Академический Документы
Профессиональный Документы
Культура Документы
1 r 60 0! NOBEL LAUREATE
ADDRESS!
Robert Engle Michael Armellino Professor In The Management Of Financial Services STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY
Main Conference 6-8 December 2011 Hotel President Wilson, Geneva, Switzerland Tel: +44 (0) 20 7017 7200 Fax: +44 (0) 20 7017 7807 Email: Info@icbi.co.uk www.icbi-riskminds.com
Setting The Agenda For Risk Management In An Era Of Economic & Regulatory Change
Over 20 CROs & CFOs Determine A Strategy To Locate Risk Management At The Centre Of The Business
Hugo Banziger CRO & Member Of The Management Board DEUTSCHE BANK
150+ Expert Risk Practitioners & Global Supervisors Offer Practical Advice For Risk Managers In A Basel III Era
Eduardo Canabarro Managing Director, Head Of Credit & Market Quantitative Risk MORGAN STANLEY
Riccardo Rebonato Head of Front Office Risk Management and Quantitative Analytics RBS
Evan Picoult Managing Director, Risk Architecture, CITI & Adjunct Professor COLUMBIA BUSINESS SCHOOL
Why Is RiskMinds 2011 The Must Attend Event For All Risk Management Professionals?
A Proven Track Record As The Worlds Largest & Longest Running Risk Management Conference Now in its 18th year, RiskMinds brings together leading industry CROs, renowned academics, influential regulators and expert risk practitioners & regularly attracts over 600 industry professionals. The Most Comprehensive & Practical Programme Ever RiskMinds offers an unrivalled number of practitioner presentations on all the big topics impacting the industry today including entire streams dedicated to Capital Management & Modelling, Stress Testing, ERM, Business Risk, Counterparty Credit Risk, CVA & Liquidity Risk The RiskMinds Fresh Perspective CRO Summit For 2011, our global faculty of over 20 leading CROs will be joined by experts in behavioural finance, leadership and the Economy. Together they will discuss how to innovate and take risk management to the next level within the bank. Be the first to hear CROs Determine the future for risk management (Page 3) More Interaction Between Global Supervisors And The Risk Practitioners Hear where risk regulation is headed & what your peers think about it at the global risk regulation summit. There will be more discussion and experience-sharing than ever before! (Page 3) NEW The CFOs Perspective On Risk Management Regulation and risk management are changing the heart of the financial services and the traditional banking models. What does the CFO think about this and how does the business really view risk management? (Page 3)
Inspire & Inform Your Risk Management Strategy With The Eye-Opening RiskMinds 2011 Guest Lectures
POLITICS AND ECONOMY SOVEREIGN DEBT
Understand The Impact Of New Risk Regulation At The 7th Annual Global Risk Regulation Summit
Hear The Latest Regulatory Agenda From The Basel Committee Gain practical implementation insight from expert regulatory practitioners Share experiences with over 200 practitioners and regulators from The European Commission, Banco De Espana, UBS, BNP Paribas, JP Morgan Chase, HSBC, Credit Suisse, Citi & Grupo Santander
5th December See page 3
NEUROSCIENCE
Principal Sponsor
Co-Sponsors
Endorsed By
Follow us on
Associate Sponsors
For the latest programme, or to register, please visit www.icbi-riskminds.com. Call +44 (0) 20 7017 7200. Fax: +44 (0) 20 7017 7807. Email: info@icbi.co.uk.
As well as hearing essential insight from over 120 of the top CROs, Supervisors and expert practitioners, this year benefit from the following inspirational views & explore how you can apply their skills into your day job
The Nobel Laureates Insight On Volatility, Correlation And Tails For Systemic Risk Measurement Robert Engle Michael Armellino Professor In The Management Of Financial Services STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY The Behavioural Finance Professors Views On Building Effective Risk Management Culture Hersh Shefrin, Mario L. Belotti Professor of Finance SANTA CLARA UNIVERSITY The Economists Predictions On The Future Stability Of The Global Economy John Micklethwait, Editor In-Chief THE ECONOMIST The Cambridge University Neuroscientists Advice On The Neuroscience Of Risk Taking & How To Manage A Traders Biology John Coates, Research Fellow In Neuroscience & Finance JUDGE BUSINESS SCHOOL, UNIVERSITY OF CAMBRIDGE The Sovereign Debt Specialists New Research on The Outlook For The Sovereign & Corporate Debt Market Edward I. Altman Max L. Heine Professor of Finance STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY The British Army Generals Experience Of How To Inspire, Motivate & Demonstrate Leadership Colonel Tim Collins OBE Former Officer THE BRITISH ARMY
Were on Twitter: Follow us @riskminds for up to the minute details on the industry and our event.
I look forward to seeing you in Geneva for what promises to be both an inspirational and practical RiskMinds 2011!
Join Us On LinkedIn: www.linkedin.com search Ri$kMinds in the groups section and join the online debate!
Gain Expert Insight On The Most Pressing Issues In Risk Management Today
Macro-Prudential Risk Regulation Basel III Sovereign Debt Systemic Risk Management The Trading Book Review The Business Impact Of Regulation Risk Management Culture Risk Appetite Economic Vs Regulatory Capital The UK Independent Commission On Banking Model Risk Risk Weights IRC Model Validation Countercyclical Buffers Risk Capital Stress Testing Banking Book Risk Management Credit Cycles PIT vs TTC Volatility & Correlation Liquidity & Transfer Pricing Reverse Stress Testing CVA & Wrong Way Risk Leverage Ratios S Var & IRC Sifis CoCos Macro Economic Stress Testing Liquidity & Systemic Risk Capital Buffers Economic Capital & Business Risk Moving From BAU To Crisis Mode Uncollateralised Funding Risk Capital & Compensation CVA Pricing Recovery & Resolution Planning Liquidity Buffers Core Capital Hedging CVA Risk/Return Profiles Modelling Collateralized Exposure
2 3
THE NEW SHAPE OF THE FINANCIAL SERVICES INDUSTRY Attaining Global Financial Stability
09.00
Examining The Roadmap For Better Banking Regulation & Supervision: How Far Do We Still Have To Go? Jose Maria Roldan, Director General, Banking Regulation, BANCO DE ESPANA
Chairmans Opening Address Miles Everson, Global Head - Governance, Risk and Compliance Services, PwC
RESPONDING TO THE EVOLVING ECONOMIC & BUSINESS ENVIRONMENT THE POLITICAL & ECONOMIC BRIEFING
08.30
How Is Regulation Responding To A New Era Of Global Economic Change? Mario Nava, Head Of Financial Market Infrastructure Unit, EUROPEAN COMMISSION *under invitation
Assessing The Future Impact Of Geo-Political & Economic Power Shifts Currently Playing Out John Micklethwait, Editor In-Chief, THE ECONOMIST
Basel III
10.00 10.30
Creating The Roadmap To Better Banking Regulation And Supervision Bill Coen, Deputy Secretary General, BASEL COMMITTEE ON BANKING SUPERVISION
Morning Coffee
Understanding Risk In Finance: Developing A Coherent Framework To Address Different Views Of The Balance Sheet, Different Views On Capital & Different Roles In Managing The Firm Chng Sok Hui, Chief Financial Officer, DBS GROUP
Current Perspectives On Navigating Through Regulatory Reform Douglas W. Roeder, Managing Director, Banking & Capital Markets Regulatory Team, PwC
09.40
THE BUSINESS BRIEFING The Board Is From Mars, Risk Is From Venus
What Does The Rest Of The Institution Really Think Of Risk Management? Maureen Miskovic, Group CRO, UBS
How Is Basel III Addressing The Systemic Risks Of The Banking Sector & The Procyclicality Of Past Regulation Maarten Gelderman, Head of Macroprudential Analysis Department, DE NEDERLANDSCHE BANK
10.10 10.20
RISK MANAGEMENT IN AN ERA OF FINANCIAL STABILITY & POLITICAL PRESSURE THE MODERN CRO ADDRESS
10.50
THE PRACTITIONER RESPONSE Initial Reactions & Responses To The Proposed Regulatory Changes
Top Practitioners Offer Their Reactions To The Regulatory Challenges & Ask Regulators Questions From The Floor Moderator: Dominique Bourrat, Managing Director, RISK DYNAMICS Panellists: Mattia Rattaggi, Managing Director, Head of Group Regulatory Relations, UBS Adam M. Gilbert, MD, Head of Regulatory Policy, Corporate Risk Management Group JPMORGAN CHASE & CO. Christian Lajoie, Head Of Group Prudential Affairs, BNP PARIBAS Valerie Maysey, Senior Specialist Regulatory Affairs, Group Risk Management, HSH NORDBANK
Lunch & Meet The Regulator Roundtables
Keeping Risk Appetite Dynamic Alden Toevs, CRO, THE COMMONWEALTH BANK OF AUSTRALIA
12.00
Beyond Capital, Liquidity And Compliance Robert Sullivan, Global Banking, Capital Markets Leader, Global Regulatory Leader & Lead Engagement Partner, PwC George Stylianides, Partner, PwC
12.35
How Will Financial Business Models Change As A Result Of Regulation, How Can We Manage Shareholder Expectations In Light Of These Changes And How Can We Achieve Growth In A Low Growth/ High Regulation Environment? Panellists: Mike Alix, Senior Vice President, FEDERAL RESERVE BANK OF NEW YORK Kenji Fujii, Executive Officer, Head of Global Risk Management Group, MIZUHO SECURITIES CO Tham Ming Soong, CRO, UOB BANK, Thomas Gross, CRO, COMMERZBANK Roger Dix, Chief Risk Officer UK Life, AVIVA PLC
14.15
Exploring The Impacts On The Banks' Business Model, Globalization & Regulatory Interaction Harry Stordel, Head Regulatory Co-ordination, Policies & Controls, CREDIT SUISSE Creating, Assessing & Managing Transitional Plans For Basel III Senior Representative, QUANTITATIVE RISK MANAGEMENT
13.10
15.15
THE RISKMINDS RISK CULTURE WORKING GROUP CHALLENGE THE RISKMINDS 2011 BEHAVIOURAL FINANCE MASTERCLASS
14.20
PRACTITIONER INSIGHT How Should We Change Our Business Model Under Basel III?
15.45
Predicting Which Business Models Will Thrive & Fail Under Basel III Moderator: Andrew Jennings, Managing Director, Risk, CITI Barbara Frohn, Managing Director, Advisor to the CEO & advisor to the Eur. Parliament GRUPO SANTANDER Steve Culp, Managing Director, ACCENTURE RISK MANAGEMENT Alan Smith, Global Head Of Risk Strategy, HSBC
Afternoon Tea
Building Effective Risk Management Culture: Learning Behavioural Lessons About Process, Pitfalls, And Psychology From The Experiences Of Companies Such As BP And Ford Hersh Shefrin, Mario L. Belotti Professor of Finance, SANTA CLARA UNIVERSITY
16.15
RISK REGULATION: WHERE NEXT? Exploring The Changing Responsibilities Of Control Functions In The Wake Of The Regulatory Response To The Financial Crisis
16.45
Incorporating Behavioural Factors Into The Response & Determining The Impact On Risk Management Stephen Anderson, Global Head Of Risk Audit, HSBC Exploring The Implications Of The Changing Regulatory Landscape Hamid Samandari, Director, MCKINSEY & COMPANY Kevin Buehler, Director, MCKINSEY & COMPANY
15.30
17.15
16.00 16.10
LOCATING RISK MANAGEMENT AT THE CENTRE OF BUSINESS & CRISIS PLANNING GUEST LEADERSHIP ADDRESS
16.40
17.45
How To Inspire, Motivate & Demonstrate Leadership: Applying Lessons Learned From The Battlefield In The Boardroom Colonel Tim Collins OBE, Former Officer, THE BRITISH ARMY
Colonel Collins is best known for his inspirational eve-of-battle speech during the Iraq War in 2003, a copy of which apparently hung in the White House's Oval Office.
