CONCURRENT SESSIONS



Concurrent sessions are 60 minute standalone presentations and panels in the afternoons of the 15th and 16th of May.  They are organized based on conference themes of macro risks, advances in risk analytics and crisis management.  Sessions highlight innovative approaches and interactive learning.

Delegates can choose from 16 concurrent sessions led by expert practitioners and specialist researchers. Sessions are grouped in 4 conference themes of:


  1. The Dynamic Financial Landscape: Approaches to Risk and Regulation

  2. Latest Analytics: Market Dynamics and Innovation

  3. Managing through Crises: Detecting and Navigating Extreme Financial Events

  4. Unique Challenges: Technical and Market Dilemmas



 




1. The Dynamic Financial Landscape: Approaches to Risk and Regulation


Session 1 A Can Risk Management in Financial Markets be a Science?
To produce statistically significant and reliable predictions of future market outcomes from existing market data requires certain necessary conditions. Economist Paul Davidson addresses these conditions in considering why risk management models typically failed to predict the 2007-2008 financial crisis while some economists saw it forthcoming. The session also ties together Soros's concept of reflexivity and Keynes's concept of liquidity and liquid financial asset markets to provide a better understanding of how financial markets operate in the world of experience.

Paul Davidson - Editor, The Journal of Post Keynesian Economics and author of "The Keynes Solution: The Path to Global Economic Prosperity"
 
Session 1 B Mapping Financial Landscapes: Network Visualization, Mechanics, and Human Dynamics
Financial market turmoil has revealed the interconnected nature of modern financial systems. Industry, regulators and academics agree on the need for better analytical tools that can help monitor and safeguard against systemic risks. Kimmo Soramaki reviews new research in financial network analysis, including how network analysis of large-scale financial transaction data can be used to improve our understanding of how the financial system functions. How can visual analytics of time-series networks bring new insights? How can cross-asset networks enable stronger intuition of market dynamics?
 

Kimmo Soramaki-Founder, Financial Network Analytics
 
Session 1 C A Fire-side Chat with Hedge Fund CROs
Master risk-managers among the world's most prominent hedge funds will share latest thoughts on best practice buy-side risk management. Join their conversation on what keeps them awake at night, how they smooth volatility in a world of global realignment of policy and economies, and how to position portfolios in uncorrelated assets.

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.
 
Session 1 D Sovereign Risk in Europe
The ECB's Long Term Refinancing Operations have reduced short term fiscal pressure on European sovereign states, but structural issues are still unresolved. What could be the ramifications of an EMU breakup and what might be the path of least resistance for Europe going forward? Discussion with a European governmental advisor and CROs of European banks includes potential scenarios and ways financial institutions can position themselves to minimize volatility in loan and trading portfolios.

Bruce Fletcher - Chief Risk Officer, HSBC Europe

Jonathan Howitt - Former Chief Risk Officer, Evolution Group

Duncan Martin - Partner, Boston Consulting Group




2. Latest Analytics: Market Dynamics and Innovation


Session 2 A Getting ETFs Back on Track: A New Approach to the Tracking Error in Levered and Inverse ETFs
ETFs might just be the most popular investment vehicles of the decade, now widely used by institutional clients and retail investors alike. Yet liquidity, transaction and funding costs have been mastered by only a few ETF managers, leading many newly developed products to fail. Elliot Noma will present the latest research on how to optimize the tracking error for Levered and Inverse ETFs.
 

Elliot Noma, PhD -  Managing Director, Garrett Asset Management, LLC
 
Session 2 B Liquidity Risk in the Wake of New Regulations; Can Innovative Electronic Auctions Come to the Rescue?
The flurry of new ETFs/ETNs is creating additional investment and risk management opportunities for investors. But many instruments lack liquidity, while changes to market structure lead to unexpectedly high trading costs. Kevin Callahan discusses the ETF/ETN market in light of investors' key liquidity issues. He reviews risk in the structure of today's financial markets from the perspective of investors and risk managers seeking to understand and manage their exposures with greater knowledge and confidence.
 

Kevin Callahan  -  Founder and CEO, The AX Trading Network (The AX) and former Head of Sales & Strategy at JonesTrading
 
Session 2 C Modeling Black Swans: Correlation, Contagion and Endogenous Risks
Rama Cont leads this session on advanced modeling techniques for extreme risks. His focus is on the dynamics of contagion in order to both model correlation and to detect previously hidden endogenous risks.

