Risk magazine's premier derivatives and risk management conference: Risk USANew York, 13-16 November 2006
Program

Day Two: Wed 15 Nov 2006 | Download the program View Day Two At-A-Glance
8.20 Registration and coffee
8.50 Welcome address: Nick Sawyer, Editor, RISK MAGAZINE
9.00
KEYNOTE
Keynote address: Pension plans in the future: the distribution of risk
Lars Rohde, Chief Executive Officer, ATP

9.40
KEYNOTE
Keynote address : Speaker to be confirmed
10.20 Morning break and opportunity to visit the exhibition
Click to go directly to a stream:
Stream 1: NEW FRONTIERS IN INVESTMENT MANAGEMENT
Stream 2: ACTIVE PORTFOLIO RISK MANAGEMENT
Stream 3: INNOVATIONS IN DERIVATIVES TRADING
Stream 4: LATEST ADVANCES IN QUANTITATIVE FINANCE AND DERIVATIVES MODELING
STREAM ONE:
NEW FRONTIERS IN INVESTMENT MANAGEMENT
STREAM TWO:
ACTIVE PORTFOLIO RISK MANAGEMENT
10.50 Chairman’s opening remarks
Marc Zwebner, Senior Vice President, CARE CAPITAL GROUP
Chairman’s opening remarks
Chairman to be confirmed
11.00 Managing hedge fund and alternative investments Regulatory and economic capital
 

Future prospects for credit hedge fund strategies
• Measuring credit spread risk consistently across a portfolio
• Modeling spreads through equity, CDS and bond markets
• Equity to credit models
Robert Stamicar, Head of Research Americas, RISKMETRICS

Risk clinic: Regulatory update – progress on Basel II implementation in U.S. and Europe
This risk clinic will provide delegates with an opportunity to discuss Basel II implementation progress and challenges facing their firm
Roger Cole, Senior Associate Director, Division of Banking & Regulation, FEDERAL RESERVE BOARD
Brent T. Hoyer, Senior Examination Specialist, FEDERAL DEPOSIT INSURANCE CORPORATION



11.40 Investment opportunities and risks in emerging markets hedge funds
Investment opportunities usually carry unwanted risks
• Direct hedging instruments are not always available
• Risk management overlay funds can eliminate unwanted risks
• Use of currency swaps and developed market futures
• The future of fund management
Jason MacQueen, Chairman, ALPHA STRATEGIES & R-SQUARED
Standards and expectations of model validation
• Scope of model validation
• Principles of model validation Developmental evidence
• Issues in model validation in the context of IRB models in Basel II
• Validation policy and documentation
• Role of industry benchmarking
Ashish Dev, Executive Vice President, KEYCORP
12.20 Lunch and opportunity to visit the exhibition
13.40
PLENERY
Plenery panel debate: Identifying and utilizing portable alpha
Gordon Yeager, Managing Director, Head of Risk Management, STANFIELD CAPITAL PARTNERS
Brent T. Tran, Head of Risk Management, CANTILLON CAPITAL MANAGEMENT
Michael Y. Liu, Head of Risk Management, FISCHER FRANCIS TREES & WATTS
Ken Akoundi, Senior Vice President, Co-Head of Risk Management, OPTIMA FUND MANAGEMENT
Reid Bernstein, Chief Executive Officer, ONECAPITAL MANAGEMENT PARTNERS
14.30

Panel debate: Measuring and managing the risks of single and multi strategy hedge funds
Moderator: David Martin, Chief Risk Officer, ALLIANCE
CAPITAL MANAGEMENT
Ezra Zask, Managing Director, AZIMUTH TRUST
Elliot Noma, Senior Vice President & Chief Risk Officer, ASSET ALLIANCE CORPORATION
Jason MacQueen, Chairman, ALPHA STRATEGIES & R-SQUARED
Bernd Hasenbichler, Founder & President of the Board,
HASENBICHLER ASSET MANAGEMENT

Managing market, credit and liquidity risk
  Stressed LGD and PD estimation
• Probability of default estimation for low default portfolios
• Factors driving Loss Given Default estimates (LGDs)
• Estimating default-weighted LGDs for wholesale portfolios and the difference between expected and
stressed LGDs
Philip Chamberlain, Managing Director, Head of Credit Modeling, BANK OF NEW YORK
 