17.20
18.45
17.50
19.00 20.00
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
Ri$kMinds 2011
7th December 2011, Day 2 Main Conference
08.00 08.45 08.30 09.00
THE RISKMINDS INTERNATIONAL BREAKFAST BRIEFING - (pre-registration required) The NASA Experience
A Look Back At The Risk Management Of The Space Shuttle Programme & A Look Forward To NASAs Risk Management Strategy For The Future Jeevan Perera, Risk Manager, NASA SPACE CENTRE
Morning Coffee
Chairmans Opening Address Tom Kimner, Director, Head of Risk and Chief Risk Architect, SAS
GUEST RISKMINDS CRO ADDRESS Risk Appetite & Betting The Right Size
09.15
How to translate strategic parameters set at the top into actionable risk directions for line risk-takers How to aggregate risk decisions made by line risk-takers into meaningful reports for the executive committee How to immunize the process against agency problems, wishful thinking, office politics, political politics, greed, fear, sloppiness and garbage data Aaron Brown, CRO, AQR
09.45
10.30
11.00
STREAM D The Latest Developments In Credit Risk & Counterparty Credit Chaired by IACPM CVA: Modelling Perspectives From Banks And Regulators Eduardo Canabarro MORGAN STANLEY Credit Risk Model Performance Vivek Wadhwa MCKINSEY & COMPANY Structured Audience Q&A & Industry Round Up
STREAM E GUEST LECTURES IN RISK & FINANCE Chaired by SEBA INTERNATIONAL After The Crisis What Is Required Now For Risk Disclosures Rami Feghali, PwC The UK Independent Commission On Banking Implications And Consequences Martyn Hoccum, RBS Structured Audience Q&A & Industry Round Up The CROs Perspective
11.40
12.20
13.00 13.10
14.30
Economic Capital & Regulatory Capital Exploring The Divergence Between Economic & Regulatory Capital & Should We Still Use Both For Capital Calculations? Sebastian Fritz, HSH NORDBANK
Wholesale Credit Risk Modelling & Validation The Next Steps Stuart Burns, BARCLAYS CAPITAL Risk Weights Workshop
Enhancing Decisions For The Business Through Disciplined Risk Management Henry Norwood & David Buck QUANTITATIVE RISK MANAGEMENT
Carrot Vs. Stick - How To Drive Credit Risk Aware Behaviour Mat Newman, SUNGARD
15.10
15.50
Session 1: 40mins The US & Europe: A Level Playing Field? How Can We Compare US Banks With European Banks When The US Banks Are Idzard van Eeegen, RBS Still On Basel I & Can A Level Playing Field Between Banks Be Ever Achieved? Ahmet Yetis, BARCLAYS CAPITAL Session 2: 40mins Basel 2 Risk Weights Panel Discussion How Can We Avoid Holding Too How Do We Assure That Risk Weight Are Much Capital? Well Calculated, Can We Make The An Exploration & Critique Of The Capital Calculations Comparable Across Banks? Efficient Structures Currently Available Richard Crecel SOCIET GENERALE Speaker tbc Simon Samuels, BARCLAYS CAPITAL How To Leverage Your EC Framework For Stress Testing Structured Audience Q&A & Industry Round Up How Much Capital Is Enough? Effectively Factoring Regulatory Constraints And Strategic Objectives Into Your Capital Targets Didier Blanchard SOCIETE GENERALE Creating A Scenario Framework For Risk Capital Stress Testing And Risk Appetite: Black Swans Or Ugly Ducklings? Jorge Sobehart CITI Structured Audience Q&A & Industry Round Up Structured Audience Q&A & Industry Round Up IRC Workshop Session 1: 40mins IRC Calculation The Incremental Risk Charge One Year After Going Live A Practitioners View Wolfgang Bauer, CREDIT SUISSE Session 2: 40mins IRC Model Validation How To Validate And Review Your Model In Light Of Regulatory Feedback Colin Burke, LLOYDS TSB Structured Audience Q&A & Industry Round Up
Banking Book Risk Management In A Current Low Interest Rate Environment: How Does Margin & Profitability Preservation Impact Risk Measurement And Capital, Regulatory Reporting? Gaspare La Sala, UBS
Session 1: 35mins Risk Culture How Can You Retain The Risk Culture In A Benign Environment & Should This Be At The Expense Of Losing Competitive Share? Olivier Irisson, BPCE Session 2: 35mins Exploring & Re-Evaluating The Generally Accepted Risk Metrics Kanwardeep Ahluwalia SWISS RE GROUP Concluding Discussion: 10mins What Keeps The CRO Awake At Night Q&A Central Clearing Houses Is It Possible That Central Counterparties Could Become Too Big To Fail? Stephan Schoess THE OCC Structured Audience Q&A & Industry Round Up A View From Outside The Industry Session 1: 30mins The Energy Industry Perspective Embedding ERM Into Strategic Thinking For The Business Petter Kapstad, STATOIL Session 3: 30mins The Pension Fund Perspective: Managing Risk in the Post-Variance World Taron Ganjalyan SHELL ASSET MANAGEMENT COMPANY Concluding Panel Q&A: 30mins
The Efficient Calculation Of Economic And Regulatory Capital For Structured Credit Instruments David Saunders UNIVERSITY OF WATERLOO
Linking Liquidity & Capital: A Practical ERM Perspective Mario Onorato, ALGORITHMICS Structured Audience Q&A & Industry Round Up
Afternoon Tea
How Consumer Demand Drives Credit Cycles & Can Defeat Risk-Based Pricing Joseph Breeden, PhD, STRATEGIC ANALYTICS Structured Audience Q&A & Industry Round Up
16.30 16.40
17.10
Uncollateralised Funding Effective Techniques For Pricing The LVA & The FVA Into A Deal Andrew Green LLOYDS BANKING GROUP
Credit Cycles & Stress Testing Exploring The Role Of Credit Cycles In Stress Testing Scott Aguais RBS
17.50
Liquidity Management What Impact Will New Regulation Have On Transfer Pricing And Can We Use It To Steer The Business? Arno Kratky COMMERZBANK Structured Audience Q&A & Industry Round Up
Exploring The Issues Involved In Modelling Collateralized Exposure Klaus Boecker DEUTSCHE PFANDBRIEFBANK
18.30
Champagne Roundtables
18.40
Exploring The UK Independent Commission On Banking Martyn Hoccum RBS Liquidity & Transfer Pricing Thorsten Kanzler COMMERZBANK Implementing Basel III Katja Pluto HSBC Liquidity Thierry Lopez PwC Stress Testing Dominique Bourrat RISK DYNAMICS Risk Management At NASA Jeevan Perera NASA Meta Risk Soloman Berahas EUROBANK
19.00 19.00
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
Ri$kMinds 2011
8th December 2011, Day 3 Main Conference
08.00 08.30 Registration & Coffee Chairmans Welcome Address Charles Richard, Senior Vice President, QUANTITATIVE RISK MANAGEMENT
THE RISKMINDS 2011 FINANCIAL MINDS THINKTANK NEW SOVEREIGN DEBT RESEARCH
08.40 Current Conditions And Outlook For Sovereign And Corporate Debt Markets Edward I. Altman, Max L. Heine Professor of Finance, STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY
THE PRACTITIONER PANEL How Much Can You Use Your RiskMind In Our New Era Of Basel III Regulation?
09.25 Is There Still Room For Financial Innovation In The Field Of Risk Management & Modelling & If So, Where Do The Opportunities Lie? Riccardo Rebonato, Head of Front Office Risk Management and Quantitative Analytics, RBS Paul Shotton, Deputy Head Of Portfolio Risk Control & Head Of Group Risk Methodology, UBS Eduardo Canabarro, Managing Director, Head Of Credit & Market Quantitative Risk, MORGAN STANLEY Andrew Abrahams, Global Head Of Quantitative Research, JP MORGAN Evan Picoult, Managing Director, CITI & Adjunct Professor, COLUMBIA BUSINESSSCHOOL
10.10
THE RISKMINDS 2011 GUEST ACADEMIC ADDRESS Nobel Laureate Volatility, Correlation And Tails For Systemic Risk Measurement Address Robert Engle, Michael Armellino Professor In The Management Of Financial Services, STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY
Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition
10.55
11.20
Risk Appetite And The Role Of The Board Clark Abrahams, SAS
Risk And CVA For Exotic Derivatives: The Universal Modeling Alexander Antonov, NUMERIX
Systemic Risk Insight A Q&A With A Nobel Laureate Robert Engle STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY Sovereign Debt Insight A Q&A With Corporate & Sovereign Debt Expert: Ed Altman STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY
EXTENDED SESSION Macroeconomic Stress Testing Juan Manuel Licari MOODYS ANALYTICS ERM & Risk Culture Uwe Stegemann & Cindy Levy MCKINSEY & CO Handling Wrong Way Risk In CVA Calculations Calculation of CVA Basel III requirements A model for wrong way/right way risk Results from using the model Impact of wrong way/right way risk on the Greeks Impact of collateral, threshold, independent amount, cure period etc John Hull UNIVERSITY OF TORONTO
12.00
12.40
Macro Economic Stress Testing Meaningfully Combining External Information From Other Banks With Internal Results to Improve The Quality Of The Individual Bank Stress Test Evan Sekeris FEDERAL RESERVE BANK OF RICHMOND
What Makes A Good Risk Manager?: Understanding The Relative Importance Of Experience, Education & Specific Skill Set & How Can You Do Better? Keith Waitt CONSULTANCY MATTERS LLC Jane Howard, RBS Angus MacLennan, IRSQ Antonella Pisani, FSA Lunch & Networking Break EC & Business Risk Exploring Methodologies To Improve The Accuracy Of Business Risk Calculations For Your Economic Capital Model Michael Kalkbrenner DEUTSCHE BANK Overcoming Silo Based Thinking: Understanding What Connects Different Risk Types & How To Devise And Implement An ERM Framework In The Context Of All Other Silo Frameworks? Nancy Loucks, STATESTREET *tbc Afternoon Tea
Using Svar, IRC And CRM Do They Satisfy The Use(Less) Test? Eduardo Epperlein NOMURA
13.20
14.30
Achieving One Capital Figure Evaluating Best Practice Techniques For Combining Credit, Market & Liquidity risk Into Your Economic Capital Calculations Max Bezard, BNP PARIBAS
CVA - What Does It Achieve? Motivation for using CVA The uncertainty of CVA Credit curve mapping Challenging in hedging CVA The impact of Basel III rules Jon Gregory SOLUM FINANCIAL
15.10
Linking Risk Capital To Compensation Is This The Optimal Way Forward For The Industry & If So, How Can Best Achieve It? Mark Carey THE FEDERAL RESERVE BOARD
EXTENDED SESSION Testing The Foundations Of Risk Measurement A review and analysis of what went wrong during the crisis. Improving the measurement of market risk, counterparty credit risk and the importance of stress testing. The implications of Basel II.5, Basel III and the DFA Evan Picoult CITI & COLUMBIA BUSINESS SCHOOL
15.50 Sovereign Risk In The Economic Capital Framework 16.30 Jean-Bernard Caen DEXIA Senior Managements Stress With The Stress Test: The Role Of Senior Management In Stress Test Based Risk Management Processes Ottmar Bongers BAFIN Exploring The Creation Of Loan Performance Indices As Basis For Stress Testing What Is The Impact Of Negative GDP Growth, Unemployment And Drop In Real Estate Prices On PD And LGD Developments In Bank Portfolios? Philip Winckle, SEB Jeroen Batema, PECDC
The RiskMinds Problem Solving Working Groups Get Your Questions Answered By The Experts & Network With Like-Minded Peers At The Following Small Group Themed Roundtables:
Liquidity Risk Stress Testing Living With Basel III Capital Management & Modelling
CoCos Workshop CoCos Workshop CVA, Wrong Way Risk and Basel III Dan Rosen R2 FINANCIAL TECHNOLOGIES Structuring, Pricing And Dynamics Of CoCos Determining The Right Issue Size Overview Of Coco Pricing Models: From Rule Of Thumb Models To Smile Conform Advanced Models The Death Spiral And Hedge Dynamics Determining The Right Issue Size On The Basis Of Stress Testing And Market Free Float Wim Schoutens CATHOLIC UNIVERSITY OF LEUVEN
Economic Capital: Is It Still Needed In A Reg Cap Constrained World? 17.10 Alan Smillie NOMURA
Counterparty Credit Risk Capital And CVA Examining Ways Of Integrating CVA Into Counterparty Credit Risk Capital Models Michael Pykhtin FEDERAL RESERVE BOARD
17.50
PLUS: DONT FORGET TO SIGN UP FOR ONE OF THE RI$KMINDS PRACTICAL FULL DAY WORKSHOPS!
