|
9th
April 2001 - Computational Finance Symposium 2001 - |
 |
 |
| Pre-congress
seminar (9th April 2001) - Examining the latest approaches
to measuring and managing operational risks - led by Prof. Carol Alexander, University of Reading & the ISMA centre |
|
|
8.30
KEYNOTE ADDRESS: Bob Litzenberger, GOLDMAN
SACHS - |
Bob Scanlon, CREDIT SUISSE FIRST BOSTON -
Daniel Globerson, DEUTSCHE BANK -
David Reid, ANZ BANK
Soeren Christensen, ABN AMRO
|
STREAM
ONE |
STREAM
TWO |
STREAM
THREE |
STREAM
FOUR |
STREAM
FIVE |
||||||||||
 |
 |
 |
 |
 |
||||||||||
| 11.30
Chairman's opening remarks Andrew Aziz ALGORITHMICS |
11.30
Chairman's opening remarks Chairman to be confirmed |
11.30
Chairman's opening remarks Dr. Philipp Schönbucher BONN UNIVERSITY |
11.30
Chairman's opening remarks Peter Davies ASKARI |
11.30
Chairman's opening remarks Chuck Rowland IPS SENDERO |
||||||||||
| STRESS TESTING AND CAPITAL ALLOCATION | ACTIVE PORTFOLIO MANAGEMENT | VOLATILITY AND CORRELATION | 11.40
The risk measurement and management needs of hedge funds versus
more traditional fund management products Malcolm Kemp, Executive Director, Head of Quantitative Research ZURICH SCUDDER INVESTMENTS LIMITED |
11.40
Risk management for the individual investor Ashvin B. Chhabra, Head of Analytics, Morgan Advice Lab JP MORGAN PRIVATE BANK |
||||||||||
| 11.40
Integrating stress testing into capital allocation Dr. Paul Shotton, Managing Director, Head of Market Risk Management, Europe, Africa, Middle East THE CHASE MANHATTAN BANK |
11.40
Analysing techniques for validating internal credit risk rating systems Dr Sebastian G. Fritz, Head of Risk Analytics & Instruments DEUTSCHE BANK |
11.40
The effect of model risk on the valuation of barrier options Ali Hirsa, Quantitative Research/Risk Manager MORGAN STANLEY DEAN WITTER |
||||||||||||
|
|
|
|
|
||||||||||
| 12.20
Improving best practice in capital allocation Gary Robinson, Head of Risk TOKAI BANK EUROPE |
12.20
A simple closed form formula to price credit spreads Lionnel Pradier, Managing Director, Head of Credit Derivatives Research, JP MORGAN |
12.20
Principal component analysis of volatility smiles and skews Carol Alexander, Professor of Finance & Chair of Risk Management, ISMA CENTRE, UNIVERSITY OF READING |
12.20
Understanding the tracking error of a portfolio Dr Peruvemba Satish, CFA, Managing Director/Head of Financial Engineering & Research ASKARI |
12.20
Transfer pricing techniques for retail banks David Ide, 1st Vice President, Deputy Director ABN AMRO |
||||||||||
|
|
|
|
|
||||||||||
1.00
Lunch sponsored by
Raft International plc and opportunity to visit the exhibition |
||||||||||||||
| 2.30
Measuring economic capital for different forms of credit risk Evan Picoult, Managing Director, Head of Risk Methodologies and Analytics CITIGROUP |
2.30
Using securitisation to improve loan portfolio performance Véronique Ormezzano, Head of Capital & Loan Portfolio Management BNP PARIBAS |
CREDIT RISK MODELLING | 2.30
Performance measurement, portfolio insurance and portable alpha:
Excess return or unpriced risks? David K. A. Mordecai, Research Fellow in Advanced Residence UNIVERSITY OF CHICAGO GSB & Steering Committee - IAFE Investor Risk Committee |
2.30
Sourcing and applying accurate and appropriate risk managment data Shawn Convery, President ALMONDE |
||||||||||
| 2.30
Pricing exotic credit derivatives Dr. Philipp Schönbucher BONN UNIVERSITY |
||||||||||||||
|
|
|
|
|
||||||||||
| 3.10
Understanding the role and value of integrated risk managment framework
across the organisation Jens-Peter Jensen, Business Developer SAP AG |
3.10
Consistent credit risk pricing and enterprise portfolio modelling Dan Rosen, Director of Research ALGORITHMICS |
3.10
The misuse of "risk neutrality" in credit derivative pricing Joseph Pimbley, Senior Vice President and Credit Derivative Product Manager SMBC CAPITAL MARKETS, INC. |
