australia. Prior to entering banking David enjoyed 10 years as a Certified
STANDARD BANK Main Conference Cocktail Party
Practising Accountant.
• Stephen Anderson Sponsored By
CRO, Europe
HSBC

16.45 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition

Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
10 For latest programme or to register please visit: www.icbi-riskminds.com
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 10

Day 2 Main Conference: Wednesday 8 December 2010


DAY
RI$KMINDS
2 Risk Modelling, Measurement & Management In The New World Order

11.40 Liquidity Risk & Balance Sheet


Day 2 Main Conference Market & Credit Risk Integration In The Trading Book Management Working Group
Wednesday 8 December 2010 vs The Banking Book: 16.45

Delivering A Holistic View Of Risk Exposures Liquidity Stress Testing For Security Firms:
Defining Liquidity Destruction Triggers, Scenario Development &
08.45 Registration & Coffee
Darryll Hendricks Data Consistency In Liquidity Stress Tests
Managing Director, Global Head Of Risk Methodology • New Basel liquidity proposal and liquidity stress testing
09.00 UBS • Developing global liquidity stress testing for security firms
Darryll Hendricks is Managing Director and Global Head of Risk • Challenges for designing and developing global liquidity
Chairman’s Opening Address stress testing
Methodology for UBS Investment Bank, where he has primary
Chaired By: Kenji Fujii
responsibility for leading the strategic remediation and enhancement
Thomas Kimner Joint Head, Global Risk Management Group
of market and credit risk methodologies as well as the independent
Head of Americas Risk Practice MIZUHO SECURITIES CO
review of valuation models. Since Autumn 2009, he has also served
SAS In his current role, Kenji Fujii is in charge of market risk, enterprisewide risk management
Mr. Kimner is Head of the Americas Risk Practice at SAS where he as the chair of the US industry task force on tri-party repo and risk capital framework. Prior to his current role, he was Senior Managing Executive
leads a team of experts in shaping risk solutions by applying best- infrastructure. Before joining UBS, Darryll worked at the Federal Officer, Chief Market Risk Officer at Aozora Bank, and General Manager, Basel 2
of-breed data, modeling, and decision optimization methodologies. Reserve Bank of New York for 13 years where he focused on capital Implementation Office, Corporate Risk Management Division at Mitsubishi UFJ Financial
Mr. Kimner joined SAS in 2009 bringing nearly 20 years of Group. Mr. Fujii has participated in numerous industry initiatives in risk management area,
experience in credit risk analytics, information management, and regulation and on the risk assessment of clearing and settlement including those related to the Basle II. He also acts as Principal of Tokyo the Risk
systems architectures—the last 10 years in various senior level infrastructure. Darryll has a PhD from Harvard University. Managers Association (TRMA).
positions at Fannie Mae, where he spearheaded initiatives to more effectively manage
credit risk and financial reporting.
12.15 17.20
09.10 Managing Market Risk Exposures In A Changed World: Enterprise Liquidity Management:
Creating An Appropriate Analytical Tool Set To Manage The New Essential Elements For Managing Enterprise Liquidity
The Ri$kMinds 2010 Market Risk Exposures • The regulatory challenge, just the baseline
Guest Supervisor Address Kevin Oden • Extending traditional ALM to meet the challenge
Addressing The Key Issues In Today's Global Financial System Managing Director, Head Of Market Risk For Global Rates • Applying deterministic and stochastic stress tests
Julie Dickson WACHOVIA • Defining the optimal liquidity funding structure using
Superintendent Kevin Oden is a Managing Director and Market Risk Officer for the Securities Investment
Group of Wells Fargo. In this position, he leads a team responsible for commodity, advanced portfolio optimization techniques
OSFI
Julie Dickson was appointed Superintendent of Financial interest rate, municipal, foreign exchange and counterparty credit risk management. Aaron Sanders, Market Risk Practice Leader
Institutions in July 2007, for a seven-year term. Ms. Dickson joined Before moving to finance, Kevin was the Benjamin Pierce Assistant Professor of QRM
the Office of the Superintendent of Financial Institutions (OSFI) in Mathematics at Harvard University, where he specialised in differential geometry and Mr. Sanders is the Market Risk Practice Leader at Quantitative Risk Management (QRM).
April 1999, and was Assistant Superintendent, Regulation Sector, published in the areas of geometry, statistics and graph theory. His current duties focus on ensuring QRM's models and clients use best practices for
from January 2000 to June 2006, when she was appointed Deputy Market Risk and Liquidity Risk. Since joining QRM in 2000, he has consulted and led the
Superintendent. In October 2006, she was appointed Acting Superintendent. Prior to 12.50 implementation of Market, Credit and Liquidity Risk practices at many leading banks and
joining OSFI, Ms. Dickson served in both the public and private sectors. In the federal other financial institutions. Aaron has his BA in Economics from The University of Chicago.
government, she served for 15 years with the Department of Finance, primarily in areas
related to financial institution policy. In the private sector, she served as Group Leader of
Riding The Waves Of Retail Lending:
the Financial Institutions Practice for a national consulting firm from 1995 to 1998. She is Origination, Credit And Economic Cycles Often Coincide For 17.55
a member of the Accounting Standards Oversight Council of Canada, and was a member Disastrous Effects
of the Basel Committee on Banking Supervision from 2002 to 2006. She also represents Charging For Balance Sheet Usage: Linking Funds Transfer Pricing
• How to identify these cycles
OSFI on the Financial Stability Board and the Integrated Supervisors group. As And Capital Charging
Superintendent, Ms. Dickson serves on the Council of Governors of the Canadian Public • How to ride the wave
• Should we charge for use of regulatory capital or economic
Accountability Board, the board of directors of the Canada Deposit Insurance Corporation, Joseph Breeden
and the board of directors of the Toronto Leadership Centre. capital or both?
CEO
• Is charging for economic capital use the same as charging for
STRATEGIC ANALYTICS
Dr. Breeden, Chief Executive Officer of Strategic Analytics Inc., leads the design of risk?
09.50 advanced analytic solutions including the invention of Dual-time Dynamics that comprise • Are real or notional charges best?
the firm's market offerings for forecasting, stress testing, and economic capital modelling • How does tax enter the picture?
The Ri$kMinds 2010 New Research Paper for retail portfolios. He recently published Reinventing Retail Lending Analytics and has
published papers and given lectures on retail lending analytics and economic capital Mark Johnston, Division Director, Balance Sheet Strategy
Financial Engineering And The Financial Crisis: Warnings, Guilt around the world. Strategic Analytics, founded in 1999, has successfully grown to MACQUARIE GROUP
And Lessons Hopefully Learned become an industry power and its software and services are used to analyze over $2 Mark Johnston heads the Balance Sheet Analysis & Strategy team at Macquarie Group,
• Mathematics and QRM: examples and an assessment based trillion in credit cards, auto, home equity, mortgage and other consumer credit portfolios. responsible for projecting and managing capital adequacy, designing incentive schemes
on the financial crisis such as funds transfer pricing and capital charging, ensuring efficient use of capital and
13.25 Lunch managing macro risks. Prior to taking on this role Mark worked in Macquarie's Risk
• Model uncertainty and the road to Basel III Management Group, with responsibility for economic capital, risk appetite and risk-
• The real culprits 14.30 adjusted performance measurement.
• Risk management lessons to be learned from the crisis
Paul Embrechts Risk Management In Private Equity
Professor, Department Of Mathematics Ken Abbott STREAM B:
ETH ZURICH Managing Director & Chief Operating Officer, Market Risk Innovations In Credit & Counterparty Risk Modelling
Paul Embrechts is Professor of Mathematics and Director of MORGAN STANLEY
RiskLab at the ETH Zurich specializing in actuarial mathematics and Ken Abbott is a Managing Director at Morgan Stanley in New York, where he is Chief Chaired By Dominique Bourrat, Managing Director
quantitative risk management. He co-authored the influential books Operating Officer for the Market Risk Department. In addition, he also supervises the RISK DYNAMICS
"Modelling of Extremal Events for Insurance and Finance", Springer, reporting, capital, and scenario processes and is responsible for the legal entity risk (see biographical details previously)
1997 and "Quantitative Risk Management: Concepts, Techniques management for Morgan Stanley's US broker dealer and national bank. Previously, he ran
and Tools", Princeton UP, 2005. Dr. Embrechts consults on issues in quantitative risk market risk management for Bank of America’s Investment Bank. He has over 25 years’
management for financial institutions, insurance companies and international regulatory banking experience, including 14 years at Bankers Trust as an analyst, trader, and risk manager. 11.40
authorities.

