This Is The Best Risk Management Conference in The World

This Is The Best Risk Management Conference In The World
Eduardo Canabarro, Global Head Of Quantitative Analysis, MORGAN STANLEY

The 18th Annual
600+ CROs, Senior Risk Practitioners, Supervisors & Academics in 2010!
1 r 60 0! NOBEL LAUREATE
ADDRESS!
Robert Engle Michael Armellino Professor In The Management Of Financial Services STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY
Sa ve 9 S Boo Up ept k b To emb y e
Main Conference 6-8 December 2011 Hotel President Wilson, Geneva, Switzerland Tel: +44 (0) 20 7017 7200 Fax: +44 (0) 20 7017 7807 Email: Info@icbi.co.uk www.icbi-riskminds.com
Setting The Agenda For Risk Management In An Era Of Economic & Regulatory Change
Over 20 CROs & CFOs Determine A Strategy To Locate Risk Management At The Centre Of The Business
Hugo Banziger CRO & Member Of The Management Board DEUTSCHE BANK
David Coleman CRO RBS
Maureen Miskovic Group CRO UBS
Chng Sok Hui Chief Financial Officer DBS BANK
Lewis ODonald CRO NOMURA HOLDINGS
Tham Ming Soong CRO UOB BANK
Alden Toevs CRO THE COMMONWEALTH BANK OF AUSTRALIA
Johan Andersson CRO SEB
150+ Expert Risk Practitioners & Global Supervisors Offer Practical Advice For Risk Managers In A Basel III Era
Jose Maria Roldan Director General, Banking Regulation BANCO DE ESPANA
Maarten Gelderman Head of Macroprudential Analysis Department DE NEDERLANDSCHE BANK
Bill Coen Deputy Secretary General BASEL COMMITTEE ON BANKING SUPERVISION
Eduardo Canabarro Managing Director, Head Of Credit & Market Quantitative Risk MORGAN STANLEY
Riccardo Rebonato Head of Front Office Risk Management and Quantitative Analytics RBS
Evan Picoult Managing Director, Risk Architecture, CITI & Adjunct Professor COLUMBIA BUSINESS SCHOOL
Andrew Abrahams Global Head Of Quantitative Research JP MORGAN
Darryll Hendricks Managing Director, Global Head Of Risk Methodology UBS
Why Is RiskMinds 2011 The Must Attend Event For All Risk Management Professionals?
A Proven Track Record As The Worlds Largest & Longest Running Risk Management Conference Now in its 18th year, RiskMinds brings together leading industry CROs, renowned academics, influential regulators and expert risk practitioners & regularly attracts over 600 industry professionals. The Most Comprehensive & Practical Programme Ever RiskMinds offers an unrivalled number of practitioner presentations on all the big topics impacting the industry today including entire streams dedicated to Capital Management & Modelling, Stress Testing, ERM, Business Risk, Counterparty Credit Risk, CVA & Liquidity Risk The RiskMinds Fresh Perspective CRO Summit For 2011, our global faculty of over 20 leading CROs will be joined by experts in behavioural finance, leadership and the Economy. Together they will discuss how to innovate and take risk management to the next level within the bank. Be the first to hear CROs Determine the future for risk management (Page 3) More Interaction Between Global Supervisors And The Risk Practitioners Hear where risk regulation is headed & what your peers think about it at the global risk regulation summit. There will be more discussion and experience-sharing than ever before! (Page 3) NEW The CFOs Perspective On Risk Management Regulation and risk management are changing the heart of the financial services and the traditional banking models. What does the CFO think about this and how does the business really view risk management? (Page 3)
Inspire & Inform Your Risk Management Strategy With The Eye-Opening RiskMinds 2011 Guest Lectures
POLITICS AND ECONOMY SOVEREIGN DEBT
Understand The Impact Of New Risk Regulation At The 7th Annual Global Risk Regulation Summit
Hear The Latest Regulatory Agenda From The Basel Committee Gain practical implementation insight from expert regulatory practitioners Share experiences with over 200 practitioners and regulators from The European Commission, Banco De Espana, UBS, BNP Paribas, JP Morgan Chase, HSBC, Credit Suisse, Citi & Grupo Santander
5th December See page 3
Sharpen Your Skills At The RiskMinds Practical Workshops

John Micklethwait Editor-In-Chief THE ECONOMIST Edward Altman Max L. Heine Professor Of Finance STERN SCHOOL OF BUSINESS, NYU BEHAVIOURAL FINANCE
The Theory & Practice Of Credit Risk

John Hull UNIVERSITY OF TORONTO
5th December
See page 6
NEUROSCIENCE
Advanced Modelling Of Counterparty Credit Risk & CVA

R2 FINANCIAL TECHNOLOGIES, THE FEDERAL RESERVE BOARD & THE UNIVERSITY OF WATERLOO
9th December
See page 7
Stress Testing: A Bayesian-Net Approach

John Coates Research Fellow In Neuroscience & Finance JUDGE BUSINESS SCHOOL, UNIVERSITY OF CAMBRIDGE Hersh Shefrin Mario L. Belotti Professor of Finance SANTA CLARA UNIVERSITY
Riccardo Rebonato, RBS

9th December
See page 7
Basel 2.5 & Beyond: From Implementation To Implication

Hosted by Nomura
9th December
See page 6
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For the latest programme, or to register, please visit www.icbi-riskminds.com. Call +44 (0) 20 7017 7200. Fax: +44 (0) 20 7017 7807. Email: info@icbi.co.uk.
Benefit From Fresh Perspectives At RiskMinds 2011!
Greetings From RiskMinds HQ!

We witnessed a full house at RiskMinds last year- the President Wilson Hotel was packed with over 600 risk professionals keen to meet with their peers and hear about the new regulatory and supervisory expectations for the post-crisis risk manager. RiskMinds, as always, was the annual meeting place for the risk management community! This year, with the surge towards widespread regulatory change, we expect another full house! Financial institutions are gearing up to respond to new regulation in a practical implementation-focused manner. Teams are focusing in on interpreting regulations, developing new methodologies and validating models. In addition, this year, institutions are also preparing in a strategic manner by prophesying the business consequences of new regulation and the economic challenges we currently face. As a result, this years RiskMinds will be focussed on responding to the new regulatory & economic environment. RiskMinds 2011 is uniquely placed to do this because it is the only forum to offer the practitioner access to the following all in one week: The strategic insight of over 25 global CROs on the role & importance of risk management within the bank The regulatory knowledge of over 25 supervisors and specialist practitioners The expertise and practical insight of over 150 risk practitioners in the fields of market risk, stress testing, liquidity risk, Credit risk, CVA & capital modelling PLUS! New for this year: Inspiration and a fresh perspective on risk management from renowned experts in behavioural finance, leadership, sovereign debt & neuroscience!
As well as hearing essential insight from over 120 of the top CROs, Supervisors and expert practitioners, this year benefit from the following inspirational views & explore how you can apply their skills into your day job
The Nobel Laureates Insight On Volatility, Correlation And Tails For Systemic Risk Measurement Robert Engle Michael Armellino Professor In The Management Of Financial Services STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY The Behavioural Finance Professors Views On Building Effective Risk Management Culture Hersh Shefrin, Mario L. Belotti Professor of Finance SANTA CLARA UNIVERSITY The Economists Predictions On The Future Stability Of The Global Economy John Micklethwait, Editor In-Chief THE ECONOMIST The Cambridge University Neuroscientists Advice On The Neuroscience Of Risk Taking & How To Manage A Traders Biology John Coates, Research Fellow In Neuroscience & Finance JUDGE BUSINESS SCHOOL, UNIVERSITY OF CAMBRIDGE The Sovereign Debt Specialists New Research on The Outlook For The Sovereign & Corporate Debt Market Edward I. Altman Max L. Heine Professor of Finance STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY The British Army Generals Experience Of How To Inspire, Motivate & Demonstrate Leadership Colonel Tim Collins OBE Former Officer THE BRITISH ARMY
Were on Twitter: Follow us @riskminds for up to the minute details on the industry and our event.
I look forward to seeing you in Geneva for what promises to be both an inspirational and practical RiskMinds 2011!
Victoria Chatterton, Conference Director, RiskMinds 2011
Join Us On LinkedIn: www.linkedin.com search Ri$kMinds in the groups section and join the online debate!
RiskMinds 2011: Our Most Senior CRO Line-Up Yet!

For 2011 we have the most senior line-up of Chief Risk Officers than ever before. We even have a CFO joining us for the first time ever! NEW CFO Chng Sok Hui, Chief Financial Officer, DBS GROUP Hugo Banziger, CRO & Member Of The Management Board, DEUTSCHE BANK Maureen Miskovic, Group CRO, UBS NEW CRO Lewis ODonald, CRO, NOMURA HOLDINGS NEW CRO David Coleman, CRO, RBS Alden Toevs, CRO, THE COMMONWEALTH BANK OF AUSTRALIA Kenji Fujii, Executive Officer, Head of Global Risk Management Group, MIZUHO SECURITIES NEW CRO Tham Ming Soong, CRO, UOB BANK NEW CRO Roger Dix, Chief Risk Officer UK Life, AVIVA PLC NEW CRO Bob Stribling, CRO, SUNTRUST William L. Dawson, Chief Risk Officer, Wealth, Brokerage and Retirement WELLS FARGO & COMPANY Paige H. Wisdom, Chief Enterprise Risk Officer, FREDDIE MAC Jacques Beyssade, CRO, NATIXIS Philip Best, CRO, THREADNEEDLE Beat Hodel, CRO, RAIFFEISEN NEW CRO Jean-Jacques van Helten, Managing Director & Chief Risk Officer, Europe BMO FINANCIAL GROUP Jens Kaessner, CRO, DEUTSCHE POSTBANK NEW CRO Johan Andersson, CRO, SEB NEW CRO Dr Kanwardeep Ahluwalia, Head of Financial Risk Management (FRM) SWISS RE GROUP. Olivier Irisson, Deputy CRO, BPCE David Watts, CRO, WESTPAC NEW ZEALAND Thomas Gross, CRO, COMMERZBANK
Gain Expert Insight On The Most Pressing Issues In Risk Management Today
Macro-Prudential Risk Regulation Basel III Sovereign Debt Systemic Risk Management The Trading Book Review The Business Impact Of Regulation Risk Management Culture Risk Appetite Economic Vs Regulatory Capital The UK Independent Commission On Banking Model Risk Risk Weights IRC Model Validation Countercyclical Buffers Risk Capital Stress Testing Banking Book Risk Management Credit Cycles PIT vs TTC Volatility & Correlation Liquidity & Transfer Pricing Reverse Stress Testing CVA & Wrong Way Risk Leverage Ratios S Var & IRC Sifis CoCos Macro Economic Stress Testing Liquidity & Systemic Risk Capital Buffers Economic Capital & Business Risk Moving From BAU To Crisis Mode Uncollateralised Funding Risk Capital & Compensation CVA Pricing Recovery & Resolution Planning Liquidity Buffers Core Capital Hedging CVA Risk/Return Profiles Modelling Collateralized Exposure
2 3
The Ri$kMinds Global Risk Regulation Summit

5th December 2011, President Wilson Hotel Geneva
08.30 08.50 Registration & Coffee Chairmans Opening Address Anthony Santomero, Senior Advisor, MCKINSEY & COMPANY 07.30 08.15 08.00 08.15
The Ri$kMinds CRO FORUM 2011

6th December 2011, Day 1 Main Conference Closed Door CRO-Only Breakfast Briefing
Share CRO War-Stories With Your Peers & Benefit From The Behavioural Finance Expertise Of Special Guest: Hersh Shefrin, Mario L. Belotti Professor of Finance, SANTA CLARA UNIVERSITY
Registration & Coffee
THE NEW SHAPE OF THE FINANCIAL SERVICES INDUSTRY Attaining Global Financial Stability
09.00
Examining The Roadmap For Better Banking Regulation & Supervision: How Far Do We Still Have To Go? Jose Maria Roldan, Director General, Banking Regulation, BANCO DE ESPANA
Chairmans Opening Address Miles Everson, Global Head - Governance, Risk and Compliance Services, PwC
RESPONDING TO THE EVOLVING ECONOMIC & BUSINESS ENVIRONMENT THE POLITICAL & ECONOMIC BRIEFING
08.30
Monetary Policy, Financial Stability & The Sovereign Debt Crisis

