and 
magazines’ annual Australian derivatives and risk management congress
8.20
Registration and breakfast
8.50 Opening comments:
Nick Sawyer, Editor, Risk - Asia Pacific
| 9.00
KEYNOTE ADDRESS Philip Chronican Chief Financial Officer WESTPAC BANKING CORPORATION 9.30 KEYNOTE ADDRESS Mick Leonard General Manager, Group Credit & Market Risk COMMONWEALTH BANK OF AUSTRALIA 10.00 KEYNOTE ADDRESS Jim Henness Chief Executive DELTA ELECTRICITY |
10.30 Morning break and opportunity to visit the exhibition
| STREAM ONE: LATEST DEVELOPMENTS IN CREDIT RISK MEASUREMENT AND MANAGEMENT | STREAM TWO: ADVANCED RISK MANAGEMENT TECHNIQUES AND STRATEGIES | STREAM THREE: PRICING, TRADING AND RISK MANAGEMENT IN THE AUSTRALIAN ENERGY MARKETS |
| 11.00
PANEL DISCUSSION: ASSESSING THE IMPACT OF THE LATEST BIS PROPOSALS
FOR A NEW BASEL CAPITAL ACCORD Moderator: Dr. Bernd P. Luedecke, Associate Professor, MACQUARIE UNIVERSITY APPLIED FINANCE CENTRE Tzu Ming Lao, Head of Global Market Risk & Prudential Control, NATIONAL AUSTRALIA BANK Wayne Byres, General Manager - Risk Analysis & Research, AUSTRALIAN PRUDENTIAL REGULATION AUTHORITY Ken R. McLay, Managing Director - Risk Solutions, STANDARD & POOR'S Joseph Pimbley, Senior Vice President and Credit Derivative Product Manager, SMBC CAPITAL MARKETS, INC. Dr David Lawrence, Head of Risk Analytics - London, CITIGROUP |
11.00
INDUSTRY UPDATE: THE STATUS OF THE TRANSITION TO FULL RETAIL CONTESTABILITY
IN NEW SOUTH WALES AND VICTORIA AND ITS IMPACT ON RISK MANAGEMENT
AND HEDGING STRATEGIES Richard Horton, VP Originations EDGECAP Pty Ltd |
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12.00 Lunch and opportunity to visit the exhibition |
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| ACTIVE PORTFOLIO MANAGEMENT | ACHIEVING EFFECTIVE RISK MEASUREMENT AND MANAGEMENT | ADVANCED TECHNIQUES FOR PRICING AND TRADING |
| 1.30
Chairman's opening remarks: Nick Minogue, Head of Risk Management MACQUARIE BANK LTD |
1.30
Chairman's opening remarks: Edmund Bosworth, Group Manager, Capital Allocation & EVA NATIONAL AUSTRALIA BANK |
1.30
Chairman's opening remarks: Dr Chris Strickland, Director LACIMA GROUP & UNIVERSITY OF TECHNOLOGY, SYDNEY |
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1.40
NEW ADVANCES AND FUTURE TRENDS IN CREDIT RISK MANAGEMENT |
1.40
THE RISE OF RISK MANAGEMENT AS A NECESSARY CORE COMPETENCY David M. Rowe President, Infinity/Opus Business Unit SUNGARD TRADING AND RISK SYSTEMS |
1.40
APPLICATION OF NEW MODELLING TECHNIQUES FOR PRICING ENERGY DERIVATIVE
PRODUCTS Dr Chris Strickland, Director LACIMA GROUP & UNIVERSITY OF TECHNOLOGY, SYDNEY Dr Les Clewlow, Director LACIMA GROUP & UNIVERSITY OF TECHNOLOGY, SYDNEY |
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2.20
THE THEORY AND PRACTICAL IMPLEMENTATION OF THE CREDIT RISK MODELS
IN BASEL 2 |
2.20
THE IMPACT OF U.S. EQUITY MARKET VOLATILITY ON THE AUSTRALIAN MARKET
John Green Executive Director, Head of Quantitative Applications Division MACQUARIE BANK LTD |
2.20
METHODS FOR EFFECTIVE VOLATILITY MODELLING WITHIN ENERGY MARKETS Speaker to be confirmed |
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| 3.00
A SYSTEMATIC APPROACH TO THE EVALUATION OF MULTI-ASSET OPTIONS Professor Carl Chiarella, Professor of Finance UNIVERSITY OF TECHNOLOGY, SYDNEY |
3.00
ACCURATE PRICING OF ENERGY DERIVATIVES: PRACTICAL EXAMPLES Douglas C. Moss, Division Director, Quantitative Applications Division MACQUARIE BANK LTD Wendy McTainsh, Associate Director MACQUARIE RISK ADVISORY SERVICES LTD |
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| 3.40 Afternoon break and opportunity to visit the exhibition | ||
| 4.10
OPTIMISING CREDIT PORTFOLIO MANAGEMENT USING MODERN PORTFOLIO THEORY James Bartle, Visiting Fellow UNIVERSITY OF NEW SOUTH WALES Rob Wixted, Visiting Fellow UNIVERSITY OF NEW SOUTH WALES |
4.10
FROM LIQUIDITY RISK MANAGEMENT TO LIQUIDITY RISK CAPITAL Edmund Bosworth, Group Manager, Capital Allocation and EVA NATIONAL AUSTRALIA BANK Alicia Low Manager, Capital Allocation NATIONAL AUSTRALIA BANK |
4.10
APPLYING REAL OPTIONS TO VALUE ENERGY ASSETS John S. Martin, Partner, Financial Risk Management PRICEWATERHOUSECOOPERS |
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| 4.50
SCENARIO BASED INTEGRATION OF CREDIT AND MARKET RISK: CREDIT EXPOSURE
REDUCTION STRATEGIES Paul Smetanin VP, Product and Solution Management ALGORITHMICS INC. |
4.50
DOES CORPORATE GOVERNANCE MATTER? Louise Griffiths Director, Risk Solutions STANDARD & POOR'S |
4.50
PRICING STRATEGIES ADOPTED BY NEW ENTRANTS IN THE NATIONAL ELECTRICITY
MARKET (NEM) Jennifer Patterson, Energy Trading Manager EDISON MISSION ENERGY |
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| 5.30 Chairman's closing remarks | ||
| 5.40 Cocktail reception | ||