15.05
PIT vs TTC: Developing A Dual PD PIT-TTC Ratings Framework
• The importance of systematic credit cycles in developing
10.45
CVA Analytics: internal ratings
The Ri$kMinds 2010 Effective Strategies For Pre And Post Trade CVA Risk Analytics • Managing real risk vs capital stability
Guest CRO Address Paul Jones • Industry vs regional systematic factors
Reshaping The New Agenda For Risk Management: Vice President, Product Management • Using Agency Ratings in a Dual PD Ratings Framework
How Have Banks Revised Strategies, Systems, Assumptions & QuIC FINANCIAL TECHNOLOGIES Scott Aguais, Head Of Credit Portfolio Analytics, RBS
Paul is responsible for defining and executing QuIC’s overall product go-to-market In his current role, Scott’s responsibilities include developing, implementing and managing a
Internal Models In Light Of The 2007-2009 Crisis? strategy and technology roadmap. He holds more than 14 years’ experience in financial suite of credit risk models and methodologies end-to-end in support of active credit risk and
Hugo Banziger engineering and risk, including roles at Lehman Brothers and Algorithmics. Paul holds a capital management. Additional responsibilities include developing and implementing key
CRO & Member Of The Management Board BA Hons Physics from Oxford University. credit methodologies for stress testing, Point-in-Time and Through-the-Cycle ratings and
DEUTSCHE BANK portfolio management and working to enhance the overall credit risk systems architecture.
Hugo was appointed to the Deutsche Bank Management Board in 15.40 Prior to joining RBS in March 2009, Dr. Aguais was Global Head of Credit Risk Methodology at
May 2006 as the Chief Risk Officer. He is responsible for Credit, Barclays Capital where he led the Barclays Capital credit risk modelling effort in support of the
Market and Operational Risk, as well as Corporate Security & IRC: successful attainment of their Basel II AIRB waiver. This work included developing a suite of
Business Continuity, and Treasury. In May 2007 he also assumed 40 credit models and an industry-leading solution for PIT and TTC ratings that utilised
responsibility for Legal and Compliance. In 2000 he became DB's
Modelling Incremental Risk Charge systematic credit risk cycles. In this role he also led the design, development and
Chief Credit Officer and assumed responsibility for Operational Risk Management in 2004. • Insight into the IRC market implementation of Barclays Capital’s Phoenix solution, which is the firm’s Basel II system and
From 1985 to 1996 Hugo worked at Credit Suisse Group. In 1990, Hugo was appointed • Modelling approaches, parameterisation and calculation architectural solution.
Global Head of Credit for Credit Suisse Financial Products, the derivatives house of Credit processes
Suisse Group, based in London. In 1983 he started his career at the Swiss Federal Banking
Commission, the Supervisory Agency of Swiss Banks. Hugo has a Doctorate in Economic • Selected topics from a practitioner’s point of view 12.15
History from the University of Berne, Switzerland. Christian Oehler Incorporating Capital Costs At Origination:
Senior Manager How To Improve Deal Origination Through Accounting For Portfolio
11.15 D-FINE Effects
Christian works as Senior Manager within d-fine GmbH. His main responsibilities are strategic
Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition developments and projects in the framework of credit portfolio modelling and all aspects of • Improving credit portfolio characteristics starting at
profitability oriented risk & capital management concepts including risk based pricing and limit origination
setting frameworks. Furthermore, he is a specialist in ICAAP and incremental risk charge
modelling and measurement in the trading book. Before joining d-fine he worked for Deutsche • Deal pricing implications of credit concentrations
Bank in the Application and Implementation team within Risk & Capital Management where • Dynamically linking the deal structuring process to credit
STREAM A: he was responsible for the credit portfolio model. Prior to Deutsche Bank he worked for Arthur
Market Risk Management In The New Regulatory Paradigm portfolio management
Andersen as a specialist for Basel II relevant topics with a focus on rating development and
validation methods. He earned a PhD in experimental particle physics from University of Mikael Nyberg, Managing Director, Advisory Services
Karlsruhe and holds a MSc. in financial mathematics from the University of Oxford. MOODY’S ANALYTICS
Chaired By Mikael Nyberg leads Moody's Analytics Advisory Services as a Managing Director. The
Advisory Services group provides consulting, product training and implementation
MUREX 16.15 services for Moody's Analytics portfolio, credit risk measurement and valuation products.
see www.icbi-riskminds.com for further details The team lead by Mikael is responsible for the implementation and introduction of
Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition RiskFrontier™, Moody's Analytics' latest portfolio and CDO technology. His background
includes having worked since 1998 on the global implementation and product
management of KMV EDF™ and Portfolio Manager™ products. In these roles he was
responsible for the research and new development of models, software and data
products. His educational background includes B.Sc.(ECON) in Finance and Accounting
from the London School of Economics and an M.B.A. from IESE in Barcelona. His
thought leadership focus provides clients with frameworks and insights for addressing
their most pressing portfolio strategy issues.

To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225 11
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 11

Day 2 Main Conference: Wednesday 8 December 2010


DAY
RI$KMINDS
2 Risk Modelling, Measurement & Management In The New World Order
12.50 including integrated portfolio modelling (Market and Credit Risk), formulation of the risk 16.45
aversion and tolerance, riskreturn based performance management, optimization, hedge
Quant Heaven? The Road To Credit Risk Management Is Quant decisions (micro- and macro hedges) and transaction and loan pricing. In his professional OTC Derivatives: Determining The Impact Of Derivatives
career before 2003 he held many positions mainly in the area of Risk at DZ Bank,
Heaven HypoVereinsbank and Deutsche Bank.
Legislation On The Cost & Efficiency Of Risk Management & On
Eduardo Epperlein, Managing Director, Inter Bank Liquidity
Global Head of Risk Methodology, NOMURA Ahmet Yetis, Director, BARCLAYS CAPITAL
Eduardo Epperlein is a Managing Director at Nomura International, responsible for Global Stream C: Ahmet is the regulatory and Basel II strategist at Barclays Capital in New York. He advises
Risk Methodology. His responsibilities include market and counterparty risk and their Strategic & Regulatory Risk Management In clients on regulatory developments and capital management. Prior to joining Barclays,
implications for regulatory and economic capital. Eduardo has 16 years’ experience in the Ahmet spent three years in Japan advising Asian banks on capital management. Ahmet is
financial industry, is a regular contributor to regulatory meetings and has chaired several
The New World Order an engineer and holds an MBA degree from Carnegie Mellon University.
industry groups on Basel rules. He holds a PhD in Plasma Physics from Imperial College
and spent ten years as a research scientist prior to joining Citigroup in 1994. Chaired By
Richard Barfield, Director 17.20

