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RISK EUROPE: Draft Programme, Day One, 26th May 2010, Frankfurt
08:00 Coffee and registration
08:50 Welcome address: Nick Sawyer, Editor, RISK MAGAZINE
09:00 KEYNOTE REGULATORY ADDRESS
Sylvie Matherat, Director Financial Stability, BANQUE DE FRANCE and Chair of Accounting Task Force, BASEL COMMITTEE
09:40 GUEST ADDRESS: TBC
10:20 New Regulation is coming- Are you prepared?
- Embracing Risk-Factor-Based Simulation
Boris Lipiainen, Global Head of Product & Strategy, THOMSON REUTERS
11:00 Morning coffee break
Stream one: Counterparty/credit risk
11:30 Chairman’s opening remarks
11:40 “Too networked to fail” – ECB report on the systemic risk arising from intertwined institutions
- What is financial network analysis?
- How to identify institutions which are "too interconnected to fail?"
- Financial networks and systemic risk: examples from the recent crisis
Olli Castren, European Central Bank
12:20 The Emerging Need for Risk Based Business Strategy
-Creating Competitive Advantage through Effective Risk and Liquidity Management
Alexander Dorfmann, Head of Product Management- TopOffice, THOMSON REUTERS
13:00 Lunch and an opportunity to visit the exhibition
14:00 Economic capital
- bullets tbc
Aurele Houngbedji, Risk Management Officer, International Finance Corporation (IFC)
14:40 Giving risk managers a voice
- Giving a voice to risk management: it also needs to be able to listen
- If management is not on board, it might be a voice in the desert
- Contributing to the business, acting as an enhancer of sound practices rather
than a pure control function
- Defining your firm’s risk appetite (as opposed to tolerance) might help you be
more successful
Piotr Chmielowski, Group Risk Manager, Reech AIM
15:20 Afternoon break and an opportunity to visit the exhibition
PLENARY SESSION
15:50 Central clearing of derivatives – will this minimise risk?
- dispersing or concentrating risk?
- Should it just be interest rate and CDS’ that require central clearing?
16:30 Regulatory Panel: New European Financial Supervision; the two
pillars
- Update on European Systemic Risk Board
- powers and responsibilities of new body
- Relationship with previous bodies – CEIOPS, CESR, CEBS
- will national regulators lose powers?
Arnoud Vossen, Secretary General, CEBS
Carlos Montalvo Rebuelta, Secretary General, CEIOPS
Peter Praet, Executive Director, Financial Stability, NATIONAL BANK OF
BELGIUM
Stream two: Regulation and accountancy challenges
11:30 Chairman’s opening remarks
11:40 Regulatory arbitrage in derivatives reform
- Just the facts first: what market data tells us so far
- The players, their priorities, and their timelines: a multivariate analysis
- Risk management, transparency & corporate governance challenges
- Implications for risk intermediation and policy formation
Barbara Matthews, FORMER U.S. TREASURY ATTACHÉ TO THE EUROPEAN UNION & Managing Director, BCM INTERNATIONAL REGULATORY ANALYTICS LLC
12:20 Risk aggregation methods in financial institutions
- Purposes and management functions
- Developments of aggregation techniques
- Systematic risk and diversification benefits
- Future orientation
Jeroen Lamoot, Prudential Policy, Banking & Insurance, CBFA (Belgium)
13:00 Lunch and an opportunity to visit the exhibition
14:00 Financial instruments accounting
- roadmap to G20 recommendations
- IASB vs FASBI
- Where to now after rejection of first phase?
Speaker to be confirmed
14:40 Risk governance
- Walker review
- bullets tbc
Tomas Hazleton, Director of Risk Management-Europe, ALLIANCEBERNSTEIN
15:20 Afternoon break and an opportunity to visit the exhibition
PLENARY SESSION
15:50 Central clearing of derivatives – will this minimise
risk?
- dispersing or concentrating risk?
- Should it just be interest rate and CDS’ that require central clearing?
16:30 Regulatory Panel: New European Financial Supervision; the two
pillars
- Update on European Systemic Risk Board
- powers and responsibilities of new body
- Relationship with previous bodies – CEIOPS, CESR, CEBS
- will national regulators lose powers?
Arnoud Vossen, Secretary General, CEBS
Carlos Montalvo Rebuelta, Secretary General, CEIOPS
Peter Praet, Executive Director, Financial Stability, NATIONAL BANK OF
BELGIUM
Stream three: Modelling and quantitative techniques and critiques
11:30 Chairman’s opening remarks
11:40 Hard-to-borrow stocks, volatility and equity bubbles
- A self-consistent model of pricing and dynamics for equities subject to
restrictions on shorting
- Contrary to the stated aims of policymakers, such restrictions lead to higher
volatilities and bubbles
- The pricing of options
- Effective dividend rate
Marco Avellaneda Professor of Mathematics, Courant Institute of Mathematical Sciences, New York University
Winner: Risk’s Quant of the year 2009
12:20 Pricing counterparty risk
- Credit Value Adjustment (CVA) and the price of counterparty risk
- Contract level vs. counterparty level
- CVA and risk neutral expected exposure
- Pricing new trades with a counterparty
Speaker to be confirmed
13:00 Lunch and an opportunity to visit the exhibition
14:00 Market crashes and modeling extreme market conditions
- Stable and Tempered Stable processes with volatility clustering in Modelling
Financial Returns
- Modelling Tail Dependencies, choosing the appropriate copula
- Option pricing with tempered stable processes
- Factor models and dimensionality reduction
- Portfolio optimization in the presence of volatile markets
Thomas Breuer, Professor, Director PPE Research Centre, FH VORARLBERG (Austria)
15:00 Correlation from collateral to capital charges
- Securitisation and systematic risk
- Correlation and regulatory capital
- Risk measures and concentration
- Dynamic credit portfolio management
Serge Goossens, Senior Quantitative Analyst, DEXIA BANK
15:40 Afternoon break and an opportunity to visit the exhibition
PLENARY SESSION
15:50 Central clearing of derivatives – will this minimise risk?
- dispersing or concentrating risk?
- Should it just be interest rate and CDS’ that require central clearing?
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16:30 Regulatory Panel: New European Financial Supervision; the two
pillars
- Update on European Systemic Risk Board
- powers and responsibilities of new body
- Relationship with previous bodies – CEIOPS, CESR, CEBS
- will national regulators lose powers?
Arnoud Vossen, Secretary General, CEBS
Carlos Montalvo Rebuelta, Secretary General, CEIOPS
Peter Praet, Executive Director, Financial Stability, NATIONAL BANK OF
BELGIUM
17:10 Chairman's closing remarks
