RISK EUROPE: Draft Programme, Day One, 26th May 2010, Frankfurt

08.00 Registration and breakfast

08.50 Welcome address - Nick Sawyer, Editor, Risk

09.00 Small business performance: a new phase in the crisis
- The two thirds of the economy nobody talks about
-European Union support to small-medium enterprises (SME)
- Managing SME exposure in structured finance and private equity
- Communication with stakeholders throughout the crisis

Jean-Marie Magnette, Deputy Chief Executive, EUROPEAN INVESTMENT FUND

09.40 KEYNOTE ADDRESS: Managing credit risk: lessons learnt from the crisis

José Manuel González-Páramo, Member of the Executive Board, Executive Board, EUROPEAN CENTRAL BANK

10.20 Enabling risk factor based simulation
-A shift towards business line responsibility with executive level oversight of strategic risk allocations
-Higher level risk intelligence - forward looking, action oriented
-Answering "which strategy is sustainable and matches our risk appetite?"
-Understanding the multi-dimensional complexity of risk aggregation
-Architectures and new adaptive technologies to enable forward looking risk intelligence

Boris Lipianen, Global Head of Product and Development, THOMSON REUTERS

11.00 Morning coffee break

Stream one: Credit/Market/Liquidity Risk

11:30 Chairman’s opening remarks

Boris Lipiainen, Global Head of Product and Development, THOMSON REUTERS

11:40 Using network theory to assess systemic risk

- 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

Kimmo Soramaki, Payments and Market Infrastructure, European Central Bank

12:20 U.S. Repo market and systemic risk

-Industry task force on tri-party repo
-Why did Federal Reserve ask for this effort?
-Final recommendations (to be released May 17)
-Implications for repo market and systemic risk: operational, liquidity
-Next steps and reflections on related efforts -- central counterparties, Basel 3, financial reform

Darryll Hendricks, Managing Director and Global Head of Quantitative Risk Control, UBS

13:00 Lunch and an opportunity to visit the exhibition

14:00 Language, truth and logic

- Risk is a tricky concept. Though easily understood, it’s difficult to define, almost impossible to measure.
-Those who claim most strenuously to be proficient at containing risk tend to demonstrate most comprehensively, when catastrophe strikes, not to be.
-Models are only as good as the assumptions on which they’re based. If the latter are unreliable, so will be the former.
-The simplest rules are best: if it looks too good to be true, it probably is.

Roger Nightingale, Economist, RDN Associates Ltd

14:40 Case study: Rogue trader
- Societe Generale Kerviel case-study
- Were sufficient risk management practices in place

Sebastian Fritz-Morgenthal, Managing Director, ConCap Connective Capital

15:20 Afternoon break and an opportunity to visit the exhibition

PLENARY SESSION

15:50 Human behaviors as a risk factor

- Human biases when subjectively assessing the probably of rare events
- The illusion of our ability to make decisions
- Group think and how it affects decision making

Elliot Noma, Managing Director, Garrett Asset Management; Senior Risk Consultant, Asset Alliance

16:20 Panel: New European Financial Supervision

- Update on European Systemic Risk Board
- Powers and responsibilities of new body
- Relationship with previous bodies – CEIOPS, CESR, CEBS
- Will national regulators lose powers?

John Berrigan, Acting Director Macrofinancial Stability, European Commission
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 governance

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 intelligence for 21st century market efficiency

- Risk management is corporate DNA
- The triangulated approach to risk factors
- Turning risk information into corporate memory
- Risk Intelligence for corporate governance
- Risk intelligence for regulatory compliance

Philippe Carrel, Executive Vice President, Thomson Reuters; author of the new Risk Management Handbook

13:00 Lunch and an opportunity to visit the exhibition

14:00 Towards a systematic choice of scenarios in portfolio stress testing

- Lessons learned from the crisis
- Internal stress testing mechanisms vs government prescribed scenarios
- Extreme scenarios: How to find plausible, extreme and useful stress scenarios
- Securing board-level buy-in to extreme event forecasts

Martin Summer, Head of Economic Studies Division,
Oesterreichische Nationalbank

14:40 Corporate governance: A practitioner's view

- Weaknesses in corporate governance demonstrated by the crisis
- Overview of corporate governance and remuneration proposals (e.g. Walker review)
- Evaluation of UK FSA's "Effective Corporate Governance" Consultation Paper (CP10/3)
- Practitioner's recommendations to improve risk professionalism, independence and effectiveness

Tomas Hazleton, Director of Risk Management-Europe, AllianceBernstein

15:20 Afternoon break and an opportunity to visit the exhibition

PLENARY SESSION

15:50 Human behaviors as a risk factor

- Human biases when subjectively assessing the probably of rare events
- The illusion of our ability to make decisions
- Group think and how it affects decision making

Elliot Noma, Managing Director, Garrett Asset Management; Senior Risk Consultant, Asset Alliance

16:20 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?

Stream three: Modelling and quantitative techniques and critiques

11:30 Chairman’s opening remarks

11:40 Hard to borrow stocks: Information from options markets

- Understanding the stock-loan market and the extant regulations
- Buy-ins and their effect on option market-makers
- Monetizing the convenience yield of HTB stocks
- Regulating short-selling: is this good or bad for the markets?

Marco Avellaneda Professor of Mathematics, Courant Institute of Mathematical Sciences, New York University, Risk Awards 2010, Quant of the Year

12:20 An approach called EWRM
-What differs EWRM from traditionally risk management
-Why is it more important now than ever with an EWRM approach
-How Statoil integrates both financially- and operational risk in Statoil's EWRM
-How to use EWRM in a strategic context

Petter Kapstad, Head of Risk Management, Statoil

13:00 Lunch and an opportunity to visit the exhibition

14:00 Panel: Inflation risk

- Impact of the credit crunch on global inflation expectations
- Market liquidity considerations
- Cross-market correlations (or lack of)
- Inflation floors, or how to deal with deflation
- Inflation-indexed products

Moderator: Duncan Wood, European Editor, RISK
Daragh McDevitt, Global Head of Inflation Structuring , DEUTSCHE BANK
Sebastian Goldenberg, Managing Director, Global Head of Inflation Trading, CITI
Sukhjeet Atwal, Inflation Trading, BARCLAYS CAPITAL
Mark Capleton, Head of Global Inflation-Linked Strategy, SOCIETE GENERALE

15:00 Correlation from collateral to capital charges
- Securitisation and systematic risk
- Correlation and regulatory capital
- Risk measures and concentration
- Dynamic credit portfolio management

Joint presentation: Joao Garcia, Former Head of Credit Modelling Financial Markets, Dexia Bank
Serge Goossens, Senior Quantitative Analyst, Dexia Bank

15:40 Afternoon break and an opportunity to visit the exhibition

PLENARY SESSION

15:50 Human behaviors as a risk factor

- Human biases when subjectively assessing the probably of rare events
- The illusion of our ability to make decisions
- Group think and how it affects decision making

Elliot Noma, Managing Director, Garrett Asset Management; Senior Risk Consultant, Asset Alliance

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?

17:10 Chairman's closing remarks

17:15 Cocktail reception