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Versione Italiana -
Programme:
Wednesday 14 May 2003
8.00
Registration and coffee
8.30
Welcome address

Matthew Crabbe, Editorial Director, RISK WATERS GROUP

8.40
THE RISK MANAGER'S AGENDA FOR THE NEAR FUTURE

Pierfrancesco Cocco, Head of Risk Management Department, BANCA MONTE DI PASCHI DI SIENA

9.10
USING SECURITISATION TO MANAGE RISK
• Reviewing the Italian securitisation market
• Updates in securitisation ratings and risk modelling techniques
• Impact of market fluctuations and regulatory frameworks
Marc Zanelli, Head of the Italian Securitisation Group, CREDIT SUISSE FIRST BOSTON
9.50
Morning break and opportunity to visit the exhibition
BANK RISK MEASUREMENT AND MANAGEMENT
RISK MANAGEMENT FOR ASSET MANAGERS
10.30
Opening remarks from the chair

Andrea Sironi, Professor in Finance, Market and Institution and Director of the Master in Risk Management, BOCCONI UNIVERSITY

Opening remarks from the chair

Marcello Minenna, Enforcement Officer, CONSOB

10.40
CREDIT RISK
COMPARING THE CREDIT EXPOSURE FOR DERIVATIVES AGAINST BASEL

• Transaction-based calculation of counterparty exposure
• Portfolio-based calculation of counterparty exposure
• Foreign exchange example
• Derivative examples
• Repo example
• Basel approach
• Counterparty exposure
• Repo exposure
• Proposed improvements

David Lawrence, Vice President, Risk Analytics, CITIGROUP
CASE STUDY: DERIVING AND ESTABLISHING A COMPREHENSIVE IN-HOUSE RISK MODEL

• How a risk model must differ for an asset management company
• Adopting the best risk policies from risk model results
• Establishing internal controls and procedures
• Enhancing decision-making strategies through risk policy implementation
• Building ‘trust’ and getting adequate support from fund managers

Dario Brandolini, Head of Risk Management, RAS ASSET MANAGEMENT
11.20
EFFECTIVE TECHNIQUES IN RATING SMALL AND MEDIUM SIZED ENTERPRISES

• Proposed treatment of SMEs under Basel II
• The issues of asset correlation and LGD in Basel II
• The missing issue: diversification
• SMEs rating and the development of a European secondary credit market
• Costs, challenges and benefits of establishing adequate rating processes for SMEs

Renzo G. Avesani, BANCA INTESA
RISK MANAGEMENT FOR THE ASSET MANAGER: PROBLEMS AND SOLUTIONS

• Make VS buy: pros and cons
• Steps in implementations
• The mapping
• System's architecture
• Risk management as part of the investment process

Domenico Mignacca, Director of Risk Management and Performance Analysis, SANPAOLO IMI ASSET MANAGEMENT SGR
12.00
CREDIT BARRIER MODELS
• A new class of credit barrier models can be calibrated simultaneously to historical transition rates and spread curves
• Analytic solvability allows one to find closed form solutions and generate scenarios
• With these models one can:
- generate correlated default events and price basket default swaps
- obtain a matrix of implied credit transition rates for use in CDO pricing
Claudio Albanese, Professor of Mathematics, UNIVERSITY OF TORONTO
EQUITY INDEX DISPERSION AS A LEADING INDICATOR OF EXCESS RETURN

• Index tracking in the co-integration framework
• Applications to equity markets
• Why is there positive excess return in market downturns?
• Introducing a new leading indicator: Index dispersion
• A Markov switching model to identify the current market regime
• Application to the Dow Jones Industrial Average

Carol Alexander, Professor, Chair of Risk Management and Director of Research, ISMA CENTRE, UNIVERSITY OF READING, UK
12.40
Lunch
2.00
CREDIT RISK IN MARKET-DRIVEN INSTRUMENTS

• Sources of credit risk: peculiarities of market-driven instruments
• Recent developments in corporate bonds market
• An explanation of default wave in corporate bonds market
• Ability of Credit VAR techniques to assess risk exposures of an International bond portfolio
• The impact of liquidity on Credit VAR
• Hedging credit risk in corporate bonds portfolio

Mauro Maccarinelli, Head of Market and Liquidity Risk, Risk Management Department, BANCA INTESA
USING MODELS AND TRADING SYSTEMS FOR OVERLAY HEDGING AND ALPHA GENERATION

• Currency strategies - why use them?
• Hedging strategies vs. asset class strategies for investors
• How do they work?
• Case study: A simple trend following strategy, used to enhance fund performance
• Leverage and capital usage
• Do they work?

