08:20 Coffee and registration

08:50 Welcome address: Nick Sawyer, Editor, Risk

MORNING WITH CROs AND LEADING PRACTITIONERS

09:00 EXECUTIVE ADDRESS: Transparency and its discontents
- Transparency in the context of principal/agent paradigm
- Principal driving factors and challenges surrounding risk transparency
- Perspectives, expectations, and challenges of information providers and receivers
- Instituting standards across industry segments, instruments, assets classes, markets, and regulatory frameworks
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETS

09:40 ROUNDTABLE: Establishing a risk attitude and rebuilding the risk discipline to ensure that the long term interest of the business are taken into account
- What are the right risk parameters and appetite for financial institutions?
- Which rating level will prevail
- (Re)building a strong risk culture in a multicultural organisation
MODERATOR: Duncan Wood, Deputy Editor, RISK MAGAZINE

Jacques Beyssade, Chief Risk Officer, NATIXIS
Søren Rahbek, Senior Vice President, Group Risk, DANSKE BANK
Petter Kapstad, Chief Risk Officer, STATOIL
Peruvemba Satish, Managing Director & Chief Risk Officer, ALLSTATE INVESTMENTS
Wendy Macdonald, Senior Vice President and Head of Risk, EMEA, STATE STREET       

Olav Jones, Head of Group Risk Strategy, AGEAS

10:30 PANEL DISCUSSION: Systemic risk and the involvement of the buy-side

- How should we define systemic risk and SIFIs? When assessing an entry for riskiness, how careful are we in looking beyond market risk to liquidity, funding, operational and information risks?

- What is maturity transformation and how can it contribute to systemic risk?

-Under what circumstances can a non-bank be systemically important?

-What is the involvement of non-banks in the credit channel?

-What impact will the move towards centarl clearing of OTC derivatives have on systemic risk?

-Will the changes to regulation of ABS, rating agencies and CCPs deliver a financial system that is significantly more robust?

MODERATOR: Nick Sawyer, Editor, RISK MAGAZINE

Aron Landy, Chief Risk Officer, BREVAN HOWARD

Vasilios Siokis, Chief Risk Officer, CHEYNE CAPITAL MANAGEMENT

Philip Best, Chief Risk Officer, THREADNEEDLE

Federico Galizia, Head of Risk Management and Monitoring, EUROPEAN INVESTMENT FUND

11:10 Morning break and an opportunity to visit the exhibition

Stream one: LIQUIDITY AND STRESS TESTING

Chairman’s opening remarks

11:40 Liquidity risk management - gazing into the Basel III observation period and beyond
- Key issues ahead in calibrating and implementing the LCR and NSFR standards
- Overlapping objectives of Basel II liquidity standards and other regulatory initiatives - Role of liquidity risk in enterprise wide-stress testing
- Beyond quantitative metrics and standards - assessing compliance with established sound practices 
Jim Embersit, Former Deputy Associate Director Credit, Market, Liquidity and Operational Risk Policy, Division of Banking Supervision and Regulation, BOARD OF GOVERNORS OF THE FEDERAL RESERVE

12:20 Liquidity risk: expanding regulatory perimeters and changing business models
- The Basel liquidity risk framework:  summary and short political history
- Liquidity and cross-border resolution: charting the intersections
- Liquidity risk regulation beyond the banking sector:  who falls within the framework?
- Liquidity risk regulation and the trading book:  charting the feedback effects
Barbara Matthews, FORMER U.S. TREASURY ATTACHÉ TO THE EUROPEAN UNION & Managing Director BCM INTERNATIONAL REGULATORY ANALYTICS LLC

13:00 Lunch and an opportunity to visit the exhibition

14:00 The use of stress-tests for a better management of liquidity risk
- Lessons learned from the crisis regarding the liquidity risk management
- Tailored approach rather than standardized tools: the development of internal methodologies and stress-tests (the example of the French framework)
Dominique Laboureix, Director of the Policy and Research Department of the Prudential Control Authority, BANQUE DE FRANCE and Chairman, Liquidity Working Group, CEBS