Credit Risk: The Theory & Practice Led by: John Hull UNIVERSITY OF TORONTO
5th December
Advanced Modelling Of Counterparty Credit Risk & CVA Led by: R2 FINANCIAL TECHNOLOGIES, THE FRB & UNIVERSITY OF WATERLOO
9th December
Basel 2.5 & Beyond: From Implementation To Implication Hosted by: Eduardo Epperlein, Haakon Skaane, Jennifer Ramnauth, Alan Smillie & Marc Jeannin, NOMURA
9th December
New Research
Estimating Default Probabilities Real world vs risk neutral default probabilities Using historical data Using credit spreads Scenario analysis vs valuation Valuation of credit derivatives Mertons model
Correlation Models and CDO Valuation How copulas work How they are used in credit risk Basel II applications The Gaussian copula model and its extensions The steps in valuing a CDO
Were on Twitter: Follow us @riskminds for up to the minute details on the industry and our event. Join Us On LinkedIn: www.linkedin.com search Ri$kMinds in the groups section and join the online debate!
Jennifer Ramnauth Head of Regulatory Liaison Analytics NOMURA INTERNATIONAL Jennifer Ramnauth is a Vice President at Nomura International, responsible for providing guidance on regulatory requirements for the trading book. Jennifer has 8 years experience in the financial industry and previously worked with the regulator in the UK, The Financial Services Authority, primarily focusing on capital requirements for the trading book. She is a Chartered Accountant, holds a LLB and is a CFA charterholder.
Alan Smillie Head of Economic Risk Analytics NOMURA INTERNATIONAL Previously, Alan Smillie was a senior quant in Citis Risk Analytics group, responsible for market risk, counterparty credit risk and economic capital modelling. Before joining Citi Alan completed a PhD at Imperial College, London.
Marc Jeannin Head of Optimum Risk Capital Allocation NOMURA INTERNATIONAL Marc Jeannin is responsible to optimize the regulatory capital usage of Nomura. He has 7 years experience in the industry, and worked in trading and quantitative role in Nomura. He holds a PhD in Mathematical Finance from Imperial College London.
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
The course presents a novel approach to Stress Testing, which combines and makes full use of statistical information (when appropriate) and of expert knowledge. The integration of the two components (statistical information and expert knowledge) is achieved by means of a technology (Bayesian Nets) that ensures logical consistency and optimal combination of these two sources of information. The output is logically rigorous but highly intuitive, and lends itself to challenge, interrogation and investigation by senior non-technical users (eg, Board members, Non-Executive Directors, Heads of Trading, etc). In this respect, its transparency makes it the opposite of a black-box approach. The course Explains the underlying concepts and techniques (causation versus association, simple elements probability for Boolean variables, identification of outliers, event correlation, etc); Links these concepts and techniques with the requirements of stress testing in financial institution (banks, hedge funds, money managers, etc) and with the recent regulatory demands; Introduces Bayesian Nets and explains how this technology can be used for stress testing; Shows how to identify and specify scenarios and events in particular, deals with the important topic of how to combine a top-down with a bottom-up approach; Suggests how these scenarios and events can be mapped onto Bayesian Nest; Explains how to integrate the output of the Bayesian-net technology with traditional statistical analysis; Provides a number of techniques to facilitate the construction of Bayesian nets (Maximum Entropy, Causal Independence, merging of nets, etc); Shows how sensitivity analysis can be carried out; Helps the user overcoming cognitive biases and pitfalls (eg, explains causal versus diagnostic elicitation); Provides detailed and fully worked-out case studies; Covers the governance issues needed for practical implantation in an institution (regulated or otherwise); In sum, enables the delegate to understand the rationale for and the mechanics of a new way of looking at stress testing. The course will be interactive and the delegate will be engaged in a complete realistic exercise of construction of a Bayesian net for stress-testing purposes. At the end of the course the delegate is expected to have mastered the concepts behind the approach, to have understood its strengths and limitations, and to be able to apply it in practice to real-life situations. The approach is thinking-heavy and CPU-time light. Once the ideas are understood, the delegate will therefore be able to apply the technique with a minimum of IT system overhead. Target audience: A very wide range of professionals and regulators interested in stress testing. The delegates from the industry may come from regulated institutions (banks, pension funds, asset managers), or from unregulated entities (eg, hedge funds). Regulators and Central bankers involved in microprudential regulation or in broader financial stability issues will also find the approach of relevance. As the course covers conceptual, governance and practical implementation issues, it is of appeal to delegates at different levels and covering different roles in the institutions above: from front-office risk-managers to senior risk officers, from central bank economists to quants. Prerequisites: Elementary ordinary (ie, non-stochastic) calculus, familiarity with matrix notation (helpful), elementary probability, basic understanding of risk management and financial economics, familiarity with Excel spreadsheet (helpful).
Review Of Coherent Stress Testing: Rebonatos refreshingly original [approach] is the most significant advance in financial risk management in many years. It is rigorous yet thoroughly practical, proposing and operation Bayesian framework that complements purely statistical approaches with the causal/economic structure needed for coherent stress testing. Prominently displayed and beautifully mixed throughout are both the expansive wisdom of a serious scholar, and the pragmatic applied sense of a seasoned industry veteran. Rebonato has defined the new frontier of best-practice financial risk management. I am open-mouthed with admiration. Francis X.Diebold, Paul F and Warren S Miller Professor of Economics, Co-Director, WHARTON FINANCIAL INSTITUTION CENTRE, Professor of Finance and Statistics, UNIVERSITY OF PENNSYLVANIA
Were on Twitter: Follow us @riskminds for up to the minute details on the industry and our event. Join Us On LinkedIn: www.linkedin.com search Ri$kMinds in the groups section and join the online debate!
The practice of counterparty credit risk (CCR) management has evolved tremendously over the last decade. The recent financial crisis further highlighted the need for the industry to understand better how to model exposures, price and hedge CCR. Furthermore, the Basel accord has tightened the capital requirements for counterparty credit risk and explicitly added capital charges related to CVA risk. This workshop discusses the fundamentals of CCR management, and presents the latest techniques available to practitioners for measuring counterparty exposures, computing and hedging CVA, and estimating economic and regulatory capital. We discuss the evolution of management practices and models, address important practical issues including credit mitigation techniques, wrong-way risk, stress testing and model risk. Part 2: Modelling Counterparty Credit Exposures Part 3: CVA - Pricing and Hedging CCR Part 4: Computing CCR Economic and Regulatory Capital in Basel III Part 5: Concluding remarks the future of CCR management
David Saunders Associate Professor, Department of Statistics and Actuarial Science UNIVERSITY OF WATERLOO
David Saunders is an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, and a Senior Research Consultant at R2 Financial Technologies. He is the author of many articles on the subjects of risk management, portfolio optimization and derivatives pricing. Dr. Saunders holds a Ph.D. in Mathematics from the University of Toronto, and is a Research Fellow of the HERMES European Center of Excellence on Computational Finance and Economics at the University of Cyprus, and the Waterloo Institute for Quantitative Finance and Insurance at the University of Waterloo.
To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225
THE PRACTITIONER RESPONSE Initial Reactions & Responses To The Proposed Regulatory Changes
Top Practitioners Offer Their Reactions To The Regulatory Challenges & Ask Regulators Questions From The Floor
Moderator: Dominique Bourrat, Managing Director, RISK DYNAMICS
Biography can be found below
PRACTITIONER INSIGHT How Should We Change Our Business Model Under Basel III?
Predicting Which Business Models Will Thrive & Fail Under Basel III
Moderator: Andrew Jennings, Managing Director, Risk, CITI
Andrew is responsible for oversight of all risks in Citis UK legal entities. Policy advisor for Pillar 2 and ICAAPs and regulatory capital developments. He was initially responsible for implementation of Basel II across Citigroup, although subsequently the role was split into two parts, and he assumed responsibility for the policy of implementing Basel II across the group. Previously, he has been the Business Credit Risk manager for Citigroups European Leasing business and Head of Operational Risk in Europe as well as Chief Risk Officer for the Investment banking division of Schroders plc prior to it being acquired by Citi in 2000. Andrew is formerly a banking regulator with the Bank of England.
Panellists: Mattia Rattaggi, Managing Director, Head Of Group Supervisory Relations, UBS
Prior to his current role, Mattia occupied senior positions in Group Compliance and Group Risk Control. Before joining UBS in 1999, Mattia worked in the Treasury of ZKB heading Asset and Liability Management and as a Senior Economist at the Swiss Bankers Association. Mattia holds a Ph.D from the University of Fribourg, and pursued post doctoral research at the University of Cambridge (UK).
