Conference Programme
14th October 2010
08:30 Registration and refreshments
08:50 Chairman's opening remarks
09:00 KEYNOTE
Examining Basel III and the impact of proposed changes on banks and the market
• Examining the proposed changes to Basel II
• Assessing the impact of changes, including potential unintended
consequences
• Ensuring the regulatory response to the crisis is appropriate and not overly
burdensome
• Meeting increased regulatory capital requirements
• Harmonising regulatory requirements globally
Speaker to be confirmed
09:40 Risk and the City: survival of the smartest in the Black Swan
world
• Rethinking financial crisis experience from risk manager’s
perspective
• Why risk models fail
• New risk management architecture
• Risk Appetite: from theory to practical implementation
• Why do we need stress testing?
• Building crisis management capability
Evgueni Ivantsov, Head of Portfolio Risk & Strategy, HSBC BANK plc
10:20 PANEL DISCUSSION
Risk-free no more: examining the European sovereign debt crisis
• Assessing the impact of the sovereign debt crisis on the market
• Considering the possibility of a sovereign default
• How will countries reduce their deficits?
• Examining investor’s options: do corporate bonds or emerging market sovereign
debt offer better value?
Danny Dieleman, Credit Risk Business Management, ING
Georg Grodzki, Head of Credit Research, Legal & General Investment
Management
Martin Reeves, Senior Vice President and Director, Global Credit Research,
Alliance Bernstein
Satish Pulle, Credit Trading, BANK OF AMERICA MERRILL LYNCH
Dale Gray, Senior Risk Expert, Monetary and Capital Markets Department, International Monetary Fund (IMF)
11:00 Morning break
| STREAM ONE: BEST PRACTICES ON MANAGING AND MITIGATING RISK | STREAM TWO: MODELLING TECHNIQUES IN CREDIT RISK MANAGEMENT |
| 11:30 Chairman’s opening remarks | 11:30 Chairman’s opening remarks |
| 11:40 The credit volatility culture • Credit as an asset class requires tools |
11:40 Modelling counterparty risk/ CVA • Computing CVA and counterparty risk for both vanilla and exotic
transactions |
| 12:20 Challenges in managing counterparty credit risk • The role of a CVA group |
12:20 Modelling sovereign default risk • Modelling in a low visibility market |
13:00 Lunch
| 14:00 Successfully identifying credit risk in large portfolios
• A new market paradigm: there is more than one market movement |
14:00 Modelling right and wrong way exposure • Counterparty risk evaluation beyond Basel II |
| 14:40 Central clearing: some practical, legal and regulatory
considerations • Examining how central clearing works now and how it might develop |
14:40 Pricing CVA for correlation products • Motivation: CVA for CDO Tranches |
|
15:20 Stress Testing: science or voodoo? Joerg Erlebach, Divisional Board Member, Group Risk Controlling & Capital Management, COMMERZBANK AG |
15:20 Incremental Risk Charge (IRC) and Comprehensive Risk Measure
(CRM): modelling challenges in a bank-wide system • Overview of new capital charges on trading books |
16:00 Afternoon break
16:30 A survey of liquidity modelling in the CDS market
• Trading liquidity and CDS markets
• CDS liquidity ranking: bid offer, inactivity and dispersion
• CDS liquidity as an additional spread in reduced form models
• CDS liquidity in the context of the CAPM
• Dependence between credit and liquidity
Damiano Brigo, Gilbart Chair of Financial Mathematics, KING'S COLLEGE,
LONDON
17:00
PANEL DISCUSSION
Maximising capital efficiency through active credit portfolio management
• Organizing portfolio to ensure maximum capital efficiency
• Reducing capital consumption of non-core assets
• Reallocating assets depending on risk weighting
Danny Dieleman, Head of Portfolio Management, ING
Joe Holderness, Global Head of Investment Bank Credit Portfolio, JP MORGAN CHASE
Alistair McLeod, Head of Portfolio Analytics, BARCLAYS CAPITAL
Evgueni Ivantsov, Head of Portfolio Risk & Strategy, HSBC BANK plc
17:40 Chairman's closing remarks. Drinks reception
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