14:40 Stress testing economic capital for a group level risk appetite figure
- Stress testing in light of the recent financial crisis
- Components of integrated stress testing
- Development paths to the target model
- Specific issues for relevant risk types
Dana Wengrzik, Head of Group Risk Controlling, Group Risk Management, HSH NORDBANK AG

15:20 Economic and regulatory capital for AAA portfolios
- What is the AAA threshold in terms of regulatory capital?
- How much capital should be left after a stress event?
- Business planning and capital management when AAA is the target
Federico Galizia, Head of Risk Management and Monitoring, EUROPEAN INVESTENT FUND

Stream two: CREDIT AND COUNTERPARTY RISK

Chairman’s opening remarks

11:40 Overcoming the challenges faced in bringing complex CVA calculations into a real time low-latency environment to maximise competitive advantage
- Sensitivities to CVA
- Wrong-way risk
- CVA pricing
Neil Dodgson, Vice President, Business Development & Customer Solutions, ALGORITHMICS

12:20 Interconnection of sovereign risk and financial institutions
- UniCredit as a case study: what's the market view on the name of a bank with operations (and exposure) diversified in 22 European countries?
- And what's the view from inside the financial institution: how the risk management best practice evolved with the evolution of the Euro-sovereign debt crisis
- Did the reality beat our models?
- The near future: Impact of the Basel 2.5 directions on financial institutions involved in trading sovereign risk
Aldo Nassigh, Global Head Risk Architecture and Methodologies, Group Market Risk Department, UNICREDIT

13:00 Lunch and an opportunity to visit the exhibition

14:00 Credit stress test consistency through a global footprint

-Creating consistency in the understanding of credit stress testing across glabl businesses

- Analyzing the impact of market feedback, credit cycles, crises and uncertainty on portfolio losses

-Quantifying extreme events for stress testing and what-if analysis. From theory to practice.

Jorge Sobehart, Managing Director, Credit and Operational Risk Analytics, CITI

14:40 CVA: Bilateral features, Wrong Way risk, collateral modelling and closeout conventions
- Unilateral vs bilateral CVA
- Arbitrage free valuation
- Impact of volatilities and dependencies
- Wrong way risk: rigorous valuation vs Basel
- Collateral and impact of rehypotecation
- Impact of closeout conventions
Cristin Buescu, Lecturer, Financial Mathematics, KING'S COLLEGE, LONDON

15:20 Examining conceptual foundation and potential impact of stressed calibration of counterparty exposure models
- Motivation for stressed calibration put forward by the Basel Committee
- Asymptotic single risk factor framework and general wrong-way risk
- Does stressed calibration capture general wrong-way risk?
- Does exposure with stressed parameters reflect exposure during a crisis?
- Potential impact of stressed calibration on minimum capital requirements
Michael Pykhtin, Senior Economist, FEDERAL RESERVE BOARD

Stream three: MARKET RISK MANAGEMENT

Chairman’s opening remarks

12:20 Sovereign risk spillovers and systemic risk
- Current situation of sovereign risk and policy priorities

- Integrated risk-adjusted balance sheet analysis of an economy

- Transmission channels between sovereign and financial sector risk

- Systemic liquidity modelling
Andreas Jobst, Economist, Monetary and Capital Markets Department, INTERNATIONAL MONETARY FUND

13:00 Lunch and an opportunity to visit the exhibition

14:00 FX risk management post-crisis: trends and challenges for corporate treasury
- Pre-crisis hedging
- Post-crisis implications
- End-user concerns with proposed regulations
Iain Foster, Assistant Treasurer, ROLLS-ROYCE PLC

14:40 Contingent Capital and Contingent Convertibles
- Who is this new kid around the block ? - What are CoCos ?
- Is it a good boy or a bad boy ? - Pros and Cons of Contingent Capital
- What is this boy dealing ? - CoCos in the market
- What does the stuff costs ? - Pricing and Structuring of CoCos
- Ready for a heavy ride ? The CoCo death spiral around the corner
Wim Schoutens, Research Professor and Independent Consultant, CATHOLIC UNIVERSITY OF LEUVEN

15:20 Chairman's closing remarks.  End of conference