8.30
Registration and breakfast

9.00
DEVELOPING RISK MANAGEMENT STRATEGIES AND STRUCTURES TO INCORPORATE MARKET RISK AND CREDIT RISK
• Establishing context for risk-related activity throughout the organisation
• Developing a framework for measuring risks: market risk, credit risk and operational risk
• Measuring economic capital enterprise-wide for market risk and credit risk
• Co-ordinating risk information across business lines
• Relating risk management, risk-adjusted performance and capital allocation for market risk and credit risk
Sidney Browne
Head of Quantitative Modelling Group, Risk Management
GOLDMAN SACHS
Arthur Maghakian
Vice President, Quantitative Modelling Group, Risk Management
GOLDMAN SACHS

10.00
ANALYSING ALTERNATIVE APPROACHES FOR INTEGRATING METHODS OF MEASURING MARKET RISK AND CREDIT RISK
• Foundations of measuring credit risk and market risk
– measuring economic value
– types of revaluation models
• Pros and cons of different methodologies; VAR, RAROC, cashflow-at-risk
– computing default and recovery
– probability of loss
– market risk in credit risk
– quality and level of information
• Applying simulation models
• Efficiently allocating capital for market risk and credit risk
Regis Armarger
Director, Risk Management
NOMURA SECURITIES INTERNATIONAL

11.00
Morning break

11.30
AN INTEGRATED MARKET AND CREDIT RISK PORTFOLIO MODEL
• Basic principles:conditional credit events, stochastic exposures and recoveries
• Mathematical equivalence of standard industry models such as CreditMetrics, CreditRisk+ and CreditPortfolioView
• Integrated framework for portfolio credit risk models
• Building stochastic exposures into portfolio credit risk models
• Effective computation of counterparty exposures with netting, collateral and mitigation

• Exposures for credit derivatives
• Applying conditional probabilities to measure wrong-way exposures
• Selection of default models
• Advanced analytical and Monte Carlo techniques in portfolio credit risk
• Theorem, Probability and Moment generating functions
• Enterprise credit risk modelling: bringing the retail, commercial and trading books
• Mark-to-Future risk management tools and optimisation: why mean variance tools do not apply well in credit risk
Dan Rosen
Director of Research
ALGORITHMICS INC.

1.00
Lunch

2.30
EVALUATING THE PROS AND CONS OF INTEGRATING MARKET RISK AND CREDIT RISK WITHIN A VAR FRAMEWORK
• Comparing the pros and cons of integrating market risk and credit risk within a VAR framework
– drawbacks of traditional approach
– linearity vs non-linearity; add-ons and netting of add-ons
– capital requirements for market risk and credit risk
– how market risk and credit risk are intertwined
• Applying VAR methodology to credit risk and market risk together
– finding a suitable VAR strategy
– integrating counterparty exposure with market risk
• Practical issues for integrating market risk and credit risk
– parameter estimation in VAR calculations
– system requirement; optimisation
– counterparty exposure vs true portfolio replacement costs
– impact of liquidity on VAR calculations
– beyond VAR
Lizeng Zhang
Vice President, Capital Market Credit Risk Management - Analytics
BANK OF AMERICA

3.30
Afternoon break

4.00
DEVELOPING AND APPLYING DATA STRATEGIES FOR EFFECTIVE INTEGRATION OF MARKET RISK AND CREDIT RISK
• Data issues in developing an Enterprise-wide Risk Management (ERM) data strategy
• Optimal solutions to data incompatability
• Consistent data conversion
• Integrating the data
• Growth availability
Tom Tracy
Vice President
LEHMAN BROTHERS

5.00
End of seminar