7.45
Registration and breakfast

8.15
Opening address

8.20
KEYNOTE PRESENTATION
Myron Scholes, Frank Buck Professor of Finance (emeritus)
STANFORD UNIVERSITY, Partner, OAK HILL CAPITAL MANAGEMENT

9.05
KEYNOTE PRESENTATION
Jeffrey K. Skilling, President and COO, ENRON CORP.

9.50
PANEL SESSION RISK MANAGEMENT OVER THE NEXT FIVE YEARS - CURRENT TRENDS AND FUTURE DEVELOPMENTS
Moderator: Matthew Crabbe, Editor, Risk Magazine
Emanuel Derman, Managing Director, Firmwide Risk Management, GOLDMAN SACHS
Maureen Miskovic, Head of Risk Management, LEHMAN BROTHERS
Anthony Pesco, Managing Director, Strategic Risk Management, CREDIT SUISSE FIRST BOSTON
Thomas R. Fischer, Member of the Board of Managing Directors, Group Risk Officer, DEUTSCHE BANK

11.45
Chairman’s opening remarks
Jim Vinci, Partner
PRICEWATERHOUSECOOPERS

11.50
DEVELOPING AND IMPLEMENTING AN EFFECTIVE ACTIVE CREDIT RISK PORTFOLIO MANAGEMENT STRATEGY
• Identifying the needs and roles of management to achieve an effective credit risk strategy
• Establishing the context for credit risk-related activity across an organisation
• Realigning roles and responsibilities to support an active portfolio management strategy
• Integrating credit trading functions
• Evaluating the increasing role of a bank loan portfolio manager
• Overcoming obstacles to achieve effective implementation of an active credit risk portfolio management strategy: making it work in practice
Jim Vinci
Partner
PRICEWATERHOUSECOOPERS

12.30
INTEGRATING OFF-THE SHELF AND INTERNAL CREDIT RISK MODELS - REAL USES IN A BANKING PORTFOLIO
• Evaluating objectives and priortities when selecting credit models
• Assessing internal options: cost/benefit/ acceptance
• Practical uses for existing tools
• Regulatory considerations for model development in the future
Jim Gertie
Director of Global Markets and Analysis
FLEETBOSTON FINANCIAL

1.10
Lunch sponsored by

3.10
ECONOMIC CAPITAL AS A TOOL FOR MEASURING AND MANAGING RISKS DUE TO EXTREME EVENTS IN CREDIT PORTFOLIOS
• Economic capital measurement
– credit VAR framework and parameters estimations (market spreads, credit migrations, recovery rates, correlations and holding period)
– incorporation of credit exposures from OTC derivatives
– discussion of treatment of collaterals and optionalities such as term-out and prepayment
• Economic capital management
– marginal risk contribution and limit setting at appropriate confidence levels
– performance measurement and pricing for credit and liquidity
Mickey Bhatia
Vice President, Credit Portfolio Risk Management
JP MORGAN

3.50
Afternoon break and opportunity to visit the exhibition

4.20
PRACTICAL REVIEW OF CREDIT INDUSTRY MODELS - RECENT DEVELOPMENTS AND APPLICATIONS TO DIFFERENT PORTFOLIOS
• Assessing theoretical/analytical considerations
– core concepts
– structural models of default risk (asset volatility approach) : KMV’s CreditMonitor and PortfolioManager; RiskMetrics Group, CreditManager
• Macroeconomic driven models:
Mckinsey’s CreditPortfolioView
• Intensity models: CSFB’s CreditRisk+
• Data requirements / data sources
• Evaluating latest developments and new industry models
• Empirical comparisons - parallel testing
• Comparing models using a variety of portfolios and subportfolios
– economic capital required to support the portfolio
– largest contributors of risk to portfolio
• Determining considerations for future regulation of credit risk models
Robert Selvaggio
Managing Director, Risk Management
AMBAC ASSURANCE

5.40
INTERACTIVE PANEL SESSION: EFFECTIVELY MANAGING AN ACTIVE PORTFOLIO MANAGEMENT STRATEGY - ISSUES AFTER IMPLEMENTATION
• Defining goals and objectives required for active portfolio management
• Evaluating different approaches to active management
• Overcoming problems after implementation
• Incorporating application of new products and strategies to enhance portfolio management
Gene Guill, Managing Director
DEUTSCHE BANK
Brian Ranson, Senior Vice President
BANK OF MONTREAL
Loretta Hennessey, Managing Director
CIBC

6.20
Closing remarks from the chair

6.25
Cocktail party sponsored by

7.30
Congress dinner sponsored by