09.30
How Is Regulation Responding To A New Era Of Global Economic Change? Mario Nava, Head Of Financial Market Infrastructure Unit, EUROPEAN COMMISSION *under invitation
Assessing The Future Impact Of Geo-Political & Economic Power Shifts Currently Playing Out John Micklethwait, Editor In-Chief, THE ECONOMIST
Basel III
10.00 10.30
THE CFOS BRIEFING ON RISK MANAGEMENT

09.10
Creating The Roadmap To Better Banking Regulation And Supervision Bill Coen, Deputy Secretary General, BASEL COMMITTEE ON BANKING SUPERVISION
Morning Coffee
Understanding Risk In Finance: Developing A Coherent Framework To Address Different Views Of The Balance Sheet, Different Views On Capital & Different Roles In Managing The Firm Chng Sok Hui, Chief Financial Officer, DBS GROUP
EXPLORING THE IMPACT OF NEW REGULATORY INITIATIVES

11.00
Current Perspectives On Navigating Through Regulatory Reform Douglas W. Roeder, Managing Director, Banking & Capital Markets Regulatory Team, PwC
09.40
THE BUSINESS BRIEFING The Board Is From Mars, Risk Is From Venus
What Does The Rest Of The Institution Really Think Of Risk Management? Maureen Miskovic, Group CRO, UBS
Basel III & Macro-Prudential Risk Regulation

11.30
How Is Basel III Addressing The Systemic Risks Of The Banking Sector & The Procyclicality Of Past Regulation Maarten Gelderman, Head of Macroprudential Analysis Department, DE NEDERLANDSCHE BANK
10.10 10.20
Challenge & Comment Audience Q&A

Morning Coffee
RISK MANAGEMENT IN AN ERA OF FINANCIAL STABILITY & POLITICAL PRESSURE THE MODERN CRO ADDRESS
10.50
THE PRACTITIONER RESPONSE Initial Reactions & Responses To The Proposed Regulatory Changes
Top Practitioners Offer Their Reactions To The Regulatory Challenges & Ask Regulators Questions From The Floor Moderator: Dominique Bourrat, Managing Director, RISK DYNAMICS Panellists: Mattia Rattaggi, Managing Director, Head of Group Regulatory Relations, UBS Adam M. Gilbert, MD, Head of Regulatory Policy, Corporate Risk Management Group JPMORGAN CHASE & CO. Christian Lajoie, Head Of Group Prudential Affairs, BNP PARIBAS Valerie Maysey, Senior Specialist Regulatory Affairs, Group Risk Management, HSH NORDBANK
Lunch & Meet The Regulator Roundtables
Keeping Risk Appetite Dynamic Alden Toevs, CRO, THE COMMONWEALTH BANK OF AUSTRALIA
12.00
Too Good To Fail

11.20
Beyond Capital, Liquidity And Compliance Robert Sullivan, Global Banking, Capital Markets Leader, Global Regulatory Leader & Lead Engagement Partner, PwC George Stylianides, Partner, PwC
12.35
CRO THINKTANK The Business Impact Of Regulation

11.50
THE PRACTITIONERS CHALLENGE: UNDERSTANDING & IMPLEMENTING BASEL III

13.45 13.45
Afternoon Chairman: Philipp Hrle, Director, MCKINSEY & COMPANY
How Much Capital Is Enough?

Factoring Capital Ratios, Leverage Ratios & Liquidity Ratios Into Your Capital Calculations Alan Smith, Global Head Of Risk Strategy, HSBC Shaping A Robust Stress Testing Framework Dominique Bourrat, Managing Director, RISK DYNAMICS
12.30
How Will Financial Business Models Change As A Result Of Regulation, How Can We Manage Shareholder Expectations In Light Of These Changes And How Can We Achieve Growth In A Low Growth/ High Regulation Environment? Panellists: Mike Alix, Senior Vice President, FEDERAL RESERVE BANK OF NEW YORK Kenji Fujii, Executive Officer, Head of Global Risk Management Group, MIZUHO SECURITIES CO Tham Ming Soong, CRO, UOB BANK, Thomas Gross, CRO, COMMERZBANK Roger Dix, Chief Risk Officer UK Life, AVIVA PLC
14.15
THE RISKMINDS 2011 LEADING CRO ADDRESS

Challenges In Risk Management Today Hugo Banziger, CRO & Member Of The Management Board, DEUTSCHE BANK
Lunchtime & Networking - Meet The VIP Roundtables
Philip Best CRO THREADNEEDLE Bob Stribling CRO SUNTRUST Alden Toevs CRO CBA Tham Ming Soong CRO UOB BANK
Basel III Implementation Challenges

14.45
Exploring The Impacts On The Banks' Business Model, Globalization & Regulatory Interaction Harry Stordel, Head Regulatory Co-ordination, Policies & Controls, CREDIT SUISSE Creating, Assessing & Managing Transitional Plans For Basel III Senior Representative, QUANTITATIVE RISK MANAGEMENT
13.10
15.15
THE RISKMINDS RISK CULTURE WORKING GROUP CHALLENGE THE RISKMINDS 2011 BEHAVIOURAL FINANCE MASTERCLASS
14.20
PRACTITIONER INSIGHT How Should We Change Our Business Model Under Basel III?
15.45
Predicting Which Business Models Will Thrive & Fail Under Basel III Moderator: Andrew Jennings, Managing Director, Risk, CITI Barbara Frohn, Managing Director, Advisor to the CEO & advisor to the Eur. Parliament GRUPO SANTANDER Steve Culp, Managing Director, ACCENTURE RISK MANAGEMENT Alan Smith, Global Head Of Risk Strategy, HSBC
Afternoon Tea
Building Effective Risk Management Culture: Learning Behavioural Lessons About Process, Pitfalls, And Psychology From The Experiences Of Companies Such As BP And Ford Hersh Shefrin, Mario L. Belotti Professor of Finance, SANTA CLARA UNIVERSITY
LEADING CRO ADDRESS

15.00
Implementing & Maintaining A Risk Culture:

How Can The CRO Ensure That Risk Maintains Its Role At The Centre Of The Business When More Benign Economic Times Return? Lewis ODonald, CRO, NOMURA HOLDINGS
16.15
RISK REGULATION: WHERE NEXT? Exploring The Changing Responsibilities Of Control Functions In The Wake Of The Regulatory Response To The Financial Crisis
16.45
CRO THINK TANK The CROs Challenge!

Determining The Best Strategy To Balance The Human & The Financial Element To Arrive At The Optimal Risk Strategy For The Business? Panellists: Bob Stribling, Group CRO, SUNCORP William L. Dawson, Chief Risk Officer, Wealth, Brokerage and Retirement WELLS FARGO & COMPANY Paige H. Wisdom, Chief Enterprise Risk Officer, FREDDIE MAC Jacques Beyssade, CRO, NATIXIS, Philip Best, CRO, THREADNEEDLE Plus Expert Advisor: Hersh Shefrin, Mario L. Belotti Professor of Finance SANTA CLARA UNIVERSITY
Incorporating Behavioural Factors Into The Response & Determining The Impact On Risk Management Stephen Anderson, Global Head Of Risk Audit, HSBC Exploring The Implications Of The Changing Regulatory Landscape Hamid Samandari, Director, MCKINSEY & COMPANY Kevin Buehler, Director, MCKINSEY & COMPANY
15.30
17.15
16.00 16.10

Afternoon Tea
THE RISKMINDS REGULATORY REVIEW: 30mins

The Political & Regulatory Response To The Crisis: A View From The Banks Paul Shotton, Deputy Head Of Portfolio Risk Control & Head Of Group Risk Methodology, UBS
LOCATING RISK MANAGEMENT AT THE CENTRE OF BUSINESS & CRISIS PLANNING GUEST LEADERSHIP ADDRESS
16.40
17.45
THE RISKMINDS REGULATORY ROUNDUP: 30mins Where Now For Regulation?

Exploring The Key Themes Of The Day & Looking Forward To Up & Coming Regulatory Initiatives Moderator: Paul Shotton, Deputy Head Of Portfolio Risk Control & Head Of Group Risk Methodology, UBS Panellists: Adam M. Gilbert, Managing Director, Head of Regulatory Policy, Corporate Risk Management Group, JP MORGAN CHASE & CO. Charles Haswell, Group Head of Regulatory Policy and Development, HSBC Roll Up Your Sleeves Regulatory Working Groups
How To Inspire, Motivate & Demonstrate Leadership: Applying Lessons Learned From The Battlefield In The Boardroom Colonel Tim Collins OBE, Former Officer, THE BRITISH ARMY
Colonel Collins is best known for his inspirational eve-of-battle speech during the Iraq War in 2003, a copy of which apparently hung in the White House's Oval Office.
17.20
LEADING CRO ADDRESS Fail To Prepare, Prepare To Fail?

Transitioning From Business As Usual Mode To Crisis Mode: How To Transform Business Objectives And Risk Parameters At A Moments Notice? David Coleman, CRO, RBS
CRO THINK TANK Why Saying No Can Be Good For Business

How Can We Encourage & Build On The Concept Of Risk Management As A Business Enabler & What Is The CROs Role In Re-Risking? Moderator: Erwin Martens, Former CRO, TIAA-CREF Panellists: Beat Hodel, CRO, RAIFFEISEN Jean-Jacques van Helten, Managing Director & Chief Risk Officer, Europe BANK OF MONTREAL FINANCIAL GROUP Jens Kaessner, CRO, DEUTSCHE POSTBANK Johan Andersson, CRO, SEB David Watts, CRO, WESTPAC NEW ZEALAND Plus Expert Advisor: Colonel Tim Collins OBE, Former Officer, THE BRITISH ARMY
18.45
European Parliament And Risk Regulation Barbara Frohn GRUPO SANTANDER
Where Next For Risk Regulation? Valerie Maysey HSH NORDBANK
The Practitioners Response To Recent Regulation Mattia Rattaggi, UBS
17.50
19.00 20.00
Ri$kMinds 2011 Welcome Drinks Reception

18.30 18.40

The Ri$kMinds 2011 Drinks Reception
Tel: +44 (0)20 7017 7200 Fax: +44(0)20 7017 7807 Email: info@icbi.co.uk For latest programme or to register please visit: www.icbi-riskminds.com
Ri$kMinds 2011
7th December 2011, Day 2 Main Conference
08.00 08.45 08.30 09.00
THE RISKMINDS INTERNATIONAL BREAKFAST BRIEFING - (pre-registration required) The NASA Experience
A Look Back At The Risk Management Of The Space Shuttle Programme & A Look Forward To NASAs Risk Management Strategy For The Future Jeevan Perera, Risk Manager, NASA SPACE CENTRE
Morning Coffee
Chairmans Opening Address Tom Kimner, Director, Head of Risk and Chief Risk Architect, SAS
THE RISKMINDS RISK APPETITE WORKING GROUP

Exploring The Psychology & Neurology Of Risk Management
GUEST RISKMINDS CRO ADDRESS Risk Appetite & Betting The Right Size
09.15
How to translate strategic parameters set at the top into actionable risk directions for line risk-takers How to aggregate risk decisions made by line risk-takers into meaningful reports for the executive committee How to immunize the process against agency problems, wishful thinking, office politics, political politics, greed, fear, sloppiness and garbage data Aaron Brown, CRO, AQR
09.45
GUEST NEUROSCIENTIST ADDRESS Can You Manage A Trader's Biology?