15.10 The alpha hunting ground
• Assessing quantitative strategies
• The dynamic alternative and absolute return markets
• Ideas in action: absolute return strategies that are leading the way
• Caveats
Thoughts on performance
Joseph Cherian, Managing Director & Global Head, Quantitative Strategies Group, CREDIT SUISSE ASSET MANAGEMENT
Advances in loan portfolio credit risk management – the regulatory perspective
• Development and maintenance of effective risk grading systems
• Comprehensive loan pricing systems in a competitive environment
• Managing concentrating risk
• Portfolio optimization
Christine Grom, Senior Examination Specialist, FEDERAL DEPOSIT INSURANCE CORPORATION
15.50 Afternoon break and opportunity to visit the exhibition
16.20 Commodities investment and risk management Stress testing of portfolio market risk
• Stress testing vs. VaR
• Basel guidance
• Identifying risk factors for mortgage portfolios
• Incorporating correlations between risk factors
Jonathan G. Harris, Vice President, Capital Markets Research, FANNIE MAE
  Panel debate: Investment opportunities in energy commodities – Gaining exposure to commodities as an asset class and managing their risk and price
volatility

Jason M. Kellman, Director of Investments, PINNACLE ASSET MANAGEMENT
John D’Agostino, Former Founding Partner and Chief Operating Officer of MOTHERROCK LP & currently CHIEF EXECUTIVE OFFICER of DAGGER LLC
Michael Dubin, Partner, POWERS & DUBIN
 

17.00 Venture capital masterclass: From managing risk to hedging uncertainty
• Knight, Keynes and...Rumsfeld
• Arithmetic probabilities
• Bayesian probabilities
• The unknown
• What liquidity is and is not
• A fixed statistical attribute of an instrument or
• A problematic, variable attribute of a market or
• Contractually/legally unavailable
• When bad things happen to illiquid investors
• Passive hedging: balancing illiquid positions with inversely
• Correlated liquid assets
• Active hedging: corporate control as a hedging vehicle
• Access to cash as the prerequisite for exercising control
William H. Janeway, Vice Chairman, WARBURG PINCUS
Measuring and monitoring liquidity risk
• Funding risk and coverage ratios
• Gap analysis
• Market liquidity and close-out horizons
• Determination of the appropriate ‘tenor of risk’
• Incorporating liquidity risk into VaR and stress tests
Omar Gutierrez, Vice President, Credit Analytics, BANK OF AMERICA
  Chairmans closing remarks
17.40 End of congress
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STREAM THREE:
INNOVATIONS IN DERIVATIVES TRADING
Numerix logo

STREAM FOUR:
LATEST ADVANCES IN QUANTITATIVE FINANCE AND DERIVATIVES MODELING
10.50 Chairman’s opening remarks
Vall Herard, Senior Vice President of Product Marketing, NUMERIX
Chairman’s opening remarks
James P. Canales, Chief Operating Officer & Head of Risk, OCTANE
11.00 Exotic derivatives and structured products trading Pricing and hedging complex derivatives
 

Growth and impact of structured products
• Growth of structured notes: volume and complexity
• Impact on vanilla hedges
• Risk-managing exotics
• The future of structured notes
Luc Faucheux, Head of US Interest Rate Exotic Trading, CITIGROUP
Marc Falconer, Head of North American Rates, Currencies and Commodities Structuring, CITIGROUP

Issues in valuing and risk measuring complex/illiquid instruments
• Objectives
• Valuation practices
• VaR measurement
• Recommendations
Alejandro Latorre, Assistant Vice President, FEDERAL RESERVE BANK OF NEW YORK


