PRMIA Global Risk Conference

May 14 - 16, 2012

New York

MAY 14, 2012

8:00 - 8:45		Registration and Continental Breakfast
8:45 - 10:15		Seminars - Session A 1A. Navigating the Dynamic Financial Landscape: Regulatory Capital, Basel II and Basel III Peter O. Davis Principal - Financial Services, Ernst & Young LLP Robert J. Wyle Senior Director, Product Management, Moody’s Analytics 2A.Identifying Emerging Risks & Opportunities: Outlook for Recovery Christopher Mayer Paul Milstein Professor of Real Estate, Co-Director, Richman Center for Business, Law, and Public Policy, Columbia Business School Daniel Rodriguez Chief Risk Officer, Global Arbitrage Trading and the Americas Equity Division, Credit Suisse 3A.Managing Through Crises: Risk Capacity Versus Risk Appetite Jonathan Howitt Former Chief Risk Officer, Evolution Group Walter Smiechewicz Chief Risk Officer, First Niagara Financial Group 4A.Counterparty Credit Risk, Credit Valuation Modeling, and Central Counterparties: Counterparty Exposures Modeling, Pricing and Hedging Eduardo Canabarro Global Head of Quantitative Risk Groups, Morgan Stanley Michael Pykhtin Senior Economist, The Federal Reserve Board

10:15 - 10:45		Refreshment Break
10:45 - 12:15		Seminars - Session B 1B.Navigating the Dynamic Financial Landscape: Systemic Risk John Hele Executive Vice President, Chief Financial Officer and Chief Risk Officer, Arch Capital Group Ltd William Mason Head of Risk, Central Bank of Ireland 2B.Identifying Emerging Risks & Opportunities: Advances in Portfolio Risk Management Attilio Meucci Chief Risk Officer, Kepos Capital Steve Wiggins Senior Director, Credit Risk Specialist, Moody’s Analytics 3B.Managing Through Crises: Implementing a Robust Risk Culture Bruce Fletcher Chief Risk Officer, HSBC Europe Nawal Roy Associate Principal, McKinsey & Company Navin Sharma Risk Management, Western Asset Management 4B.Counterparty Credit Risk, Credit Valuation Modeling, and Central Counterparties: Computation, Stress Testing, and Modeling Wrong Way Risk Eduardo Canabarro Global Head of Quantitative Risk Groups, Morgan Stanley Dan Rosen President, R² Financial Technologies

12:15 - 1:30		Lunch
1:30 - 3:00		Seminars - Session C 1C.Navigating the Dynamic Financial Landscape: OTC Clearing, Volcker Rule and Transaction Strategy Kim Olson Principal, Deloitte & Touche LLP Larry Tabb Chief Executive Officer, Tabb Group John Wilson Former Managing Director & Global Head of OTC Clearing, The Royal Bank of Scotland 2C.Identifying Emerging Risks & Opportunities: Structural Issues in Predictive Analysis Andrew Jennings Chief Analytics Officer and Head of FICO Labs, FICO David M. Rowe, PhD Former PRMIA Board Member and Senior Advisor Kamakura Corporation Sergey Smirnov Higher School of Economics, Financial Engineering and Risk Management Lab, Chair of Risk Management and Insurance, Higher School of Economics, Moscow 3C.Managing Through Crises: Risk Governance and Decision-Making Philip M. Halperin Chief Risk Officer, Alfa Bank Russia and Member of Supervisory Board of Alfa Bank Belarus and Alfa Bank Kazakhstan Clifford Rossi, PhD Executive-in-Residence and Tyser Teaching Fellow, Robert H. Smith School of Business, University of Maryland 4C. Counterparty Credit Risk, Credit Valuation Modeling,and Central Counterparties: Economic and Regulatory CCR Capital and Global Counterparty Risk Mitigation Allan Grody President, Financial InterGroup David Saunders Associate Professor, University of Waterloo

3:00 - 3:30		Refreshment Break
3:30 - 4:30		Commentary and Debate on Seminar Topics
3:30 - 5:00		Association Meeting for PRMIA Board and Leadership Group
5:00 - 6:30		Networking Reception with Exhibits Open

MAY 15, 2012

8:30 - 9:30		Registration and Continental Breakfast with Exhibits Open
9:30 - 9:35		Welcome Ruth M. Whaley Conference Chair and Principal, Barset Consulting LLC
9:35 - 9:50		Opening Remarks Professor Carol Alexander Chair of Financial Risk Management, ICMA Centre, Henley Business School at Reading and Chair, PRMIA Board of Directors

