Conference Programme

14th October 2010

08:00 Registration and refreshments

08:40 Opening remarks: Nick Sawyer, Editor, RISK MAGAZINE
08:50 Chairman's address: Jon Gregory, Independent Credit Expert

09:00 Guest Speaker

New methods in quantifying counterparty risk

• Combining pricing and counterparty default models
• Calibrating firm-value default models to CDS data
• Conditional Brownian motion and Bessel bridges
• Solving inverse hitting time distribution problems
• Applications to vanilla options and interest-rate swaps
Professor Mark H.A. Davis, Department of Mathematics, IMPERIAL COLLEGE LONDON

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?
Moderator: Georg Grodzki, Head of Credit Research, Legal & General Investment Management

Daniel Loughney, Vice President and Portfolio Manager, ALLIANCE BERNSTEIN

Danny Dieleman, Business Manager, Corporate Credit Risk Management, ING GROUP
GJ Prasad, Director, Credit Flow 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 Jon Gregory, Independent Credit Expert	11:30 Chairman’s opening remarks Joe Holderness, Global Head of Investment Bank Credit Portfolio, JP MORGAN CHASE
11:40 The credit volatility culture • Credit as an asset class requires tools • The credit volatility culture • Hedging as a key theme • Option building blocks and strategies Phanikiran Naraparaju, Structured Credit Strategist, MORGAN STANLEY	11:40 Modelling counterparty risk/ CVA • Computing CVA and counterparty risk for both vanilla and exotic transactions • The American Monte Carlo approach • CVA sensitivities: market and credit • Inclusion of wrong way risk • Impact of collateral on CVA pricing Giovanni Cesari, Managing Director, Head of CVA-Quant Group, UBS
12:20 Central clearing: some practical, legal and regulatory considerations • Examining how central clearing works now and how it might develop • Do CCPs mitigate systemic risk or just concentrate it? • What do the docs do? Legal risk in central clearing • The future regulatory framework Dr. David Murphy Head of Risk and Reporting INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION	12:20 Modelling sovereign default risk • The challenges in sovereign credit risk • The structural model CUSP: trade idea generation, risk management, subordination and recovery risk • Optimising the risk profile of a trade illustrated by a butterfly trade Helen Haworth, Fixed Income Quantitative Credit Strategy Group, CREDIT SUISSE

13:00 Lunch

14:00 Successfully identifying credit risk in large portfolios

• A new market paradigm: there is more than one market movement
• Identifying the market and sector risks in credit portfolios
• Portfolio hedging and restructuring
• Single-name hedging: besides the carry flat hedge ratio
• Capturing the alpha movement of an issuer: benefiting from market inefficiency
Marc Teyssier, Quantitative Credit Strategy, SOCIETE GENERALE CORPORATE & INVESTMENT BANKING

14:00 Modelling right and wrong way exposure

• Counterparty risk evaluation beyond Basel II
• Incorporating right- and wrong-way risk into CVA
• Unilateral and bilateral CVA
• Netting and collaterals
• Modelling risk factors and correlation
• Pricing examples for IR derivatives
Andrea Pallavicini, Head of Financial Engineering, BANCA LEONARDO

14:40 Challenges in managing counterparty credit risk

• The role of a CVA group
• Calculating CVA
• The growing use of DVA
• Regulatory aspects
Jon Gregory, Independent Credit Expert

14:40 Pricing CVA for correlation products

• Motivation: CVA for CDO Tranches
• Review of CVA Concepts and Definitions
• The Pricing Problem: CVA as a New Exotic Credit Derivative
• CVA for CDS
• Pricing under the Conditional Forward Annuity Measure
• CVA for CDO
• Markovian Dynamics
• Applications
Youssef Elouerkhaoui, Managing Director, Global Head of Credit Derivatives Quantitative Research, CITI

15:20 Stress Testing: science or voodoo?
• Typical goals of stress testing (and why some are just nonsense)
• Approaches to stress and simulation
• Applying simple models to a complex world
• Stress in the context of new regulation

Volker Gerth, Head of Capital & Risk Sensitivity, 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
• Incremental Risk Charge (IRC): Modelling default and rating migration
• Comprehensive Risk Measure CRM: Additional risk factors for credit correlation products
• Full revaluation vs. approximations for simulated scenarios
• Industry vs. regulators – (not so) different views?
• CRM and advanced risk management
Jean-Baptiste Brunac, Quantitative Analyst, BNP PARIBAS
Sascha Wilkens, Quantitative Analyst, BNP PARIBAS

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
Moderator: Joe Holderness, Global Head of Investment Bank Credit Portfolio, JP MORGAN CHASE
Danny Dieleman, Business Manager, Corporate Credit Risk Management, ING GROUP
Alistair McLeod, Head of Portfolio Analytics, BARCLAYS CAPITAL
Evgueni Ivantsov, Head of Portfolio Risk & Strategy, HSBC BANK plc

17:40 Chairman's closing remarks

17:50 Cocktail reception.