7.45
Registration and breakfast

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

8.55
Chairman’s opening remarks
Christopher Culp
Director
CP RISK MANAGEMENT

9.00
DETERMINING THE ROLE OF VALUE-AT-RISK: INVESTMENT MANAGEMENT AND PLAN SPONSOR PERSPECTIVE
• Defining VAR for the investment manager and plan sponsor
– standardisation reporting within/across companies
• Assessing pros and cons of alternative VAR measures
• Evaluating accuracy of applying VAR to long horizon returns
• Using VAR for internal and client reporting
• Applying VAR for risk allocation and budgeting
• Using VAR for credit risk
• Operational issues
Moderator: Christopher Culp
Director
CP Risk Management
Jacob Rosengarten
Managing Director
Goldman Sachs Asset Management
Bob Maynard
Chief Investment Officer
PUBLIC EMPLOYEE RETIREMENT SYSTEM OF IDAHO

10.50
PRACTICAL APPLICATION AND IMPLEMENTATION OF VALUE-AT-RISK TECHNIQUES: ASSESSING ASSUMPTIONS FOR LONG HORIZON RETURNS
• Understanding assumptions and adopting model parameters
• Incorporating appropriate benchmark measurements
– comparing tracking errors across managers
• Representing liabilities
• Capturing risk in non-standard securities
• Distributional assumptions for long-term risk
– assessing the application of sqrt(t) factor to overnight VAR
– determining appropriate analytical approaches to improve the sqrt(t) rule
Mark Staley
General Manager, Global Analytics, Market Risk Management
CIBC

11.30
APPLYING MONTE CARLO TECHNIQUES TO CALCULATE VALUE-AT-RISK
• Linear vs non-linear instruments
• Alternative stochastic processes
• Techniques for portfolio-level generalisations
• Extensions for multi-period estimates
• Using factor models to calculate value-at-risk
• Pros and cons of each mathematical approach
• Assessing the relationship between type of calculation and final application
Dr Merrell Hora
Senior Quantitative Analyst
OPPENHEIMER FUNDS

12.10
Lunch sponsored by

1.40
PRACTICAL ASPECTS OF RISK BUDGETING FOR PLAN SPONSORS, FOUNDATIONS AND INVESTMENT MANAGERS
• How does risk budgeting differ from guideline monitoring and other controls?
• Which measures to budget and monitor for which goals
– comparing pension plans’ needs to those of foundations and investment managers
– protecting against pension plan underfunding
– protecting against unacceptable underperformance
– optimizing relative and absolute performance
• Unintended results of different risk monitoring systems
• The limits of risk monitoring: where VaR is weak
Michelle McCarthy
Managing Director
DEUTSCHE BANK

2.30
MEASURING AND MANAGING CREDIT RISK FOR EFFECTIVE INVESTMENT PORTFOLIO MANAGEMENT
• Techniques for counterparty credit risk exposure
– single counterparties
– multiple counterparties
• Assessing the effectiveness of current industry credit risk modelling techniques for portfolio management
– CreditMetrics, CreditRisk+, KMV
– common grounds and differences
– generalised framework for default
– systemic risk distribution
– calculation procedures
• Measuring settlement risk
• Managing liquidity risk
Ethan Berman
Chief Executive Officer
RISKMETRICS GROUP

3.30
implementing enterprise WIDE risk-management: money managers and plan sponsors
• Establishing a clear and meaningful risk vision
• Designing a dynamic risk management process to implement the defined risk objective
• Developing infrastructure of intangibles and tangibles to support the risk process
Derek Young
Vice President, Strategic Services
FIDELITY INVESTMENTS

4.10
DEVELOPING AND IMPLEMENTING AN EFFECTIVE RISK MANAGEMENT STRATEGY AND FRAMEWORK
• Selecting most appropriate risk management strategy
• Risk management structure and reporting lines
– roles and responsibilities
– centralisation vs distribution of responsibilities
• Moving towards an enterprise-wide risk management strategy
• Ensuring transparency across borders
Erwin Martens
Managing Director, Head of Risk Management

5.00
End of conference