and 
magazines’ annual Australian derivatives and risk management congress
8.30
Registration and breakfast
| 9.00
PLENARY SESSION: MODELLING AND MANAGING CONTINGENT RISKS · Identifying contingent exposures · Modelling contingencies using discrete event simulation · Integrating market risk with event risk · Validating contingent risk models · A case study example Dr. Chris Marshall Executive Director, Corporate Risk Advisory IRFX Derivatives UBS WARBURG |
| 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 |
| 9.40
Chairman's opening remarks: To be confirmed |
9.40
Chairman's opening remarks: Brad Jordon, Head of Group Operating Risk ANZ BANKING GROUP LTD |
9.40
Chairman's opening remarks: Gary Gavin, Manager, Risk Management CITIPOWER PTY |
| CREDIT RISK MITIGATION TECHNIQUES | MANAGING CURRENCY RISK | |
| 9.50
APPLYING CREDIT DERIVATIVES TO MINIMISE PORTFOLIO CREDIT RISK Dr David Lawrence Head of Risk Analytics, London CITIGROUP |
9.50
DEVELOPING A STRATEGY FOR OPTIMAL HEDGING OF CURRENCY RISK Tim Oldham Division Director MACQUARIE RISK ADVISORY SERVICES LTD |
9.50
ACCURATELY FORECASTING ELECTRICITY PRICES Kate Skilleter General Manager - Wholesale Markets ERGON ENERGY |
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| 10.30 Morning break and opportunity to visit the exhibition | ||
| 11.00
OPTIMAL COLLATERAL MANAGEMENT TECHNIQUES FOR CREDIT RISK REDUCTION Speaker to be confirmed |
11.00
LESSONS TO BE LEARNT FROM THE COLLAPSE OF THE AUSTRALIAN DOLLAR IN
2000-2001 Paul Merrick, Director of Product Development NM ROTHSCHILD AND SONS (AUSTRALIA) |
11.00
ASSESSING KEY TECHNIQUES FOR BUILDING AND APPLYING FORWARD PRICE CURVES Speaker to be confirmed |
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| RISK MANAGEMENT STRATEGIES FOR THE AUSTRALIAN ENERGY INDUSTRY | ||
| 11.40
NEW DEVELOPMENTS IN CREDIT RISK TRANSFER CREATED BY THE CONVERGENCE
OF INSURANCE, FUND MANAGEMENT AND CAPITAL MARKETS Kevin Kosovich Director, Head of Global Credit Derivatives Australia DEUTSCHE BANK AG (SYDNEY) |
11.40
TECHNIQUES FOR TRADING AND HEDGING DOLLAR BLOC CURRENCIES Grant Fitzner Senior Economist HSBC BANK (AUSTRALIA) |
11.40
IMPLEMENTING VAR IN ENERGY MARKETS: APPROACHES, PROBLEMS AND PUZZLES |
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| 12.20 Lunch and opportunity to visit the exhibition | ||
| STRUCTURING AND PRICING CREDIT DERIVATIVES AND SECURITISATION | MEASURING AND MANAGING OPERATIONAL RISK | |
| 1.50
SYNTHETIC SECURITISATION: CURRENT TRENDS IN STRUCTURING, PRICING AND
RISK TRANSFER Guy Hargreaves Director, Global Credit Derivatives DEUTSCHE BANK AG (SYDNEY) |
1.50
OPERATIONAL RISK MEASUREMENT AT ANZ Brad Jordon Head of Group Operating Risk ANZ BANKING GROUP LTD |
1.50
CASE STUDY: EXAMINING THE IMPACT OF THE CALIFORNIA POWER CRISIS Mark Randle Vice President, Energy Risk Management SEMPRA ENERGY |
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| 2.30
ADVANCED PRICING ISSUES: TRANCHED CREDIT AND BASKETS Linda A. Mead Vice President, Credit Derivatives Marketing JP MORGAN |
2.30
PROJECT PARAGON - MODELLING, FORECASTING AND EVALUATION Lou Fontinovo Manager, Policy & Operations NATIONAL AUSTRALIA BANK |
2.30
CASE STUDY: A GUIDE TO INSTILLING AN APPROPRIATE CREDIT RISK CULTURE Carolyn Martin Director Head of Utilities, Asia Pacific FITCH |
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| 3.10 Afternoon break and opportunity to visit the exhibition | ||
| 3.40
CREDIT DERIVATIVE PRICING: SIMPLE AND RIGHT OR COMPLEX AND WRONG Joseph Pimbley Senior Vice President and Credit Derivative Product Manager SMBC CAPITAL MARKETS, INC. |
3.40
BANK CASE STUDY: SETTING UP AND MAINTAINING AN INTEGRATED OPERATIONAL
RISK MANAGEMENT STRATEGY Bruce Hills Head of Risk, eBusiness & Information Technology WESTPAC BANKING CORPORATION |
3.40
THE ROLE OF FORWARD MARKETS IN ENERGY RISK MANAGEMENT Geoff Pollard General Manager, Trading & Marketing - Asia Pacific DUKE ENERGY INTERNATIONAL |
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| 4.20
AVOIDING LEGAL RISK IN CREDIT DERIVATIVE TRANSACTIONS Edward Kerr Partner MALLESONS STEPHEN JACQUES (SYDNEY) |
4.20
NAVIGATING THE FUTURE: GETTING AHEAD OF STRATEGIC AND OPERATIONAL
RISK Denis Taylor, Senior Manager COMMONWEALTH BANK OF AUSTRALIA |
4.20
APPLICATION OF WEATHER DERIVATIVES TO MITIGATE THE FINANCIAL RISK
OF CLIMATE VARIABILITY AND EXTREME TEMPERATURE EVENTS Dr. Harvey Stern Manager, Climate Services (Victoria) BUREAU OF METEOROLOGY |
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| 5.00 Chairman's closing remarks | ||
| 5.10 End of congress | ||