Day 2 - Risk Annual Summit

21 March 2013, Thursday

08:20	Registration and refreshments
08:50	Chairman's opening remarks
09:00	Keynote panel discussion: Basel III and EMIR-Reconciliation of risk with regulations How effective are the regulatory requirements in protecting financial institutions? Can all the changes be introduced at once? What models should be used by regulators? Unpredicted consequences of regulations Positioning against the regulatory developments-wait or gamble? Moderator: Duncan Wood, Editor, RISK Mark Penney, Head of Capital Management, HSBC Patrick Trew, Chief Risk Officer and Partner, CQS Henry Wayne, Managing Director, Senior Advisor on Regulatory Reform and Risk, CITI
09:40	Chief risk officers' roundtable: Developing a transparent risk culture throughout the organisation How can the CRO ensure that the risk culture is embedded in the organisation? Developing an effective and responsive risk governance framework Engaging cooperation between risk managers Is enterprise risk management a sufficient response to the ever changing risk environment? Can we do more? Moderator: Patricia Jackson, Partner, ERNST & YOUNG Mark Cooke, Chief Risk Officer, BARCLAYS WEALTH Jacques Beyssade, Chief Risk Officer, NATIXIS David Suetens, International Chief Risk Officer, STATE STREET Arjen Pasma, Chief Risk Officer, PGGM
10:20	Panel discussion: Are we any closer to solving the European crisis? European Banking Union consequences How much power shall be given to ECB? Do we risk a polarisation between the euro area and the rest of EU? What is the position of the systematically important institutions? What is the future of the single market? Who will buy bonds of Southern European countries? European stability mechanism Moderator: Richard Jory, Editor, STRUCTURED PRODUCTS Sylvie Matherat, Deputy Director General of Operations, Banque de France and Chair of the Liquidity Workstream, BASEL COMMITTEE Fabian Zuleeg, Chief Economist, EUROPEAN POLICY CENTRE Christopher L. Cruden, Chief Executive Officer, INSCH CAPITAL MANAGEMENT
11:00	Morning break
	STREAM ONE: Credit and counterparty risk	STREAM TWO: Regulatory and operational risk
11.30	Chairman's opening remarks	Chairman's opening remarks
11.40	Presentation: Counterparty Credit Exposure and CVA: From Modeling to Pricing CVA, DVA, RWA pricing and hedging Counterparty credit exposure Collateralized counterparties and close-out risk Cost of funding and cost of collateral Giovanni Cesari, Managing Director, Head of CVA-Quant Team, UBS INVESTMENT BANK	Presentation: The influence of regulations on the market The regulatory response Future risks arising from current policy initiatives What can investors do to prepare William De Vijlder, CIO Strategy and Partners, BNP PARIBAS INVESTMENT PARTNERS
12:20	Presentation: The impact of the regulatory developments on counterparty risk assessment The new regulatory framework The Internal Model Method development experience Computing and backtesting counterparty risk Rita Gnutti, Head of Internal Model Market and Counterparty Risk, INTESA SANPAOLO	Presentation: Integration of risk and finance How to balance regulatory an accounting pressure on more integration with the need of independence From Basel III to IRFS 9, what are the main changes for the next few years How to integrate more forward looking risks measure in the risk and return calculations Olivier Irisson, Deputy Chief Risk Officer, BPCE
13:00	Lunch
14:00	Presentation: Computing Credit CVA with Funding and Gap Risk Motivation: Collateralization and gap risk for credit portfolios FVA, CVA and DVA Margined CVA payoff through collateralization Zero-threshold CVA: a jump diffusion problem Gap risk and the conditional density approach Numerical implementation Applications Youssef Elouerkhaoui, Managing Director, Head of Credit Derivatives, CITI
14:40	Panel discussion: Treasury management in the low yield environmen How do treasurers tackle the limited supply of low risk assets and low interest rates? Optimization of the asset portfolio-what changes should be made? Controlling central instrument variables (e.g., liquidity buffer, capital market funding, equity structure) Moderator: Kirill Ilinski, Managing Partner, FUSION ASSET MANAGEMENT Paul Phillips, Group Treasurer, EASYJET Thomas Hunt, Director of Treasury Services, ASSOCIATION FOR FINANCIAL PROFESSIONALS Sean Grace, Group Treasurer, SECURITAS Michal Kawski, Head of Treasury, GAZPROM MARKETING AND TRADING
15:20	Afternoon break
15:50	Investment strategists' roundtable: Revenue generation in the long term low rates environment Where to look for investment and growth opportunities? Addressing the growth slowdown in Europe and China Market risk assessment The impact of regulations on earnings Does heavy reliance on the sovereign bonds distorts the yield curve? Moderator: Lukas Becker, European Editor, RISK Pierre Sarrau, Managing Director, Head of Risk Management, BLACKROCK Eric Verleyen, Group Chief Investment Officer, SOCIETE GENERALE HAMBROS Christopher L. Cruden, Chief Executive Officer, INSCH CAPITAL MANAGEMENT Andrew McCaffery, Global Head of Hedge Funds, ABERDEEN ASSET MANAGEMENT
16:30	Presentation: Practical insights into OIS derivative discounting implementation The rationale supporting the OIS discounting Challenges of CSA/OIS discounting How the industry is continuing to adapt and respond to changes? Valuation of cash collateral and pricing using OIS discounting Tanveer Bhatti, Global Head of Valuation Control and Analytics, CITI
17:10	Chairperson's closing remarks