Barbara Frohn, Managing Director, Advisor to the CEO & Advisor To The Eur. Parliament, GRUPO SANTANDER
Barbara Frohn assumes responsibility for the internal validation of Risk Models (Credit, Market, Market Risk, Economic Capital and Operational Risk) at a corporate level. The group consists of three hubs, Madrid , London and Brazil each with responsibility over their respective regions and not only performs quantitative, but also qualitative reviews of the various risk and quantification tools used within the group, this includes a.o. an evaluation of use test and corporate governance requirements. In addition, Barbara Frohn is the risk representative in Santanders Public Policy group. She is deeply involved in the discussions that are taking place between the different industry bodies and associations and the European institutions and other national or supranational governmental organisations in relation to the development of financial regulation and the future of supervision.
Adam M. Gilbert, MD, Head of Regulatory Policy, Corporate Risk Management Group, JPMORGAN CHASE & CO.
Adam is currently Head of Regulatory Policy in the Corporate Risk Management Group where he is responsible for developing the firm's strategic response to various regulatory initiatives, including analyzing the impact of regulatory proposals, developing the firm's positions and preparing for the implementation of final rules. Adam is a leader in the firm's capital management process through his co-chairmanship of the Economic Capital Working Group, chairmanship of the Regulatory Capital Policy Committee and oversight of the firm's Basel capital implementation. Adam is a member of the firms Risk Management Executive Team, Asset Liability Committee and North America Reputation Risk Committee. He advises lines of business on supervisory and regulatory matters affecting them as well as their clients.
09.30
16.15
Afternoon Tea
Valerie Maysey, Head Of Regulatory Risk within Risk and Finance, HSH NORDBANK
Following 17 years working in M&A with the German "Mittelstand in Germany, Valerie joined the FSA in London in 2001. Valerie had several roles involving both Risk and Supervision, the most important of which was running the Basel II Implementation Team for Wholesale Firms Division. In 2006 Valerie joined Deutsche Bank in London, where she worked in the regulatory interface in Legal Risk and Capital for four years, gaining valuable practical experience in all aspects of risk management. In the summer of 2010 Valerie joined HSH-Nordbank in Hamburg, where she now heads the Regulatory Risk team in Group Risk Management.
Exploring The Changing Responsibilities Of Control Functions In The Wake Of The Regulatory Response To The Financial Crisis: Incorporating Behavioural Factors Into The Response & Determining The Impact On Risk Management
Stephen Anderson, Global Head Of Risk Audit, HSBC
Stephen joined HSBC in 1981 as an graduate trainee and has stayed with HSBC since then. His career has seen him living and working in eight countries; Hong Kong, the UK, Turkey, Indonesia, Thailand, Singapore, Australia and the Sultanate of Oman. Stephen was Deputy Chief Executive Officer of HSBC Singapore and Deputy Chief Executive Officer and Vice Chairman of HSBC Turkey. He has also held senior positions in HSBC's Risk function, most recently as Chief Risk Officer of HSBC Bank Limited and HSBC's Global Businesses. Stephen is currently Global Head of Risk Audit based in Hong Kong.
10.00
12:35
Basel III:
Creating The Roadmap To Better Banking Regulation And Supervision
Bill Coen, Deputy Secretary General BASEL COMMITTEE ON BANKING SUPERVISION
Mr Coen manages the daily activities and workstreams of the Basel Committee and its secretariat. His specific responsibilities relate to the Basel Committees Policy Development Group and Accounting Task Force. He was chairman of the Pillar 2 workstream that is currently revising Basel IIs supervisory review process. Mr Coen was a member of the Basel Committees Secretariat from 1999 to 2002, during which time he was part of the core team responsible for developing the Basel II framework. Mr Coen also worked for the Board of Governors of the Federal Reserve System in Washington DC. He had a variety of responsibilities during his career at the Federal Reserve, including banking policy, supervision and licensing. Before joining the Federal Reserve, he was a national bank examiner for the US Office of the Comptroller of the Currency.
17:15
17:45
14.15
11.30
Panellists: Adam M. Gilbert, Managing Director, Head of Regulatory Policy, Corporate Risk Management Group, JPMORGAN CHASE & CO.
Bio can be found above
Charless initial career was at the British Foreign Office, where he became a China specialist, serving in the British Embassy in Beijing from 1982 1986 and 2000 2004. From 1998 2000 he was seconded to International Financial Services, London to help restructure the organisation and develop a strategy for promoting UK financial services overseas through British Embassies and High Commissions. In 2000 he returned to the Embassy in Beijing as Director of Trade and Investment for China. In 2004 he joined the Group Strategy function of the Royal Bank of Scotland. In July 2008 he joined the Group Strategy and Planning team at HSBC. He moved to his current role in May 2010. His portfolio focuses on the reform of financial regulation, and also includes responsibility for China Affairs.
18.45 19.00
Roll Up Your Sleeves Regulatory Working Groups Ri$kMinds 2011 Welcome Drinks Reception
15:15
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
THE RISKMINDS 2011 BEHAVIOURAL FINANCE MASTERCLASS Building Effective Risk Management Culture:
Learning Behavioural Lessons About Process, Pitfalls, And Psychology From The Experiences Of Companies Such As BP And Ford
Hersh Shefrin, Mario L. Belotti Professor of Finance SANTA CLARA UNIVERSITY
Hersh Shefrin is the Mario L. Belotti Professor of Finance at Santa Clara University. His book Beyond Greed and Fear provides a comprehensive approach to behavioural finance, and in 2009 was recognized by J.P. Morgan Chase as one of the top ten books published since 2000. Among Professor Shefrins other works are A Behavioral Approach to Asset Pricing, Behavioral Corporate Finance, and Ending the Management Illusion. His work entitled Role of Behavioral Finance in Risk Management, appears as a chapter in Risk Management: A Modern Perspective, edited by Michael Ong. According to a 2003 article that appeared in the American Economic Review, he is one of the top 15 economic theorists to have influenced empirical work. His work has been in the all time top ten downloads from the Social Science Research Network. He received his Ph.D. from the London School of Economics in 1974. He holds an honorary doctorate from the University of Oulu, Finland, and is an honorary guest professor at Central-South University in Changsha, China.
08.00 08.15
15.00
11:50
15.30
09:10
Kenji Fujii, Executive Officer, Head of Global Risk Management Group, MIZUHO SECURITIES CO
Kenji Fujii is Executive Officer, Head of Global Risk Management Group, Mizuho Securities Co., in charge of enterprisewide risk management for the investment banking arm of Mizuho Financial Group. Prior to his current role, he was Senior Managing Executive Officer, Chief Market Risk Officer at Aozora Bank, General Manager, Basel 2 Implementation Office, Corporate Risk Management Division at Mitsubishi UFJ Financial Group, and General Manager, Risk Management Division at The UFJ Bank. Mr. Fujii has participated in numerous industry initiatives in risk management area, including those related to Basel regulatory reform. He now acts as member of Steering Committee of Regulatory Capital at the Institute of International Finance. He also acts as Principal of Tokyo Risk Managers Association (TRMA).
09.40
William Dawson, Executive VP, Chief Credit & Risk Officer, Wealth, Brokerage & Retirement WELLS FARGO & COMPANY
William L. Dawson assumed his role in 2009. Bill provides management oversight and is responsible for credit, market and operational risk, including compliance for the following business lines within this division: Wealth, Family Office Services, Brokerage (Wells Fargo Advisors) and Retirement. Bill has over 35 years experience in the financial services industry. Prior to joining Wells Fargo, Bill, an 8-year veteran of Wachovia Corporation, most recently held the position of Chief Risk Officer, Capital and Wealth Management, for Wachovia.
THE BUSINESS BRIEFING The Board Is From Mars, Risk Is From Venus
What Does The Rest Of The Institution Really Think Of Risk Management?
Maureen Miskovic, Group Chief Risk Officer, UBS
Maureen Miskovic was appointed Group Chief Risk Officer (CRO) and member of the GEB in January 2011. From 2008 to 2010, she served as Chief Risk Officer of State Street Corporation, Boston, as well as a member of the firms Senior Executive Management Committee and chair of its Major Risk Committee. From 2002 to 2007, she was Chairperson of Eurasia Group, a New York City-based political risk research and consulting company developing the firms brand as the political risk advisor for institutional and foreign direct investors. Between 1996 and 2002, Ms. Miskovic was the Chief Risk Officer for Lehman Brothers and from 1995 to 1996 she worked as the European Treasurer for Morgan Stanley. Prior to that, she was Group Risk Manager and Treasurer for SG Warburg & Co.
10.10
12:30
Plus Expert Advisor: Hersh Shefrin, Mario L. Belotti Professor of Finance SANTA CLARA UNIVERSITY
Bio can be found above
16:00 16:10
13.10
To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225
DAY 1&2
16.40
Day 1 CRO Forum & Day 2 Main Conference: 6th & 7th December 2011
than a forward looking, enterprise-wide approach to effectively manage the spectrum of business risks in a way that enables sustainable, long-term growth Now we see a clear maturation of risk management capabilities across all industries-a rapid march up the business value chain and the development of governance and organizational structures that give risk a voice at the executive table One of the largest risk management surveys of its kind, the Accenture 2011 Global Risk Management Study finds that advanced risk management capabilities are high on the executive agenda and now seen as a critical business driver and source of sustained growth and long-term competitive advantage Steve Culp, Managing Director ACCENTURE RISK MANAGEMENT
Based in London,Steve has 20 years of global experience in strategy definition, risk management, enterprise performance management and delivering large scale finance operations engagements. Prior to his current role, Steve was the global lead for Accentures Finance & Performance Management consulting services for global banking, insurance and capital markets institutions. With his extensive risk management and performance management experience and business acumen, Steve guides executives and their teams on the journey to becoming high-performance businesses.
11:00
Morning coffee
17.20
08:30 09:00
11:40
17.50
Wilfried Paus originally started with Deutsche Bank Bremen branch right after school in 1984. Upon completion of his PhD at the University of New South Wales in 1996, Wilfried returned to Deutsche Bank to work in risk methodology development in Frankfurt and London. He now heads the Risk Analytics & Instruments department within the banks Risk function, which is responsible for the development, implementation and validation of a wide range of risk models applied in Deutsche Bank group. Wilfried frequently represents the bank in discussions with regulators and industry associations on risk methodology.
12:20
Robust Risk And Capital Frameworks; Improving Transparency And Safeguards Around Model Risk
Comparison of modeling frameworks for risk aggregation and economic/regulatory capital Physical measure simulation for exotic pricing, counterparty risk and capital Accounting for and safeguarding against model risk Andrew Abrahams, Managing Director, Head Of Quantitative Research & Firm-wide Model Oversight JP MORGAN CHASE
Jean-Jacques Van Helten, Chief Risk Officer, Europe, BANK OF MONTREAL FINANCIAL GROUP
Jean-Jacques van Helten is the Chief Risk Officer, Europe for the Bank of Montreal (BMO) Financial Group, based in London. Previously, he ran credit & market risk in the CBAs institutional bank in Sydney and he has worked variously in a range of senior executive risk and capital markets business roles in major investment banks in Europe, Australia and the UK. Jean-Jacques has a doctorate in economics from London University.
