Day 1 - Risk Annual Summit

20 March 2013, Wednesday

08:00	Registration and refreshments
08:40	Chairman's opening remarks

08:50	Keynote address: The regulatory update: Where is the OTC derivatives market now? Athanassios Diplas, Senior Advisor to Board of Directors, INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION
09:30	Keynote address: A European approach to macro-prudential policy Ignazio Angeloni, Director General, Directorate General Financial Stability, EUROPEAN CENTRAL BANK
10:10	Panel discussion: Risk management but not as we know it-new practices in risk management in the post-crisis era Assessing the changes in the risk perception after the crisis Redefining risk What is the "new normal" in risk management? Revaluation of risk models and processes Moderator: Akram Yosri, Managing Director, 3i CAPITAL Tomas Hazleton, Head of Risk, GAM Vasilios Siokis, Chief Risk Officer, CHEYNE CAPITAL MANAGEMENT Evgueni Ivantsov, Head of Portfolio Risk and Strategy, HSBC Nicholas Lincoln, Group Head of Market Risk, LCH.CLEARNET
10:50	Morning break and networking opportunities
11:20	Presentation: Addressing the risk data challenge and preparing for the "new normal" New data and reporting requirements - issues and implications Efficient ways of delivering multiple, overlapping requests How is the business case for better risk data management evolving? Dan Higgins, Principal, ERNST &YOUNG
11:50	STREAM ONE: Liquidity and market risk	STREAM TWO: Derivatives and trading
	Chairman's opening remarks	Chairman's opening remarks
	Presentation: A regulatory approach to liquidity risk supervision Liquidity standards and supervisory monitoring of Basel III (LCR and NSFR)-deadlines and schedules Monitoring Tools Open issues and proposed solutions Ulrich Giebel, Liquidity Policy Expert Federal Financial Supervisory Authority, BAFIN	Panel discussion: How financial institutions are adopting to the new OTC derivatives regulations The assessment of the OTC derivatives regulations implementation Challenges met and questions to be answered What will be the impact of the new regulations on the OTC derivatives market? Risk management and default procedures Moderator: Alex McDonald, Chief Executive Officer, WHOLESALE MARKETS BROKERS' ASSOCIATION Anthony Kirby, Director Regulatory Reform and Risk Management, ERNST & YOUNG Eugene Stanfield, Manging Director, Head of OTC Clearing, COMMERZBANK Barry Hadingham, Head of Derivatives & Counterparty Risk, AVIVA INVESTORS Barry King, Technical Specialist, OTC Derivatives and Post-Trade, FSA
12:30	Presentation: Overview of PIT/TTC Ratings Systems What are PIT/TTCversus Ratings Using PIT/TTC dual PD ratings to support multiple credit risk management objectives including Stress Testing Developing conditional portfolio stress tests using PIT/TTC ratings Scott Aguais, Managing Director and Global Head of Credit Portfolio Analytics, ROYAL BANK OF SCOTLAND	Presentation: Diversification through risk management - A strategic, tactical and factor based approach Risk allocation using the distributions' tail characteristics Letting the opportunity set drive the risk utilization Ensuring sufficient diversification behind the bet structure Anders Lindell, Chief Executive Officer and Chief Investment Officer, IPM
13:10	Lunch
14:00	Presentation: Inflation volatility strategies Inflation options instruments Insights from inflation volatility smiles Examples of successful option trades International context and future developments Mark Greenwood, Head of Inflation Volatility Trading, RBS (Risk Awards 2013: Inflation Derivatives House of the Year)	Presentation: It is time to redefine emerging markets Growth Markets will be the key drivers of global growth Direct investment is critical Valuations are attractive Kathryn Koch, Managing Director, GOLDMAN SACHS
14:40	Presentation: Portfolio Construction: the known unknowns - correlation conundrums Why should we think about correlation when constructing a portfolio The challenges in measuring correlation - intuition can lead one astray Implications for allocators Interesting techniques that can help Tom Howat, Senior Scientist and Partner, CANTAB CAPITAL
15:20	Presentation: OTC Client Clearing: A practical perspective Collateral segregation Initial Margin vs Default Fund optimization Diversification benefits and risk offsets Richard Walker, Executive Director, SwapClear, LCH.CLEARNET
15:50	Afternoon break
16:10	Panel discussion: Where do we stand on funding value adjustment? Should FVA be included when pricing derivatives? Why is this an issue now? Does the law of one price matter? Practice on the trading desks Making sense of prices Moderator: Nick Sawyer, RISK Moorad Choudhry, Professor, Department of Mathematical Sciences, BRUNEL UNIVERSITY Jerome De Vasconcelos, Head of CVA Trading, SOCIETE GENERALE CORPORATE & INVESTMENT BANKING Mats Kjaer, Director, Quantitative Analytics, BARCLAYS
16:50	Champagne round tables: Asset protection, allocation and cash management Devaluation of assets-Findings of the Association for Financial Professionals' liquidity survey Led by Thomas Hunt, Director of Treasury Services, ASSOCIATION FOR FINANCIAL PROFESSIONALS Implementing PIT/TTC Dual PD Ratings to Actively Manage Wholesale Credit Risk Led by Martin King, Managing Director, ROYAL BANK OF SCOTLAND CCR vs. CVA: how to manage similarities and differences Led by Marco Bianchetti, Senior Quant and Risk Manager, INTESA SANPAOLO Bank strategic ALM: an holistic balance sheet approach to assets, liabilities and NIM Led by Moorad Choudhry, Professor, Department of Mathematical Sciences, BRUNEL UNIVERSITY Risk Appetite: A fully integrated risk management framework Led by Bertrand Hassani, Head of Major Risk Management & Scenario Analysis, SANTANDER Tail hedging strategies Led by Maya Rodriguez, Head of Investor Relations and Business Development, 36 SOUTH CAPITAL ADVISORS Asset allocation Led by Kulmit Bhambra, Head of Corporate Risk Advisory, FUSION ASSET MANAGEMENT OTC Clearing and Collateral Management Solutions Led by Ricky Maloney, Co-Head of Service Delivery, IGNIS ASSET MANAGEMENT
17:40	Chairperson's closing remarks