13.25 Lunch PRICEWATERHOUSECOOPERS Impact Of Basel III On Banks: Understanding The Implications Of
Richard is a Director in the Risk and Capital Advisory team of PwC’s UK Financial Services
practice. He has broad-ranging consulting experience gained in 20 years with PwC. During Calibration And Interaction With Regulators
14.30 2010, he has been a key member of the PwC team that has been working with a group of Harry Stordel, Head Of Regulatory Coordination,
UK banks to assess the implications of Basel III and the wider reform agenda. He often Policies and Controls, CREDIT SUISSE
Basel III & Credit Risk: Don't Throw The Baby Out With The leads teams consulting at board level and advises financial services clients on how to Harry heads the Regulatory Coordination, Policies and Controls team in the CRO
Bathwater develop and strengthen risk management. His recent advisory work includes advice on risk Department of Credit Suisse AG. Prior to this role he was responsible for the credit risk
• A critical view on the successes and shortcomings of Basel II governance, risk appetite, stress testing, policy development, and Arrow preparation. model validation and risk reporting team, and held various other positions in risk
Previously he led the design and delivery of training to FSA banking supervisors on Pillar 2 management, controlling and economic research at Credit Suisse. Harry holds a PhD in
• "Positive" lessons for lending from the financial crisis SREP, and has advised financial institutions and other supervisors on SREP and ICAAP. international economics from the University of Geneva.
• The potential costs of indiscriminate capital buffers Richard has held senior line management positions for example through secondment as
Finance Director to Barclaycard, while at Coopers & Lybrand.
Joerg Erlebach, Head Of Group Risk Controlling & 17.55
Capital Management, COMMERZBANK
Joerg Erlebach’s responsibilities cover topics spanning credit and operational risk controlling
The Ri$kMinds 2010 Chief Risk Impact Of Basel III Q And A
and reporting, risk measurement methodologies, risk portfolio management by means of • Harry Stordel, Head Of Regulatory Coordination,
limit systems, allocation and management of internal and external capital requirements and Officer Showcase Policies & Controls, CREDIT SUISSE
group risk communication. In the past, he has been responsible for the group’s Basel II and 11.40
IFRS LLP projects. Before joining Commerzbank, he has filled various leading management (see biographical details previously)
positions within the risk functions of Deutsche Bank AG and Eurohypo AG. Risk Strategy & Infrastructure: Aligning Business Strategy, Risk • Mattia Rattaggi, Managing Director, Head Of Group
Strategy And Risk Infrastructure Supervisory Relations, UBS
15.05 (see biographical details previously)
Beat Hodel, CRO
• Christian Lajoie, Co-Head Of Group Prudential &
Liquidity Cycles In Risk Management: Liquidity Cycles & The RAIFFEISEN
Public Affairs, BNP PARIBAS
Impact On Credit Decision Making & Risk Management Dr Hodel has been in his current role as Chief Risk Officer and member of the expanded
management board of the Raiffeisen Group since June 2005. Prior to this, Dr Hodel was a (see biographical details previously)
• Excess liquidity and its impact on asset prices, risk appetite & Partner and Member of the Management Board of COMIT Group (2004-2005), Managing
standards Partner of ABOVO Management Consulting & Services (2002 – 2004) and Senior Partner at
• Will liquidity shocks drive the "new" business cycle? Ernst & Young (1999 – 2002). STREAM D:
Christoph Dieng, Chief Credit Risk Officer Successful Risk & Capital Modelling In Volatile Times
12.15
NORD LB
Christoph Dieng was appointed Chief Credit Risk Officer in September 2007. Prior to Risk Management Post Crisis: How Will Methods & Models
joining NORD/LB he worked at Deutsche Bank for over 10 years in various functions. In his
The 2010 Citi Masterclass
last assignment he served as Co-Head Credit Risk Management for Global Corporates and Change To Represent The New Normal? 11.40 - 12.15
Institutions in Europe. Nasir Ahmad, CRO, BANQUE CANTONALE VAUDOISE
Prior to his current role, Nasir was the lead partner for Quantitative Advisory Services for Price Risk Vs Value Risk
EMEIA and Head of Financial Services Risk Management for the Middle East at Ernst & • Two perspectives on measuring risk, “price risk” vs. “value
15.40 Young based in Dubai. He has 15 years of risk management experience including 5 years
as a quant at a large Canadian bank in Toronto. Nasir has a PhD in Mathematics and a risk”
Systemic Risk, Procyclicality & The Interconnectedness Of Masters degree in Theoretical Physics from the Swiss Federal Institute of Technology in • The context in which each measure is appropriate
Financial Institutions: Successfully Managing & Mitigating Lausanne Switzerland. • The problem with using market spreads to estimate default
Systemic Risk losses
Barbara Frohn 12.50 • The very material difference in measuring economic capital for
Managing Director the same portfolio from each perspective
GRUPO SANTANDER
Middle East Risk Management: Risk Management In Dubai, GCC,
Middle East • Issues in the application of these perspectives
(see biographical details previously)
• Our key challenges Evan Picoult, Managing Director, Risk Architecture,
• The differences … our risk management approach CITI & Adjunct Professor
Gonzalo de Cadenas
• Going forward … back to the future COLUMBIA BUSINESS SCHOOL
Senior Analyst, Public Policy Department Evan Picoult is a Managing Director within Citi’s Risk Architecture Department as well as an
GRUPO SANTANDER Jamal Saleh, CRO, COMMERCIAL BANK OF DUBAI Adjunct Professor in the Decision, Risk and Operations Department of Columbia University’s
Jamal Saleh is PRMIA's Regional Director for the United Arab Emirates Chapter. He is an Business School. Over the last few years he has focused on firm-wide projects regarding
Arab-American banker with 21 years of banking experience (10 in New York and 11 in the Basel II, stress testing and the enhancement of the measurement, implementation and use of
16.15 UAE) in Risk Management, Credit, Corporate Banking, Private Banking, and Asset Economic Capital. Evan joined Citibank in 1980 in systems development, transferred to a
Management. Jamal is presently heads Risk Management at Commercial Bank of Dubai trading desk in 1986 and has worked in internal risk management since 1988. He has led the
Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition (UAE) where he is responsible for Credit Risk (Wholesale and Retail), Market Risk, and development of the methods used at Citi for measuring market risk and counterparty credit
Operational Risk, as well as IT-Governance, Risk, and Compliance (GRC), overall Corporate risk. He is a frequent lecturer on risk topics at professional conferences, regulatory
Governance, and Implementation of Basel II. conferences and at universities and has published a number of articles on risk topics.
16.45
Early Warning Systems 13.25 Lunch 12.50
Leveraging Capital Market Information In Credit Risk Management
• Capital markets process information both real-time and
14.30 Delivering The Risk Enabled And Capital Efficient Enterprise
The New Agenda For Risk Management: Do We Need To Reinvent Banks have long desired, and regulators encouraged, an optimal end
forward-looking
The Entire Risk Management Process? state in which financial and operational decisions are risk informed,
• Sophisticated econometric models based on market
Petri Viertio, CRO capital optimized and aligned with organizational risk appetite. The
information can help forecast solvency risk with a lead time of
POHJOLA challenge has been how to justify and quantify the value of this
more than half a year
Petri is Chief Risk Officer at Pohjola Bank Plc which is a leading financial services group in utopian finance integrated, risk enabled enterprise. In this session
• Market based early warning systems can considerably
Finland and Baltics focusing in corporate banking, treasury and trading operations, asset IBM will present best practices and approaches for measuring return
strengthen credit risk management - in particular in times of management and P&C insurance activities. His main reponsibility is to lead the risk on investment gained from a case-based study of major banks
market crises management activities at the group, but as a member of the executive management team
he also participates to all strategic activities of the group. worldwide and analysis of academic/industry research.
Volker Kintrup, Managing Director
Laurence Trigwell, Worldwide FSS Executive &
RSU RATING SERVICE UNIT
Before joining RSU, Mr. Kintrup was employed with Oliver Wyman and Mitchell Madison Euroepan Industry Leader, Business Analytics, IBM
Laurence Trigwell is the worldwide Financial Services Executive in the newly created Business
Financial Services Consulting for seven years. During this time, he advised banks and
insurance companies on issues regarding strategy, risk management and IT solutions. Mr.
Living Wills Working Group Analytics division, incorporating Business Intelligence, Information Applications, Financial
Kintrup studied at the London School of Economics where he obtained a Master of 15.05 Performance Management and Advanced Analytics. In this capacity he is responsible for
Science in Management of Information Systems. developing and executing IBM Business Analytics Financial Services solution strategy and
Living Wills I: How Do You Address Bank Inter-Connectivity In heavily engaged in IBM's broader Financial Services solution, development and sales execution.
Recovery & Resolution Plans? Addressing The Challenges Of Accordingly Laurence works with financial services customers, industry bodies, thought leaders
17.20 and partners worldwide to understand their insight, analytics and performance objectives,
Unwinding Complex Trading Portfolios challenges and approaches. As a result he has written and contributed to research articles,
Business Value In Risk Management John Whittaker, Group Head Of Operational Risk whitepapers and books in the areas of improved risk decisioning; sustainable profitability
Prerequisites For Providing Business Value With Risk Management BARCLAYS CAPITAL strategies; and increased operational efficiency. He has worked with banks worldwide helping
John Whittaker has been in his current role for the past six years. In total he has been with to determine how risk insight can be exploited to drive increased alignment, agility and capital
Simon Haldrup, VP for Economic & Regulatory Capital efficiency. Laurence has more than 25 years financial services experience determining how
the Barclays group for 22 years. His original background is in finance, where he has held
DANSKE BANK numerous positions covering both financial and product control. His experience includes technology capability can be exploited for business benefit working in all major FS sectors in
After graduation, Haldrup was engaged by Danske Bank as project manager for several four years working in each of Japan and Hong Kong. He acted as the country chief both client and supplier organizations.
major development projects within risk management, and he was in charge of operations officer in Hong Kong and ran operational risk at Barclays Capital before moving
implementing a strategic data warehouse project. Haldrup moved on with his career as into his group role.
head of the department of Credit Risk Modeling at Danske Bank. His primary objective 12.50 – 13.25
was to manage Danske Bank’s regulatory and economic capital, covering areas like
solvency, risk-weighted assets, economic credit capital and stress testing. Currently, 15.40 Closing Remarks & Structured Q And A
Haldrup is Vice President for Economic and Regulatory Capital at Danske Bank, where his
area of responsibility covers risk-weighted assets, economic capital, implementation of risk Living Wills II: Whose Responsibility Is The Recovery & Resolution 13.25 Lunch
and capital in the bank's business model. Other areas within Haldrup’s domain are Plan & What Should The Plan Entail?
implementation of risk and Basel II and addressing the new regulation of Basel III. 14.30
Duncan McNab, Partner
PRICEWATERHOUSECOOPERS Forward Thinking For Scenario Analysis Effectively Embedding
17.55 As Partner in the Banking and Capital Markets division of PricewaterhouseCoopers Duncan
has over 20 years’ experience of proving audit and advisory services to banks. Duncan has Plausible Economic Scenarios Into Bank-Wide Stress Tests
New Strategies For Credit Portfolio Management principally worked with their wholesale and investment banking clients including; JP Paul Shotton, Deputy Head Of Portfolio Risk Control And
How Should Current Models Be Revamped In Response Morgan, Barclays Capital, Commerzbank/Dresdner, ABN Amro and BNP Paribas Fortis.
Head Of Group Risk Methodology, UBS
To Basel III? Duncan is now focussing a substantial amount of time on Recovery and Resolution
In his current role, Paul is responsible for oversight of all risk taken in UBS's Investment
Planning. He is assisting a large US bank in drafting its recovery plan and has a developing
Ludger Overbeck, Head Of Quantitative Credit Portfolio network of contacts within the banks and regulators who are grappling with this issue.
Bank, Wealth Management and Asset Management businesses, and the Corporate Center.
Prior to joining UBS, Paul was Global Head of Market Risk Management at Lehman
Management, COMMERZBANK & Professor Of Mathematics Duncan was a member of the PwC management team at Lehman (LBIE) for 14 months
Brothers in New York, and before that he was Head of Market Risk for Europe, Africa &
UNIVERSITY OF GIESSEN with visibility of all the different aspects of the administration. At Lehman he has live
Middle East at JP Morgan, Chase & Co. in London. Before becoming a risk manager, Paul
Since June 2003, Ludger Overbeck has held a Professorship of Mathematics and its experience of the most complex bank resolution that has been undertaken.
was a trader, principally in fixed income products, for nine years, beginning his trading
Application at the University of Giessen in Germany. His main academic interests are career at Goldman Sachs in London. Before turning his attention to financial markets, Paul
Quantitative Methods in Finance and Risk Management and Stochastic Analysis. As of 16.15 was a physicist at the European Centre for Nuclear Physics Research (CERN), in Geneva,
January 2007 he also began consulting for Commerzbank as the Head Of Quantitative Switzerland, having completed his Bachelor's, Master's and PhD in physics at Balliol
Credit Portfolio Management. In this role, he is responsible for all quantitative aspects, Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition College, University of Oxford.

12
Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
For latest programme or to register please visit: www.icbi-riskminds.com
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 12