Aaron Brown is risk manager at AQR Capital Management in Greenwich, Connecticut and the author of Red-Blooded Risk (John Wiley & Sons, October 2011), The Poker Face of Wall Street (John Wiley & Sons, 2006, selected one of the ten best books of 2006 by Business Week) and A World of Chance (with Reuven and Gabrielle Brenner, Cambridge University Press, 2008). In his 30 year Wall Street career he has been a trader, portfolio manager, head of mortgage securities and risk manager for institutions including Citigroup and Morgan Stanley. He also served a stint as a finance professor, and was among the top poker players in the world during the 1970s and 1980s. He is a regular columnist for two financial journals: Wilmott and Quantum and contributes frequently to the professional literature in journals, periodicals and book chapters. He holds degrees in Applied Mathematics from Harvard and Finance and Statistics from the University of Chicago Booth School of Business.
Andrew Abrahams is Managing Director and head of Quantitative Research and Firm-wide Model Oversight at JPMorganChase, based in NY. He has been at the firm since 1997. Previously he held research and teaching positions at the National Center for Supercomputing Applications, The University of North Carolina and Cornell University.
13:00
09:45
13:10 14:30
Lunch
10:30
Plus Expert Advisor: Colonel Tim Collins OBE, Former Officer, THE BRITISH ARMY
18:30 18.40 Challenge & Comment Audience Q&A The Ri$kMinds 2011 Drinks Reception
Sebastan Fritz joined HSH Nordbank as Global Head Of Group Risk Management in May 2010. Prior to this, he worked at the Frankfurt School of Finance & Management as finance director as well as managing director of its fund management subsidiary. From January 2006 until December 2007, Sebastian was Global Head of Operational Risk Management at Deutsche Bank. Prior to that, he worked as head of Market Risk Management and divisional risk board member at WestLB. From 1997 to 2004, Sebastian worked in various areas of Deutsche Banks Risk organisation, where he built the Risk Analytics & Instruments group and was an integral part of the Economic Capital and Basel 2 programme.
10
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
DAY 2
15:10
the IRC calculation Wolfgang Bauer, Director, Risk Analytics and Reporting, CREDIT SUISSE
Wolfgang Bauer is responsible at Credit Suisse for the implementation of the IRC methodology. Prior to joining CS in 2010, he worked as a risk consultant at Ernst & Young, specialising on risk quantification and economic capital modelling. Regulatory related projects covered pillar 1 credit risk models for banking and trading book. He holds a PhD in finance.
Session 2: 40mins
15:50
Andrea joined UniCredit Group in the investment banking arm where he dealt with market risk management also for marketing purposes. He later moved to the Holding company in CFO where he developed methodologies for the commercial product evaluation and hedge accounting purposes. For four years he has been responsible of Risk Integration function and the related development of models for internal capital and aggregated stress testing. Moreover he coordinated the ICAAP implementation at group level. Then he moved to Banking Supervisory Relations where he deals with managing the relationship with the consolidated supervisors and the other ones with a strong focus on risk management besides coordinating the working group on Recovery and Resolution Plans. He has been a member of working Groups within CEBS and European Banking Federation on ICAAP and banking regulation
13:00
18:30
17:50
Stuart Burns is the Head of Credit Risk Methodology at Barclays Capital. He joined in April 2010 from HSBC, where he was responsible for Credit Risk Modelling and saw the bank achieve Advanced IRB status. Prior to this Stuart was Head of Economic Capital and Model Risk Management at Standard Chartered Bank, where his responsibilities included coordination of stress testing across portfolios and risk types. Stuart has also worked in credit risk modelling roles at RBS Financial Markets and Abbey National Treasury Services.
Champagne Roundtables
19:00
Creating A Scenario Framework For Risk Capital Stress Testing And Risk Appetite:
Black Swans or Ugly Ducklings?
Creating consistent scenarios for stress testing and risk appetite Analyzing the impact of market feedback, credit cycles, crises and uncertainty on portfolio losses Alternative framework for fat-tail events and asset price dynamics based on market behaviour Quantifying the risk of extreme events. From theory to practice Jorge Sobehart, Managing Director, Risk Architecture CITI
15:10
11:40
Jorge R. Sobehart is a Managing Director at Citi Risk Architecture (Credit and Operational Risk Analytics) where he is involved in credit risk capital measurement and allocation, stress testing, advanced portfolio loss models for wholesale credit exposures, credit migration and default risk modeling. Previously, he was a member of Moody's Standing Committee on Quantitative Tools and VP senior analyst in Moody's Risk Management Services, where he developed default risk models, early warning tools and model validation metrics and procedures. During his career, he has worked and acted as a scientific consultant for several prestigious companies and institutions making contributions in different fields, and publishing numerous technical articles and conference papers. He also acted as a referee for many professional journals in risk management, finance, physics, computation and mathematical modeling.
The Next Challenge in the Evolution of Enterprise Risk Management: Liquidity Risk, Pricing and Risk Assessment
Measuring liquidity risk in a dynamic funding environment and the interplay between funding costs and borrower characteristics An economic framework for calculating an FTP rate for credit exposures with prepayment options and other contingencies Holistic decomposition of a transfer rate into contingent liquidity, funding liquidity, credit risk, and option premia components Amnon Levy, Managing Director, Head of Portfolio Research, MOODYS ANALYTICS QUANTITATIVE RESEARCH
15:50
18.30
Dr. Amnon Levy heads the Portfolio Research Group that is responsible for research and model development for Moodys Analytics portfolio and balance sheet models. Dr. Levy holds a B.A. in Economics from the University of California at Berkeley and a Ph.D. in Finance from the Kellogg Graduate School of Management, Northwestern University. Prior to joining MKMV, Dr. Levy was a visiting assistant professor at the Stern School of Business, New York University, and the Haas School of Business, University of California at Berkeley. He has also taught Corporate Finance at the Kellogg School of Management, Northwestern University and worked at the Board of Governors of the Federal Reserve System. He is currently teaching a course on credit risk at the Haas School of Business MFE program. Dr. Levy has been published in the Journal of Financial Economics, Journal of Monetary Economics, Encyclopedia of Quantitative Finance, Risk, and Journal of Banking and Finance. His current research interests include modeling credit portfolio risk, integrated models for balance sheet management, as well as liquidity risk.
12:20
Liquidity Buffers
How To Effectively Structure Liquidity Buffers & Assessing Whose Responsibility Will This Be In The Bank?
Speaker tbc
13:00
16:30
RiskMinds in Geneva is truly the annual event for the industry. It is the place to meet with your peers and find out what everyone (ranging from the CROs, academics & regulators to the risk practitioners) is working on. With the current regulatory changes on the horizon, I am looking forward to hearing what everyone has to say during the 2011 event!
Eduardo Epperlein Managing Director, Global Head of Risk Methodology NOMURA
IRC Workshop
Session 1: 40mins
14:30
IRC Calculation
The Incremental Risk Charge One Year After Going Live A Practitioners View
Challenges encountered during the development and deployment of the IRC framework since the regulatory requirement came into force in Switzerland in 2011 The key lessons learned during the first year of operation The main challenges faced in the completion of the framework during 2011 to include developed market sovereign exposures into
To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225
11
DAY 2
Henry Norwood, Chief Operating Officer QUANTITATIVE RISK MANAGEMENT
Mr. Norwood joined Quantitative Risk Management Inc. in 1995. As Chief Operating Officer, he helps to manage QRM's operations, including those related to the firms offerings in enterprise risk management. A graduate of Colby College and the University of Chicago's Booth School of Business, Mr. Norwood is also a Chartered Financial Analyst.
16:40 17:10
Afternoon Tea
15:10
11:40
CVA:
Modelling Perspectives From Banks And Regulators
CVA risk from banks perspective CVA risk from regulatory perspective How to converge the two perspectives? Economic incentives Economic capital Regulatory capital Eduardo Canabarro, Managing Director, Head Of Credit & Market Quantitative Risk, MORGAN STANLEY
17:50
15:50
Eduardo is responsible for the development of the methods and models used to measure market and credit risks as well as for the independent review and validation of pricing and 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 Management. He was responsible for all quantitative risk functions in the Risk Management organization including market, credit and operational risk analytics, model validation, risk technology and regulatory interface related to the implementation of the quantitative frameworks. Eduardo has also worked for Goldman Sachs and Salomon Brothers in Quantitative Research, Modelling and Risk Management.
12:20
Dr. Klaus Bcker is responsible for market risk methods, counterparty credit risk and CVA calculations. Prior to joining Deutsche Pfandbriefbank, he was team head of Risk Analytics and Methods in UniCredit Group. In this capacity, one of his primary responsibilities was overseeing all quantitative aspects of UniCredit Group's economic capital model, in particular business risk, real estate risk, financial investment risk, and risk aggregation. Klaus is in the Editorial Board of the Journal of Risk Management in Financial Institutions and is also research fellow at the Center for Mathematical Sciences at the Technische Universitt Mnchen. He is conducting research in various fields of finance where he has authored and co-authored several articles that have been published in recognized finance and mathematical journals. In 2007, 2008 and 2010 he won the prestigious PRMIA Institutes Award for New Frontiers in Risk Management related to his research activities. Klaus is editor of the two-volume book "Rethinking Risk Measurement" which has been published in 2010. In August 2007, Klaus was inducted by his peers as a charter member of the international Risk Who's Who honor society.
18:30
Dr. Mario Onorato is the Senior Director, acting as the Head of Balance Sheet and Capital Management. Mario is tasked with the development of asset and liability, liquidity and capital management solutions for corporate and financial institutions. Prior to joining Algorithmics, he was Head of Strategic Consulting at Misys Banking Systems, Scientific Consultant at KPMG, and Corporate Finance Senior Consultant at Sanwa Bank UK. Mario has held a number of academic positions in the Netherlands and U.K. In addition to this, he has authored several books and research papers in his areas of expertise and is Honorary Senior Lecturer at the Faculty of Finance, Cass Business School, City University, London. Mario holds a PhD in Finance.
Champagne Roundtables
19:00
16:30
13:00
Uncollateralised Funding
Effective Techniques For Pricing The LVA & The FVA Into A Deal
Introducing uncollateralized funding costs into derivative valuation The adjusted discounting approach versus an asymmetric CVA approach Double counting and the relationship between DVA and Funding costs Organizational implications for managing uncollateralized funding costs Andrew Green, Head of Quantitative Research - Credit Risk LLOYDS BANKING GROUP
Dr Andrew Green has been involved in CVA field since 2003. He currently heads the Quantitative Research credit risk team at Lloyds Banking Group where he is responsible for the modelling of CVA and unsecured funding costs and is also interested in asset-liability models. Prior to joining Lloyds in 2008, Andrew spent twelve years at Barclays Capital. He headed the DCRM quant modelling team from its foundation in 2005 and previously worked in quantitative roles in both fixed income and equity derivatives. Andrew has a BA in Physics and a DPhil in Theoretical Physics from the University of Oxford and the Certificate of Advanced Study in Mathematics (Part III) from the University of Cambridge.