Exploring The Neuroscience Behind Risk Taking John Coates, Senior Research Fellow In Neuroscience & Finance, JUDGE BUSINESS SCHOOL, UNIVERSITY OF CAMBRIDGE
10.30
New Research Findings
Risk Management As A Source Of Competitive Advantage And High Performance:

Exploring The Transition Of The Risk Practitioner From Crisis Manager To Critical Business Driver Benefit from the findings of Accentures 2011 global risk management survey of nearly 400 C-Suite Executives Steve Culp, Managing Director, ACCENTURE RISK MANAGEMENT
Morning Coffee & Networking Break
11.00
THE RISKMINDS 2011 IN-DEPTH RISK PRACTITIONER MASTERCLASSES

STREAM A Effective Capital Management & Modelling Chaired by PwC The EBA Stress Test 2011 From A Distance A Practitioners Recollection Wilfried Paus DEUTSCHE BANK Robust Risk And Capital Frameworks Improving Transparency And Safeguards Around Model Risk Andrew Abrahams, JP MORGAN CHASE Structured Audience Q&A & Industry Round Up STREAM B Implementing Regulatory Change Into Risk Management Processes What Are The Current Boundaries Between The Trading And The Banking Book? Pierpaolo Montana BNP PARIBAS Recovery & Resolution Planning Exploring & Detailing A Recovery Plan For A G-SIFI Andrea Cremonino, UNICREDIT Structured Audience Q&A & Industry Round Up STREAM C Liquidity Risk Management & Funding Chaired by QUANTITATIVE RISK MANAGEMENT The Next Challenge In The Evolution Of Enterprise Risk Management Liquidity Risk, Pricing And Risk Assessment Amnon Levy, MOODYS ANALYTICS QUANTITATIVE RESEARCH Liquidity Buffers How To Effectively Structure Liquidity Buffers & Assessing Whose Responsibility Will This Be In The Bank? Speaker tbc Structured Audience Q&A & Industry Round Up
Lunch & Networking
STREAM D The Latest Developments In Credit Risk & Counterparty Credit Chaired by IACPM CVA: Modelling Perspectives From Banks And Regulators Eduardo Canabarro MORGAN STANLEY Credit Risk Model Performance Vivek Wadhwa MCKINSEY & COMPANY Structured Audience Q&A & Industry Round Up
STREAM E GUEST LECTURES IN RISK & FINANCE Chaired by SEBA INTERNATIONAL After The Crisis What Is Required Now For Risk Disclosures Rami Feghali, PwC The UK Independent Commission On Banking Implications And Consequences Martyn Hoccum, RBS Structured Audience Q&A & Industry Round Up The CROs Perspective
11.40
12.20
13.00 13.10
14.30
Economic Capital & Regulatory Capital Exploring The Divergence Between Economic & Regulatory Capital & Should We Still Use Both For Capital Calculations? Sebastian Fritz, HSH NORDBANK
Wholesale Credit Risk Modelling & Validation The Next Steps Stuart Burns, BARCLAYS CAPITAL Risk Weights Workshop
Enhancing Decisions For The Business Through Disciplined Risk Management Henry Norwood & David Buck QUANTITATIVE RISK MANAGEMENT
Carrot Vs. Stick - How To Drive Credit Risk Aware Behaviour Mat Newman, SUNGARD
15.10
15.50
Session 1: 40mins The US & Europe: A Level Playing Field? How Can We Compare US Banks With European Banks When The US Banks Are Idzard van Eeegen, RBS Still On Basel I & Can A Level Playing Field Between Banks Be Ever Achieved? Ahmet Yetis, BARCLAYS CAPITAL Session 2: 40mins Basel 2 Risk Weights Panel Discussion How Can We Avoid Holding Too How Do We Assure That Risk Weight Are Much Capital? Well Calculated, Can We Make The An Exploration & Critique Of The Capital Calculations Comparable Across Banks? Efficient Structures Currently Available Richard Crecel SOCIET GENERALE Speaker tbc Simon Samuels, BARCLAYS CAPITAL How To Leverage Your EC Framework For Stress Testing Structured Audience Q&A & Industry Round Up How Much Capital Is Enough? Effectively Factoring Regulatory Constraints And Strategic Objectives Into Your Capital Targets Didier Blanchard SOCIETE GENERALE Creating A Scenario Framework For Risk Capital Stress Testing And Risk Appetite: Black Swans Or Ugly Ducklings? Jorge Sobehart CITI Structured Audience Q&A & Industry Round Up Structured Audience Q&A & Industry Round Up IRC Workshop Session 1: 40mins IRC Calculation The Incremental Risk Charge One Year After Going Live A Practitioners View Wolfgang Bauer, CREDIT SUISSE Session 2: 40mins IRC Model Validation How To Validate And Review Your Model In Light Of Regulatory Feedback Colin Burke, LLOYDS TSB Structured Audience Q&A & Industry Round Up
Banking Book Risk Management In A Current Low Interest Rate Environment: How Does Margin & Profitability Preservation Impact Risk Measurement And Capital, Regulatory Reporting? Gaspare La Sala, UBS
Session 1: 35mins Risk Culture How Can You Retain The Risk Culture In A Benign Environment & Should This Be At The Expense Of Losing Competitive Share? Olivier Irisson, BPCE Session 2: 35mins Exploring & Re-Evaluating The Generally Accepted Risk Metrics Kanwardeep Ahluwalia SWISS RE GROUP Concluding Discussion: 10mins What Keeps The CRO Awake At Night Q&A Central Clearing Houses Is It Possible That Central Counterparties Could Become Too Big To Fail? Stephan Schoess THE OCC Structured Audience Q&A & Industry Round Up A View From Outside The Industry Session 1: 30mins The Energy Industry Perspective Embedding ERM Into Strategic Thinking For The Business Petter Kapstad, STATOIL Session 3: 30mins The Pension Fund Perspective: Managing Risk in the Post-Variance World Taron Ganjalyan SHELL ASSET MANAGEMENT COMPANY Concluding Panel Q&A: 30mins
The Efficient Calculation Of Economic And Regulatory Capital For Structured Credit Instruments David Saunders UNIVERSITY OF WATERLOO
Linking Liquidity & Capital: A Practical ERM Perspective Mario Onorato, ALGORITHMICS Structured Audience Q&A & Industry Round Up
Afternoon Tea
How Consumer Demand Drives Credit Cycles & Can Defeat Risk-Based Pricing Joseph Breeden, PhD, STRATEGIC ANALYTICS Structured Audience Q&A & Industry Round Up
16.30 16.40
17.10
Uncollateralised Funding Effective Techniques For Pricing The LVA & The FVA Into A Deal Andrew Green LLOYDS BANKING GROUP
Credit Cycles & Stress Testing Exploring The Role Of Credit Cycles In Stress Testing Scott Aguais RBS
17.50
Liquidity Management What Impact Will New Regulation Have On Transfer Pricing And Can We Use It To Steer The Business? Arno Kratky COMMERZBANK Structured Audience Q&A & Industry Round Up
Exploring The Issues Involved In Modelling Collateralized Exposure Klaus Boecker DEUTSCHE PFANDBRIEFBANK
18.30
Structured Audience Q&A & Industry Round Up
Champagne Roundtables
18.40
Exploring The UK Independent Commission On Banking Martyn Hoccum RBS Liquidity & Transfer Pricing Thorsten Kanzler COMMERZBANK Implementing Basel III Katja Pluto HSBC Liquidity Thierry Lopez PwC Stress Testing Dominique Bourrat RISK DYNAMICS Risk Management At NASA Jeevan Perera NASA Meta Risk Soloman Berahas EUROBANK
19.00 19.00
Ri$kMinds Networking Drinks
The Ri$kMinds CRO-Only Dinner
Tel: +44 (0)20 7017 7200 Fax: +44(0)20 7017 7807 Email: info@icbi.co.uk For latest programme or to register please visit: www.icbi-riskminds.com
Ri$kMinds 2011
8th December 2011, Day 3 Main Conference
08.00 08.30 Registration & Coffee Chairmans Welcome Address Charles Richard, Senior Vice President, QUANTITATIVE RISK MANAGEMENT
THE RISKMINDS 2011 FINANCIAL MINDS THINKTANK NEW SOVEREIGN DEBT RESEARCH
08.40 Current Conditions And Outlook For Sovereign And Corporate Debt Markets Edward I. Altman, Max L. Heine Professor of Finance, STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY
THE PRACTITIONER PANEL How Much Can You Use Your RiskMind In Our New Era Of Basel III Regulation?
09.25 Is There Still Room For Financial Innovation In The Field Of Risk Management & Modelling & If So, Where Do The Opportunities Lie? Riccardo Rebonato, Head of Front Office Risk Management and Quantitative Analytics, RBS Paul Shotton, Deputy Head Of Portfolio Risk Control & Head Of Group Risk Methodology, UBS Eduardo Canabarro, Managing Director, Head Of Credit & Market Quantitative Risk, MORGAN STANLEY Andrew Abrahams, Global Head Of Quantitative Research, JP MORGAN Evan Picoult, Managing Director, CITI & Adjunct Professor, COLUMBIA BUSINESSSCHOOL
10.10
THE RISKMINDS 2011 GUEST ACADEMIC ADDRESS Nobel Laureate Volatility, Correlation And Tails For Systemic Risk Measurement Address Robert Engle, Michael Armellino Professor In The Management Of Financial Services, STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY
Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition
10.55
THE RISKMINDS 2011 IN-DEPTH RISK PRACTITIONER MASTERCLASSES