11.40 The role of structured products in investment and risk management
• Overview of structured products Understanding the risks and rewards of structured products
• leverage
• non-linear payoff
• Structured products in asset allocation and portfolio management framework
• Examples in investment applications and risk assessments of several structured products
Henry Ma, Director of Financial Engineering & Quantitative Research, LOOMIS SAYLES
Stochastic portfolio theory: Foundations, new developments and open problems in stochastic portfolio theory and its applications
• Foundations, new developments and open problems in stochastic portfolio theory and it’s applications
• Growth rates
• Functionally-generated portfolios Diversity and intrinsic volatility
• Relative arbitrage
• Volatility stabilization
Ioannis Karatzas, The Eugene Higgins Professor of Applied Probability, COLUMBIA UNIVERSITY
12.20 Lunch and opportunity to visit the exhibition
13.40
PLENERY
Plenery panel debate: Identifying and utilizing portable alpha
Gordon Yeager, Managing Director, Head of Risk Management, STANFIELD CAPITAL PARTNERS
Brent T. Tran, Head of Risk Management, CANTILLON CAPITAL MANAGEMENT
Michael Y. Liu, Head of Risk Management, FISCHER FRANCIS TREES & WATTS
Ken Akoundi, Senior Vice President, Co-Head of Risk Management, OPTIMA FUND MANAGEMENT
Reid Bernstein, Chief Executive Officer, ONECAPITAL MANAGEMENT PARTNERS
14.30 Variance products and their role in volatility as an asset class
• Volatility products as a portfolio hedge/risk management tool
• Using OTM puts, long variance swaps and long correlation products (including dispersion trades) to protect against market downturns
• Empirical/relative performance of volatility products
• Backtesting and pricing issues
Speaker to be confirmed
Bond futures and their options: an exotic product approach
• Futures delivery option
• Cheapest-to-deliver analysis and explicit pricing formula
• Delta, gamma and beta hedging
• Futures options: a Bermudan instrument
Marc Henrard, Senior Quantitative Analyst, BANK FOR
INTERNATIONAL SETTLEMENTS
 

15.10 Electronic trading strategies

Calibration and hedging of equity-linked insurance benefits under a jump model
• Difficulties in jump model calibration
• Hedging jump risks using standard options
• Optimal dynamic hedging based on risk minimization
• Application to insurance policies linked to equities
• Computational performance results presented
Thomas F. Coleman, Professor, Combinatorics and
Optimization, Dean, Faculty of Mathematics, UNIVERSITY OF WATERLOO

 

Panel debate: What should buy-side firms be aware of when selecting and using algorithmic trading tools?
Panelists to be confirmed

 

 

 

15.50 Afternoon break and opportunity to visit the exhibition
16.20 Assessing electronic interest rate swap trading platforms: multi-dealer or single-dealer?
• Swaps and OTC derivatives
• Are they specific markets ill-suited for electronic trading?
• Or is it a story of a long, slow and unavoidable evolution towards modern means of trading?
Ivan Zelenko, Head of Derivatives & Structured Finance, THE WORLD BANK

Equity hedge fund ABS model
• Review of asset-based style analysis (ABS) in the context of hedge fund
• Investments – simultaneously estimating hedge fund exposures to a variety of market instruments
• Focus on the effectives of a variety of volatility factors in the context of equity-oriented hedge funds
• Determination as to which instruments provide the best explanatory power and the best intuitions concerning the exposures of equity-related hedge fund managers to the volatility markets
David E. Kuenzi, Head of Risk Management & Quantitative
Research, GLENWOOD CAPITAL INVESTMENTS, A MEMBER
OF THE MAN GROUP

 

17.00 Volatility investments Pricing and modeling credit default swap indices and derivatives
• Valuation of single CDS contracts
• Valuation and hedging of basket credit derivatives based on CDS indices (synthetic CDO, synthetic CDO2, FTDS)
• Options on individual CDS contracts and options on CDS indices
Tomasz Bielecki, Associate Professor of Applied Mathematics, ILLINOIS INSTITUTE OF TECHNOLOGY
  Volatility investments
• Matching the marketplace to the fund
• Establishing real return benchmarks for Alpha overlays in volatility
• Evaluating marketplace flows and participants
• Modeling versus gaming in the options marketplace
Daniel T. Dismukes, Vice President, Volatility Sector, JPMORGAN INVESTMENT MANAGEMENT
  Chairmans closing remarks
17.40 End of congress
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“Unparalleled in breadth and scope, year after year, Risk USA gives a faithful snapshot of the status of the financial services industry and has established itself as the recognized forum where emerging trends are unveiled and discussed”
Claudio Albanese
Imperial College,
University of London

A superior conference: excellent opportunities to network and gain exposure to financial thought leadership
Chris Bias - KPMG

 

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