15:10
11:40
The Efficient Calculation Of Economic And Regulatory Capital For Structured Credit Instruments
David Saunders, Associate Professor, Department of Statistics and Actuarial Science, UNIVERSITY OF WATERLOO
David Saunders is an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, and a Senior Research Consultant at R2 Financial Technologies. He is the author of many articles on the subjects of risk management, portfolio optimization and derivatives pricing. Dr. Saunders holds a Ph.D. in Mathematics from the University of Toronto, and is a Research Fellow of the HERMES European Center of Excellence on Computational Finance and Economics at the University of Cyprus, and the Waterloo Institute for Quantitative Finance and Insurance at the University of Waterloo.
17:50
Liquidity Management
What Impact Will New Regulation Have On Transfer Pricing And Can We Use It To Steer The Business?
What is the difference between internal liquidity models and Basel III liquidity requirements How does Basel III translate into steering signals How will Basel III impact internal transfer prices Arno Kratky, Head Of Liquidity Risk, COMMERZBANK
15:50
How Consumer Demand Drives Credit Cycles and Can Defeat Risk-Based Pricing
Seeds of the US Mortgage Crisis in shifting consumer demand, and examples from UK lending Failing to price loans correctly by not understanding that the borrower pool has shifted Failing in PD predictions because of shifts in consumer demands Joseph Breeden, PhD, CEO, STRATEGIC ANALYTICS
Rami is the leader of the PwC Financial Quantitative Services practice in Paris and the central cluster Market Risk network. Prior to joining PwC in 1998, he was an interest rate derivative trader. Rami has managed risk management engagements for large financial services firms on a large range of issues: Basel 2 advanced approaches model development and validation, ALM and liquidity risk framework gap analysis and process improvement, design of ICAAP, risk appetite statements and risk reporting frameworks. Rami has also assisted large financial institutions in the implementation of IFRS on valuation and risk management issues.
12:20
Arno works in Group Treasury heading the team Liquidity Analytics. He is dealing with conceptional enhancements of the liquidity management framework such as fund transfer pricing systems, stresstesting and liquidity contingency planning. After his graduate in industrial engineering, he joined Dresdner Bank in 1994 at a trading desk for interest rate derivatives. He pursued his career in different roles in finance and risk management and spent 5 years in London responsible for market, credit and liquidity risk. After the merger of Commerzbank and Dresdner Bank he became a member of the Treasury Management Team in Group Treasury of Commerzbank.
18:30
Dr. Breeden, Chief Executive Officer of Strategic Analytics Inc., leads the design of advanced analytic solutions including the invention of Dual-time Dynamics that comprise the firm's market offerings for forecasting, stress testing, and economic capital modelling for retail portfolios. He recently published Reinventing Retail Lending Analytics and has published papers and given lectures on retail lending analytics and economic capital around the world. Strategic Analytics, founded in 1999, has successfully grown to become an industry power and its software and services are used to analyze over $2 trillion in credit cards, auto, home equity, mortgage and other consumer credit portfolios.
16:30
13:00
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
DAY 2&3
14:30
Session 1: 35mins
10:55
Risk Culture
How Can You Retain The Risk Culture In A Benign Environment & Should This Be At The Expense Of Losing Competitive Share?
Olivier Irisson, Deputy CRO, BPCE
Olivier joined BPCE in June 2010. Prior to his new role, he was the head of the 'Global Risk Measurement' department in charge of transversal risk analytics and portfolio analysis, stress testings and capital measures at group level for credit, market and operational risks. Olivier joined SG in 2002 and held several positions in quantitative risk modeling before leading the global Rating and Capital modeling unit from 2006 to 2009. Before this, Olivier was a 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.
Session 2: 35mins
12:00
FRM oversees the risks of the internal Asset Management division of Swiss Re, with over $150 billion of assets within the company. In addition, the activities of the Treasury function, the underwriting of credit risks within the insurance divisions and the overall credit risks of the Group are monitored and managed. The FRM team is split into four units covering Credit Risk, Market Risk, Quantitivative Risk and Valuation Risk issues. Prior to joining Swiss Re, Kanwardeep Ahluwalia worked for 12 years in the US investment bank, Bear Stearns, rising to number 2 in the global risk management division. He served as the Chief Risk Officer for Europe & Asia and was appointed Head of Market Risk Management during the financial crises. Kanwardeep contributed to the expansion of the company internationally and participated in the final sale of the company to JP Morgan.
How To Stay Afloat In A Basel III World: Managing Risk And Capital Under A Capital Buffer Regime
Changes to capital supply and demand Regulatory versus internal capital buffers Loss absorption in real terms: instruments, timing, process Katja Pluto, Global Head Of Risk Measurement HSBC HOLDINGS
As Global Head of Risk Measurement at HSBC Holdings, Katja oversees all risk models for credit risk and Economic Capital globally and manages the ICAAP and FSA Supervisory Review Process. Prior to joining HSBC, Katja worked with Dresdner Bank and with the Banking Supervision department of Deutsche Bundesbank. In the latter capacity, she approved bank internal market risk models and represented Bundesbank in various working groups of the Basel Committee of Banking Supervision and the Committee of European Supervisors during the Basel II negotiations.
09.25
12:40
THE PRACTITIONER PANEL How Much Can You Use Your RiskMind In Our New Era Of Basel III Regulation?
Is There Still Room For Financial Innovation In The Field Of Risk Management & Modelling & If So, Where Do The Opportunities Lie?
Riccardo Rebonato, Head of Front Office Risk Management and Quantitative Analytics, RBS
Dr Riccardo Rebonato is Head of Front Office Risk Management and Head of the Quantitative Analytics at GBM, RBS. He is also a Visiting Lecturer at Oxford University (Mathematical Finance) and Adjunct Professor at Imperial College (Tanaka Business School). He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP and is a member of the Bloomberg Risk Council. He is an Editor for the International Journal of Theoretical and Applied Finance, for Applied Mathematical Finance, for the Journal of Risk and for the Journal of Risk Management in Financial Institutions. He holds Doctorates in Nuclear Engineering and in Science of Materials/Solid State Physics. He was a Research Fellow in Physics at Corpus Christi College, Oxford, UK. Dr Rebonato is also the author of the books Coherent Financial Stress Testing: A Bayesian Approach (2010), The LMM-SABR Model: Pricing, Calibration and Hedging (2009), Plight of the Fortune Tellers (2007), Volatility and Correlation in Option Pricing (2004, 1999), Modern Pricing of InterestRate Derivatives (2002), Interest-Rate Option Models (1998, 1996). He regularly publishes academic papers on finance in academic journals such as Quantitative Finance, Journal of Investment Management, International Journal of Theoretical and Applied Finance, Applied Mathematical Finance, Journal of Risk Management in Financial Institutions and others
16:30
Paul Shotton, Deputy Head Of Portfolio Risk Control & Head Of Group Risk Methodology, UBS Bio can be found on page 8 Eduardo Canabarro, Managing Director, Head Of Credit & Market Quantitative Risk, MORGAN STANLEY Bio can be found on page 12 Andrew Abrahams, Global Head Of Quantitative Research JP MORGAN Bio can be found on page 10 Evan Picoult, Managing Director, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOL Bio can be found on page 15
10:10
Session 2: 30mins
15:10
Taron has thirteen years of asset management experience, most recently with Shell Asset Management Company (SAMCo) the asset manager of Shell pension funds globally, where he is responsible for strategic asset allocation. Prior to his strategy work at SAMCo, Taron was a senior portfolio manager active strategies with responsibilities for long-short quantitative and global thematic portfolios. As a senior fund manager at Delta Lloyd Asset Management (AVIVA Group) Taron was instrumental in developing and launching absolute return investments funds with derivative overlays, raising in excess of Eur 700 million.
Mark Carey is Adviser in the Division of International Finance at the Federal Reserve Board in Washington, DC. He is also co-director of the National Bureau of Economic Researchs Risks of Financial Institutions Working Group, which is a mixed group of academics and financial professionals that focuses on risk management at financial firms. He was a founding-father of Basel 2, and though he is a research economist, he has frequently worked closely with bank examiners. He has written a lot of technical papers about credit risk and also about corporate debt and corporate finance. His Ph.D in economics is from Berkeley and his undergraduate degree in economics is from Oberlin College.
15:50
Afternoon Tea
18:30
To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225
13
DAY 3
16:30
12:40
15:50 16:30
Afternoon Tea
What Makes A Good Risk Manager?: Understanding The Relative Importance Of Experience, Education & Specific Skill Set & How Can You Do Better?
Keith Waitt, President and CEO CONSULTANCY MATTERS LLC
Keiths career spans 23 years at Citigroup in London and New York, in a variety of leadership roles managing businesses, people and developing risk competencies. Since establishing Consultancy Matters, Keith has taught and advised corporate and investment bankers, regulators and academics in risk management practices and training curricula on a global basis. Keith is currently on the New York chapter of the Risk Management Association (RMA) Education and Standards Committee. Keith is a member of the Global Council for Thunderbird School and is also an Executive in Residence and Director of the Thunderbird Global Risk Management Center at the School. Keith is passionate about the pursuit of excellence in the risk management profession.
Since September 2002, Jean-Bernard Caen has conceived and implemented the Economic Capital framework at DEXIA Group. Before joining DEXIA, Jean-Bernard was 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 Allocation and ALM. In this role, Jean-Bernard Caen directed numerous assignments for banks and financial institutions, notably in France.
17:10
Ottmar has more than 28 years experience in risk management as banker and regulator. He graduated in mathematics and economics at Cologne University, started his professional career 1983 at WestLB in Operations Research and moved to Investment Banking in 1998 where he managed the Banks banking book bond portfolio. 1995 Ottmar became Head of Risk Management Support & Control and run the Banks global market risk management; later his area of responsibility also covered operational risk management, credit portfolio modelling / reporting and the introduction of economic capital based enterprise risk management. 2005 Ottmar joined Risk Modelling Group of BaFin, Germanys Federal Financial Supervisory Authority, as Special Advisor and Head of Methods & Policies, covering especially the use of risk models for market, credit and operational risk. Currently he is in charge of Q RM, BaFins Department for Risk Modelling, which covers risk models in the banking and insurance industry.
17:10
Exploring The Creation Of Loan Performance Indices As Basis For Stress Testing
What Is The Impact Of Negative GDP Growth, Unemployment And Drop In Real Estate Prices On PD And LGD Developments In Bank Portfolios?
Panellists: Philip Winckle, SEB
Philip Winckle has worked in banking for 30 years, after completing a bachelor degree in finance at Macquarie University in Sydney, Australia. He has worked mainly in credits and risk in Australia, Asia and Europe. Career highlights include workout roles in the Australian property disaster in the early 1990s and the Asian financial crisis of 1997-2000 and setting up of the Group Risk Control function for SEB in 2007. His current role is Senior Advisor to the CRO at SEB in Stockholm, particularly focusing on credit and operational risk measurement and RWA. Philip is also chairman and one of the founders of the Pan European Credit Data Consortium (PECDC).