STREAM A Strategic & Regulatory Risk Management Risk Management & The Business How Does Risk Management Function With Other Parts Of The Firm To Ensure That Activities Are Harmonised With The Risk/Return Profile? Darryll Hendricks, UBS How To Stay Afloat In A Basel III World Managing Risk And Capital Under A Capital Buffer Regime Katja Pluto HSBC HOLDINGS Executing An Effective Regulatory Change Programme: Solving The Dual Challenges Of Restoring Profitability And Meeting The Requirements For The Multiple Streams Of Regulatory Challenges Through An Integrated Change Programme To Deliver Business Outcomes Steve Culp, ACCENTURE STREAM B Stress Testing Chaired by: RISK DYNAMICS Economically-Motivated Stress Testing How To Use Bayesian Nets To Select & Define The Right Scenarios For Your Institution Riccardo Rebonato RBS STREAM C Enterprise Wide Risk Management & Business Risk STREAM D The Latest Developments In Counterparty Credit Risk & CVA STREAM E THE GUEST LECTURE SERIES
11.20
Risk Appetite And The Role Of The Board Clark Abrahams, SAS
Risk And CVA For Exotic Derivatives: The Universal Modeling Alexander Antonov, NUMERIX
Systemic Risk Insight A Q&A With A Nobel Laureate Robert Engle STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY Sovereign Debt Insight A Q&A With Corporate & Sovereign Debt Expert: Ed Altman STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY
EXTENDED SESSION Macroeconomic Stress Testing Juan Manuel Licari MOODYS ANALYTICS ERM & Risk Culture Uwe Stegemann & Cindy Levy MCKINSEY & CO Handling Wrong Way Risk In CVA Calculations Calculation of CVA Basel III requirements A model for wrong way/right way risk Results from using the model Impact of wrong way/right way risk on the Greeks Impact of collateral, threshold, independent amount, cure period etc John Hull UNIVERSITY OF TORONTO
12.00
12.40
Macro Economic Stress Testing Meaningfully Combining External Information From Other Banks With Internal Results to Improve The Quality Of The Individual Bank Stress Test Evan Sekeris FEDERAL RESERVE BANK OF RICHMOND
What Makes A Good Risk Manager?: Understanding The Relative Importance Of Experience, Education & Specific Skill Set & How Can You Do Better? Keith Waitt CONSULTANCY MATTERS LLC Jane Howard, RBS Angus MacLennan, IRSQ Antonella Pisani, FSA Lunch & Networking Break EC & Business Risk Exploring Methodologies To Improve The Accuracy Of Business Risk Calculations For Your Economic Capital Model Michael Kalkbrenner DEUTSCHE BANK Overcoming Silo Based Thinking: Understanding What Connects Different Risk Types & How To Devise And Implement An ERM Framework In The Context Of All Other Silo Frameworks? Nancy Loucks, STATESTREET *tbc Afternoon Tea
Using Svar, IRC And CRM Do They Satisfy The Use(Less) Test? Eduardo Epperlein NOMURA
13.20
14.30
Achieving One Capital Figure Evaluating Best Practice Techniques For Combining Credit, Market & Liquidity risk Into Your Economic Capital Calculations Max Bezard, BNP PARIBAS
Integrated Stress Testing Richard Barfield PwC
CVA - What Does It Achieve? Motivation for using CVA The uncertainty of CVA Credit curve mapping Challenging in hedging CVA The impact of Basel III rules Jon Gregory SOLUM FINANCIAL
15.10
Linking Risk Capital To Compensation Is This The Optimal Way Forward For The Industry & If So, How Can Best Achieve It? Mark Carey THE FEDERAL RESERVE BOARD
Challenges In Forward-looking Stress Simulations Martyn Brush, RBS
EXTENDED SESSION Testing The Foundations Of Risk Measurement A review and analysis of what went wrong during the crisis. Improving the measurement of market risk, counterparty credit risk and the importance of stress testing. The implications of Basel II.5, Basel III and the DFA Evan Picoult CITI & COLUMBIA BUSINESS SCHOOL
CVA For Collateralised Positions Alexandre Bon, MUREX
15.50 Sovereign Risk In The Economic Capital Framework 16.30 Jean-Bernard Caen DEXIA Senior Managements Stress With The Stress Test: The Role Of Senior Management In Stress Test Based Risk Management Processes Ottmar Bongers BAFIN Exploring The Creation Of Loan Performance Indices As Basis For Stress Testing What Is The Impact Of Negative GDP Growth, Unemployment And Drop In Real Estate Prices On PD And LGD Developments In Bank Portfolios? Philip Winckle, SEB Jeroen Batema, PECDC
The RiskMinds Problem Solving Working Groups Get Your Questions Answered By The Experts & Network With Like-Minded Peers At The Following Small Group Themed Roundtables:
Liquidity Risk Stress Testing Living With Basel III Capital Management & Modelling
CoCos Workshop CoCos Workshop CVA, Wrong Way Risk and Basel III Dan Rosen R2 FINANCIAL TECHNOLOGIES Structuring, Pricing And Dynamics Of CoCos Determining The Right Issue Size Overview Of Coco Pricing Models: From Rule Of Thumb Models To Smile Conform Advanced Models The Death Spiral And Hedge Dynamics Determining The Right Issue Size On The Basis Of Stress Testing And Market Free Float Wim Schoutens CATHOLIC UNIVERSITY OF LEUVEN
Economic Capital: Is It Still Needed In A Reg Cap Constrained World? 17.10 Alan Smillie NOMURA
Counterparty Credit Risk Capital And CVA Examining Ways Of Integrating CVA Into Counterparty Credit Risk Capital Models Michael Pykhtin FEDERAL RESERVE BOARD
17.50
End Of Ri$kMinds 2011
PLUS: DONT FORGET TO SIGN UP FOR ONE OF THE RI$KMINDS PRACTICAL FULL DAY WORKSHOPS!
Credit Risk: The Theory & Practice Led by: John Hull UNIVERSITY OF TORONTO
5th December
Stress Testing: A Bayesian-Net Approach Led by: Riccardo Rebonato, RBS

9th December
Advanced Modelling Of Counterparty Credit Risk & CVA Led by: R2 FINANCIAL TECHNOLOGIES, THE FRB & UNIVERSITY OF WATERLOO
9th December
Basel 2.5 & Beyond: From Implementation To Implication Hosted by: Eduardo Epperlein, Haakon Skaane, Jennifer Ramnauth, Alan Smillie & Marc Jeannin, NOMURA
9th December
y 011 da r 2 m on be .30p M em 5 c De 0am 5 .3 9
Credit Risk: The Theory And Practice

Workshop Agenda
Counterparty Credit Risk Bilateral vs central clearing Calculating CVA Cure period and correlation The impact of a new transaction CVA risk and Basel III Wrong way risk DVA
New Research
Estimating Default Probabilities Real world vs risk neutral default probabilities Using historical data Using credit spreads Scenario analysis vs valuation Valuation of credit derivatives Mertons model
Correlation Models and CDO Valuation How copulas work How they are used in credit risk Basel II applications The Gaussian copula model and its extensions The steps in valuing a CDO
About Your Workshop Leader

John Hull, Maple Financial Professor of Derivatives & Risk Management UNIVERSITY OF TORONTO John Hull is an internationally recognized authority on derivatives and has many publications in that area. Recently his research has been concerned with credit risk, executive stock options, volatility surfaces, market risk, and interest rate derivatives. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull- White interest rate model. He has written three books Risk Management and Financial Institutions (new this year), "Options, Futures, and Other Derivatives" (now in its sixth edition) and "Fundamentals of Futures and Options Markets" (now in its fifth edition). The books have been translated into many languages and are widely used in trading rooms throughout the world. He has won many teaching awards, including University of Toronto's prestigious Northrop Frye award, and was voted Financial Engineer of the Year in 1999 by the International Association of Financial Engineers.
Were on Twitter: Follow us @riskminds for up to the minute details on the industry and our event. Join Us On LinkedIn: www.linkedin.com search Ri$kMinds in the groups section and join the online debate!
9 9.0 Dec Fri 0a em da m be y 5 r .00 201 pm 1
Basel 2.5 & Beyond: From Implementation To Implication

A Workshop Hosted By Nomura
3 VaR And SVaRThe Old And The New
1. Understanding Governance and controls 2. Effective & Thorough Model Validation 3. How to handle the missing risks 4. Successfuly Backtesting Model Haakon Skaane, Head of Market Risk Analytics, NOMURA 3. Carving out CRM 4. Understanding & Exploring Securitization treatment Alan Smillie, Head of Economic Risk Analytics, NOMURA
1 Introduction & Expert Overview

Eduardo Epperlein, Head of Risk Methodology, NOMURA
2 Basel Evolution - Industry And Regulatory Perspective

1. Looking Back On Basel 1 2. Lessons Learned From Basel 2 3. The Challenges Of Implementing Basel 2.5 4. Looking Towards Basel 3 and beyond Jennifer Ramnauth, Head of Regulatory Liaison Analytics, NOMURA
5 What Does It Mean For The Industry?

1. Moving From VaR to VaR+SVaR+IRC+CRM+Securitizations 2. Understanding Product Treatment & Allocation 3. Economic vs. Regulatory Allocation Marc Jeannin, Head of Optimum Risk Capital Allocation, NOMURA
4 CRM, IRC And Securitization Rules - Credit Where Credit Is Due?

1. 2. Specific Risk vs. Default Risk Moving From IDRC to IRC
6 Conclusion: All speakers - 15 min Q&A
About Your Workshop Leaders

Eduardo Epperlein Head of Risk Methodology NOMURA INTERNATIONAL Eduardo Epperlein is a Managing Director at Nomura International, responsible for Global Risk Methodology. His responsibilities include market and counterparty risk and their implications for regulatory and economic capital. Eduardo has 16 years experience in the financial industry, is a regular contributor to regulatory meetings and has chaired several industry groups on Basel rules. He holds a PhD in Plasma Physics from Imperial College and spent ten years as a research scientist prior to joining Citigroup in 1994. Haakon Skaane Head of Market Risk Analytics NOMURA INTERNATIONAL
Haakon Skaane is a Director at Nomura International, responsible for global market risk analytics. He has 13 years experience in the industry, and has previously held position in both F/O and Risk Management in several firms. He holds a DPhil in Mathematical Physics from University of Oxford.
Jennifer Ramnauth Head of Regulatory Liaison Analytics NOMURA INTERNATIONAL Jennifer Ramnauth is a Vice President at Nomura International, responsible for providing guidance on regulatory requirements for the trading book. Jennifer has 8 years experience in the financial industry and previously worked with the regulator in the UK, The Financial Services Authority, primarily focusing on capital requirements for the trading book. She is a Chartered Accountant, holds a LLB and is a CFA charterholder.
Alan Smillie Head of Economic Risk Analytics NOMURA INTERNATIONAL Previously, Alan Smillie was a senior quant in Citis Risk Analytics group, responsible for market risk, counterparty credit risk and economic capital modelling. Before joining Citi Alan completed a PhD at Imperial College, London.
Marc Jeannin Head of Optimum Risk Capital Allocation NOMURA INTERNATIONAL Marc Jeannin is responsible to optimize the regulatory capital usage of Nomura. He has 7 years experience in the industry, and worked in trading and quantitative role in Nomura. He holds a PhD in Mathematical Finance from Imperial College London.
Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk For latest programme or to register please visit: www.icbi-riskminds.com
9 9.0 Dec Fri 0a em da m be y 5 r .0 0 2 0 1 pm 1
Stress Testing Workshop:

A Bayesian-Net Approach
The course presents a novel approach to Stress Testing, which combines and makes full use of statistical information (when appropriate) and of expert knowledge. The integration of the two components (statistical information and expert knowledge) is achieved by means of a technology (Bayesian Nets) that ensures logical consistency and optimal combination of these two sources of information. The output is logically rigorous but highly intuitive, and lends itself to challenge, interrogation and investigation by senior non-technical users (eg, Board members, Non-Executive Directors, Heads of Trading, etc). In this respect, its transparency makes it the opposite of a black-box approach. The course Explains the underlying concepts and techniques (causation versus association, simple elements probability for Boolean variables, identification of outliers, event correlation, etc); Links these concepts and techniques with the requirements of stress testing in financial institution (banks, hedge funds, money managers, etc) and with the recent regulatory demands; Introduces Bayesian Nets and explains how this technology can be used for stress testing; Shows how to identify and specify scenarios and events in particular, deals with the important topic of how to combine a top-down with a bottom-up approach; Suggests how these scenarios and events can be mapped onto Bayesian Nest; Explains how to integrate the output of the Bayesian-net technology with traditional statistical analysis; Provides a number of techniques to facilitate the construction of Bayesian nets (Maximum Entropy, Causal Independence, merging of nets, etc); Shows how sensitivity analysis can be carried out; Helps the user overcoming cognitive biases and pitfalls (eg, explains causal versus diagnostic elicitation); Provides detailed and fully worked-out case studies; Covers the governance issues needed for practical implantation in an institution (regulated or otherwise); In sum, enables the delegate to understand the rationale for and the mechanics of a new way of looking at stress testing. The course will be interactive and the delegate will be engaged in a complete realistic exercise of construction of a Bayesian net for stress-testing purposes. At the end of the course the delegate is expected to have mastered the concepts behind the approach, to have understood its strengths and limitations, and to be able to apply it in practice to real-life situations. The approach is thinking-heavy and CPU-time light. Once the ideas are understood, the delegate will therefore be able to apply the technique with a minimum of IT system overhead. Target audience: A very wide range of professionals and regulators interested in stress testing. The delegates from the industry may come from regulated institutions (banks, pension funds, asset managers), or from unregulated entities (eg, hedge funds). Regulators and Central bankers involved in microprudential regulation or in broader financial stability issues will also find the approach of relevance. As the course covers conceptual, governance and practical implementation issues, it is of appeal to delegates at different levels and covering different roles in the institutions above: from front-office risk-managers to senior risk officers, from central bank economists to quants. Prerequisites: Elementary ordinary (ie, non-stochastic) calculus, familiarity with matrix notation (helpful), elementary probability, basic understanding of risk management and financial economics, familiarity with Excel spreadsheet (helpful).
Review Of Coherent Stress Testing: Rebonatos refreshingly original [approach] is the most significant advance in financial risk management in many years. It is rigorous yet thoroughly practical, proposing and operation Bayesian framework that complements purely statistical approaches with the causal/economic structure needed for coherent stress testing. Prominently displayed and beautifully mixed throughout are both the expansive wisdom of a serious scholar, and the pragmatic applied sense of a seasoned industry veteran. Rebonato has defined the new frontier of best-practice financial risk management. I am open-mouthed with admiration. Francis X.Diebold, Paul F and Warren S Miller Professor of Economics, Co-Director, WHARTON FINANCIAL INSTITUTION CENTRE, Professor of Finance and Statistics, UNIVERSITY OF PENNSYLVANIA
About Your Workshop Leader