Rama Cont  - Associate Professor, Columbia University and Director, Columbia Center for Financial Engineering
 
Session 2 D Adaptive Stress Testing: Harnessing Network Intelligence in Stress Testing and Reverse Stress Testing
Financial institutions are increasingly focused on robust enterprise stress testing, with development of dynamic stress tests focused on potential vulnerabilities. Banking regulators are also asking financial institutions to apply reverse stress testing with the same goal in mind. Alan Laubsch discusses advanced stress testing techniques that incorporate systemic early warning signals which focus attention on emerging risks, addressing the concerns of both practitioners and regulators.

Alan Laubsch - Principal, Winhall LLC
 




3. Managing Through Crisis: Detecting and Navigating Extreme Financial Events


Session 3 A Corporate Restructuring and Turnarounds
The financial crisis has created the perfect laboratory for restructuring experts. Join David Pauker, legal expert in financial services restructuring, for a behind-the-scenes look at how value evaporates in failures of financial services firms. He and other experts will follow where the money goes, looking at differences in both risks and liquidations of regulated vs unregulated entities and what risk managers can do to detect and protect from disaster.

Andrew B. Dietderich - Head of the Restructuring and Bankruptcy Group at Sullivan & Cromwell LLP

Brad Geer-Managing Director, Houlihan Lokey

Thomas Maloney - Partner at Cleary Gotlieb Steen & Hamilton LLP

Moderator

David Pauker - Executive Managing Director, Goldin Associates, LLC and former Chief Restructuring Officer of Refco Inc.
 
Session 3 B Tail Wagging the World: Systemic Crisis, New Regulation and Effective Tail Risk Management
More capital, stricter liquidity buffers and prudent use of financial leverage are three main themes of new regulations. How effective are these measures in alleviating systemic risk and how should banks effectively manage their tail risk while keeping the return on equity attractive for shareholders? Hear the latest perspective from Evgueni Ivantsov who is heading the Portfolio and Risk Strategy Group at HSBC.

Dr. Evgueni Ivantsov - Head of Portfolio Risk and Strategy at HSBC and Chair of the European Risk Management Council
 
Session 3 C From Macro to Micro Stress Testing: What Can We Learn About Systemic Symptoms?
This session will explore the dynamics through which financial systems are inter-linked and how shocks in one institution can spread to others. Colin Lawrence will review transmission mechanisms, leading indicators, diffusion channels and how the macro environment impinges on the vitality of the financial institutions.

Dr. Colin Lawrence - Director, Risk Specialists Division, Prudential Business Unit, Financial Services Authority, United Kingdom and Vice Chairman, PRMIA Board of Directors
 
Session 3 D Leading in Crisis
This interactive case study session will give participants several opportunities to practice decision-making and leadership in crisis situations. Crisis management experts Kevin Brock and Erika James share their perspectives from experience with cyber security and leadership training. They use live simulations to give participants an understanding of crisis leadership capabilities with the goal of developing effective decision-making under extreme pressure.
 

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
 




4. Unique Challenges: Technical and Market Dilemmas


Session 4 A LIBOR Versus OIS: The Derivatives Discounting Dilemma
The traditional use of LIBOR in valuing derivatives was called into question during the credit crisis. Market practitioners adjusted by using OIS rates in discounting collateralized derivatives and LIBOR for non-collateralized derivatives. John Hull challenges this approach -- join this must-attend session on derivative valuation in today's market.

John C. Hull - Maple Financial Professor of Derivatives and Risk Management in the Joseph L. Rotman School of Management at the University of Toronto.
 
Session 4 B Credit Ratings Alternatives: Their Impact on Credit Markets
Post crisis legislation in the US requires federal agencies to find alternatives to credit ratings when evaluating creditworthiness of financial products. Dov Haselkorn of Oliver Wyman discusses the proposed alternatives and considers how to move forward under these new guidelines.

Dov Haselkorn - Partner, Oliver Wyman
 
Session 4 C The Evolution of Economic Theory and Some Implications for Risk Management
Economist Patrick Spread combines economic processes and politics to refute neoclassical economic theory by developing the concept of support-bargaining and money-bargaining. This session presents an alternative economic and social perspective and explores the implications for risk management.

Dr. Patrick Spread - Economic Consultant and author of "Support-Bargaining: The Mechanics of Democracy Revealed"
 
Session 4 D A Practical Guide to Fair Value and Regulatory CVA
Credit Valuation Adjustment (CVA) is an integral part of fair value accounting regulations as well as the subject of a new capital charge under Basel III. Dr. Alexander Sokol reviews the methodology and provides guidance for effective implementation and compliance. The session will also address the latest advances in quantifying wrong way risk and gap risk in CVA.

Dr. Alexander Sokol - Numerix