17:50
15:10
Juan M. Licari is a Senior Director at Moodys Analytics and the head of the Credit Analytics team for Europe, the Middle East, and Africa. Dr. Licaris team provides consulting support to major industry players, builds econometric tools to model credit phenomena, and implements 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 the underlying economic cycle, allowing portfolio managers to plan for alternative macroeconomic scenarios. Juan is actively involved in communicating the teams research and methodologies to the market. He often speaks at credit events and economic conferences worldwide.
Understanding What Connects Different Risk Types & How To Devise And Implement An ERM Framework In The Context Of All Other Silo Frameworks?
Nancy Loucks, EVP, Enterprise Risk Management STATE STREET *tbc
State Streets Enterprise Risk Managements programs are designed to identify, assess, measure, manage, control, and report on State Streets risk exposures globally. Ms. Loucks recent activities have focused on risk management governance and program evolution in the wake of recent market events. Ms. Loucks serves on a number of corporate risk management committees at State Street as well as a number of affiliate bank boards.
12:40
15:50 16:30
Afternoon Tea
13:20 14:30
Lunch
Clark Abrahams is Global Marketing Director, Governance, Risk, & Compliance at SAS. A former Chief Risk Officer, Author and Inventor, he is currently on the Board of Social Compact, and a committee member on OCEGs Leadership Council. He has more than 30 thirty years of experience as a banker and senior risk manager. Abrahams and coauthor Mingyuan Zhang wrote: Fair Lending Compliance Intelligence and Implications for Credit Risk Management (2008) and Credit Risk Assessment The New Lending System for Borrowers, Lenders, and Investors (2009). On his blog, The Principled Achiever, Abrahams discusses the importance of winning business, while earning trust.
12:00
15:10
17:50
"A Great Opportunity To Discuss The Key Topics Impacting The Risk Management Industry Today"
Stephan Schoess, First Vice President, Chief Economist, OCC
14
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
DAY 3
STREAM D The Latest Developments In Counterparty Credit Risk & CVA
11:20
17:50
John Hull is an internationally recognized authority on derivatives and has many publications in that area. Recently his research has been concerned with credit risk, executive stock options, volatility surfaces, market risk, and interest rate derivatives. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull- White interest rate model. He has written three books Risk Management and Financial Institutions (new this year), "Options, Futures, and Other Derivatives" (now in its sixth edition) and "Fundamentals of Futures and Options Markets" (now in its fifth edition). The books have been translated into many languages and are widely used in trading rooms throughout the world. He has won many teaching awards, including University of Toronto's prestigious Northrop Frye award, and was voted Financial Engineer of the Year in 1999 by the International Association of Financial Engineers
Eduardo Epperlein is a Managing Director at Nomura International, responsible for Global Risk Methodology. His responsibilities include market and counterparty risk and their implications for regulatory and economic capital. Eduardo has 16 years experience in the financial industry, is a regular contributor to regulatory meetings and has chaired several 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.
13:20 14:30
Lunch
13:20 14:30
Lunch
15:10
Alexandre heads the Credit Risk product management practice at Murex where he leads the development and implementation of credit risk solutions for financial institutions. His recent work has focused predominantly on the Counterparty Risk management of OTC derivatives, supporting both risk management and CVA trading desk functions. Alexandre joined Murex in 2000 as an interest derivatives consultant. Prior to his current appointment, he successfully performed product consulting and client management roles in the areas of market and credit risk management, last serving as Head of ERM, Asia Pacific. Alexandre holds a Masters degree in management and finance from HEC Paris.
Evan Picoult is a Managing Director within Citis Risk Architecture Department as well as an Adjunct Professor in the Decision, Risk and Operations Department of Columbia Universitys Business School. Over the last few years he has focused on firm-wide projects regarding BaselII, B-II.5, and Basel-III, stress testing and the enhancement of the measurement, implementation and use of Economic Capital. Evan joined Citibank in 1980 in systems development, transferred to a trading desk in 1986 and has worked in internal risk management since 1988. He has led the development of the methods used at Citi for measuring market risk and counterparty credit risk. He is a frequent lecturer on risk topics at professional conferences, regulatory conferences and at universities and has published a number of articles on risk topics. He is on the Advisory Board of the IAFE (International Association of Financial Engineers) and is co-head of the IAFE Credit Risk Committee. He was the North American co-chair of ISDAs Risk Management Committee from the mid-1990s until last year, and is still active on ISDA risk committees. For the last 16 years he has very actively worked on Basel issues as a member of several industry associations working groups. For several years, until 2008, he was also on the board of directors of the IACPM (International Association of Credit Portfolio Managers).. Evan has multi-departmental ties to Columbia University. He has a Ph.D. in experimental particle physics from the Columbias Physics Department, did post-doctoral research on visual perception and taught in Columbias Psychology Department, and, after joining Citibank, he returned to Columbia part time to obtain an MBA in finance from the Executive MBA program of Columbias Business School. Since 2006 he has been an Adjunct Professor in the Decision, Risk and Operations department of Columbias Business School where he teaches the Risk Management course.
Corporate Risk Managers 4% Academics 3% Regulators 5% Financial Services Risk Practitioners 62%
15:50 16:30
Afternoon Tea
15:50 16:30
Afternoon Tea
Whilst attendance is predominantly European, we have growing and significant attendance from all across the world. RiskMinds truly is a global event!
CoCos Workshop
Structuring, Pricing And Dynamics Of CoCos: Determining The Right Issue Size
Overview Of Coco Pricing Models: From Rule Of Thumb Models To Smile Conform Advanced Models The Death Spiral And Hedge Dynamics Determining The Right Issue Size On The Basis Of Stress Testing And Market Free Float Wim Schoutens, Professor In Financial Engineering, CATHOLIC UNIVERSITY OF LEUVEN
17.10
Wim Schoutens is professor in financial engineering at the Catholic University of Leuven, Belgium. He has extensive practical experience of model implementation and is well known for his consulting work to the banking industry and other institutions. He is an independent expert advisor to the European Commission on State aid assessment of valuation of impaired assets and of asset relief measures and has assessed in that position about EUR 1 trillion of assets. Wim is the author of several books including " Contingent Convertibles (CoCos) : Structure and Pricing," the first book ever on Contingent Capital and CoCo bonds (written together with Jan De Spiegeleer). He is Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of several quantitative finance journals.
Europe 62%
17:50
To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225
15
Co-Sponsors
Accenture is a global management consulting, technology services and outsourcing company, with more than 223,000 people serving clients in more than 120 countries. Combining unparalleled experience, comprehensive capabilities across all industries and business functions, and extensive research on the worlds most successful companies, Accenture collaborates with clients to help them become high-performance businesses and governments. The company generated net revenues of US$21.6 billion for the fiscal year ended Aug. 31, 2010. Accenture Risk Management consulting services works with clients to create and implement integrated risk management capabilities designed to gain higher economic returns, improve shareholder value and increase stakeholder confidence. Moodys Analytics helps capital markets and risk management professionals worldwide respond to an evolving marketplace with confidence. The company offers unique tools and best practices for measuring and managing risk through expertise and experience in credit analysis, economic research and financial risk management. By providing leading-edge software, advisory services, and research, including the proprietary analysis of Moodys Investors Service, Moodys Analytics integrates and customizes its offerings to address specific business challenges. Moody's Analytics is a subsidiary of Moody's Corporation (NYSE: MCO), which reported revenue of $2 billion in 2010, employs approximately 4,500 people worldwide and maintains a presence in 26 countries. Further information is available at www.moodysanalytics.com. Quantitative Risk Management, with offices in Chicago, London, and Singapore, is the world's leading enterprise risk management consulting firm. Since our founding in 1987, QRM's vision has been to consistently provide expert analytics and risk management advice to financial institutions across the globe. Today, we are the trusted financial risk consultancy of industry-leading organizations, with a track record of success under any economic circumstance or event. We have extended our proven methods to an international base, including clients on 6 continents and in over 30 countries. QRM's client list numbers over 150 financial institutions worldwide, including 9 of the top 10 US banking companies. QRMs Risk Framework combines the advice of a consulting firm, knowledge of a financial research firm, and models developed with the expertise of an information technology company, to create a comprehensive foundation upon which a financial institution can build an enterprise risk management practice that includes market and credit risk as well as economic and regulatory capital. Risk Dynamics mission is to deliver risk management consulting to the global financial services industry through expertise, excellence and innovation. Our market leadership lies in assessing the adequacy, reliability, consistency and transparency of risk management practices. Specifically, we perform audits of risk management frameworks, ICAAP and ORSA as to ensure consistency around key domains such as risk appetite, risk profile, risk control & environment and stress testing. We validate models in banking, insurance and asset management industries. We also offer bespoke training and coaching to regulators, senior management and firms requiring global deployment of risk policies and strategies. Our engagements cover the whole spectrum of risks (credit, market, underwriting, operational, ALM but also strategic, reputational and liquidity risks). We work in small teams of highly skilled experts operating with a time-boxing and value-add approach. Our methodologies are continuously updated through sustained dialogue with regulators, permanent examination of market best practices, and dedicated research. Our practices and services are customized according to the uniqueness of each client's environment and strategy. Risk Dynamics caters to its customers whatever the size, geographical location or regulatory environment. SAS is the leader in business analytics software and services, and the largest independent vendor in the business intelligence market. Through innovative solutions delivered within an integrated framework, SAS helps customers at more than 45,000 sites improve performance and deliver value by making better decisions faster. SAS approaches governance, risk, compliance and performance management by providing a powerful blend of data integration, analytics and reporting capabilities (Business Analytics Framework) for analyzing and managing risks in the context of corporate strategy and performance. Since 1976 SAS has been giving customers around the world THE POWER TO KNOW.
McKinsey & Company is a global management consulting firm. For more than 85 years, our mission has been to help our clients achieve distinctive, substantial and lasting improvements in their performance. We help companies worldwide to define their strategies, strengthen their organizations and improve their operations. We are the trusted advisor and counselor to many of the most influential businesses and institutions in the world and our clients include more than two-thirds of the Fortune 1000. In Risk, McKinsey acts as prime counselor to clients in all industries, with particularly strong links to our financial services, energy and materials industry practices. Our practice consists of more than 80 partners, 350 consultants and 65 experts and specialists, supported by a global risk analytics team focused on modeling and tool development. We serve clients on topics including enterprise risk management and risk strategy, risk governance, organization and culture, risk and regulation, credit and counterparty risk, market and commercial risk, and operational risk. As an institution privately owned by its partners, McKinsey remains completely independent.