Day 2&3 Main Conference: Wednesday 8 Thursday 9 December 2010


DAY
RI$KMINDS
2&3 Risk Modelling, Measurement & Management In The New World Order
15.05 11.40 • Expert Judgement & Models:
Klaus Boecker, Senior Risk Controller, UNICREDIT GROUP
Scenario Modelling: The Advantages Of Managing Risk With Q & A Off The Record
• Reputational Risk - Strategies For Rebuilding And
Scenarios Julie Dickson, Superintendent, OSFI
Sustaining Reputation:
Hubert Brogniez (see biographical details previously)
Leo Johnson
Managing Director
Partner
FINALYSE 12.15
Hubert is in charge of strategy and international development of the group Finalyse, a PRICEWATERHOUSECOOPERS
European leader consultancy specialized in implementing valuation, risk and performance GUEST LECTURE 1: Leo Johnson is a Partner of PricewaterhouseCoopers' Sustainability and Climate Change
team, and Co-Founder of Sustainable Finance Ltd., advisors since 2004 to over 50
solutions for the financial community. Hubert has a proven experience in designing risk Financial Crises In Long Term Perspectives
management systems for banks and asset managers. He particularly focuses his international financial institutions around the risks and opportunities of sustainability, and
attention on data and process management related to all kind of risks: Market, ALM, Forrest Capie, Professor Of Economic History is now a part of PricewaterhouseCoopers. On behalf of Sustainable Finance, Leo has
Liquidity, Credit, Operational. Hubert has frequent contacts with risk managers at CITY UNIVERSITY worked since 2003 on the rollout of the Equator Principles, an industry standard for
different levels in the organisation and in different countries. Hubert brings a transversal After working as an accountant for Ford Motor Company and as a civil servant in the environmental and social due diligence, that has grown from an initial four to sixty banks,
approach of an experienced generalist. He is convinced that managing risks through Department of Trade and Industry in New Zealand, Professor Capie read economics and representing over 90% of cross-border project finance. In 2004, Leo was awarded the
scenarios is a major help to creating a risk culture inside a company. economic history at the University of Auckland and the London School of Economics. IFC Corporate Award for his work in this area. In 2006, Leo worked with the Financial
Amongst many books, he has written 'Depression and Protectionism' and was co-author Times and IFC to establish the Financial Times Sustainable Banking Awards, an industry
of 'The Inter-War British Economy'. He has also written papers on monetary and trade for international banks, asset managers, and private equity groups. He served as a
15.40 history and was editor of The Economic History Review from 1992-1999. Judge for the inaugural awards and has acted on behalf of Sustainable Finance as
Technical Advisor to the FT for the Awards since their inception.
Are We At The Bottom Of The Roller Coaster Ride And The
Lending Boom Is Starting Again? Lessons Learnt And How To 13.25 Lunch
18.30 – 19.30
Set Sensible Risk Appetite In Retail Credit Risk 14.30
Uttiyo Dasgupta Cocktail Reception
Head Of Analytics Implementing Risk Appetite: Overcoming The Challenges Of Kindly Sponsored By
HSBC UK & EUROPE Implementing A Risk Appetite Framework Across Your Institution
Uttiyo joined HSBC Group in May 2004 to set up the Group’s Corporate Analytics Olivier Irisson, Deputy CRO
function, thereafter he has worked in the UK & European Region in retail risk. Uttiyo BPCE
spent 18 years with Standard Chartered prior to joining HSBC. His last role was heading Olivier joined BPCE in June 2010. Prior to his new role, he was the head of the 'Global Risk
Standard Chartered’s Economic Capital and Portfolio Management modelling function Measurement' department in charge of transversal risk analytics and portfolio analysis, stress
based in London. Uttiyo has worked in a wide range of roles, which includes setting up a testings and capital measures at group level for credit, market and operational risks. Olivier
Japanese Yen swap desk in Dubai, new Consumer Finance businesses in Thailand, Taiwan joined SG in 2002 and held several positions in quantitative risk modeling before leading the
and the Philippines. He was the Regional Head of the Retail business in India, Group global Rating and Capital modeling unit from 2006 to 2009. Before this, Olivier was a 19.30 End Of Day 2 Main Conference
Head of Retail Credit Audit, Manager Corporate Banking and Trade Finance. manager in the Financial Risk Management practice of PricewaterhouseCoopers and worked
for BNPP personal finance. Olivier holds a Doctorate from the University of Paris Dauphine
and has taught finance and risk management at HEC and Ecole Centrale.
16.15
Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition 15.05
GUEST LECTURE 2: Day 3 Main Conference:
16.45
Credit Ratings And Securitization Thursday 9 December 2010
Economic Capital Post-Crisis: Evaluating The Key Issues & John Hull
Challenges Around Economic Capital & Assessing Its Relevance Maple Financial Professor Of Derivatives & Risk Management
In Bank Business UNIVERSITY OF TORONTO
• How did the Economic Capital metrics perform throughout (see biographical details previously) 08.45
the crisis? Chairman’s Opening Address
• Is it still a relevant risk metric to manage banking 16.15 Chaired By: Charles Richard
businesses? Senior Vice President, QRM
• What risks are not captured by the Economic Capital Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition
Mr. Richard is a Senior Vice President of Quantitative Risk
metrics? Management. Mr. Richard has over 25 years of experience in the field
16.45 of enterprise risk management, balance sheet management, credit
• How to complement it in order to have a safe and sound risk management and regulatory capital management. During his
Risk Management framework GUEST LECTURE 3: tenure at QRM, Mr. Richard has consulted with hundreds of financial
Jean-Bernard Caen How NASA Manages Their Risks institutions worldwide and helped QRM build an international client
base that now lists over 250 long term engagements.
Risk Analytics Senior Adviser Jeevan Perera
DEXIA Risk Manager
Since September 2002, Jean-Bernard Caen has conceived and implemented the 09.00
Economic Capital framework at DEXIA Group. Before joining DEXIA, Jean-Bernard was NASA SPACE CENTRE
Dr. Jeevan Perera works at NASA, Johnson Space Center in Houston,
CEO of the consulting firm Finance & Technology Management (FTM), which he founded
in 1990 with 5 partners. FTM was active in the areas of Risk Management, Capital Texas. He has been the risk manager for several key manned space THE RI$KMINDS 2010
Allocation and ALM. In this role, Jean-Bernard Caen directed numerous assignments for programs including the International Space Station, Orion Spacecraft and
others. Orion was NASA's proposed new spacecraft to replace the Space
‘FINANCIAL MINDS’ THINKTANK
banks and financial institutions, notably in France. Determining The New Blueprint For Financial Engineering:
Shuttle service to the International Space Station, then return astronauts to
the moon and eventually mount expeditions to Mars. In his technical capacity within Orion, he Sophisticated Complex Models Vs Crude Robust Risk Measures:
17.20 shared associated responsibility for the day-to-day management of the Orion Project's business Is There Room For Both Strategies In The Post-Sub-Prime World?
and project planning roles including overall management and assessment of project budgets,
Topic to be confirmed procurement, contracts and assessment functions (including risk management), configuration Greg Hopper, Managing Director, GOLDMAN SACHS
management, information technology, schedules, and the development of management plans and Greg Hopper is a Managing Director at Goldman Sachs, responsible for the quantitative analytics
Shahram Elghanayan processes. Formerly as the Risk Manager, International Space Station, Johnson Space Center, and group within the Credit Department. Greg Hopper's responsibilities include quantitative credit risk
Managing Director then Orion Project Risk Manager, he designed, developed, implemented and improved the methodology and strategy, quantitative hedge fund risk management, and regulatory policy. Greg
SUNGARD agency's risk management processes through a phased, systematic approach setting the standard holds a Ph.D. in Economics from the University of Virginia. Greg has been with Goldman Sachs since
for NASA’s risk practice. Prior to his work in risk management, he has worked in different technical 2004. Before coming to Goldman he was an executive director at Morgan Stanley and a senior
fields in support of many NASA programs and projects. economist with the Federal Reserve Bank of Philadelphia.
17.55
17.20
Paul Shotton
Stress Testing Economic Capital For Risk Appetite Design & Deputy Head of Portfolio Risk Control and
Capital Planning Framework: Broadening Stress Tests To Achieve GUEST LECTURE 4: Head of Group Risk Methodology
A Group Level Risk Appetite Validation Figure Perceptions Of Risk: Communicating Risks And Deeper UBS
Sebastian Fritz-Morgenthal Uncertainties In Words, Numbers & Pictures (see biographical details previously)
Global Head Of Group Risk Management • Perception of risk can be influenced in predictable directions
HSH NORDBANK by the choice of words, form of numbers, and choice of Riccardo Rebonato
Sebastan Fritz joined HSH Nordbank as Global Head Of Group Risk Management in May pictures
2010. Prior to this, he worked at the Frankfurt School of Finance & Management working
Global Head Of Corporate Markets,
on topics such as Risk Management, Renewable Energy Finance and Institution Building. • Multiple presentations can be used, including comparators Head Of Quantitative Research, Global Banking,
From January 2006 until December 2007, Sebastian was Global Head of Operational Risk and interactive animations, to encourage realistic RBS
Management at Deutsche Bank. Prior to that, he worked as Head of Market Risk understanding (see biographical details previously)
Management and was adivisional risk board member at WestLB. From 1997 to 2004,
Sebastian worked in various areas of Deutsche Bank’s Risk organisation, where he built • 'Deeper' uncertainties, in the face of explicit and implicit
the Risk Analytics & Instruments group and was an integral part of the Economic Capital ignorance, can be acknowledged Evan Picoult, Managing Director,
and Basel 2 programme. • New examples of being 'upfront about uncertainty' will be Risk Architecture, CITI & Adjunct Professor,
discussed, from statins to swine flu, climate change to COLUMBIA BUSINESS SCHOOL
STREAM E: volcanic ash (see biographical details previously)
Cutting Edge Insights From The Ri$kMinds Thought Leaders David Spiegelhalter
Winton Professor For The Public Understanding
Of Risk, Department Of Mathematics 09.45
Chaired By CAMBRIDGE UNIVERSITY
David Stréliski, Regional Director, David Spiegelhalter’s background is in medical statistics, particularly Getting Back On Top
Member of the Global Board of Directors the use of Bayesian methods in clinical trials, health technology Recovering And Learning From A Reputational Disaster
assessment and drug safety. He led the statistical team in the • If I can come back then anyone can
PRMIA Bristol Royal Infirmary Inquiry and also gave evidence to the
David Stréliski has been involved with PRMIA (Professional Risk Shipman Inquiry. In his new post he leads a team which is attempting to improve the way • You can never predict the future
Managers' International Association) since July 2002 as member of
the Global Board of Directors (ongoing) and Regional Director of
in which the quantitative aspects of risk and uncertainty are discussed in society. He was Take Home Insights From The Ri$kMinds Disaster Guru: Learn
awarded an OBE in 2006 for services to medical statistics. How To Overcome Adversity & Rebuild Yourself & Your Business
Montreal chapter (until summer of 2010). He is now also part of
PRMIA Geneva Steering Committee. Mr. Stréliski is Partner in charge of the Financial With This ‘Real Life’ Case Study From A Top Business Executive
Risk Management practice of Deloitte in Geneva, where he manages a team of 18.30 – 19.15
quantitative finance and risk management experts to provide advisory services to Gerald Ratner
financial institutions, corporations and commodity and energy traders. He has more than Champagne Roundtable Discussions Founder
15 years of experience in the development of risk management and reporting systems, in RATNER ONLINE
promulgation of sound treasury and risk management practices and in quantitative Network with other like-minded professionals & join one of the
Gerald had transformed his family business into the world’s largest
modeling. below champagne roundtables. Pre-registration is advised – sign jewellery retailer with 2500 shops, when a casual joke he had told
up at the conference registration desk on the day many times before hit the papers. He became a laughing stock and
• PIT vs TTC: was forced to step down. Now back on top with a thriving online
operation, he talks candidly about the rollercoaster journey and the
Scott Aguais, Head Of Credit Portfolio Analytics, RBS
"This Is The Best Risk Management • Managing Risks In NASA:
valuable lessons learned.

Conference In The World" Jeevan Perera, Risk Manager, NASA SPACE CENTRE 10.30 Morning Coffee
• Financial Resource Management:
Eduardo Canabarro, Global Head Of Quantitative Analysis Thorsten Kanzler, Group Treasurer
Morgan Stanley COMMERZBANK

To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225 13
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 13

