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
Robert Glauber, Chairman
MEASURISK.COM

11.50
APPLYING SCENARIO ANALYSIS AND STRESS TESTING TO MEASURE EXTREME EVENTS
• Developing and implementing effective stress testing strategies
• Optimising the parameters for accurate stress testing
• Building effective stress testing scenarios
• Defining historical data into event and non-event related models
• Utilising weighted historical simulations for accurate event forecasting
• Applying random time, random scenario stress testing techniques
• Measuring risks that are not captured by VAR
Peter Zangari
Risk Group
GOLDMAN SACHS ASSET MANAGEMENT

12.30
A COHERENT FRAMEWORK FOR STRESS TESTING
• Effectively incorporating stress testing into the basic risk model
– combining baseline risk model with stress testing
• Generating estimates from the unified model
– accounting for subjective stress-scenarios chosen by risk manager
Jeremy Berkowitz
Economist
FEDERAL RESERVE BOARD

1.10
Lunch

Sponsored by

2.30
ASSESSING THE APPLICATION OF REAL OPTIONS ANALYSIS TO RISK MANAGEMENT AND BUSINESS DECISION MAKING
• Identifying real options within the enterprise
• Real option alternatives to financial options
• Strategic exercise of the firm’s real options
• Effects of real options on corporate exposure
• Coordinating real and financial risk management
Alexander Triantis
Associate Professor of Finance
UNIVERSITY OF MARYLAND

3.10
EFFECTIVELY INCORPORATING MARKET BASED LIQUIDITY MEASUREMENT INTO INTERNAL PRICING AND RISK MANAGEMENT STRATEGIES
• Evaluating liquidation value of a portfolio
• Assessing the theory of optimal execution and optimal liquidation
• Liquidity adjustment and risk aversion
• Incorporating into effective risk management strategies
Neil Chriss
President & COO
ICOR BROKERAGE, INC.

4.20
EVALUATING THE INSURANCE USE OF EXTREME VALUE THEORY: CAPITALISING RARE EVENTS
• Capital allocation: an anticipated use for EVT?
• Motivations for capitalising hazard risks
– retentions and the insurance-purchase problem
– valuing risk transfer and incenting risk management
– ERM and performance optimisation
– Traditional approaches to quantification
– a primer on actuarial models
– a potpourri of risk measures, search for the ideal risk measure
– the failures of incoherent measures
• Extreme value statistics as risk measures
– assessment of coherency
– examples in application
• EVT and capital allocation in a mixed financial risk/hazard risk setting
Mark Ames
Vice President
MARSH RISK FINANCE
Jim Jordan
Vice President
NATIONAL ECONOMIC RESEARCH ASSOCIATES

5.00
A NEW APPROACH TO EDF VALIDATION
• Validation objectives
• Addressing data testing issues
• Foundations and validation processes
• Results and opportunities for credit management
Corinne Neale
Managing Director
IQ FINANCIAL SYSTEMS

5.40
FORENSIC FINANCE
Stephen Ross
Yale School of Management
MASSACHUSETTS INSTITUTE OF TECHNOLOGY

6.20
Closing remarks from the chair

6.25
Cocktail party sponsored by

7.30
Congress dinner sponsored by