Riccardo Rebonato, Global Head of Corporate Markets, Market Risk and Head of Quantitative Research, Global Banking & Markets ROYAL BANK OF SCOTLAND Dr Riccardo Rebonato is Head of Front Office Risk Management and Head of the Quantitative Analytics at GBM, RBS. He is also a Visiting Lecturer at Oxford University (Mathematical Finance) and Adjunct Professor at Imperial College (Tanaka Business School). He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP and is a member of the Bloomberg Risk Council. He is an Editor for the International Journal of Theoretical and Applied Finance, for Applied Mathematical Finance, for the Journal of Risk and for the Journal of Risk Management in Financial Institutions. He holds Doctorates in Nuclear Engineering and in Science of Materials/Solid State Physics. He was a Research Fellow in Physics at Corpus Christi College, Oxford, UK. Dr Rebonato is also the author of the books Coherent Financial Stress Testing: A Bayesian Approach (2010), The LMM-SABR Model: Pricing, Calibration and Hedging (2009), Plight of the Fortune Tellers (2007), Volatility and Correlation in Option Pricing (2004, 1999), Modern Pricing of Interest-Rate Derivatives (2002), Interest-Rate Option Models (1998, 1996). He regularly publishes academic papers on finance in academic journals such as Quantitative Finance, Journal of Investment Management, International Journal of Theoretical and Applied Finance, Applied Mathematical Finance, Journal of Risk Management in Financial Institutions and others.
Were on Twitter: Follow us @riskminds for up to the minute details on the industry and our event. Join Us On LinkedIn: www.linkedin.com search Ri$kMinds in the groups section and join the online debate!
Advanced Modelling Of Counterparty Credit Risk And CVA
9 9.0 Dec Fri 0a em day m be 5 r2 .00 01 pm 1

Part 1: Introduction. Credit risk in the trading book and Counterparty Credit Risk (CCR)
The practice of counterparty credit risk (CCR) management has evolved tremendously over the last decade. The recent financial crisis further highlighted the need for the industry to understand better how to model exposures, price and hedge CCR. Furthermore, the Basel accord has tightened the capital requirements for counterparty credit risk and explicitly added capital charges related to CVA risk. This workshop discusses the fundamentals of CCR management, and presents the latest techniques available to practitioners for measuring counterparty exposures, computing and hedging CVA, and estimating economic and regulatory capital. We discuss the evolution of management practices and models, address important practical issues including credit mitigation techniques, wrong-way risk, stress testing and model risk. Part 2: Modelling Counterparty Credit Exposures Part 3: CVA - Pricing and Hedging CCR Part 4: Computing CCR Economic and Regulatory Capital in Basel III Part 5: Concluding remarks the future of CCR management
About Your Workshop Leaders

Dan Rosen, Visiting Fellow, The Fields Institute For Research In Mathematical Sciences, & President, R2 FINANCIAL TECHNOLOGIES
Dr. Dan Rosen is a Visiting fellow at The Fields Institute for Research in Mathematical Sciences and an Adjunct Professor at the University of Toronto's Masters program in Mathematical Finance. In addition, he is the President and Co-Founder of R2 Financial Technologies and acts as an advisor to institutions in Europe, North America, and Latin America on derivatives valuation, risk management, economic and regulatory capital.
Michael Pykhtin Senior Economist FEDERAL RESERVE BOARD

Michael Pykhtin is a Senior Economist in the Quantitative Risk Management Section at the Federal Reserve Board. He is responsible for carrying out policy analysis and independent research related to financial markets, risk management and regulation of financial institutions. Prior to joining the FRB in 2009, Michael had had a successful nine year career as a quantitative researcher at Bank of America and KeyCorp. Michael has edited Counterparty Credit Risk Modelling, published by Risk Books in 2005. He is also a contributing author to several recent edited collections. Michael has extensively published in the leading industry journals. He is an Associate Editor of the Journal of Credit Risk. Michael holds a Ph.D. degree in Physics from the University of Pennsylvania.
David Saunders Associate Professor, Department of Statistics and Actuarial Science UNIVERSITY OF WATERLOO
David Saunders is an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, and a Senior Research Consultant at R2 Financial Technologies. He is the author of many articles on the subjects of risk management, portfolio optimization and derivatives pricing. Dr. Saunders holds a Ph.D. in Mathematics from the University of Toronto, and is a Research Fellow of the HERMES European Center of Excellence on Computational Finance and Economics at the University of Cyprus, and the Waterloo Institute for Quantitative Finance and Insurance at the University of Waterloo.
To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225
5th December 2011
THE RI$KMINDS GLOBAL RISK REGULATION SUMMIT

08.30 08.50 Registration & Coffee 12.00 15.45
Chairmans Opening Address

Anthony Santomero, Senior Advisor, MCKINSEY & COMPANY
Anthony M. Santomero is a Senior Advisor in McKinsey & Companys New York Office. Dr. Santomero was the ninth President of the Federal Reserve Bank of Philadelphia. He holds the title of Richard K. Mellon Professor Emeritus of Finance at the Wharton School of the University of Pennsylvania, and is on the Boards of Citicorp, Renaissance Reinsurance Company Ltd, the Penn Mutual Life Insurance Company, and the Columbia Funds.
THE PRACTITIONER RESPONSE Initial Reactions & Responses To The Proposed Regulatory Changes
Top Practitioners Offer Their Reactions To The Regulatory Challenges & Ask Regulators Questions From The Floor
Moderator: Dominique Bourrat, Managing Director, RISK DYNAMICS
Biography can be found below
PRACTITIONER INSIGHT How Should We Change Our Business Model Under Basel III?
Predicting Which Business Models Will Thrive & Fail Under Basel III
Moderator: Andrew Jennings, Managing Director, Risk, CITI
Andrew is responsible for oversight of all risks in Citis UK legal entities. Policy advisor for Pillar 2 and ICAAPs and regulatory capital developments. He was initially responsible for implementation of Basel II across Citigroup, although subsequently the role was split into two parts, and he assumed responsibility for the policy of implementing Basel II across the group. Previously, he has been the Business Credit Risk manager for Citigroups European Leasing business and Head of Operational Risk in Europe as well as Chief Risk Officer for the Investment banking division of Schroders plc prior to it being acquired by Citi in 2000. Andrew is formerly a banking regulator with the Bank of England.
THE NEW SHAPE OF THE FINANCIAL SERVICES INDUSTRY

09.00
Panellists: Mattia Rattaggi, Managing Director, Head Of Group Supervisory Relations, UBS
Prior to his current role, Mattia occupied senior positions in Group Compliance and Group Risk Control. Before joining UBS in 1999, Mattia worked in the Treasury of ZKB heading Asset and Liability Management and as a Senior Economist at the Swiss Bankers Association. Mattia holds a Ph.D from the University of Fribourg, and pursued post doctoral research at the University of Cambridge (UK).
Barbara Frohn, Managing Director, Advisor to the CEO & Advisor To The Eur. Parliament, GRUPO SANTANDER
Barbara Frohn assumes responsibility for the internal validation of Risk Models (Credit, Market, Market Risk, Economic Capital and Operational Risk) at a corporate level. The group consists of three hubs, Madrid , London and Brazil each with responsibility over their respective regions and not only performs quantitative, but also qualitative reviews of the various risk and quantification tools used within the group, this includes a.o. an evaluation of use test and corporate governance requirements. In addition, Barbara Frohn is the risk representative in Santanders Public Policy group. She is deeply involved in the discussions that are taking place between the different industry bodies and associations and the European institutions and other national or supranational governmental organisations in relation to the development of financial regulation and the future of supervision.
Attaining Global Financial Stability

Examining The Roadmap For Better Banking Regulation & Supervision: How Far Do We Still Have To Go?
Jose Maria Roldan, Director General, Banking Regulation BANCO DE ESPANA
Mr. Jos Mara Roldn is currently a member of the Basel Committee on Banking Supervision (BCBS), and the Committee of European Banking Supervisors (CEBS). From January 2009 he is the Chairman of the Standards Implementation Group (SIG, formerly the Accord Implementation Group).Since January 2007 to January 2009, he was the Chairman of the Accord Implementation Group (AIG). Since 2005 to January 2009, he was a member of the Advisory Board of XBRL International. During 2004 and 2005, Mr. Roldn was also the Chairman of the Committee of European Banking Supervisors (CEBS). Since April 2004 until April 2007, he was the Chairman of XBRL Spain. In 2002 and 2003 he chaired the Joint Forum during the tenure of the Basel Committee of Banking Supervision (BCBS).
Adam M. Gilbert, MD, Head of Regulatory Policy, Corporate Risk Management Group, JPMORGAN CHASE & CO.
Adam is currently Head of Regulatory Policy in the Corporate Risk Management Group where he is responsible for developing the firm's strategic response to various regulatory initiatives, including analyzing the impact of regulatory proposals, developing the firm's positions and preparing for the implementation of final rules. Adam is a leader in the firm's capital management process through his co-chairmanship of the Economic Capital Working Group, chairmanship of the Regulatory Capital Policy Committee and oversight of the firm's Basel capital implementation. Adam is a member of the firms Risk Management Executive Team, Asset Liability Committee and North America Reputation Risk Committee. He advises lines of business on supervisory and regulatory matters affecting them as well as their clients.
Steve Culp, Managing Director, ACCENTURE RISK MANAGEMENT

Bio can be found on page 10
Alan Smith, Global Head Of Risk Strategy, HSBC

Bio can be found to the left
Christian Lajoie, Head Of Group Prudential Affairs, BNP PARIBAS

Christian Lajoie began his career at BNP in 1974 and since then has held various business and senior management positions in France and abroad (see detailed assignments attached). After taking responsibility for the Group Credit Policy and Risk Reporting in 1999, he was nominated Basel II Group Coordinator in 2002, with the responsability to coordinate the implementation of Basel II for the BNP Paribas Group. He was thereafter appointed to a transversal position, in the capacity of Head of Group Prudential Affairs. He reports to the CEO with close links with the CRO, the CFO and the Head of Group Compliance. He is member of the Group of Experts of Banking Issues of the European Commission; of the Banking Stakeholder Group de lEBA; he is Co-Chair of the CEBS Consultative panel; he is member of the Advisory Council of Prudential Affairs of the ACP, the French Banking and Insurance Authority.
09.30
16.15
Afternoon Tea
Monetary Policy, Financial Stability & The Sovereign Debt Crisis

How Is Regulation Responding To A New Era Of Global Economic Change?
Mario Nava, Head Of Financial Market Infrastructure Unit EUROPEAN COMMISSION *under invitation
Mario Nava has been head of Unit banks and financial conglomerates in DG MARKT since November 2009 . Currently he is also acting as Director Financial institutions.Before his current post, he was head of the Commissions financial market infrastructure unit (May 2004 to October 2009, acting director for financial services policy and financial markets (December 2007 to May 2008) member of the group of policy advisers to Commission President Romano Prodi (2001 04) he was responsible for economic matters in general and budget and economic policy coordination between EU countries in particular & a member of Mario Montis cabinet, when Mr Monti was the commissioner for competition (2000 01). Prior to that, he worked for the Commissions budget department (1996 2000) and its taxation department (1994 96).
RISK REGULATION: WHERE NEXT?