Day 3 Main Conference: Thursday 9 December 2010


DAY
RI$KMINDS
3 Risk Modelling, Measurement & Management In The New World Order
14.35 12.45 Lunch
STREAM A
New Approaches To Measuring & Managing Liquidity Risk Liquidity Risk Management 14.00
Better Including Liquidity Risk In The Overall Risk Management
Framework A Practical Guide For Turning Your Pricing Infrastructure Into A
Chaired By: CVA Infrastructure
Gilles Demeulenaere • Lessons from the crisis: liquidity risk has to be tackled for
itself and also in relation to other risks Alexander Sokol
Vice President NUMERIX
QRM • Risk management and appropriate internal governance are
Mr. Demeulenaere is a Vice President of QRM and has been responsible for QRM's key for an efficient liquidity risk mitigation
14.35
European Marketing since 1998. Prior to joining QRM, Mr. Demeulenaere served Marine • Knowledge of liquidity risk profile and use of stress tests for
Midland Bank and Société Générale in New York, for 16 years, in various capacities with a a tailored approach rather than standardised tools
focus on structured finance. Mr. Demeulenaere holds an MA degree in Economics from Re-Thinking Valuation: Towards A Comprehensive Scenario
Dauphine University, Paris and a BA degree in Economics from Assas University, Paris. • Liquidity risk awareness and internal pricing: for a liquidity Framework For Valuing Credit Instruments In Illiquid Markets
risk culture within an institution Dan Rosen
11.00 Dominique Laboureix, Director Of Policy & Research, Visiting Fellow
Prudential Control Authority, BANQUE DE FRANCE & Chairman, THE FIELDS INSTITUTE$ FOR
Liquidity Risk Management: Liquidity Working Group, CEBS RESEARCH IN MATHEMATICAL SCIENCES
Liquidity Regulation 2.0 - Impact On The Financial Industry Mr Dominique Laboureix, 46, is currently Director of the Policy and Research department
& President,
• Change of regulatory environment during the crisis of the Prudential Control Authority (Autorité de Contrôle Prudentiel – ACP). He is deeply
involved in the evolution of the prudential framework through his participation in a number R2 FINANCIAL TECHNOLOGIES
• Impact of the new regulation on the financial industry of working groups at the European level or at the Basel Committee level. He chairs the (see biographical details previously)
Andreas Heise CEBS Liquidity Task Force, which issued several reports in 2008 and 2009 about liquidity
Director, Head Of Liquidity Risk Management risk management and supervision.
15.10
DEUTSCHE BANK
Andreas C. Heise joined Deutsche Bank in 1994. After several assignments in Private 15.10 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition
Banking and Global Markets, he transferred into Treasury in 2001. Since then he has covered
several areas in Liquidity Risk Management with regional and global responsibilities. At the Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition 15.40
moment Andreas C. Heise is the Head of Liquidity Risk Management focusing on 15.40
regulation and regulatory interaction. Andreas holds a degree in business administration Forward Looking Capital Provisioning & Expected Loss
from the Business School of Finance and Management in Frankfurt. Liquidity Risk Regulation & Stress Testing: Liquidity Risk Provisioning:
Regulation, Reporting & The Role Of Stress Testing How Are New Capital Buffer Standards Impact Availability & Use
11.35 Of Tier 1 Capital?
Stefan Schmitz, Economist, OENB
“Water, Water Everywhere…” Stefan joined Oesterreichische Nationalbank (OeNB) in 2003 where he covers the Evan Sekeris, Assistant Vice President,
macroprudential analysis of liquidity risk, payment systems, and funded pension products. Bank Supervision and Regulation Department
A Unitary Approach To Managing Liquidity To Generate Liquidity Publications include: "Why Central Banks Should Look At Liquidity Risk", Central Banking
At Risk Vol. XVII No. 4, (with A.Ittner); Institutional Change in the Payments System and Monetary FEDERAL RESERVE BOARD OF RICHMOND
Evan Sekeris is a member of the Supervision and Regulation Department focusing on the
Samuel Taylor Coleridge was spot on with his assessment in “The Policy, Routledge, London, 2006 (co-edited with Geoffrey E. Wood); Carl Menger and the
internal risk modeling and capital allocation at large banking organizations. His current
Rime of the Ancient Mariner.” Just because it is all around you Evolution of Payment Systems: From Barter to Electronic Money, Edward Elgar,
Cheltenham, 2002 (co-edited with M. Latzer). research interests are in asset pricing with particular emphasis on the role of information
does not necessarily imply that it is fit for consumption; liquidity on the cross section of assets and in operational risk.
too, whilst seemingly all around us, may not be readily available.
16.15
16.15
This presentation seeks to highlight an approach that:
• Uses both contractual and behavioural cash flows to assess Transfer Pricing: Integrating Liquidity Costs & Steering Bank Exploring Boundaries Of Credit Risk Models:
the amount of liquidity at risk, taking into consideration the Business & Performance Management According To Transfer Pricing Stress Testing & Conservatism
impact of counterparty creditworthiness • Conceptional principles of fund transfer pricing framework Christian Duesterberg
• Showcases computations relating to the pricing of such • Pricing components & pricing applications Head Of Internal Model Validation
liquidity, and the incorporation of counterbalancing in a • Liquidity management and steering impact of fund transfer RBS
dynamic framework for assessing forecast liquidity prices on business Christian heads the independent model validation function for credit risk models in RBS,
• Seeks to use a VAR-like framework so that for any date in • Outlook: Impact of future regulations with emphasis on Basel II IRB and provisioning models. Prior to joining RBS in 2009, he
Arno Kratky, Head Of Liquidity Risk, COMMERZBANK worked in several roles at Deutsche Bank with emphasis on credit risk model
the future (tn), a liquidity at risk value for a given confidence development in wholesale credit portfolios, including structured finance, and on Basel II
Arno works in Group Treasury heading the team Liquidity Analytics. He is deals with
level can be obtained conceptional enhancements of the liquidity management framework such as fund transfer compliance.
Suresh Sankaran pricing systems, stress testing and liquidity contingency planning. After he graduating in
Vice President & Director Of Strategic Consulting industrial engineering, he joined Dresdner Bank in 1994 on the trading desk for interest rate
derivatives. He pursued a career in different roles in finance and risk management and spent 5 STREAM C
FISERV years in London responsible for market, credit and liquidity risk. After the merger of Strategic & Regulatory Risk Management In
Suresh Sankaran is Vice President and Director of Strategic Consulting within the Risk & Commerzbank and Dresdner Bank he became a member of the Treasury Management Team
Compliance division of Fiserv. He develops and provides enterprise risk management and in Group Treasury of Commerzbank.
The New World Order
Basel II advisory consulting services to Fiserv clients worldwide. A former banker with
ABN AMRO and Hong Kong & Shanghai Banking Corporation, Sankaran also is a featured
speaker for the Financial Stability Institute of the Bank for International Settlements and a STREAM B 11.00
prolific global presenter and published author.
Innovations In Credit & Counterparty Risk Modelling
Building A Common Framework For Credit & Market Risk:
12.10 Developing A Comparable Cross-Silo Comparable Measure
Liquidity Risk: 11.00 Pieter Klaassen
A Balance Sheet Risk Management Approach Managing Director & Head Of Firm-Wide Risk Aggregation
Wrong Way Risk, Stress Testing, Alpha & The CVA UBS
• Enterprise vs Balance Sheet Risk Management How Can Banks Adopt Counterparty Management Strategies To Before joining UBS, Peter worked at ABN AMRO N.V. as Head of Enterprise Risk
• Integrating ALM, Market, Liquidity and Credit risk – A Successfully Incorporate Regulatory Change? Modelling, and at Rabobank International as Head of Exotic Options. He also held a part-
pragmatic approach Greg Hopper, Managing Director, GOLDMAN SACHS time appointment at Vrije Universiteit in Amsterdam, and has (co-) authored various
articles on asset-liability management, option valuation, and credit risk modeling. Pieter
• Exploring the interdependency among sustainable growth, (see biographical details previously) holds a Ph.D. degree in Operations Research from the MIT Sloan School of Management,
risk, returns and value creation in financial institutions and a Masters degree in Econometrics from Erasmus University. He is co-author of the
• Integrated Management Reporting: top down vs bottom up 11.35 book: "Economic Capital: How it works, and what every manager needs to know”.
approach
Dr. Mario Onorato, Senior Director, Balance Sheet Risk Calibrating Counterparty Credit Exposure Models Through 11.35
Management Solutions, ALGORITHMICS UK Stressed Periods
Examining The Conceptual Foundation And Potential Impact On Stress Testing Credit Portfolios:
& Honorary Senior Lecturer, Faculty of Management The Role Of Sovereign Risk For Scenario Development
CASS BUSINESS SCHOOL, CITY UNIVERSITY, LONDON Minimum Capital Requirements
Mario Onorato is the Senior Director of Balance Sheet Risk Management Solutions at • Motivation for stressed calibration put forward by the Basel • How to translate some risk events into stressed scenarios
Algorithmics. He is charged with the development of ALM, Liquidity Risk, IAS, FTP, and Committee • From scenario development to credit and portfolio risk
shareholder value creation solutions for financial institutions and corporates. Prior to joining • Case Study: Implementing a macro scenario in line with a
Algorithmics, Mario was Head of Strategic Consulting at Misys Banking Systems, Scientific • Asymptotic single risk factor framework and general wrong-
Consultant at KPMG, and Corporate Finance Senior Consultant at Sanwa Bank. Mario has way risk sovereign event
held a number of academic positions in The Netherlands and UK, is author of several books • Does stressed calibration capture general wrong-way risk? Juan Licari
and research papers, and is Honorary Senior Lecturer, Faculty of Management, Cass Director
Business School, City University, London. He holds a PhD in Finance. • Is stressed calibration an adequate tool to reduce
procyclicality? MOODY’S ANALYTICS
Juan M. Licari is a Director at Moody’s Analytics Head of the Credit Analytics team for
12.45 Lunch • Does exposure with stressed parameters reflect exposure Europe, the Middle East, and Africa. Dr. Licari’s team provides consulting support to major
during a crisis? industry players, builds econometric tools to model credit phenomena, and implements
14.00 • Potential impact of stressed calibration on minimum capital several stress-testing platforms to quantify portfolio risk exposure. His team is an industry
leader in developing and implementing credit solutions that explicitly connect credit data to
Balance Sheet Structuring: requirements the underlying economic cycle, allowing portfolio managers to plan for alternative
Balance Sheet Structuring In A Funding Constrained World Michael Pykhtin, Senior Economist macroeconomic scenarios. Juan is actively involved in communicating the team’s research
THE FEDERAL RESERVE BOARD and methodologies to the market. He often speaks at credit events and economic
• The funding crunch-where is the market now? Michael Pykhtin is a Senior Economist in the Quantitative Risk Management Section at conferences worldwide. Dr. Licari holds a PhD and an MA in economics from the University
• Balance sheet structure - the last two years the Federal Reserve Board. He is responsible for carrying out policy analysis and of Pennsylvania and graduated summa cum laude from the National University of Cordoba
in Argentina.
• Regulatory reform and impact on industry and economy independent research related to financial markets, risk management and regulation of
financial institutions. Prior to joining the FRB in 2009, Michael had had a successful nine-
• Prospects and outlook year career as a quantitative researcher at Bank of America and KeyCorp. Michael has 12.10
Martyn Hoccom, Head of Strategy, Group Treasury edited “Counterparty Credit Risk Modelling”, published by Risk Books in 2005. He is also
RBS a contributing author to several recent edited collections. Michael has extensively Tell Me What You Know That You Don't Know:
Martyn Hoccom has held his current position since September 2008. He was previously published in the leading industry journals. He is an Associate Editor of the Journal of
at Lloyds TSB working in the wholesale division with a focus on funding, liquidity and Credit Risk. Michael holds a Ph.D. degree in Physics from the University of Pennsylvania. Maximum Entropy & Information For Stress Testing Purposes
product pricing. Martyn has worked in a number of Asset Liability Management roles in • The need for approximate probabilistic statements in stress
major UK banks covering interest rate, liquidity and treasury management issues.
12.10 testing
• How to move from easy to difficult probabilities
CVA Risk Management & VaR • What cognitive psychology can teach us: elicitation of expert
Eduardo Canabarro, Managing Director, advice
"A Great Conference: Top Speakers, Head Of Credit & Market Quantitative Risk, MORGAN STANLEY • The most honest way to assign probabilities: maximum
Eduardo is responsible for the development of the methods and models used to measure
New Insights & A Full House - Even In market and credit risks as well as for the independent review and validation of pricing and entropy
• Self-correcting properties of maximum entropy
The Midst Of These Turbulent Times!"
risk models used by the bank. Prior to his current position, Eduardo was with Lehman
Brothers for three years as Managing Director and Global Head of Quantitative Risk Riccardo Rebonato
Management. He was responsible for all quantitative risk functions in the Risk Management
organization including market, credit and operational risk analytics, model validation, risk Global Head Of Corporate Markets,
Andreas Gottschling, Global Head Of Risk Analytics & Instruments technology and regulatory interface related to the implementation of the quantitative Head Of Quantitative Research, Global Banking
And Operational Risk Management, Deutsche Bank frameworks. Eduardo has also worked for Goldman Sachs and Salomon Brothers in RBS
Quantitative Research, Modelling and Risk Management.
(see biographical details previously)

Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
14 For latest programme or to register please visit: www.icbi-riskminds.com
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 14:56 Page 14

Day 3 Main Conference: Thursday 9 December 2010


DAY
RI$KMINDS
3 Risk Modelling, Measurement & Management In The New World Order
12.45 Lunch 12.10
STREAM E
14.00 Operational Risk Management: Is It Time To Build Out The Ri$kMinds 2010 Guest Lectures In Finance
The ‘M’ In ORM?
Model Risk & Model Control: • What can (must) ORM learn from other risk disciplines? 11.00
Incorporating Liquidity Fluctuations Into Model Risk Assessments • Is it measurement vs. management, or measurement for
Pierpaolo Montana management? Integration Of Risk Factors In A Liquidity-At-Risk Framework
Director, Head Of Model Validation • Who are the operational risk managers? The challenge faced by banks worldwide to meet the new proposed
WESTLB • What is the return on ORM? liquidity risk requirements under the forthcoming Basel III regime as
Pierpaolo has been in his current role since July 2008. He has a proven track record in well as evidence in the FSA requirements is significant. Whereas
change management and the introduction of new function within organisations with Jay Newberry, Managing Director, previously it was considered sufficiently robust for banks to determine
extensive experience in both the world of academia and banking. Previous positions held Operational Risk Management, CITI contractual and behavioural liquidity gap profiles at a product level, and
include those at Banca d’Italia and The University Of The Sorbonne. Jay Newberry is a Managing Director in Global Operational Risk Management with
responsibility across Citi for Operational Risk Policy, Framework, and Core Processes. The on a point estimate basis, that is no longer the case. Specifically
framework supports objectives to manage the operational risks and ongoing exposures banks needs to take into account the impact of potential credit
14.35 that arise from the development and delivery of products and services to clients. Jay’s downgrades on both collateral and on counterparties, as well as
prior experience at Citi includes leadership positions in developing and executing credit taking into account the impact on behavior of different customer
PD Ratings Framework risk analytics and loan portfolio management tools.
Implementing A Dual PD Ratings Framework Using segments. Furthermore, regulators and enhanced risk management
practice will demand the assessment by banks of the impact on their
Internal PD Models 14.00 liquidity gap profiles of a range of market stress scenarios. In this 25-
Scott Aguais minute talk David Buckham, CEO of Monocle Solutions, will outline a
Head Of Credit Portfolio Analytics Post-Crisis ERM Strategies: Repositioning ERM In The Post-Crisis liquidity risk measurement framework, based on the liquidity-at-risk
RBS Environment principle, that will allow banks to measure the impact of a set of
(see biographical details previously) Nancy Loucks, EVP, Enterprise Risk Management continuous integrated risk factor values, on their liquidity gap profiles.
STATE STREET Furthermore, this framework will produce, as a natural adjunct to its
State Street’s Enterprise Risk Management’s programs are designed to identify, assess,
15.10 measure, manage, control, and report on State Street’s risk exposures globally. Ms. Loucks’
results, the value responses required as part and parcel of the
recent activities have focused on risk management governance and program evolution in the recommended stress scenarios. Additionally, this framework will have
Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition wake of recent market events. Ms. Loucks serves on a number of corporate risk management the ability to delineate the contribution made to the liquidity gap
committees at State Street as well as a number of affiliate bank boards. profile of a variety of customer types or segments, as well as to
15.40 delineate the contribution made to the liquidity gap profile of a variety
14.35 of different underlying risk types, including for example prepayment
Future Of Securitisation Debate risk and credit risk. Finally, it is worth noting that each of the liquidity
Is This The Renaissance For Structured Credit & Securitisation? Domiciling Offshore: The Bermuda Case Study gap results, for each of the tenors, will produce a distribution of
What Is The Future For CLOs, CDOs & Mortgage Backed Fawaz Elmalki, Associate, CONYERS DILL & PEARMAN values rather than a single point estimate.
Fawaz Elmalki is an Associate in the Dubai office of Conyers Dill & Pearman who specialises
Securities? in investment funds, in particular private equity funds, real estate funds, infrastructure funds David Buckham, Founder and
Alexander Batchvarov and hedge funds including Shari’a compliant funds. Fawaz represents funds and their Chief Executive Officer, MONOCLE SOLUTIONS
sponsors in connection with their formation and also represents institutional investors in such David Buckham is the founder and President of Monocle Solutions, an
MD, International Structured Credit Research funds. He also has broad experience in corporate finance and corporate law matters including international risk assessment and optimisation company, which
MERRILL LYNCH offshore structuring of Islamic finance products such as sukuk. Fawaz previously worked as in- provides various products and consulting services by way of intellectual
Dr. Alexander Batchvarov is the Co-Head of Global Structured Finance Research at Merrill house counsel for a large Canadian pension fund manager and for Clifford Chance in London. property. Since the creation of Monocle Solutions, David has worked on
Lynch and also has served as Merrill Lynch’s Head of International Structured Finance He also spent four years in the Bermuda office of Conyers Dill & Pearman. numerous corporate and institutional risk management and
Research since 1998. Based in London, New York, Tokyo and Hong Kong, the research performance management projects, from both a strategic and
team provides research on residential and commercial mortgages and consumer credit, quantitative perspective. He has delivered lectures and seminars on credit and market risk
securitization and structured finance, portfolio credit derivatives, cash and synthetic 15.10 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition principles, and delivers training and consulting in areas ranging from credit scoring to structured
collateralized structures, Islamic Finance, property derivatives in both the developed and financial modelling.
emerging markets of Asia, Europe, North and South America, Middle East and Africa. Dr. 15.40
Batchvarov’s team has been consistently highly ranked in all major investor surveys in the
top three categories of investor surveys since 1998. PANEL SESSION GUEST LECTURE 5
11.35
Integration Of Operational Risk With Controls And Compliance
Allan Yarish Moderator: Dr. Hans-Peter Güllich, CEO Stress Testing And Reverse Stress Testing For Solvency
Partner AVANON Alexander McNeil, Maxwell Professor Of Mathematics,
CHANNEL CAPITAL ADVISORS Dr. Güllich holds a Masters Degree in Computer Science Management
from the European Business School, Östrich-Winkel, Germany. His
Department of Actuarial Mathematics & Statistics
Allan Yarish joined London-based Channel Capital Advisors or “Channel” as a partner in late
2008 to head up its fund management activities relating to investments in bank loan doctoral thesis assessed the use of fuzzy-logic decision systems to HERIOT-WATT UNIVERSITY
evaluate and manage credit risk. Dr. Güllich has 16+ years of experience Alexander McNeil is Maxwell Professor of Mathematics in the Department of Actuarial
regulatory capital transactions. Mr Yarish previously served as Managing Director and Head Mathematics and Statistics at Heriot-Watt University. He was formerly Assistant Professor in
of Credit Portfolio Management at Societe Generale in Paris and New York from 2002 to with consultancies and financial institutions, making significant
contributions to the development of multiple credit and operational risk the Department of Mathematics at ETH Zurich and has a BSc in mathematics from Imperial
2008. In this role, he contributed substantially to development of strategy and the College, London and a PhD in mathematical statistics from Cambridge University. His
management systems. He is closely involved with the acquisition of strategic projects and
execution of credit portfolio management solutions, managing over €50 billion in hedging management of partnerships. Project Experience includes building a commodity futures interests lie in the development of mathematical and statistical methodology for integrated
positions. Before SG, Mr Yarish worked at the Royal Bank of Canada “RBC” and RBC exchange for Swiss commodity trading firm; industry insurance risk assessment system for financial risk management and include extreme value theory (EVT), risk theory, financial time
Capital Markets from 1984 to 2002. Swiss insurance firm; integrated Credit Risk Management and Control System; an Early series analysis and the modelling of correlated risks. He has published papers in leading
Warning System; a behavioural scoring solution to reduce customer risk. statistics, econometrics, finance and insurance mathematics journals and is a regular speaker
at international risk management conferences. He is joint author, together with Rüdiger Frey
Claas Becker
Panellists: and Paul Embrechts, of the book "Quantitative Risk Management: Concepts, Techniques and
Director, Loan Exposure Management Group Tools", published by Princeton University Press in 2005.
Joachim Pfeifer, Divisional Head-Operational Risk
DEUTSCHE BANK 12.45 Lunch
Claas Becker works as a Director for the Loan Exposure Management Group of Deutsche COMMERZBANK
Bank AG in Frankfurt. The Loan Exposure Management Group actively manages the Joachim Pfeifer joined Commerzbank in 1989. Since 2002 he has been
bank’s credit risk. He started his professional career in the risk controlling department of named as Divisional Head - Operational Risk, a division of Group Risk 14.00
Controlling & Capital Management. Prior to that, he had various market-
Commerzbank. Since 1998, he has been working for Deutsche Bank AG in the areas of
credit risk modelling, loan pricing, and securitization.
and credit-risk-related functions in the financial industry. In his current Capital Management Post-Crisis
role he is responsible for the controlling of OpRisk on group-level and
embedding OpRisk in the ICAAP as well as maintaining the Group’s
Fernando De La Mora, Principal, PRICEWATERHOUSECOOPERS
Fernando is an advisory principal working in PricewaterhouseCoopers financial services practice
OpRisk framework. Joachim is member of the respective internal committees on group and
in New York. He has over 15 years of experience conducting enterprise risk management,
divisional level and represents the bank in national and international OpRisk working groups. He
STREAM D performance management, strategic planning & analysis, and capital management projects at
holds a diploma from the faculty of business administration at the University of Mannheim.
North American and European financial institutions. He leads services in the areas of enterprise
The Latest Developments In Operational Risk & ERM risk management, economic capital, and performance management. He is extremely well-
Wolfgang Huetter, Head of OpRisk Control versed in financial services sector trends and key performance and risk drivers underlying the
VOLKSBANK industry. Most recently, Fernando has served as an advisor to the Board of several major banks
11.00 Wolfgang Huetter started his career in the IT-Business in 1990 and insurance companies with respect to risk governance and capital management matters
where he worked several years as a System Operator as well as a related to the credit crisis. He has also helped numerous clients in the areas of stress testing,
Second Generation Operational Risk Modelling: Hard- and Software technician. He has a good experience in ICAAP and economic capital design, implementation, and validation.
Business Process Optimization and Quality Management and
Cutting Edge Operational Risk Management managed several International Projects and –programs in the 14.35
• Tackling LDA limitations Volksbank Group. He is holding an Executive MBA Degree in
• Improving risk capital estimation Information and Telecommunication Management from Alaska Pacific University as well Pro-Cyclicality:
as an MSc Degree in Information Security Management from Danube University Krems.
• Providing greater transparency of risk drivers He is the Head of Group OpRisk Control in Volksbank AG and is responsible for overall Modelling Credit Cycles, Crises And Market Uncertainty
Robin Philips coordination of Business Continuity and Crisis Management activities. • An alternative framework for modelling credit cycles, crises
Managing Director, Corporate Operational Risk and market dynamics
JP MORGAN Deon Tromp, Head of Global Risk Strategy • Analyzing the impact of market feedback, credit cycles,
Robin is responsible for the firm’s operational risk framework, including compliance with STANDARD BANK
Basel II regulation. Mr. Phillips is Vice-Chair of the ORX Association.
crises and uncertainty on asset values and portfolio losses
Deon Tromp is responsible for ensuring the integration of risk
management in Standard Bank’s strategic management process. His • Scenario selection for high confidence level losses, stress
11.35 role involves the integration of risk assessment into management testing and what-if analysis
decision-making through the development of risk management • Quantifying the risk of extreme events. From theory to
frameworks and the identification, analysis, prioritisation and reporting
Op Risk Under Basel III: of emerging risks. This supports the identification and analysis of practice
The Value Of Operational Risk Management In the New significant threats and opportunities which could impact the delivery of the Bank’s financial Jorge Sobehart, Managing Director,
Regulatory Environment and strategic objectives. He is also the lead in respect of capital model development in Credit & Operational Risk Analytics, CITI
Standard Bank’s AMA Operational Risk project with specific involvement in the development Jorge Sobehart leads the probabilistic assessment of credit risk capital for portfolio risk
• Summary recent regulatory changes in the US and Europe of capital modelling, capital allocation, scenario analysis, RCSA quantification and risk appetite management, and the development of advanced correlation default risk models. He also
• Basel III related to operational risk, methodologies. Deon joined Standard Bank two years ago as Head developed the analytical methodology for calculating the institution's loan loss reserves.
• The G20 agenda of Portfolio Risk Methods and Quantitative Analytics, focusing on risk management processes Previously, he was a member of Moody's Senior Standing Committee on Quantitative Tools
and quantification methodologies. He is a CFA Charterholder and a Certified Financial Risk and Vice President/Senior Analyst in Moody's Risk Management Services, where he developed
• The value of the operational risk framework in Manager (FRM), and holds degrees in commerce and law from the University of Pretoria. His and validated RiskCalc for public firms and Winfast-RiskScore.
- Managing regulatory risks: old, new and evolving most recent previous experience includes working for Nedbank Ltd as Chief Auditor of risk
- Managing legal risk management and capital markets.
15.10 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition
Philippa Girling
Chief Of Staff Of Operational Risk 16.15 15.40
MORGAN STANLEY ‘Expert Judgement’ & Risk Models:
Philippa has 15 years’ experience in the global securities industry, working in the fields of The Ri$kMinds Problem Solving Working Groups
operational risk, change management and project management. Ms. Girling has also A Bayesian Approach To Risk Models & Input Data Get Your Questions Answered By The Experts! Make The Most Of
designed and led many training programs, including an Operational Risk Executive Klaus Boecker, Senior Risk Controller Your Time At The conference & Post Your Related Questions To
Education program for Columbia University, NYC. She was selected as one of the top UNICREDIT GROUP
fifty faces of operational risk by Operational Risk and Compliance magazine. Previously, Klaus is Senior Risk Controller in UniCredit Group and team head of “Risk Analytics and
The Expert Practitioner Running Each Table:
she headed the Banking and Financial Services practice at the law firm Garrity, Graham, Methods”. In this capacity, one of his primary responsibilities is overseeing the • Credit risk modelling & management
Murphy, Garofalo and Flinn, P.C. Prior to that she was Global Co-Head of Operational Risk quantitative aspects of UniCredit Group’s economic capital model. He is doing research • Overcoming Market Risk Challenges
Management at Nomura. Before joining Nomura, Ms. Girling spent nearly 10 years at in various fields of finance and has authored and co-authored several articles that have
Morgan Stanley in several roles including program director of the Operational Risk been published in recognized finance and mathematical journals. In 2007 and 2008 he
• Stress testing under basel III
function and COO of the Global Financial Control Group. won the PRMIA Institute’s Award for New Frontiers in Risk Management related to his • Capital management
research in multivariate operational risk and the interaction of market and credit risk.
Klaus holds a degree in Theoretical Physics and a PhD in Mathematics from the Munich 16.50 End Of Ri$kMinds 2010
University of Technology. In August 2007, Mr. Böcker was inducted as a charter member
of the Risk Who’s Who.

