7.45
Registration and breakfast

8.05
PRACTITIONERS VS REGULATORS DEBATE
Moderator: Mark Brickell, Managing Director, JP MORGAN Mike Brosnan, Deputy Comptroller for Risk Evaluation, OFFICE OF THE COMPTROLLER OF THE CURRENCY
Michael Ong, Senior Vice President, ABN AMRO BANK Adrian D’Silva, Director, Capital Markets, FEDERAL RESERVE BANK OF CHICAGO

8.55
Chairman’s opening remarks
Walter Gontarek
Managing Director and Head of Global Credit Derivatives
RBC DS GLOBAL MARKETS

9.00
DEVELOPING AN ENTERPRISE WIDE CREDIT RISK MANAGEMENT FRAMEWORK
• Assessing gaps in coverage of current credit risk models
• Is a unified framework possible?
• A multi-factor approach to credit risk measurement
• Adding attribution power to understanding credit quality transactions (credit cards, housing, loans, etc.)
• Quantifying the improvements over other methods
• Examples of applications
• Integration with market risk
Jitendra Sharma
Partner
ARTHUR ANDERSEN

CREDIT MITIGATION: CREDIT DERIVATIVES AND OTHER STRUCTURED PRODUCTS

9.40
ENHANCING CAPITAL MANAGEMENT OF CREDIT RISK: APPLYING CREDIT DERIVATIVES, SECURITISATION TECHNIQUES AND HIGH-YIELD DEBT PRODUCTS FOR REGULATORY ARBITRAGE
• Understanding the regulator’s approach to securitisation and resource
• Assessing regulatory risk based capital treatment for CBO, CLO and credit linked notes
• Achieving regulatory capital relief using CLOs, CBOs and credit-linked notes under future guidelines
• Capital management applications
• Maximising regulatory arbitrage: banking book vs trading book
William K Gleason
Vice President
JP MORGAN

10.20
Morning break and n opportuity to visit the exhibition

10.50
LATEST APPLICATIONS OF HYBRID SECURITISATIONS TO MANAGE AND MITIGATE RISK IN THE BANK CORPORATE LENDING PORTFOLIO
• Evaluating latest derivative applications to mitigate credit risk and capital of risk portfolios
• Overcoming the barriers to securitisation - ratings, transfer restrictions, confidentiality and client relationships
• Assessing structural options, regulatory capital implications and funding costs
• Identifying and choosing assets, choosing protection provider and monitoring the risk
• Assessing applications of credit linked notes vs credit default swaps
• Combining credit derivatives and asset securitisation to overcome these limitations
• Reviewing recent market applications
Daniel E Kaiser
Managing Director, Structured Credit Products
BANC OF AMERICA SECURITIES, LLC

INNOVATION FORUM

11.30
EFFECTIVELY APPLYING WEATHER DERIVATIVES
Jeff Porter
Director of Weather Derivatives
KOCH ENERGY TRADING
Vince Kaminski
Managing Director
ENRON CORP.
Ravi Nathan
Portfolio Manager, Wholesale Weather Trading
AQUILA

12.10
Lunch sponsored by

1.40
EVALUATING RATINGS AND RISK MODELLING OF SYNTHETIC CLOS AND CBOS
• Risk modelling of synthetic CLOs and CBOs
- – credit portfolio loss distribution
– tranching of credit portfolio risk
– parameters sensitivity
– relative value analysis
• Rating modelling of synthetic CLOs and CBOs
– computing actual quality and diversity
– expected loss analysis
– stress testing
– asssessing whether ratings models capture the economic risk profile of a credit portfolio
Klaus Toft
Vice President
GOLDMAN SACHS

2.20
STRUCTURING & APPLYING SYNTHETIC CREDIT PORTFOLIO TRANSACTIONS AND OTHER SECOND GENERATION CREDIT DERIVATIVES
• A macro analysis of economic and regulatory risk transfer
– natural suppliers of credit risk
– natural takers of credit risk
– identifying the most efficient risk-transfer vehicle
• Example transacion types
– basket transactions
– portfolio default swaps
– synthetic securitisation
– asset dependent credit protection
– other second generation structures
Bryan Mix
Vice President
GOLDMAN SACHS

3.00
Afternoon break and a opportunity to visit the exhibition

3.30
EVALUATING APPLICATION OF CBOs, CLOs AND CREDIT-LINKED NOTES WITHIN NEW ASSET CLASSES
• Exploiting new asset classes for CBO, CLO and credit-linked note transactions
– real estate assets
– mortgages
– key characteristics
• Evaluating opportunities for using synthetic assets in CBO, CLO and credit-linked note transactions
• Comparing the structuring and application of CMOs with CBO, CLO and credit-linked notes
Hal Holappa
Managing Director
TORONTO DOMINION SECURITIES

4.10
CREDITEX: ASSESSING IMPACT OF E-TRADING ON CREDIT DERIVATIVE MARKETS
• Assessing impact of Creditex on markets
• Determining disclosure of trades in the market
• Predicting which dealers are using this path
• Evaluating the impact of Creditex on pricing
– effect on bid-offer spreads
John McEvoy
Co-founder
CREDITEX
Sunil Hirani
Co-founder
CREDITEX

5.00
End of conference