3.10
Modifying VaR to accommodate long term investment horizons - A
'style' based approach Stephen Rees, Director, Quantitative Research BARING ASSET MANAGEMENT |
3.10
CASE STUDY: "FUTUREPERFECT" - Using bank and life balance
sheets to hedge and sell internally Jim Cull, Risk Manager & Futureperfect Project Leader STANDARD LIFE |
||||||||||
|
|
|
|
|
||||||||||
| INTEGRATED RISK MANAGEMENT | 3.50
Shifting paradigms: effect of modern portfolio theory and Basle
reform on CLO and other ABS structuring Luis Nario, Executive Director, Securitisation UBS WARBURG |
INTEREST RATE MODELLING | 3.50
Understanding core satellite Bernd Scherer,
Director, Advanced Applications Group DEUTSCHE ASSET MANAGEMENT |
3.50
Analysing the rate dynamics of administered rate products Raymond J. Hawkins, Associate Director BARCLAYS GLOBAL INVESTORS |
||||||||||
| 3.50
Analysis and management of credit VaR in derivatives portfolios Richard Martin (with Christopher Browne), Quantitative Analyst, Fixed Income Capital Management Team BNP PARIBAS |
3.50
Term structure dynamics endogenously induced by multi-asset markets Dr. John Schoenmakers, Deputy Leader Research Group WEIERSTRAUSS INSTITUTE BERLIN |
|||||||||||||
|
|
|
|
|
||||||||||
| 4.30 Afternoon break and opportunity to visit the exhibition | ||||||||||||||
| 5.10
Copulas as an integrated risk managment tool Roger Kaufmann, RiskLab researcher, Department of Mathematics ETH ZURICH |
5.10
Using wrong way credit exposure to manage counterparty risk Jörg Behrens, Manager ARTHUR ANDERSEN |
5.10
Entropy and information in the interest rate term structure Professor Lane Hughston, Professor of Financial Mathematics KING'S COLLEGE LONDON |
5.10
Practical tools for monitoring and managing investment portfolio
risk: what's in a risk measure? Kenrick Ramlochan, Principal, Manager Global Risk Analysis - EMEA BANK OF AMERICA |
5.10
Liquidity risk management for retail banks Richard Ferrett, Executive Vice President & Chief Financial Officer BANK OF BUTTERFIELD |
||||||||||
|
|
|
|
|
||||||||||
| 5.50 Chairman's closing remarks | 5.50 Chairman's closing remarks | 5.50 Chairman's closing remarks | 5.50 Chairman's closing remarks | 5.50 Chairman's closing remarks | ||||||||||
| Champagne
round table 6.00 Why quantify operational risk? David Woods, Managing Director, ABN AMRO Dr. Dominic Wallace, Director, CITIGROUP Douglas Hoffman, President, OPERATIONAL RISK ADVISORS Markus Borner, Director, Operational Risk Control UBS WARBURG |
Champagne
round table 6.00 Is there a future in telecoms capacity trading? Richard Gandon, TELEMONDE Marcello Romano, ENRON Oliver Frankel, GOLDMAN SACHS Guy Willner, IX EUROPE |
Champagne
round table 6.00 What is the role of computational finance in risk management? Domingo Tavella, Principal, OCTANTI ASSOCIATES Ben Golub, Managing Director, BLACKROCK Jean-Marc Eber, Founder & CEO, LEXIFI TECHNOLOGIES & Risk Award Winner Eckhard Platen, UNIVERSITY OF TECHNOLOGY, SYDNEY Peter Jäckel, COMMERZBANK SECURITIES |
Champagne
round table 6.00 What is the potential for the weather derivatives market? Ross McIntyre, ENRON Peter Brewer, WEATHER RISK ADVISORY Rowan Douglas, WILLIS & I-WEX Matt Evans, LIFFE |
Champagne
round table 6.00 What impact will regulatory requirements have on retail bank risk management? Chaired by Chuck Rowland, IPS SENDERO Robert Nimmo, FIRST UNION CORPORATION Dennis Cox, HSBC INSURANCE BROKERS LTD. Fred Poorman, Jr. CFA, JANNEY MONTGOMERY SCOTT LLC |
||||||||||
|
|
||||||||||||||
6.40
Cocktail reception sponsored
by 
- |
||||||||||||||
7.40
Congress Dinner sponsored by 
- |
||||||||||||||
 |
|
|
|
|
: Evaluating the impact of the revised Basel Consultation Paper on risk
management practices hosted by Thomas Garside, Director, Oliver Wyman & Company
and chaired by Mark Brickell, Managing Director, J.P. MORGAN CHASE & CO.