16.45
Valerie Maysey, Head Of Regulatory Risk within Risk and Finance, HSH NORDBANK
Following 17 years working in M&A with the German "Mittelstand in Germany, Valerie joined the FSA in London in 2001. Valerie had several roles involving both Risk and Supervision, the most important of which was running the Basel II Implementation Team for Wholesale Firms Division. In 2006 Valerie joined Deutsche Bank in London, where she worked in the regulatory interface in Legal Risk and Capital for four years, gaining valuable practical experience in all aspects of risk management. In the summer of 2010 Valerie joined HSH-Nordbank in Hamburg, where she now heads the Regulatory Risk team in Group Risk Management.
Exploring The Changing Responsibilities Of Control Functions In The Wake Of The Regulatory Response To The Financial Crisis: Incorporating Behavioural Factors Into The Response & Determining The Impact On Risk Management
Stephen Anderson, Global Head Of Risk Audit, HSBC
Stephen joined HSBC in 1981 as an graduate trainee and has stayed with HSBC since then. His career has seen him living and working in eight countries; Hong Kong, the UK, Turkey, Indonesia, Thailand, Singapore, Australia and the Sultanate of Oman. Stephen was Deputy Chief Executive Officer of HSBC Singapore and Deputy Chief Executive Officer and Vice Chairman of HSBC Turkey. He has also held senior positions in HSBC's Risk function, most recently as Chief Risk Officer of HSBC Bank Limited and HSBC's Global Businesses. Stephen is currently Global Head of Risk Audit based in Hong Kong.
10.00
12:35
Lunch & Meet The Regulator Roundtables
Basel III:
Creating The Roadmap To Better Banking Regulation And Supervision
Bill Coen, Deputy Secretary General BASEL COMMITTEE ON BANKING SUPERVISION
Mr Coen manages the daily activities and workstreams of the Basel Committee and its secretariat. His specific responsibilities relate to the Basel Committees Policy Development Group and Accounting Task Force. He was chairman of the Pillar 2 workstream that is currently revising Basel IIs supervisory review process. Mr Coen was a member of the Basel Committees Secretariat from 1999 to 2002, during which time he was part of the core team responsible for developing the Basel II framework. Mr Coen also worked for the Board of Governors of the Federal Reserve System in Washington DC. He had a variety of responsibilities during his career at the Federal Reserve, including banking policy, supervision and licensing. Before joining the Federal Reserve, he was a national bank examiner for the US Office of the Comptroller of the Currency.
THE PRACTITIONERS CHALLENGE: UNDERSTANDING & IMPLEMENTING BASEL III

Afternoon Chairman: Philipp Hrle, Director, MCKINSEY & COMPANY
Philipp Hrle is a Director based in McKinsey's Munich office. He leads the Regulatory Service Line within McKinsey's Banking Practice globally and the Firm's Global Exchange Practice. He is mainly working for banks, exchanges, asset managers and governments with a particular focus on regulatory, strategy and risk matters. He is a frequent speaker on bank regulation and exchange topics, and member of several global industry committees on regulation (e.g., Special Committee on Effective Regulation of the Institute of International Finance (IIF) and the Steering Committee on the Implementation of the Market Best Practices Report of the IIF).
17:15
Exploring The Implications Of The Changing Regulatory Landscape

Hamid Samandari, Director, MCKINSEY & COMPANY
Hamid is a senior partner in the New York office of McKinsey & Company, and the leader of McKinsey's Americas Banking and Securities Risk practice. He joined the Firm in 1997 and has served a number of leading U.S., European and Asian financial institutions on a range of strategy, operations and technology, and risk and control issues. Hamids areas of expertise include regulatory and economic capital management , compliance and controls functions (Operational Risk, Compliance, Legal, Audit), as well as credit risk management (underwriting, credit operations, credit portfolio management, loss forecasting and mitigation),
Kevin Buehler, Director, MCKINSEY & COMPANY

Kevin is a senior partner in the New York office of McKinsey & Company and co-leader and cofounder of McKinsey's global Risk practice. Kevin's thinking on risk has appeared in the American Banker, the Harvard Business Review, the Economist, The Wall Street Journal, and the McKinsey Quarterly. His recent experience includes working with 11 U.S. banks with over $9 trillion in assets to assess the likely impact of proposed Basel III capital and liquidity requirements, developing and implementing the strategy for the wind-down of a large and complex derivatives portfolio, assisting two leading banks on their stress testing efforts, and serving a central bank on the extension of one of its liquidity support programs.
13:45 10.30 Morning Coffee

Factoring Capital Ratios, Leverage Ratios & Liquidity Ratios Into Your Capital Calculations
Alan Smith, Global Head Of Risk Strategy, HSBC
Alan Smith is responsible for the Risk Appetite, ICAAP, Economic Capital, Scenario Stress Testing, and Risk Methodology infrastructures for the Group. Alan's unit also oversees Pension Risk across HSBC. He is a member of the Global Risk Management Board, the Capital Demand and Basel 2 Oversight Committees and chairs the Group Economic Capital and Scenario Stress Testing Committees. Alan has worked with HSBC for 15 years in a variety of senior finance, risk and capital management roles. Prior to HSBC, Alan worked with KPMG London, latterly within its Financial Sector Advisory practice.
EXPLORING THE IMPACT OF NEW REGULATORY INITIATIVES

11.00
17:45
Current Perspectives On Navigating Through Regulatory Reform

Taking charge - how prepared are firms to address the magnitude of regulatory change, strategically and operationally. Understanding the implications for systemically important firms heightened governance expectations, higher capital and liquidity requirements, OTC derivatives, and more. Pro-actively managing and influencing regulatory relations - be a part of shaping the new rules and how they are implemented. New regulatory regimes for consumer protection - what is different and gaining competitive advantage Douglas W. Roeder, Managing Director, Banking & Capital Markets Regulatory Team, PwC
Douglas spent a thirty-three year career as a senior bank regulator at the Office of the Comptroller of the Currency in Washington, D.C. For the past nine years, he served as the Senior Deputy Comptroller for Large Bank Supervision. Douglas was responsible for examinations and supervision activities in the largest national banks and federal branches and agencies. In addition, he had oversight for operations of the International Banking Supervision group and the OCCs London Office. He served as a member of the OCCs Executive Committee ,the Committee on Bank Supervision, and most recently the Financial Regulatory Oversight Group established to oversee the OCCs implementation of the Dodd-Frank legislation requirements. He also participated in the U.S. Senior Supervisors Group and the former Accord Implementation Group of the Basel Committee for Bank Supervision. Douglas was actively involved in various U.S. interagency supervision and policy setting initiatives relating to large, complex banking organizations.
THE RISKMINDS REGULATORY REVIEW: 30mins

The Political & Regulatory Response To The Crisis: A View From The Banks
Paul Shotton, Deputy Head Of Portfolio Risk Control & Head Of Group Risk Methodology, UBS
In his current role, Paul is responsible for oversight of all risk taken in UBS's Investment Bank, Wealth Management and Asset Management businesses, and the Corporate Center. Prior to joining UBS, Paul was Global Head of Market Risk Management at Lehman Brothers in New York, and before that he was Head of Market Risk for Europe, Africa & Middle East at JP Morgan, Chase & Co. in London. Before becoming a risk manager, Paul was a trader, principally in fixed income products, for nine years, beginning his trading career at Goldman Sachs in London. Before turning his attention to financial markets, Paul was a physicist at the European Centre for Nuclear Physics Research (CERN), in Geneva, Switzerland.
14.15
Shaping A Robust Stress Testing Framework

What is the most adequate governance to put in place around stress testing and for which benefits? What is the recommended approach / methodology for computing stress test results based on given scenarios? How to ensure proper embedding of stress testing into a strategic decision making process? Which types of actions / mitigation factors should be considered given the nature of stress testing results? Dominique Bourrat, Managing Director, RISK DYNAMICS
Dr. Dominique Bourrat has a PhD in Mathematical Sciences Nuclear Physics from ULG Belgium and University of Montreal Canada. She has over 20 years of extensive experience in the field of risk management applied to the financial world. After having developed mathematical models for the CERN in Geneva, giving rise to international publications, she joined the dealing room of Paribas to develop risk management and hedging models in the derivatives market. She then enriched her skills at INSEAD before joining MasterCard to set up and manage its European Risk Management centre. Later, she led Fortis cross-risk modelling department towards Basel II compliance. As a founder of Risk Dynamics and industry expert, she now focuses on supporting major financial institutions in leveraging their Pillar II and economic capital strategy, interfacing with regulators and facilitating roundtables around the globe.
THE RISKMINDS REGULATORY ROUNDUP: 30mins

Where Now For Regulation? Exploring The Key Themes Of The Day & Looking Forward To Up & Coming Regulatory Initiatives
Moderator: Paul Shotton, Deputy Head Of Portfolio Risk Control & Head Of Group Risk Methodology, UBS
Bio can be found above
11.30
Panellists: Adam M. Gilbert, Managing Director, Head of Regulatory Policy, Corporate Risk Management Group, JPMORGAN CHASE & CO.
Basel III & Macro-Prudential Risk Regulation

How Is Basel III Addressing The Systemic Risks Of The Banking Sector & The Procyclicality Of Past Regulation
Dealing with systemically important banks How to isolate the social subsidy The fsb/bcbs approach to living wills and capital surcharges The approach to domestic sifis and non-banks Maarten Gelderman, Head of Macroprudential Analysis Department DE NEDERLANDSCHE BANK
Maarten Gelderman is DNB's Head of Macroprudential Analysis. The Macroprudential Analysis Departments combines information from various divisions (supervison, monetary policy, financial markets and payment systems) within DNB to produce overall risk assessments which are presented in DNB's biannual Financial Stability Review. Moreover, Maarten is a member of various international groups, among which is the Basel Committee Macro Prudential Supervision Group. As such he is closely involved in the international monitoring of systemic risks and in particular the treatment of systemically important financial institutions. Until 2010, Maarten was DNB's head of Quantitative Risk Management, before that he acted as Head of DNB's Supervisory Strategy Department, which he joined as an economist in 2000.
Charles Haswell, Group Head of Regulatory Policy & Development, HSBC

14:45
Basel III Implementation Challenges:

Exploring The Impacts On The Banks' Business Model, Globalization & Regulatory Interaction
Harry Stordel, Head Regulatory Coordination, Policies and Controls, CREDIT SUISSE
Harry heads the Regulatory Coordination, Policies and Controls team in the CRO Department of Credit Suisse AG. Prior to this role he was responsible for the credit risk model validation and risk reporting team, and held various other positions in risk management, controlling and economic research at Credit Suisse. Harry holds a PhD in international economics from the University of Geneva.
Charless initial career was at the British Foreign Office, where he became a China specialist, serving in the British Embassy in Beijing from 1982 1986 and 2000 2004. From 1998 2000 he was seconded to International Financial Services, London to help restructure the organisation and develop a strategy for promoting UK financial services overseas through British Embassies and High Commissions. In 2000 he returned to the Embassy in Beijing as Director of Trade and Investment for China. In 2004 he joined the Group Strategy function of the Royal Bank of Scotland. In July 2008 he joined the Group Strategy and Planning team at HSBC. He moved to his current role in May 2010. His portfolio focuses on the reform of financial regulation, and also includes responsibility for China Affairs.
18.45 19.00
Roll Up Your Sleeves Regulatory Working Groups Ri$kMinds 2011 Welcome Drinks Reception
15:15
Creating, Assessing & Managing Transitional Plans for Basel III

Senior Representative, QUANTITATIVE RISK MANAGEMENT
6th December 2011
THE RI$KMINDS CRO FORUM

07.30 - 8.15 11:20
Closed Door CRO-Only Breakfast Briefing

Share CRO War-Stories With Your Peers & Benefit From The Behavioural Finance Expertise Of Special Guest:
Hersh Shefrin, Mario L. Belotti Professor of Finance SANTA CLARA UNIVERSITY
Bio can be found to the right
Too Good To Fail

Beyond Capital, Liquidity And Compliance
Robert Sullivan, Global Banking and Capital Markets Leader, Global Regulatory Leader & Lead Engagement Partner, PwC
Bob is the lead engagement partner on one of PwC's largest financial services clients. During his career he has also served as the leader of PwC's US Financial Services Advisory business, which comprises over one thousand professionals and the Financial Risk Management Advisory and Assurance Practice. The Advisory business provides process improvement, transaction and crisis management advisory services to major financial institutions. Bobs focus throughout most of his career has been capital markets and banking with a particular focus on financial risk management. Bob has managed assurance and risk management advisory engagements for a broad range of companies including large financial services firms, energy and other commodity trading firms, and large corporations. He also provides technical advisory services on accounting for financial instruments and related risk management issues to major derivative dealers as well as to major financial institutions and corporations. Bob has also served as one of 19 members of the PwC US Board of Partners and Principals and also the Global Board of PwC which provides governance oversight on the firms US and worldwide activities, respectively.
THE RISKMINDS RISK CULTURE WORKING GROUP CHALLENGE