9:50 - 10:35		Plenary Address - Global Macro Risks Kenneth Rogoff Professor of Economics, Harvard University and author of "This Time is Different: Eight Centuries of Financial Folly"

10:35 - 11:05		Refreshment Break with Exhibits Open

11:05 - 12:05		Keynote Panel - A Global Perspective Craig Broderick Chief Risk Officer, Goldman Sachs Charles Calomiris Henry Kaufman Professor of Financial Institutions, Columbia Business School and member of the Shadow Open Market Committee Bennett W. Golub CRO, BlackRock Kenneth Rogoff Professor of Economics, Harvard University and author of "This Time is Different: Eight Centuries of Financial Folly" Moderator: Hank Prybylski Partner - Global Financial Services Risk Management Practice Leader, Ernst & Young LLP

12:05 - 1:35		Luncheon with Plenary Address - The Dangers in Using Models Emanuel Derman (12:45 - 1:30 pm) Professor, Columbia University, Head of Risk, Prisma Capital Partners and author of "Models.Behaving.Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life"

1:35 - 2:35		Keynote Panel - Macro-Prudential Risks, Government and Regulatory Actions Allan M. Malz Vice President, Markets Group, Federal Reserve Bank of New York and author of "Financial Risk Management: Models, History, and Institutions" James Rickards Partner, JAC Advisors and author of the bestseller, "Currency Wars: The Making of the Next Global Crisis" Mrs. Usha Thorat Director, Centre for Advanced Financial Research and Learning (CAFRAL) and former Deputy Governor, Reserve Bank of India Moderator: Dr. Colin Lawrence Director, Risk Specialists Division, Prudential Business Unit, Financial Services Authority, United Kingdom and Vice Chairman, PRMIA Board of Directors

2:40 - 3:40		Keynote Panel - Restructuring Financial Services in Volatile Markets Tom Daula Head of Global Research and Analytics, formerly Investment Bank COO and CRO, UBS Mark W. Olson Co-Chair of Treliant Risk Advisors, Former Chair of the PCAOB and Former Federal Reserve Board Governor James Sweeney Managing Director, Global Strategy, Credit Suisse Stefan Walter Principal and Global Bank Supervisory and Regulatory Policy Leader, New York, Ernst & Young LLP and former Secretary General of the Basel Committee on Banking Supervision, on Restructuring Financial Services in Volatile Markets Moderator: Marc Groz Managing Director, Head of Corporate Development, SPM LLC

3:40 - 4:10		Refreshment Break with Exhibits Open

4:10 - 5:10		Concurrent Session - Session A 1A. Can Risk Management in Financial Markets be a Science? Paul Davidson Editor, The Journal of Post Keynesian Economics and author of “The Keynes Solution: The Path to Global Economic Prosperity" 2A.Getting ETFs Back on Track: A New Approach to Tracking Error in Levered and Inverse ETFs Elliot Noma, PhD Managing Director, Garrett Asset Management, LLC 3A. Corporate Restructuring and Turnarounds Andrew B. Dietderich Head of the Restructuring and Bankruptcy Group at Sullivan & Cromwell LLP Brad Geer Managing Director, Houlihan Lokey Thomas Moloney Partner at Cleary Gotlieb Steen & Hamilton LLP Moderator: David Pauker Executive Managing Director, Goldin Associates, LLC and former Chief Restructuring Officer of Refco Inc. 4A.LIBOR Versus OIS: The Derivatives Discounting Dilemma John C. Hull Maple Financial Professor of Derivatives and Risk Management in the Joseph L. Rotman School of Management at the University of Toronto

5:20 - 6:20		Concurrent Sessions - Session B 1B.Mapping Financial Landscapes: Network Visualization, Mechanics, and Human Dynamics Kimmo Soramaki Founder, Financial Network Analytics 2B.Liquidity Risk in the Wake of New Regulations; Can Innovative Electronic Auctions Come to the Rescue? Kevin Callahan Founder and CEO, The AX Trading Network (The AX) and former Head of Sales & Strategy at JonesTrading 3B.Tail Wagging the World: Systemic Crisis, New Regulation and Effective Tail Risk Management Dr. Evgueni Ivantsov Head of Portfolio Risk & Strategy, HSBC and Chair of the European Risk Management Council 4B.Credit Rating Alternatives and Their Impact on Credit Markets Dov Haselkorn Partner, Oliver Wyman

