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?
Tomas Hazleton, Director of Risk Management-Europe,
AllianceBernstein
Tom Wilson, CRO, Allianz
Patrick Trew, CRO, CQS
Edi Schmid, Chief Risk Officer Property & Casualty Managing Director,
Swiss Re
Yury Dubrovsky, CRO, Lazard Ltd; Head of Global Risk Management,
Lazard Asset Management
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 The SNB StabFund: experiences of the Swiss National Bank in
managing a troubled asset fund
- The set-up of the SNB StabFund
- Challenges in the management of the Fund’s assets and the control of risks
- Financing the asset purchase
Marcel Zimmermann, General Manager SNB StabFund, Swiss National Bank
12:20 Stress testing of portfolios to ensure future robustness
- What are the lessons from the crisis?
- What is deemed as unlikely these days?
- Best practise
Evan Sekeris, Senior Economist, Federal Reserve Bank of Richmond
12:40 Lunch and an opportunity to visit the exhibition
13:40 Global Risk Report
- A World Economic Forum report produced in collaboration with Marsh &
McLennan Companies, Citibank, Zurich Financial Services, Wharton School Risk
Center and Swiss Re
- The world's top risks in terms of economic impact and loss of life with
particular focus on inter-connectivity
- Implications for the re/insurance industry and for Swiss Re's own Enterprise
Risk Management
Edi Schmid, Chief Risk Officer Property & Casualty Managing Director, Swiss Re
14:20 The challenges of using risk-adjusted performance measures in financial institutions
- Overview of traditional performance measures
- Fundamentals of economic capital
- Risk-adjusted performance measures
- RAROC in practice: strengths and weaknesses
Aurele Houngbedji, Risk Management Officer, International Finance Corporation (IFC)
15:00 Afternoon coffee break
15:20 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
PLENARY SESSION
16:00 Guest address: Enterprise risk management in the engineering sector
-Explore the universal application of risk management
philosophy, processes and tools to business and finance
-Discussion of NASA’s ERM principles to manage a broad-spectrum of complex risks
from varying stakeholders related to the development and operations of
manned-spacecraft
-Key lessons learnt from enterprise risk management implementation
Jeevan Perera, Technical Manager, Orion Spacecraft Office, NASA JOHNSON SPACE CENTER
Stream two: Company wide risk management
11:10 Chairman’s opening remarks
11:20 Moving operational risk up the agenda – recent regulatory
developments
- Update on CRD, CEBS and Basel recommendations
- Effective OpRisk and internal governance structures
- Involvement of op risk managers in change processes
- Transferable tools for other risk disciplines
Bernd Rummel, Secretariat, CEBS
12:00 Cross-Border Derivatives Litigation: Let the Buyer Beware
- Asymmetry of regulation and legislation in the European Union
- The pitfalls of UK litigation for the continental client
- Interaction between home country contract law and host country administrative
law
- Shorting credit positions using synthetic arbitrage CDOs embedding naked CDS
- Investment banks’ use of introducing brokers: a dangerous liaison
- The fine distinction between civil and criminal fraud
Dario Loiacono, Senior Partner, Loiacono e Associati, Milan
12:40 Lunch and an opportunity to visit the exhibition
13:40 Global Risk Report
- A World Economic Forum report produced in collaboration with Marsh &
McLennan Companies, Citibank, Zurich Financial Services, Wharton School Risk
Center and Swiss Re
- The world's top risks in terms of economic impact and loss of life with
particular focus on inter-connectivity
- Implications for the re/insurance industry and for Swiss Re's own Enterprise
Risk Management
Edi Schmid, Chief Risk Officer Property & Casualty Managing Director, Swiss Re
14:20 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 Group SA
15:00 Afternoon coffee break
15:20 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)
PLENARY SESSION
16:00 Guest address: Enterprise risk management in the engineering sector
-Explore the universal application of risk management
philosophy, processes and tools to business and finance
-Discussion of NASA’s ERM principles to manage a broad-spectrum of complex risks
from varying stakeholders related to the development and operations of
manned-spacecraft
-Key lessons learnt from enterprise risk management implementation
Jeevan Perera, Technical Manager, Orion Spacecraft Office, NASA JOHNSON SPACE CENTER
Stream three: Risk management for the buy-side
11:10 Chairman’s opening remarks
11:20 Counterparty Risk management for the buy-side
Counterparty Risk management for the buy-side
Giovanni Cesari, Head of Risk Analytics, UBS AG
Lindsey Matthews, Head of Client Education & Marketing, UBS
DELTA
12:00 Risk management for pension funds
- The overall risk picture for the future: balance sheets risk versus
Investment risks
- Key risks: asset allocation or risk allocation
- The challenge of measuring the risk of alternative investments
-Liquidity requirements in pension fund management
Lars Rohde, CEO, ATP - Risk Awards 2009, Pension Fund Risk Manager of the Year
12:40 Lunch and an opportunity to visit the exhibition
13:40 Global Risk Report
- A World Economic Forum report produced in collaboration with Marsh &
McLennan Companies, Citibank, Zurich Financial Services, Wharton School Risk
Center and Swiss Re
- The world's top risks in terms of economic impact and loss of life with
particular focus on inter-connectivity
- Implications for the re/insurance industry and for Swiss Re's own Enterprise
Risk Management
Edi Schmid, Chief Risk Officer Property & Casualty Managing Director, Swiss Re
14:20 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
Risk Awards 2010, Insurance Risk Manager of the Year
15:20 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
Matthew Weir, CRO, Bluecrest Capital (Risk Awards
2010, Hedge Fund Risk Manager of the Year)
Patrick Trew, CRO, CQS
Devin Graham, CRO, Prologue Capital LLP
Piotr Chmielowski, Group Risk Manager, Reech AiM Group SA
PLENARY SESSION
16:00 Guest address: Enterprise risk management in the engineering sector
-Explore the universal application of risk management philosophy, processes
and tools to business and finance
-Discussion of NASA’s ERM principles to manage a broad-spectrum of complex risks
from varying stakeholders related to the development and operations of
manned-spacecraft
-Key lessons learnt from enterprise risk management implementation
Jeevan Perera, Technical Manager, Orion Spacecraft Office, NASA JOHNSON SPACE CENTER
16:40 Chairman's closing remarks
17:00 End of conference
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