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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
Peter Davies, Founder
ASKARI, A STATE STREET BUSINESS
11.50
PLAN SPONSOR DEBATE:
PLAN SPONSOR PERSPECTIVE ON RISK MANAGEMENT
Moderator: Peter Davies
Founder
ASKARI, A State Street Business unit
Leo de Bever
Vice President, Research and Economics
ONTARIO TEACHERS PENSION PLAN BOARD
Chiang Kheng Hong
Manager, Market Risk
GOVERNMENT OF SINGAPORE INVESTMENT CORPORATION
Harris Lirtzman
Director, Risk Management
NEW YORK CITY RETIREMENT SYSTEM
Eduard van Gelderen
Chief Investment Officer
NIB CAPITAL - ASSET MANAGEMENT
Robert Harrison
Manager, Business Risk Management
GMIMCO
1.10
Lunch
Sponsored
by
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2.30
INVESTMENT MANAGER PANEL: APPROACHES TO INTERNAL RISK MANAGEMENT
AND INVESTOR  DISCLOSURE
• Identification and classification of risks
• Decomposing risk to ensure effective identification
• Setting effective risk limits
– individual portfolios/products
– aggregating risk across multiple portfolios
– tracking errors
– comparisons to benchmarks for countries / holdings
• Ensuring watertight reporting, disclosure and compliance
– regulatory compliance
– investment compliance
Moderator: John Zerolis
Executive Director, Head of Risk Analysis
UBS BRINSON
Masood Javaid
Director, Portfolio Construction and Risk Management
MLMAM
Prasad Nanisetty
Managing Director, QA and Risk Management
PRUDENTIAL INVESTMENTS
4.20
MANAGING AND MITIGATING OPERATIONAL AND OPERATIONS RISK
• Defining operational risk
• Assessing the essential components of an effective management
framework
• Identifying key areas of operational risk for asset management
companies
• Selecting and monitoring operational risk indicators
• Examining techniques for measuring operational risk
James Lam
President of Enterprise Risk Solutions
OLIVER, WYMAN and COMPANY
5.00
RISK-ADJUSTED PERFORMANCE MEASUREMENT - INTEGRATING PERFORMANCE
ANALYSIS AND RISK MANAGEMENT
• Assessing relationship between risk management and performance
measurement
• Progressing from pure performance measures to risk based
performance measurement
• Integrating performance analysis and risk management
• Assessing the role of performance analysis in investment
decision making
• Determining the strengths and weaknesses of performance analysis
for risk management
Leslie Rahl
President
CAPITAL MARKETS RISK ADVISORS
5.40
EFFECTIVELY COLLECTING AND APPLYING DATA FOR RISK MEASUREMENT CALCULATIONS
- MARKET PRICE DATA VS PORTFOLIO DATA
• Understanding Data
• Challenges of data collection and associated terms &
conditions
• Unlocking the value of historical data
• Importance of Valuation models
• Comparison of market versus counterparty data
• Assessing the challenges associated with counterparty data
• Discussion of industry wide standardisation
• Implementation — to build or to buy?
Aamir Sheikh
Senior Vice President, Research and Enterprise Risk Management
BARRA, INC.
6.20
Closing remarks from the chair
6.25
Cocktail party sponsored by
7.30
Congress dinner sponsored by
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