Stream 2: Investment Risk

08.00 Registration and coffee

09.00 Osney Media’s welcome address 

09.05 Chair’s welcome address

09.15 Recommendations for an effective buy-side risk management programme: processes, culture and governance
• Evolution of the risk management function in the buy-side
• How to position the risk management area
• Attributes of a good risk manager
• Decision biases that may lead to excessive risk taking and how to avoid them
Paulo Caricati, CFA, London Head of Risk Management, Western Asset Management Company Ltd

09.45 Market Risk – Current Developments
• Risk ratios – how significant are they?
• Stress tests – is an extension worthwhile?
• Address non-payment risk – can defaults be predicted?
• Currency risk – losses despite hedging?
Klaus-Erik Berger, Head of Risk Control, SEB Asset Management

10.15 Liquidity risk assessment of corporate bond portfolios
• Industry standards – where do we stand?
• Liquidity risk measurement
• Methodology at Raiffeisen
• An alternative concept -  beauty and the beast…
Michael Schmid, Head of Risk Management, Raiffeisen Capital Management

10.45 Morning coffee

11.15 Roundtable discussions: Derivatives – investment strategies, risk measurement and compliance integrated approach
• How derivatives are used in investing
• Risk measurement and compliance issues
Yvonne Pytlik, Chief Compliance Officer, Dreman Value Management
Diane Garnick, CEO, Clear Alternatives Asset Management

12.00 Risk & regulation
• Full content to be confirmed
Colin Morrison, Paradigm Investment Consulting Limited

12.30 Content to be confirmed
Romain Berry, EMEA and APAC Head of Cross Product Margining, Citigroup

13.00 Networking lunch

14.00 Content to be confirmed
Pierre Sarrau, Managing Director, Risk Management, BlackRock

14.30 No risk no return
• In what way does performance result from risk? – Ex-ante risk vs ex-post performance
• Investment strategies and the efficient frontier
• How do performance and risk analyse become an indispensable tool?
• Which roles do the risk manager and the risk controller have?
Dr Christoph Nadler, Head of Investment Engineering, Julius Bär

15.00 Measuring & managing counterparty risk
• Impact of regulatory changes
• Impact of central clearing
• Hedging counterparty risk
Simon Blakeney, ASIP, FRM, Investment & Counterparty Risk, HSBC Global Asset Management

15.30 Afternoon tea

16.00 Risk management in multi-asset/multi-strategy funds
• Decomposing risk and return
• Risk budgeting
• Risk management
Thorsten Neumann, Director of Risk Management and Quantitative Strategies, Union Investment Institutional GmbH

16.30 All delegates to move into stream 1

16.30 6×5: What’s hot, what’s not, what’s next
Six speakers with five minutes each to expound their views on what’s hot, what’s not and what’s next in performance measurement, attribution, and investment risk. Content and format is entirely up to individual speakers, although sales pitches will not be allowed. So be assured, it will be interesting.
Moderator: Uday Singh, CEO, Osney Media
Himanshu Patel, CFA, FRM, Head of Investment Risk, Northern Trust Global Investments Ltd.

17.00 6×5 roundtable discussions and voting
Delegates will discuss the 6×5 speakers, and each roundtable will choose their favourite. Tables will cast their vote and the winning speaker will be presented with a bottle of champagne.

17.20 Stream 1 Chair’s closing remarks
Colin Kay, Global Head of Performance Measurement & Risk, HSBC Securities Services

17.25 Stream 2 Chair’s closing remarks

17.30 Close of conference