Associate Sponsors
Algorithmics is the world's leading provider of enterprise risk management solutions. Algorithmics software, analytics, and advisory services enable financial institutions to make risk-aware business decisions, maximize shareholder value, and meet regulatory requirements. Supported by a global team of risk experts based in all major financial centers, Algorithmics offers proven, award-winning solutions for market, credit, liquidity, and operational risk, as well as collateral and capital management. Algorithmics is a member of the Fitch Group. workflow, increase global distribution to markets, manage risk and compliance and improve operational efficiency. MORS Software is a leading provider of intelligent real-time risk management solutions for banks. MORS real-time solutions enable treasurers, liquidity managers, risk managers, controllers and senior management to make informed and optimised decisions in all market conditions. MORS solutions real-time information flows and continuous calculation modules provide more monitoring facilities and flexibility for risk management. MORS Liquidity Manager TM, a powerful solution for risk optimisation, risk mitigation and internal steering of the banks liquidity, funding and holdings, is delivered with a default configuration for Basel III LCR (Liquidity Coverage Ratio) and CIS7 reporting. Like all MORS solutions, MORS Liquidity Manager gathers transactions from existing core and trading solutions, and provides a complete and transparent picture of the banks liquidity position. The analysis covers not only treasury and trading, but also the retail side of the banking books
Bloomberg provides solutions designed specifically to address the trading, sales, portfolio ,and operations needs of buy-side and sell-side firms. For sell-side fixed income firms, Bloomberg provides a front-toback inventory, trading and operations solutions on a hosted platform. Central to this platform is the Bloomberg Trade Order Management System, TOMS, a global, multi-asset class, order management system. TOMS enables you to optimize the trading
Rich of its 25-year experience in capital markets, Murex has developed an unmatched competence in the design and implementation of integrated and cost effective solutions offering best-in-class features horizontally across asset classes - and vertically, from the front office to the back office. Murex offers a suite of risk management solutions for banks, hedge funds, asset managers, prime brokers, exchanges, corporate treasuries, utilities, oil groups, trading organisations and other institutions. The MX.3 platform features: An enterprise-wide risk management solution, called MX Risk Manager, providing cutting edge risk management tools for the management and control of Credit Risk, Market Risk and Liquidity Risk. MX Risk Manager can be deployed as a standalone risk platform. A Compliance & Constraints Server for pre-trade and post-trade compliance on a wide variety of rule types. A Margining & Collateral Management solution, called MX Collateral Manager providing an enterprise-grade cross-product collateral management and margin trading system.
16
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
Associate Sponsors
Numerix is the global leader in cross-asset analytics for OTC derivatives and structured products, providing software and services for structuring, pre-trade pricing and analysis, trade capture, valuation, and risk management. Numerix offers a comprehensive model library and a transparent dealdefinition architecture that allows the rapid modeling of any instrument, including commodity, credit, equity, fixed income, foreign exchange, and inflation derivatives, plus a unique hybrid model framework for exotics and structured products. Numerix analytics are available through Windows applications, Excel add-ins, developer kits and a wide range of partner systems, with over 700 clients and 50 partners across more than 25 countries. Founded in 1996, Numerix is privately held, with offices in New York, London, Tokyo, Hong Kong, Singapore, Beijing, Seoul, Sydney, Mumbai, Dubai and Vancouver. For more information, please contact sales@numerix.com SEBA International Executive Search recruits exclusively for Financial Services and Technology companies. Our Financial Services practice specializes in recruiting executives to finance, risk and compliance positions across the global financial services sector. For over ten years, our team has partnered with global market leaders across commercial and retail banking, corporate and wholesale banking as well as the investment management sector. This niche recruitment specialty has allowed us to develop unsurpassed marketplace knowledge within these disciplines, which in turn, has translated into and continues to deliver faster results for our clients. Our focus on industry as well as function provides our clients with unparalleled market awareness while our global reach ensures that clients have access to this talent on a worldwide scale. Deep, trusted client relationships, complemented by extensive domain expertise and a global network, help us achieve close alignment between clients and candidates to ensure long-term retention and continued success.
Refreshment Sponsor
Consultancy Matters LLC is an independent consulting company that operates across the global financial services industry with expertise in designing, developing and delivering skills enhancement programs. Training encompasses hard skill areas (e.g. risk management, compliance and professional qualifications) and soft skill areas (e.g. leadership, people management). Each program is individually created to sustainably meet the specific needs of each client organization and delivered by expert Associates, who have real-world experience of successfully implementing best practice risk management and compliance policies and procedures within banks and other financial institutions globally. From corporate governance at board-level through policy writing to process mapping, Consultancy Matters expert staff have the experience and knowledge to offer advice and execute training on a broad array of risk and compliance management issues. Whether through our corporate training activities or our academic links, we are committed to the ongoing education of current and future risk professionals. Visit www.consultancymatters.com
Ri$kMinds 2011Exchange
The Essential Marketplace for Products and Services within the Risk Management Sector.
Contact Rustum Bharucha on +44-20-7017-7225 or rbharucha@icbi.co.uk for more details of the opportunities available or to reserve your space now!
Exhibitors
SunGard for Enterprise-wide Risk Management Proven Today Prepared For Tomorrow
Find out more: www.sungard.com/enterpriserisk www.sungard.com/ambit jane.boorman@sungard.com
17 18
RiskMinds in Geneva is truly the annual event for the industry. It is the place to meet with your peers and find out what everyone (ranging from the CROs, academics & regulators to the risk practitioners) is working on. With the current regulatory changes on the horizon, I am looking forward to hearing what everyone has to say during the 2011 event!
Eduardo Epperlein, Managing Director, Global Head of Risk Methodology, NOMURA
DATES
John Hull Workshop 5 December 2011 Global Risk Regulation Summit 5 December 2011 Main Conference 6-8 December 2011 Post-Conference Risk Workshops 9 December 2011
www.icbi-riskminds.com
VENUE DETAILS
Hotel President Wilson 47 Quai Wilson CH-1211 Geneva 21 Switzerland Tel: +41 22 906 66 66 Fax: +41 22 906 66 67 resa@hotelpwilson.com Download hotel booking form at www.icbi-riskminds.com
1st Delegate:
Name Job title Direct Tel Email Address Department Mobile Tel Direct Fax
2nd Delegate:
Name Job title Direct Tel Email Address Department Mobile Tel Direct Fax
I would like to receive information on future events & services via email. By giving you my email address I am giving ONLY IIR companies the permission to contact me by email.
Yes! I would like to receive info on future events & services via fax
I would like to receive information on future events & services via email. By giving you my email address I am giving ONLY IIR companies the permission to contact me by email.
Signature Hd of Dept: Name Job title Direct Tel Email Address Booking Contact: Name Job title Direct Tel Email Address Person who will attend if I have to cancel: Name Job title Direct Tel Email Address
Yes! I would like to receive info on future events & services via fax
Signature Department Mobile Tel Direct Fax Department Mobile Tel Direct Fax
3rd Delegate:
Name Job title Direct Tel Email Address
200 Discount
Department Mobile Tel Direct Fax
I would like to receive information on future events & services via email. By giving you my email address I am giving ONLY IIR companies the permission to contact me by email.
q
YOUR COMPANY DETAILS
Yes! I would like to receive info on future events & services via fax
Signature
SAVE
SAVE
SAVE
SAVE
5-DAY PACKAGE: Main Conference + Global Risk Regulation Summit + Post-Conference Risk Workshop (please select one below)
5 9 Dec
4397
1600
4897
1100
5097
900
5297
700
5-DAY PACKAGE: Main Conference + John Hull Workshop + Post-Conference Risk Workshop (please select one below)
4-DAY PACKAGE: Main Conference + Global Risk Regulation Summit 4-DAY PACKAGE: Main Conference + John Hull Workshop 4-DAY PACKAGE: Main Conference + Post-Conference Risk
(please select one below)
5 9 Dec
5 8 Dec 5 8 Dec 6 9 Dec
6 8 Dec
4297
3598 3498 3498 2599 1499 999 999
1700
1300 900 900 700 100 100 100
4797
3998 3898 3898 2899 1599 1099 1099
Credit Risk
1200
900 500 500 400 -
1-DAY PACKAGE: Global Risk Regulation Summit Only 1-DAY PACKAGE: John Hull Risk Workshop 1-DAY PACKAGE: Post-Conference Risk Workshop Only (please select one below)
Please select one of the following Post-Conference Risk Workshops (9 December):
1000
700 300 300 200 -
800
500 100 100 -
The VAT rate is subject to change and may differ from the advertised rate. The amount you are charged will be determined when your invoice is raised. Savings include Multiple Booking & Early Booking Discounts. All discounts can only be applied at the time of registration and discounts cannot be combined (apart from Early Booking discounts that apply to everyone). All discounts are subject to approval. Please note the conference fee does not include travel or hotel accommodation costs. 200 discount for third and subsequently registered delegate fee for any packages that include the main conference. Conference code FKN2233. We are happy to accept a replacement delegate for the whole event, however delegate passes cannot be split or shared between delegates under any circumstances.
PAYMENT DETAILS
Please use this form as our request for payment. Fax and phone bookings should be made with a credit card number, or followed up by a posted registration form. Places are only guaranteed by full payment, which must be received before the conference. I will pay by: o Cheque/bankers draft made payable to ICBI for ............................................... o Invoice to be sent to my company Please debit my Mastercard Visa Eurocard American Express
CVV Number
3 digit security code on the reverse of card, 4 digits for AMEX card
o Bank transfer - full details of bank transfer options will be given with your invoice on registration.
TERMS AND CONDITIONS: Attendance at this conference is subject to the ICBI Delegate Terms and Conditions at https://icbi-events.com/assets/files/Terms-and-Conditions.pdf. Your attention is drawn in particular to clauses 6, 8 and 14 of the ICBI Delegate Terms and Conditions which have been set out below: Cancellation Policy: If you cancel in accordance with this policy, you will receive a refund of your fees paid to ICBI (if any): (i) if you cancel your registration 28 days or more before the Conference, subject to an administration charge equivalent to 10% of the total amount of your fees plus VAT; or (ii) if you cancel your registration less than 28 days, but more than 14 days before the Conference, subject to an administration charge equivalent to 50% of the total amount of your fees plus VAT. ICBI regrets that the full amount of your fee remains payable in the event that your cancellation is 14 days or less before the Conference or if you fail to attend the Conference. All cancellations must be sent by email to info@icbi.co.uk marked for the attention of Customer Services and must be received by ICBI. You acknowledge that the refund of your fees in accordance with this policy is your sole remedy in respect of any cancellation of your registration by you and all other liability is expressly excluded. Changes To The Conference: ICBI may (at its sole discretion) change the format, speakers, participants, content, venue location and programme or any other aspect of the Conference at any time and for any reason, whether or not due to a Force Majeure Event, in each case without liability. Data protection: The personal information which you provide to us will be held by us on a database. You agree that ICBI may share this information with other companies in the Informa group. Occasionally your details may be made available to selected third parties who wish to communicate with you offers related to your business activities. If you do not wish to receive these offers please contact the database manager. For more information about how ICBI use the information you provide please see our privacy policy at: https://icbi-events.com/assets/files/Terms-and-Conditions.pdf. If you do not wish your details to be available to companies in the Informa Group, or selected third parties, please contact the Database Manager, Informa UK Ltd, 29 Bressenden Place, London, SW1E 5DR, UK. Tel: +44 (0)20 7017 7077, fax: +44 (0)20 7017 7828 or email integrity@iirltd.co.uk Incorrect Mailing: If you are receiving multiple mailings or you would like us to change any details, or remove your name from our database, please contact the Database Manager at the above address quoting the reference number printed on the mailing label. By completing and submitting this registration form, you confirm that you have read and understood the ICBI Delegate Terms and Conditions and you agree to be bound by them.