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

17:00 End of conference

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