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RISK EUROPE: Draft Programme, Day Two, 27th May 2010, Frankfurt
08:30 Coffee and registration
08:50 Welcome address: Nick Sawyer, Editor, RISK MAGAZINE
09:00 CRO Roundtable – exploring the key issues faced by CRO’s in
today’s landscape
- how has the role of CRO changed as a result of recent events?
- What are the key challenges over the next 6-12 months?
- How can CROs ensure board level buy-in?
Tom Wilson, CRO, Allianz
Patrick Trew, CRO, CQS
Raj Singh, CRO, SwissRe
10:00 Reform of the regulatory system
- What changes need to be made in the structure of the regulatory system?
- What are the most important measures we can take to reduce systemic risk?
- What are the key changes that need to be made in the securitization process?
- Have the Basel recommendations gone far enough?
Jose Maria Roldan, Director General Banking Regulation, Banco de Espana & Chair, Standards Implementation Group, Basel Committee
10:40 Morning break and an opportunity to visit the exhibition
Stream one: Effective portfolio management
11:10 Chairman’s opening remarks
11:20 Managing illiquid assets
- case study of SNB StabFund
Marcel Zimmermann, General Manager SNB StabFund, Swiss National Bank
12:20 Stress testing of portfolios to ensure future robustness
- Lessons learned from the crisis
- Internal stress testing mechanisms vs government prescribed scenarios
- Extreme scenarios – what is deemed as unlikely these days?
- Securing board-level buy-in to extreme event forecasts
Speaker to be confirmed
12:40 Lunch and an opportunity to visit the exhibition
13:40 Afternoon Keynote
The World Economic Forum Global Risks 2010, in conjunction with Swiss
Re
- examining the most significant and underlying global risks facing the
global economy
- fall out of global recession and inter-related, non-financial risks
Raj Singh, CRO, SwissRe
14:20 Beyond quantitative analysis - portfolio risk management today
- How to consider managing risk by using both quantitative and qualitative
measures
- Defining risks and calibrating proper mitigations
- Looking beyond VAR measures
Darryl Hendricks, Managing Director and Global Head of Quantitative Risk Control, UBS
15:00 Afternoon coffee break
15:20 Volatility as an asset class: New investable instrument in
volatility: VXX and VXZ
- innovations in investment in volatility
- structured product payoffs referencing volatility
- algorithmic strategies referencing volatility
Speaker to be confirmed
PLENARY SESSION
16:00 Panel: Credit derivatives’ role in risk management: past,
present and future
• What are the lessons from the crisis?
• How can transparency be improved for credit derivatives?
• How can counterparty risk be managed?
Speaker to be confirmed
Stream two: Portfolio management and asset allocation strategies
11:10 Chairman’s opening remarks
11:20 Enterprise risk management’s place in the risk management structure of the future
Speaker to be confirmed
12:00 Empowering risk managers throughout the organisation
- Ensuring risk management thinking is diffused throughout organisation
- Defining risk culture
- Effective reporting to board to ensure buy-in
- Future challenges and priorities for risk management
Speaker to be confirmed
12:40 Lunch and an opportunity to visit the exhibition
13:40 Afternoon Keynote
The World Economic Forum Global Risks 2010, in conjunction with Swiss
Re
- examining the most significant and underlying global risks facing the global
economy
- fall out of global recession and inter-related, non-financial risks
Raj Singh, CRO, SwissRe
14:20 Case study: Rogue trader
- Societe Generale Kerviel case-study
- Were sufficient risk management practices in place
Sebastian Fritz-Morgenthal, Managing Director, ConCap Connective Capital
15:00 Afternoon coffee break
15:20 Moving operational risk up the agenda in light of Basel recommendations
- key components of an effective OpRisk structure
- transferable skills for other risk disciplines
- diffusing OpRisk best practice throughout the organization
- op risk manager authority - what does the ORM approve
- op risk management - a job or a career
Speaker to be confirmed
PLENARY SESSION
16:00 Panel: Credit derivatives’ role in risk management: past,
present and future
• What are the lessons from the crisis?
• How can transparency be improved for credit derivatives?
• How can counterparty risk be managed?
Speaker to be confirmed
Stream three: Risk management for the buy-side
11:10 Chairman’s opening remarks
11:20 Corporates financial risk management
- unique challenges faced by corporate finance
- hedging risks
- tailoring derivatives
- central clearing issues
Speaker to be confirmed
12:00 Risk management for insurers
- Bad assets, bad liabilities, bad decisions, or bad business?
- Do insurance companies contribute to overall systemic risk?
- The future of insurance company regulation
Tom Wilson, Chief Risk Officer, ALLIANZ
Winner: Risk's Insurance Risk Manager of the Year 2009
12:40 Lunch and an opportunity to visit the exhibition
13:40 Afternoon Keynote
The World Economic Forum Global Risks 2010, in conjunction with Swiss
Re
- examining the most significant and underlying global risks facing the global
economy
- fall out of global recession and inter-related, non-financial risks
Raj Singh, CRO, SwissRe
14:20 Panel: Risk management for hedge funds
- unique challenges of managing risk whilst pursuing an absolute return strategy
- the future role of leverage given recent market shocks
- what new regulation will mean for the hedge fund industry
Patrick Trew, CRO, CQS
Devin Graham, CRO, PROLOGUE CAPITAL LLP
More speakers to be confirmed
15:20 Investment risk management for pension funds
- Key investment risks
- The challenge of measuring the risk of Private Investments
- Adapting sell side risk measures to pension funds
- Combining the risk of internal and external portfolios
Speaker to be confirmed
16:00 PLENARY SESSION
16:00 Panel: Credit derivatives’ role in risk management: past,
present and future
• What are the lessons from the crisis?
• How can transparency be improved for credit derivatives?
• How can counterparty risk be managed?
Speakers to be confirmed
16:40 Chairman's closing remarks
