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

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

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

Jeevan Perera, Technical Manager, Orion Spacecraft Office, NASA JOHNSON SPACE CENTER

16:40 Chairman's closing remarks

17:00 End of conference