14.20
THE RISKMINDS 2011 BEHAVIOURAL FINANCE MASTERCLASS Building Effective Risk Management Culture:
Learning Behavioural Lessons About Process, Pitfalls, And Psychology From The Experiences Of Companies Such As BP And Ford
Hersh Shefrin, Mario L. Belotti Professor of Finance SANTA CLARA UNIVERSITY
Hersh Shefrin is the Mario L. Belotti Professor of Finance at Santa Clara University. His book Beyond Greed and Fear provides a comprehensive approach to behavioural finance, and in 2009 was recognized by J.P. Morgan Chase as one of the top ten books published since 2000. Among Professor Shefrins other works are A Behavioral Approach to Asset Pricing, Behavioral Corporate Finance, and Ending the Management Illusion. His work entitled Role of Behavioral Finance in Risk Management, appears as a chapter in Risk Management: A Modern Perspective, edited by Michael Ong. According to a 2003 article that appeared in the American Economic Review, he is one of the top 15 economic theorists to have influenced empirical work. His work has been in the all time top ten downloads from the Social Science Research Network. He received his Ph.D. from the London School of Economics in 1974. He holds an honorary doctorate from the University of Oulu, Finland, and is an honorary guest professor at Central-South University in Changsha, China.
08.00 08.15

Miles Everson, Global Head, Governance, Risk & Compliance Services, PwC
Miles is the Global Engagement Partner for one of PwC's largest clients and the Co-Head of the U.S. Banking and Capital Markets Advisory Business. He has also been the Firm's lead engagement partner for the Committee of Sponsoring Organizations (COSO) for ten years. Miles has over twenty-four years of professional experience, with more than 15 years being focused on providing governance and risk management services to various companies. Miles clients include many of the largest organizations in the world. He frequently works with executive management and boards to improve their capabilities to balance growth, risk and return strategies and execution of business activities. Miles experience includes leading large complex organizations through the process of designing and implementing enterprise governance and risk management programs. Miles routinely advises large complex organization on the design and adoption methodologies, processes, standards, and technology to effect integration of financial governance and risk management. Recently, Miles has been advising a number of large financial institutions in their preparation of Living Wills.
George Stylianides, Partner, PwC

George is the Financial Services Risk leader of PwC's EMEAI region (Europe, Middle East, Africa, India), he has more than twenty years experience leading risk management engagements across a range of Financial Services clients, including wholesale banks, investment banks, life and composite insurance companies. George is a Partner in PwC UK's Risk and Capital Consulting practice. George offers unique insight by speaking at conferences and participating in debates that help shape risk management for the Financial Services industry. He has authored several articles in leading risk management publications. George was recently seconded to a major financial institution to lead the transformation of its Risk function and run it day-to-day.
15.00
RESPONDING TO THE EVOLVING ECONOMIC & BUSINESS ENVIRONMENT

08.30
11:50
LEADING CRO ADDRESS Implementing & Maintaining A Risk Culture:

How Can The CRO Ensure That Risk Maintains Its Role At The Centre Of The Business When More Benign Economic Times Return?
Lewis ODonald, Chief Risk Officer, NOMURA HOLDINGS
Lewis ODonald was appointed Chief Risk Officer of Nomura Holdings in January 2011. Prior to joining Nomura Dr ODonald worked at Morgan Stanley International in a variety of roles from 1992 till 2010. He started in the Fixed Income division, working in derivatives and swaps trading. Dr ODonald ran the European Fixed income options and exotics trading from 1999 to 2001 before moving to run Structured Credit Trading in Europe, when Fixed Income was split into Credit and Interest Rate Trading. Dr ODonald subsequently moved into the market risk division at Morgan Stanley in 2004, running the European office and Global Credit Markets. In 2008 he was asked to become the Senior Risk Officer for Morgan Stanley globally, running in-Business risk management for the head of Sales and Trading.
CRO THINKTANK The Business Impact Of Regulation

How Will Financial Business Models Change As A Result Of Regulation, How Can We Manage Shareholder Expectations In Light Of These Changes And How Can We Achieve Growth In A Low Growth/ High Regulation Environment?
Panellists: Michael Alix, Senior Vice President and Co-Head Of The Risk & Policy Function, Financial Institutions Supervision Group, FEDERAL RESERVE BANK OF NEW YORK.
The risk and policy function works with supervisory teams to assess risk management practices and identify and address emerging risks at institutions subject to the FRBNYs supervision. Prior to his current assignment, Mr. Alix worked with the banks AIG Monitoring Team, focusing on managing the banks credit risk to AIG Financial Products and other AIG financial services affiliates. Before joining the bank in November 2008, Mr. Alix held a variety of risk management positions in the private sector. He served for two years as chief risk officer and, earlier, global head of credit risk management, at Bear Stearns Companies. Earlier in his career, he was chief credit officer for Asia, and a vice president and head of North America financial institutions credit at Merrill Lynch & Co.
THE POLITICAL & ECONOMIC BRIEFING

Assessing The Future Impact Of The Geo-Political & Economic Power Shifts Currently Taking Place
John Micklethwait, Editor In Chief, THE ECONOMIST
One of the worlds foremost authorities on globalisation, John Micklethwait is Editor-in-Chief of The Economist. Prior to this, he edited the US section of the newspaper (1999 - 2006) and ran the New York Bureau. He has covered business and politics from the United States, Latin America, Continental Europe, Southern Africa and most of Asia. Before entering into journalism, he spent two years at Chase Manhattan Bank. He is a frequent broadcaster and has appeared on CNN, ABC News, BBC and NPR.
15.30
09:10
THE CFOS BRIEFING ON RISK Understanding Risk In Finance:

Developing A Coherent Framework To Address Different Views Of The Balance Sheet, Different Views On Capital & Different Roles In Managing The Firm
Chng Sok Hui, Chief Financial Officer, DBS GROUP
Mrs Chng Sok Hui is the Chief Financial Officer of DBS Group, and a member of the DBS Executive Committee. Prior to this appointment, she was the Managing Director and Head of Risk Management at DBS Group and held the position for six years. Sok Hui serves as Supervisor of the board of DBS Bank (China) Limited, and on the board of the Bank of the Philippine Islands. Sok Hui is appointed by the Ministry of National Development to be a Board member of the Housing & Development Board, as well as the Ministry of Finance to serve on the Accounting Standards Council and the Tax Advisory Committee. Sok Hui represents DBS in several industry and professional groups and in her previous role, she served on the Executive Committee of the Global IFRI Chief Risk Officer Forum. Sok Hui is a Chartered Financial Analyst (CFA), as well as a Certified Financial Risk Manager (FRM). Sok Hui received AsiaRisks Risk Manager of the Year Award in 2002. In October 2007, she was conferred the inaugural Financial Industry Certified Professional title by the Institute of Banking and Finance in Singapore. She is a member of the International Womens Forum (Singapore).
CRO THINK TANK The CROs Challenge!

Determining The Best Strategy To Balance The Human & The Financial Element To Arrive At The Optimal Risk Strategy For The Business?
Panellists: Robert Stribling, Group Chief Risk Officer, SUNCORP
Bob Stribling was appointed to the Suncorp Executive Committee in January 2010, when he joined Suncorp as Group Chief Risk Officer. Bob has more than 30 years global experience as a risk management professional, with his most recent risk role being Chief Risk Officer for NAB-Australia. He has also served in a number of business roles, including global head for a derivatives sales team, country manager in China, Head of IT for a banks Institutional Division, and running his own family business. He is most well known for his pioneering work on statistical Value-at-Risk models when based in the USA and in London in the 1990s; advocating a full repricing and simulation approach when many thought this couldnt be done due to computing limitations at the time. He continues to be actively involved in the global dialogue on best practice risk management through his contributions to the International Institute of Finance. He most recently has driven an innovative approach to defining Risk Appetite, which borrows from a methodological approach used in Marketing.
Kenji Fujii, Executive Officer, Head of Global Risk Management Group, MIZUHO SECURITIES CO
Kenji Fujii is Executive Officer, Head of Global Risk Management Group, Mizuho Securities Co., in charge of enterprisewide risk management for the investment banking arm of Mizuho Financial Group. Prior to his current role, he was Senior Managing Executive Officer, Chief Market Risk Officer at Aozora Bank, General Manager, Basel 2 Implementation Office, Corporate Risk Management Division at Mitsubishi UFJ Financial Group, and General Manager, Risk Management Division at The UFJ Bank. Mr. Fujii has participated in numerous industry initiatives in risk management area, including those related to Basel regulatory reform. He now acts as member of Steering Committee of Regulatory Capital at the Institute of International Finance. He also acts as Principal of Tokyo Risk Managers Association (TRMA).
Tham Ming Soong, CRO, UOB BANK

Ming Soongs career in the financial industry has spanned a period of more than 25 years. He is currently the Chief Risk Officer of United Overseas Bank Group. Prior to this he held senior positions at the MAS (Director Financial Risk Supervision) and Overseas Chinese Banking Corporation (Group Head of Market Risk Management). In his current position, Ming Soong is responsible for providing strategic risk management directions for the UOB banking group. He has responsibilities for credit, market, and operational risks for the groups banking, fund management and insurance businesses. Apart from his position in UOB, Ming Soong chaired the Association of Bank in Singapores (ABS) Risk Management Standing Committee, and is Adjunct Professor with the National University of Singapores Risk Management Institute. In 2009, Ming Soong was named Bank Risk Manager of the Year by Asia Risk. In the same year, UOB was honoured with the QFC Asian Banker Leadership Achievement Award in Risk Management.
09.40
William Dawson, Executive VP, Chief Credit & Risk Officer, Wealth, Brokerage & Retirement WELLS FARGO & COMPANY
William L. Dawson assumed his role in 2009. Bill provides management oversight and is responsible for credit, market and operational risk, including compliance for the following business lines within this division: Wealth, Family Office Services, Brokerage (Wells Fargo Advisors) and Retirement. Bill has over 35 years experience in the financial services industry. Prior to joining Wells Fargo, Bill, an 8-year veteran of Wachovia Corporation, most recently held the position of Chief Risk Officer, Capital and Wealth Management, for Wachovia.
THE BUSINESS BRIEFING The Board Is From Mars, Risk Is From Venus
What Does The Rest Of The Institution Really Think Of Risk Management?
Maureen Miskovic, Group Chief Risk Officer, UBS
Maureen Miskovic was appointed Group Chief Risk Officer (CRO) and member of the GEB in January 2011. From 2008 to 2010, she served as Chief Risk Officer of State Street Corporation, Boston, as well as a member of the firms Senior Executive Management Committee and chair of its Major Risk Committee. From 2002 to 2007, she was Chairperson of Eurasia Group, a New York City-based political risk research and consulting company developing the firms brand as the political risk advisor for institutional and foreign direct investors. Between 1996 and 2002, Ms. Miskovic was the Chief Risk Officer for Lehman Brothers and from 1995 to 1996 she worked as the European Treasurer for Morgan Stanley. Prior to that, she was Group Risk Manager and Treasurer for SG Warburg & Co.
Thomas Gross, CRO, COMMERZBANK

Thomas has been in his current role at WestLB since 2008. Before this he was Member Of The Managing Board & CRO of Unicredit Bank Austria between 2006-2008. In advance of this, Thomas was Head Of Credit Risk Controlling at Unicredit and had a number of credit risk related roles at HVB. Thomas started his career at Boston Consulting Group in 1992.
Paige Wisdom, Chief Enterprise Risk Officer FREDDIE MAC

Paige Wisdom was appointed Freddie Macs chief enterprise risk officer on April 1, 2010, and is a member of the company's senior leadership team, reporting directly to the CEO. In this role, Wisdom is responsible for providing the overall leadership, vision and direction for enterprise risk management and leads an integrated risk management framework for all aspects of risk across the company. Previously, Wisdom served as Freddie Mac's Business Unit CFO, and earlier in her career held senior finance and risk-management positions with Bank of America, Bank One Corporation/J P Morgan, UBS/Warburg Dillon Read, Citibank Salomon Smith Barney, and Swiss Bank Corporation.
Roger Dix, CRO, UK Life, AVIVA PLC

Roger commenced work after university as an actuarial trainee at Commercial Union, in the City. After qualifying, he moved to Canada Life in Potters Bar, where he became Appointed Actuary. He moved to Swiss Re in Zurich in 1996, where he was Head of Financial Management (a sort of CFO/Appointed Actuary role) for the life reinsurance written in mainland Europe, Asia, Latin America and Australia. On returning to the UK in 2003, he has worked for Prudential UK, HBOS Insurance and Ernst & Young, increasingly on the Risk and capital area. He spent 2010 seconded to LV= as CRO, and from February 2011 is CRO of the UK Life business for Aviva
10.10
Jacques Beyssade, CRO, NATIXIS

Jacques Beyssade began his career in 1984 at Crdit Lyonnais in London as a financial analyst. He headed up the Champs Elyses Corporate Banking Branch (1994-1997) before being appointed Country Manager for Korea (1997-2001). He later became Head of Debt Markets in New York (20012005). In 2006, he took up the position of Head of Calyons Capital Markets division for the Asia-Pacific region. He joined Natixis in 2008 as Head of Risk Supervision for the Corporate and Investment Banking division. Since July 2009, he has been the Chief Risk Officer of the bank and a member of its Executive Committee.