Walter Gontarek, RBC DOMINION SECURITIES -
Michael Ong, Chief Risk Officer, CREDIT AGRICOLE INDOSUEZ -
Erwin Martens, PUTNAM INVESTMENTS -
|
STREAM
ONE |
STREAM
TWO |
STREAM
THREE |
STREAM
FOUR |
STREAM
FIVE |
||||||||||
|
|
|
|
|
|
||||||||||
| 9.30
Chairman's opening remarks Jörg Behrens, Manager ARTHUR ANDERSEN |
9.30
Chairman's opening remarks Klaus Toft GOLDMAN SACHS & CO. |
9.30
Chairman's opening remarks Eric Reiner, USB WARBURG |
9.30
Chairman's opening remarks Peter Davies ASKARI |
9.30
Chairman's opening remarks Chuck Rowland IPS SENDERO |
||||||||||
| INTEGRATED RISK MANAGEMENT | LATEST INNOVATIONS IN STRUCTURED CREDIT PRODUCTS | PRICING AND HEDGING DERIVATIVES | 09.40
Providing hedge fund transparency to institutional investors Kelsey Biggers, President, CEO MEASURISK |
09.40
Risk capital allocation in retail banking Robert Nimmo, Chief Risk Officer FIRST UNION BANK |
||||||||||
| 09.40
MASTERCLASS: Integrating market, credit and operational risk: A theoretical
framework for valuation integrity Dr. Elena Medova, Centre for Financial Research THE JUDGE INSTITUTE OF MANAGEMENT STUDIES, UNIVERSITY OF CAMBRIDGE |
09.40
Ratings and risk modelling of synthetic CBOs and CLOs Klaus Bjerre Toft, Head of Credit Derivatives Strategies Group GOLDMAN SACHS & CO. |
09.40
The pricing of Bermudan swaptions Jesper Andreasen, Principal BANK OF AMERICA Risk's Quant of the Year 2001 |
||||||||||||
|
|
|
|
|
||||||||||
| 10.20
MASTERCLASS (CONTINUED): Integrating market, credit and operational
risk: a practical perspective Trevor Mathews, KBC FINANCIAL PRODUCTS |
10.20
Assessing the latest agency credit derivatives ratings methodologies Isabelle Saadjian STANDARD & POOR'S |
10.20
Pricing and hedging in incomplete markets Professor Hélyette Geman UNIVERSITÉ DE PARIS DAUPHINE & ESSEC |
10.20
Risk decomposition and portfolio performance attribution Pim Poppe, Risk Manager ROBECO GROUP |
10.20
Variance reduction techniques for stochastic rate modelling Thomas Bowers IPS SENDERO INSTITUTE |
||||||||||
|
|
|
|
|
||||||||||
| 11.00 Morning break and opportunity to visit the exhibition | ||||||||||||||
| OPERATIONAL RISK | 11.40
Capital management techniques: a comparative analysis Alberto Thomas & Brian Ratner UBS WARBURG |
11.40
Jump diffusion models for pricing and hedging equity derivatives Thomas Knudsen, Quantitative Analyst, DEUTSCHE BANK |
11.40
Risk aggregation - A buyside perspective Aamir Sheikh, executive vice president BARRA INC |
11.40
Towards implementing a full operational risk structure - the benefits
for your business Dennis Cox HSBC INSURANCE BROKERS LTD |
||||||||||
| 11.40
Incorporating behavioural finance in operational risk Elliot Noma, Vice President, Risk and Performance Analysis MERRILL LYNCH INVESTMENT MANAGERS |
||||||||||||||
|
|
|
|
|
||||||||||
| 12.20
Operational risk control at UBS Warburg Markus Borner, Director, Operational Risk Control UBS WARBURG |
12.20
Credit derivatives vs. cash securitisation Alex Graham, Director, GCD Structured Products |
12.20
Pricing and optimal exercise of defaultable callable convertibles Professor LCG Rogers, Professor, Department of Mathematical Sciences UNIVERSITY OF BATH |
12.20
The role of credit risk models in investment management Donna Marie Howe, Head of Market Risk for North America ABN AMRO |