6:20 - 6:50		Networking Reception with Exhibits Open
6:50 - 9:20		Gala Dinner

MAY 16, 2012

8:00 - 9:00		Continental Breakfast with Discussion - What's Next in Europe? Bart Oosterveld (8:15 - 8:45 a.m.) Managing Director, Moody’s Investors Service
9:10 - 9:20		Welcome Ruth M. Whaley Conference Chair and Principal, Barset Consulting LLC
9:20 - 10:05		Plenary Address - How Does Systemic Risk Look Today? Robert F. Engle Director of The Volatility Institute, Professor of Finance, NYU Stern School of Business and recipient of the 2003 Nobel Memorial Prize for Economics

10:05 - 10:35		Refreshment Break with Exhibits Open
10:35 - 11:35		Keynote Panel - Emerging Risks - Current Developments in Quantitative Analytics Professor Carol Alexander Chair of Financial Risk Management, ICMA Centre, Henley Business School at Reading and Chair, PRMIA Board of Directors Aaron C. Brown Risk Manager, AQR Capital Management Ron D'Vari CEO and Co-Founder, NewOak Capital David X. Li Managing Director, AIG Asset Management and former CRO, China International Capital Corporation Moderator: Barry Schachter CRO, Woodbine Capital

11:40 - 12:55		Keynote Panel - Crisis Management: Navigating Non-Market Risks James C. Allison Manager, Global Risk, ConocoPhillips Robert E. Bostrom Co-Chair Global Financial Institutions and Funds sector, SNR Denton and former EVP, General Counsel and Corporate Secretary of Freddie Mac, on Navigating Non-Market Risks Kevin Brock Principal, Booz Allen Hamilton, former Principal Deputy Director, National Counterterrorism Center and former Assistant Director, FBI, Directorate of Intelligence Harlan Loeb Global Practice Chair - Crisis & Risk Management, Edelman and Professor of Crisis Litigation and the Court of Public Opinion, Northwestern University Law School Leo M. Tilman President, L.M. Tilman & Co. and author of "Financial Darwinism" Moderator: Jon Lukomnik Managing Partner, Sinclair Capital L.L.C. and Executive Director of the IRRC Institute

1:00 - 2:15		Luncheon with Plenary Address - Recent Advances in How Behavioral Finance Impacts the Practice of Risk Management Hersh Shefrin (1:30 - 2:15pm) Mario L. Belotti Professor of Finance, Santa Clara University and author of "Ending the Management Illusion: How to Drive Business Results Using the Principles of Behavioral Finance"

2:25 - 3:25		Concurrent Sessions - Session C 1C. A Fire-Side Chat with Hedge Fund CROs Attilio Meucci CRO, Kepos Capital Barry Schachter CRO, Woodbine Capital Hilmar Schaumann Chief Risk Officer, Fortress Investment Group Moderator: Timothy Wilson Managing Director, Global Risk Management Advisors, Inc. 2C.Modeling Black Swans: Correlation, Contagion and Endogenous Risks Rama Cont Associate Professor of Industrial Engineering and Operations Research 3C.From Macro to Micro Testing: What Can We Learn About Systemic Symptoms? Dr. Colin Lawrence Director, Risk Specialists Division, Prudential Business Unit, Financial Services Authority, United Kingdom and Vice Chairman, PRMIA Board of Directors 4C.The Evolution of Economic Theory and Some Implications for Risk Management Dr. Patrick Spread Economic Consultant and author of "Support-Bargaining: The Mechanics of Democracy Revealed"
3:25 - 3:55		Refreshment Break with Exhibits Open
3:55 - 4:55		Concurrent Sessions - Session D 1D. Sovereign Risk in Europe Bruce Fletcher Chief Risk Officer, HSBC Europe Jonathan Howitt Former Chief Risk Officer, Evolution Group Duncan Martin Partner, Boston Consulting Group 2D.Adaptive Stress Testing: Harnessing Network Intelligence in Stress Testing and Reverse Stress Testing Alan Laubsch Principal, Winhall LLC 3D. Leading in Crisis Kevin Brock Principal, Booz Allen Hamilton, former Principal Deputy Director, National Counterterrorism Center and former Assistant Director, FBI, Directorate of Intelligence Erika James Professor, Darden School of Business, University of Virginia 4D. A Practical Guide to Fair Value and Regulatory CVA Dr. Alexander Sokol Numerix
5:00 - 5:15		Closing Remarks Dr. Colin Lawrence Director, Risk Specialists Division, Prudential Business Unit, Financial Services Authority, United Kingdom and Vice Chairman, PRMIA Board of Directors