To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225 15
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 15

ABOUT YOUR SPONSORS & EXHIBITORS


Lead Sponsor
With our global network of risk management specialists we work
with our clients to provide innovative solutions aimed at helping to
embed risk management disciplines into their organisations. Our
business oriented risk advisory approach ensures that we deliver
sustainable solutions that balance industry best practices with the
individual requirements of our clients. Our focus encompasses the strategic to operational continuum of risk management including business
risk solutions, risk and finance integration, risk function effectiveness, technical risk solutions and regulation, and assurance.

PricewaterhouseCoopers provides industry-focused assurance, tax, and advisory services to build public trust and enhance value for our
clients and their stakeholders. More than 163,000 people in 151 countries across our network share their thinking, experience, and solutions
to develop fresh perspectives and practical advice.

“PricewaterhouseCoopers” refers to the network of member firms of PricewaterhouseCoopers International Limited, each of which is a
separate and independent legal entity.

Co-Sponsors
Kinsey Allen subsidiary of Moody's Corporation (NYSE: MCO), which
International is a reported revenue of $1.8 billion in 2009, employs
global executive approximately 4,000 people worldwide and maintains a
search firm presence in 26 countries.
Algorithmics is the world's leading provider of enterprise risk specialising in the
management solutions. Algorithmics’ software, analytics, and financial and professional services markets. We provide a Additional information about the company is available at
advisory services enable financial institutions to make risk- full range of executive search and interim solutions from www.moodys.com.
aware business decisions, maximize shareholder value, and our offices in the UK, continental Europe, the US, Middle
meet regulatory requirements. Supported by a global team of East and Asia.
risk experts based in all major financial centers, Algorithmics
offers proven, award-winning solutions for market, credit, The Risk team focus on senior global mandates from Chief
Risk Officer to Vice President across banking, asset MORS Software LLC offers Uniquely Easy, Cost Reducing
liquidity, and operational risk, as well as collateral and capital
management, insurance, alternative investments and Risk Management Solutions
management. Algorithmics is a member of the Fitch Group.
professional services. Recent assignments include the
Head of Risk for a boutique asset manager and Head of MORS provides
Over the past 10 years • Separately available modules for market, credit and
Avanon AG (Switzerland) Stress Testing for a major investment bank.
Each Consultant covers a specific silo of the Risk market operational risk
built an excellent • Dynamic reporting (“live” figures, full drill down)
reputation for its leading to a deeper level of market knowledge than our
competitors. • Consolidated reporting for the whole bank (both trading
functionally and and banking book)
technically complete, standard product for extended
Operational Risk Management and Measurement. This is Kinsey Allen International is currently ranked 8th in
MORS solves regulatory and management requirements
evidenced by long-standing banking and insurance Executive Grapevine’s ‘UK Retained Executive Search Firms
(CEBS, Basel, FSA)
customers such as Commerzbank Group, AXA worldwide Top 40’.
• Capital Coverage, Stress testing
and many private and retail institutions. The same platform • Risk measurement, monitoring and mitigation
has also won rapid acceptance in the energy and industry • Control and Governance procedures
sectors for governance, compliance and ERM tasks. The MEGA is a worldwide leader in
versatile, non-prescriptive, multi-lingual, open J2EE solution comprehensive governance, risk, MORS reduces costs (minimising TCO of risk management
and delivery framework enables customers to rapidly and compliance solutions, and solutions)
implement their solutions and see tangible benefit. Our dedicated to helping companies • IT costs (easy implementation, usage and maintenance)
regional partners deliver specific and pragmatic capability to understand and reduce business • Processing costs (releasing user intelligence from data
accelerate the roll-out of global implementations complexity, establish successful governance, and effectively gathering)
manage global risks. • Capital cost (optimised usage and allocation)

The Bermuda MEGA’s software solutions, complemented by expert The latest reasons why banks have chosen MORS
International Business consultants, provide firms with the most important • “MORS offered the most cost efficient tool for the Basel
Association is a competitive advantages … cost reduction, increased capital Liquidity rules (LCR, NSFR)”
membership organization savings, improved performance, and brand reputation. In • “MORS risk and treasury solution offered immediate and
the GRC industry, only MEGA has nearly 20 years of continuous payback”
of leading firms serving
expertise in business process improvement. This provides • “MORS dynamic functionality for group level risk
and working in the
the soundest foundation for highly efficient and effective monitoring was offered at incomparable cost”
international business
community, in one of the world’s preeminent financial GRC solutions for operational and enterprise risk
management, internal audit, and compliance management. www.morssoftware.com
centers. It provides access to world leading fund
administrators, legal and accounting firms, and investment Rich of its 24-year experience in
banking, insurance and trust service providers. Used by more than 75,000 people worldwide, the MEGA
Suite is modular, providing dedicated tools to help capital markets, Murex has
coordinate risk, control, compliance, and audit activities and developed an unmatched
meet all stakeholders’ needs. The MEGA Suite provides competence in the design and
Harland Financial implementation of integrated
Solutions essential insight into a company’s risk profile, and
and cost effective solutions
generates valuable reports to aid executives in making well-
offering best-in-class features
(www.hfsworldwide.com), supplies software and services to informed and strategic business decisions.
horizontally – across asset
thousands of financial institutions of all sizes, providing classes - and vertically, from the front office to the back
credit risk management solutions and related services to office. Murex offers a suite of risk management solutions
banks and financial services providers around the world. for banks, hedge funds, asset managers, prime brokers,
Thousands of financial institutions trust Harland Financial Moody’s Analytics helps exchanges, corporate treasuries, utilities, oil groups, trading
Solutions for quality solutions and customer-focused service capital markets and credit organisations and other institutions.
that is dedicated to their needs. risk management The MX.3 platform features:
professionals worldwide ● An enterprise-wide risk management solution, called MX
Our flagship solution, CreditQuest®, is an end-to-end credit respond to an evolving marketplace with confidence. The Risk Manager, providing cutting edge risk management
management system that brings origination, analysis, company offers unique tools and best practices for tools for the management and control of Credit Risk,
underwriting, portfolio management and executive reporting measuring and managing risk through expertise and Market Risk and Liquidity Risk. MX Risk Manager can be
together in a collaborative, streamlined solution. The system experience in credit analysis, economic research and deployed as a standalone risk platform.
addresses workflow management needs for all lines of financial risk management. By providing leading-edge ● A Compliance & Constraints Server for pre-trade and
business, from high-end corporate borrowers to small software, advisory services, and research, including the post-trade compliance on a wide variety of rule types.
businesses to retail. It combines a unified, relationship- proprietary analysis of Moody’s Investors Service, Moody’s ● A Margining & Collateral Management solution, called
Analytics integrates and customizes its offerings to address MX Collateral Manager providing an enterprise-grade
centric view of customers’ financial data and supporting
specific business challenges. Moody's Analytics is a cross-product collateral management and margin trading
documents with portfolio management capability.
system.

Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
16 For latest programme or to register please visit: www.icbi-riskminds.com
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 16

Co-Sponsors
Quantitative Risk the market. We offer a broad range of solutions including SAS is the leader in business
Management, with offices Market Risk, Counterparty Credit Risk, CVA, IRC and analytics software and services,
in Chicago, London, and Stress Testing. and the largest independent
Singapore, is the world's vendor in the business

ABOUT YOUR SPONSORS & EXHIBITORS


leading enterprise risk intelligence market. Through
management consulting firm. Since our founding in 1987, Risk Dynamics’ innovative solutions delivered within an integrated
QRM's vision has been to consistently provide expert mission is to deliver framework, SAS helps customers at more than 45,000
analytics and risk management advice to financial risk management sites improve performance and deliver value by making
institutions across the globe. Today, we are the trusted consulting to the better decisions faster.
financial risk consultancy of industry-leading organizations, global financial
with a track record of success under any economic services industry through expertise, excellence and SAS approaches governance, risk, compliance and
circumstance or event. We have extended our proven innovation. performance management by providing a powerful
methods to an international base, including clients on 6 blend of data integration, analytics and reporting
continents and in over 30 countries. QRM's client list Our market leadership lies in assessing the adequacy, capabilities (Business Analytics Framework) for
numbers over 150 financial institutions worldwide, reliability, consistency and transparency of risk analyzing and managing risks in the context of
including 9 of the top 10 US banking companies. management practices. corporate strategy and performance. Since 1976 SAS
has been giving customers around the world THE
QRM’s Risk Framework™ combines the advice of a Specifically, we perform audits of risk management POWER TO KNOW®.
consulting firm, knowledge of a financial research firm, frameworks, ICAAP and ORSA as to ensure
and models developed with the expertise of an consistency around key domains such as risk appetite, 2009 SAS Institute Inc. All rights reserved.
information technology company, to create a risk profile, risk control & environment and stress
comprehensive foundation upon which a financial testing. We validate models in banking, insurance and
institution can build an enterprise risk management asset management industries. We also offer bespoke
practice that includes market and credit risk as well as training and coaching to regulators, senior
economic and regulatory capital. management and firms requiring global deployment of Refreshment Sponsor
risk policies and strategies.
QuIC provides the Our engagements cover the whole spectrum of risks
world’s leading (credit, market, underwriting, operational, ALM but also
financial strategic, reputational and liquidity risks).
organisations with
enterprise risk • We work in small teams of highly skilled experts
Monocle Solutions is a risk assessment and
management solutions that are fast, flexible and more operating with a time-boxing and value-add approach. optimisation company that assists financial institutions
easily implemented. QuIC operates at the highest • Our methodologies are continuously updated through in strategically transforming their organisations towards
standards of the most challenging financial markets in sustained dialogue with regulators, permanent a risk sensitive culture, and provides consulting
the world and designs solutions for calculating, examination of market best practices, and dedicated services internationally by way of intellectual property.
analysing and minimising risk. We understand that risk research. Monocle Solutions provides unique services by
management teams and processes are being pushed • Our practices and services are customized according combining its quantitative expertise with strategic
to their limits. Our clients are demanding more of our to the uniqueness of each client's environment and insight, and detailed knowledge of data systems.
solutions, and in return we demand more of our teams, strategy.
ourselves and our performance – this is the essence of Monocle is an established provider of services related
to the risk management process as it pertains to
DEMAND MORE. Risk Dynamics caters to its customers whatever the
capital measurement and management, encompassing
size, geographical location or regulatory environment. broader strategic processes such as data governance
With the advanced vectorised technology of the QuIC and data management, as well the development of
Engine™, our solutions perform highly complex, large- www.riskdynamicsglobal.com underlying risk module models. Monocle assists
scale calculations at unparalleled speed with unmatched financial institutions with capital adequacy, regulatory
accuracy. From intraday portfolio analysis to rapid reporting, and compliance.
implementation of new models and financial
instruments, our technology allows you to stay ahead of

Exhibitors & Other Supporting Companies


Ri$kMinds
2010
Exchange
The Essential
Marketplace for
Products and Services
within the Risk
Management Sector.

www.d-fine.co.uk
AN ABSOLUTE
SELL OUT
ONCE AGAIN
IN 2009

70% ALREADY
SOLD FOR 2010!
The Ri$kMinds Exchange
is an unrivalled opportunity
to access our large and
senior audience in a
practical and productive
www.openpages.com www.rsu-rating.com way over the course of the
three days of main
conference. By booking a
booth you will have the
opportunity to access a
highly targeted
Contact Rustum Bharucha international audience full
of key decision makers
on +44-20-7017-7225 or who will use the
conference to source new
rbharucha@icbi.co.uk service providers.

We have a strictly limited


for more details of the number of stand spaces
and this number is
opportunities available or to decreasing daily. You have
reserve your space now! no time to lose if you wish
to profit from this fantastic
audience.
17
16
RiskMINDS REG 2010:Risk Minds 07 24/11/10 11:38 Page 1

Register Now – Five Easy Ways! “The Risk Minds Conference


1. Fax this form on +44 (0) 20 7017 7807 2. Post this form to: RiskMinds 2010 Conference Administrator,
ICBI, 8th Floor, 29 Bressenden Place London SW1E 5DR, UK Is Far & Away The Best
3. Telephone us on +44 (0) 20 7017 7200 4. Email: info@icbi.co.uk Risk Conference Around”
5. Via the website: www.icbi-riskminds.com Always quote your VIP CODE when registering. Scott Aguais, RBS

Please do not cover VIP code DATES VENUE DETAILS


Conference Code: KN2255
• Main Conference Hotel President Wilson
7-9 December 2010 47 Quai Wilson
• Global Risk Regulation Summit
6 December 2010 CH-1211 Geneva 21
• John Hull Risk Workshop Switzerland
6 December 2010 Tel: +41 22 906 66 66
• Credit Risk & Counterparty Risk Fax: +41 22 906 66 67
Management Workshop
10 December 2010 resa@hotelpwilson.com
• Riccardo Rebonato Coherent Stress
Testing Workshop Download hotel booking form at
10 December 2010 www.icbi-riskminds.com
• Liquidity Risk Management Workshop
10 December 2010

YOUR COMPANY DETAILS


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Address:
Postcode:

1st Delegate: 2nd Delegate:


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Multi-booking Discount: If you register more than 2 delegates, the 3rd and each subsequently registered delegate will receive £200 the fee for any packages that include the main conference.*
Register By Register By Register By Register After
Please Select Your Early Bird Package DATES
10 Sept 2010 SAVE 1 October 2010 SAVE 5 Nov 2010 SAVE 5 Nov 2010 SAVE
5-DAY PACKAGE Main Conference + Global Risk
Regulation Summit + Post-Conference Workshop*
6-10 Dec 2010 £4,097 £1,500 £4,597 £1,000 £4,797 £800 £4,897 £700
5-DAY PACKAGE Main Conference + John Hull Risk
Workshop + Post-Conference Workshop*
6-10 Dec 2010 £3,897 £1,100 £4,397 £600 £4,597 £400 £4,697 £300
4-DAY PACKAGE Main Conference + Global Risk
Regulation Summit
6-9 Dec 2010 £3,398 £1,200 £3,798 £800 £3,998 £600 £4,098 £500
4-DAY PACKAGE Main Conference +
John Hull Risk Workshop
6-9 Dec 2010 £3,198 £800 £3,598 £400 £3,798 £200 £3,898 £100
4-DAY PACKAGE: Main Conference
+ Post-Conference Workshop*
7-10 Dec 2010 £3,198 £800 £3,598 £400 £3,798 £200 £3,898 £100
3-DAY PACKAGE Main Conference Only 7-9 Dec 2010 £2,399 £600 £2,699 £300 £2,899 £100 £2,999 -
1-DAY PACKAGE Global Risk Regulation Summit Only 6 Dec 2010 £1,499 £100 £1,599 - £1,599 - £1,599 -
1-DAY PACKAGE John Hull Risk Workshop 6 Dec 2010 £899 £100 £999 - £999 - £999 -
1-DAY PACKAGE Post-Conference Workshop Only* 10 Dec 2010 £899 £100 £999 - £999 - £999 -
* Please select one of the following post-conference workshops: 10 Dec 2010  Credit Risk & Counterparty Risk Management  Riccardo Rebonato Coherent Stress Testing Workshop  Liquidity Risk Management Workshop
All discounts are subject to approval. Discounts cannot be combined. The discounts apply to the price at the date of registration. Discounts can only be claimed at the time of registration.
* Savings include Multiple Booking and Early Booking discounts * Please note the conference fee does not include travel or hotel accommodation costs
Please use this form as our request for payment. Fax and phone bookings should be made with a credit card number, or Please debit my Mastercard Visa Eurocard American Express
followed up by a posted registration form. Places are only guaranteed by full payment, which must be received before the conference. CVV Number
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I will pay by:
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CANCELLATION POLICY PERSONAL DATA


CANCELLATION POLICY: Should you be unable to attend, a substitute delegate is always welcome at no extra charge. The personal information shown on this form, and/or provided by you, will be held on a database and may be shared with other companies in the Informa
Alternatively, we will make a prompt refund less a service charge of 10% of the fee for cancellations received in writing Group in the UK and internationally. If you do not wish your details to be available to other companies in the Informa Group please contact the Database
Manager at the above address, Tel +44 (0)20 7017 7077, Fax +44 (0)20 7017 7828 or email: integrity@iirltd.co.uk. Occasionally your details may be
(letter or facsimile) no later than 5 November 2010. Where notice is given between this date and 19 November 2010, obtained from, or made available to, external companies who wish to communicate with you offers related to your business activities.
refunds will be 50% of the fee, thereafter we regret that no refunds can be made. If you do not wish to receive these offers, please tick the box
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