12.20
EVA and risk management in retail banks John Kapitan STERN STEWART & CO. |
||||||||||
|
|
|
|
|
||||||||||
| 1.00 Lunch and opportunity to visit the exhibition | ||||||||||||||
| 2.30
The influence of regulatory capital and corporate governance reporting
on operational risk modelling and data collection Lisa Connolly ROYAL BANK OF SCOTLAND |
2.30
Collateralised loan obligation as a long term funding mechanism Nicholas Sparks, Senior Risk Manager ABN AMRO |
2.30
An exact expansion method for asian and basket options Eric Reiner, Managing Director UBS WARBURG |
2.30
MASTERCLASS: How will risk management impact the primary investment
decisions? Michael de Marco, Senior Vice President PUTNAM INVESTMENTS |
2.30
Evaluating and implementing an ALM model for a retail bank Nigel Sirett IPS SENDERO |
||||||||||
|
|
|
|
|
||||||||||
| LIQUIDITY RISK | 3.10
Moody's approach to rating european cash flow arbitrage CDO's Ebo Coleman, Vice-President - Senior Analyst Pascale Viala, Vice-President - Senior Analyst MOODY'S INVESTORS SERVICE |
3.10
Dynamic hedging with a deterministic local volatility function model Professor Thomas F. Coleman, Director, Financial Industry Solutions Center, New York CORNELL UNIVERSITY |
3.10
MASTERCLASS CONTINUED Erwin Martens, Managing Director PUTNAM INVESTMENTS |
3.10 ALCO performance measurement - a practitioner's viewpoint Guy Morgan NATIONAL AUSTRALIA BANK |
||||||||||
| 3.10
Financial crises, stress testing and risk assement Allan Malz, Head of DataMetrics THE RISKMETRICS GROUP |
||||||||||||||
|
|
|
|
|
||||||||||
| 3.50
From liquidity risk management to liquidity risk capital Edmund Bosworth, Group Manager, Capital Allocation and EVA NATIONAL AUSTRALIA BANK |
3.50
Assessing the latest synthetic securitisations Chris Carman, Vice President, Structured Products JP MORGAN |
3.50
Pricing and hedging spread options with transform techniques Professor Michael Dempster, Director, Centre for Financial Research, Judge Institute of Management UNIVERSITY OF CAMBRIDGE |
3.50
Best practices in risk budgeting Michelle McCarthy, Managing Director, db RiskOffice DEUTSCHE BANK |
3.50
Modelling core deposits effectively: time & long term deposits |
||||||||||
|
|
|
|
|
||||||||||
| 4.30 Afternoon break and opportunity to visit the exhibition | ||||||||||||||
| 5.10
Building an enterprise wide risk managment framework Bennett Golub, Managing Director Charles Hallac, Managing Director BLACKROCK Risk's Asset Management Risk Manager of the Year |
5.10
Hedging and risk management of basket and dynamic default swaps Jean-Paul Laurent UNIVERSITY OF LYON & ADVISOR TO BNP PARIBAS |
5.10
Wick calculus and pricing weather derivative options Dr. Dorje Brody, The Royal Society University Research Fellow IMPERIAL COLLEGE |
5.10
Investment strategy and the decline of local influence in global
equities Edward Fishwick, Head of Investment Process Research AXA INVESTMENT MANAGEMENT |
5.10
Optimally pricing products with optionality Speaker to be confirmed |
||||||||||
|
|
|
|
|
||||||||||
|
5.50
Chairmans closing remarks
|
5.50
Chairmans closing remarks
|
5.50
Chairmans closing remarks
|
5.50
Chairmans closing remarks
|
5.50
Chairmans closing remarks
|
||||||||||
| 6.00 End of Risk 2001 Europe Congress | ||||||||||||||
|
Post-congress
seminar - April 12 2001 |
|