Jessica James, Vice President, FX Risk Advisory Group, CITIBANK NA
2.40
INTEGRATED CREDIT RISK MANAGEMENT
• The information system for credit risk management
• Internal rating system
• Credit portfolio measurement
• SAS Risk Managementฎ for the evaluation of credit portfolios
• Implementing credit risk models
Renzo Traversini, Director, Risk Management Business Unit, SAS

Lucia Ghezzi, Senior Consultant, Risk Management Solution, SAS

LINEAR MODELS FOR STYLE ANALYSIS
• Different styles of style analysis
• Drawbacks in return based style analysis
• A new model considering portfolio dynamics
• Choice of a set of representative indexes and biases in style assessment
Francesco Corielli, Associate Professor of Mathematical Statistics, Institute of Quantitative Methods, BOCCONI UNIVERSITY
3.20
MITIGATING RISK: SECURITISATION
SYNTHETIC CDOS AND STRUCTURED CREDIT DERIVATIVES - THE NEXT GENERATION PRODUCTS

• Customized CDOs and basket credit derivatives:
- differences and similarities
- comparison of rating methodologies
- which lessons to draw from recent downgrades of CDO tranches?
• How to reduce rating vs spread arbitrage in synthetic deals
• Examples and comparison of different portfolio construction methodologies

Alberto Thomas, Executive Director, UBS WARBURG
FROM RISK ATTRIBUTION TO RISK MEASUREMENT: TECHNIQUES FOR MONITORING AND MANAGING INVESTMENT PORTFOLIO RISK
• Risk attribution and risk measurement
• An overview of risk models
• VAR and relative VAR
• VAR vs Expected Shortfall
• Risk and the investment process
Francesco Betti, Head of Risk Management, ALETTI GESTIELLE SGR, BANCO POPOLARE DI VERONA E NOVARA
4.00
Afternoon break and opportunity to visit the exhibition
4.30
MANAGING THE RISK OF ASSET BACKED SECURITIES
• ABS market growth and development
• Steps in evaluating asset backed securities
• Opportunities and associated risks in Italian ABS
• Recommended risk management strategies
Vito Semeraro, Head of Structured Finance, HSBC
RISK MANAGEMENT IN THE INSURANCE INDUSTRY
Antonio Rosario De Pascalis, Dirigente Responsabile della Sezione Bilanci, Danni e Vita, ISVAP
5.10
PROFITING FROM CDO GROWTH, DEVELOPMENT AND OPPORTUNITIES
• Influence of economic and market fluctuations on structured credit product performance
• Impact of CDOs on credit derivatives
• The future of CDOs
• Contrasting conventional CDO structures VS synthetic structures
Matteo del Fante, Managing Director and Head of Financial Institutions Derivatives Marketing, JPMORGAN
RISK BUDGETING IN INVESTMENT MANAGEMENT
• The consensus opinion on what it is and what it is not
• Proactive risk budgeting in the investment process
• Improving the portfolio risk-return profile
• Scaling from single portfolio to firm-wide control
• Practical aspects of implementation
Mark Lundin, Head of Quantitative Research, FORTIS INVESTMENT MANAGEMENT
5.50
MANAGING FINANCIAL RISK IN EQUITY DERIVATIVES
THE ITALIAN COVERED WARRANTS’ MARKET REGULATORY PERSPECTIVE: COVERED WARRANTS, IMPLIED VOLATILITY AND RISK MANAGEMENT FOR RETAIL INVESTORS

• Evolution in the covered warrant market
• A measurement tool for investors: the implied volatility calculator

Marcello Minenna, Enforcement Officer, CONSOB

PRACTITIONER PERSPECTIVE: THE ITALIAN COVERED WARRANTS MARKET

• Developments in the covered warrant market
• Comparing and contrasting warrants against options
• Implied volatility and retail investors

Marco Montanari, Head of the Italian Covered Warrant Market, SOCIETE GENERALE
QUANTITATIVE TECHNIQUES FOR PORTFOLIO MANAGEMENT

• Applying risk budgeting
• Building active quantitative portfolios

Pierangelo Franzoni, Chief Investment Officer, MONTE PASCHI ASSET MANAGEMENT IRELAND LTD
6.30
Closing remarks from the chair
Closing remarks from the chair
6.40
Cocktail reception
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ฉ Incisive Media Limited 2012
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