10:20 Morning Coffee
RISK MANAGEMENT IN AN ERA OF FINANCIAL STABILITY & POLITICAL PRESSURE

10:50
12:30
THE RISKMINDS 2011 LEADING CRO ADDRESS

Challenges In Risk Management Today
Dr Hugo Banziger, Chief Risk Officer, Member of the Management Board DEUTSCHE BANK
Hugo was appointed to the Deutsche Bank Management Board in May 2006 as the Chief Risk Officer. He is responsible for Credit, Market and Operational Risk, as well as Corporate Security & Business Continuity, and Treasury. In May 2007 he also assumed responsibility for Legal and Compliance. In 2000 he became DB's Chief Credit Officer and assumed responsibility for Operational Risk Management in 2004. From 1985 to 1996 Hugo worked at Credit Suisse Group. In 1990, Hugo was appointed Global Head of Credit for Credit Suisse Financial Products, the derivatives house of Credit Suisse Group, based in London. In 1983 he started his career at the Swiss Federal Banking Commission, the Supervisory Agency of Swiss Banks.
Philip Best. CRO, THREADNEEDLE

Philip Best joined Threadneedle in 2007 as Chief Risk Officer and in this role he is responsible for measuring, monitoring and reporting investment risk. Philip has worked in the financial markets since 1985 and has held a number of positions in risk management, including Director of Credit and Market Risk at Hambros, Director of Market Risk at Abbey National Treasury Services and Head of Risk at UFJI.
THE MODERN CRO ADDRESS

Keeping Risk Appetite Dynamic
Alden Toevs, CRO COMMONWEALTH BANK AUSTRALIA
Alden joined the Commonwealth Bank of Australia on 23 June 2008 as Group Chief Risk Officer. Alden provides leadership in ensuring effective risk management and risk governance across the Bank and also acts as an advisor to the Banks Board and Executive Management on risk management. Prior to commencing with the Commonwealth Bank, Alden led First Manhattan Consulting Groups (FMCG) risk management, MIS and mortgage banking practice areas for 15 years, and was lead consulting partner between 2000 and 2008.
Plus Expert Advisor: Hersh Shefrin, Mario L. Belotti Professor of Finance SANTA CLARA UNIVERSITY
16:00 16:10
Challenge & Comment Audience Q&A Afternoon Tea
13.10
Lunchtime & Networking Meet The VIP Roundtables
LOCATING RISK MANAGEMENT AT THE CENTRE OF BUSINESS & CRISIS PLANNING 9
DAY 1&2
16.40
Day 1 CRO Forum & Day 2 Main Conference: 6th & 7th December 2011
RI$KMINDS 2011 DAY 2

Ri$kMinds 2011 Day 2 7th December 2011
08.00 - 08.45
GUEST LEADERSHIP ADDRESS How To Inspire, Motivate & Demonstrate Leadership:

Applying Lessons Learned From The Battlefield In The Boardroom
Colonel Tim Collins OBE, Former Officer THE BRITISH ARMY
Colonel Tim Collins attracted attention on both sides of the Atlantic for his rousing speech to the troops before going into battle in Iraq. His autobiography, Rules of Engagement, subsequently went straight into the bestseller lists. Tim was commissioned into the Army and joined the 2nd Battalion, Royal Irish Rangers in Berlin. After completing several tours including Northern Ireland and the Falklands, he became aide to the UN Chief of Staff in Cyprus. Promoted to Lieutenant Colonel, Tim took on the role of Project Director for the Peace Support Training Centre in Sarajevo, before returning to HQ Land Command with responsibility for training. Once in Iraq, Tim soon realised he faced similar problems to Sir Gerald Templer when he was sent to defeat the Malayan Uprising in the 1950s. Saddam Hussein had ensured the country would be virtually unmanageable if he was removed from power and the British forces had entered without appropriate plans to back up their initial victory. Nature abhors a vacuum and the dissolution of the Iraqi National Guard, police force and utilities meant that an insurgency rapidly formed to fill the gap. Tim is a naturally inspiring figure, combining extensive experience of active service with broad knowledge of military and political history. An authority on teamwork, leadership and motivation, he shows a clear parallel between military problem solving and the challenges faced by leaders in any walk of life. Tim's philosophy can be summed up in a handful of rules. Know what your objectives are and have a plan; pick the right team; make sure everyone has a role and that it has been communicated clearly to them; understand your responsibilities as leader but learn to trust your team.
THE RISKMINDS INTERNATIONAL BREAKFAST BRIEFING The NASA Experience

A Look Back At The Risk Management Of The Space Shuttle Programme & A Look Forward To NASAs Risk Management Strategy For The Future
Jeevan Perera, Risk Manager, NASA SPACE CENTRE
Dr. Jeevan Perera works at NASA, Johnson Space Center in Houston, Texas. He has been the risk manager for several key manned space programs including the International Space Station, Orion Spacecraft and others. Orion was NASA's proposed new spacecraft to replace the Space Shuttle service to the International Space Station, then return astronauts to the moon and eventually mount expeditions to Mars. In his technical capacity within Orion, he shared associated responsibility for the day-to-day management of the Orion Project's business and project planning roles including overall management and assessment of project budgets, procurement, contracts and assessment functions (including risk management), configuration management, information technology, schedules, and the development of management plans and processes. Formerly as the Risk Manager, International Space Station, Johnson Space Center, and then Orion Project Risk Manager, he designed, developed, implemented and improved the agency's risk management processes through a phased, systematic approach setting the standard for NASAs risk practice. Prior to his work in risk management, he has worked in different technical fields in support of many NASA programs and projects.
than a forward looking, enterprise-wide approach to effectively manage the spectrum of business risks in a way that enables sustainable, long-term growth Now we see a clear maturation of risk management capabilities across all industries-a rapid march up the business value chain and the development of governance and organizational structures that give risk a voice at the executive table One of the largest risk management surveys of its kind, the Accenture 2011 Global Risk Management Study finds that advanced risk management capabilities are high on the executive agenda and now seen as a critical business driver and source of sustained growth and long-term competitive advantage Steve Culp, Managing Director ACCENTURE RISK MANAGEMENT
Based in London,Steve has 20 years of global experience in strategy definition, risk management, enterprise performance management and delivering large scale finance operations engagements. Prior to his current role, Steve was the global lead for Accentures Finance & Performance Management consulting services for global banking, insurance and capital markets institutions. With his extensive risk management and performance management experience and business acumen, Steve guides executives and their teams on the journey to becoming high-performance businesses.
11:00
Morning coffee
17.20
LEADING CRO ADDRESS Fail To Prepare, Prepare To Fail?

Transitioning From Business As Usual Mode To Crisis Mode: How To Transform Business Objectives And Risk Parameters At A Moments Notice?
David Coleman, CRO, RBS
David Colemans career stretches more than 30 years in a range of different banking cultures and roles. Until the early 1990s, he worked for the NatWest Group in a variety of roles spanning retail and wholesale banking, relationship management, finance, business management and risk. This was followed by six years in the American culture at Bankers Trust where he was Senior Vice President/Managing Director and Chief Credit Officer for the European businesses and on the board of Bankers Trust International PLC. Mr. Coleman has been with RBS since 2001 when he took on the role of Group Chief Credit Officer. More recently he was seconded to ABN AMRO as the Chief Risk Officer for the RBS share of the business. Mr. Colemans current role is Chief Risk Officer for the Global Banking & Markets (GBM) division. He is responsible for the leadership of 1,300 people who provide risk management (including credit risk, market risk, operational risk and regulatory compliance) for GBM activities in over 40 countries.
STREAM A Effective Capital Management & Modelling

Chairman: Pietro Penza, Partner, EMEAI Capital Management Proposition Leader, PwC
Pietro joined PwC in 1998 and became a partner in 2007. At PwC Pietro specialises in Banking and Risk Management. He is the banking and Risk leader in the Financial Services Consulting Practice and from 2004 to 2008 he led the PwC competency network for Risk Based Capital Management in Continental Europe. From 2010 Pietro is the EMEAI capital management proposition leader. Pietro has an extensive experience on risk and capital management with a specific focus on Basel II/III and value based management. He is a consultant of the Italian Banking Association (ABI) for Pillar II related issues, where he led several joint projects (two surveys on the state of art of pillar 2 implementation, a 'white book' on Pillar 2 implementation, definition of guidelines for stress testing, development an industry wide geosectoral concentration model) and of the Italian Association of Leasing Companies (ASSILEA). Before joining PwC he worked in Andersen Consulting as junior consultant and in Banca Agrileasing as an in-house consultant. In 2000, together with V. Bansal, he published 'Measuring Market Risk with VaR', Jonh Wiley & Sons.
08:30 09:00

Tom Kimner, Director, Head of Risk and Chief Risk Architect, SAS
Mr. Kimner is currently the Head of Americas Risk at SAS and is responsible for leading a team of risk and technology subject matter experts in shaping risk management and analytic solutions in the Financial Services and Banking industries. The Risk Practice provides deep content knowledge and expertise enabling customers to address challenging business and risk related opportunities by applying best-ofbreed data, modeling, analytic, and decision optimization methodologies. Mr. Kimner joined SAS in March of 2009 bringing nearly 20 years of experience in credit risk analytics, information management, and systems architecture. Prior to SAS, Mr. Kimner spent the previous 10 years spearheading corporate initiatives to more effectively manage credit risk, analyze underwriting and credit performance data, and establish business intelligence solutions in support of credit and financial reporting. Most recently, as a senior Director at Fannie Mae, Mr. Kimner was responsible for the Management Reporting and Analytics group in support of finance and risk initiatives. Prior to joining Fannie Mae, Mr. Kimner served as a Director at the Urban Institute in Washington, DC & earlier, Mr. Kimner led the Advanced Systems Development department at the Office of Federal Housing Enterprise Oversight (currently the FHFA).
11:40
17.50
CRO THINK TANK Why Saying No Can Be Good For Business

How Can We Encourage & Build On The Concept Of Risk Management As A Business Enabler & What Is The CROs Role In Re-Risking?
Moderator: Erwin Martens, Former CRO, TIAA-CREF
Mr. Martens joined TIAA-CREF in 2003 as CRO with a mandate to build a robust Enterprise Risk Management team and advocate for a risk aware management culture. Mr. Martens Chairs the Product and Client Governance Committee at TIAA-CREF. Previous to TIAA-CREF, Mr. Martens spent three years as Managing Director and Chief Risk Officer at Putnam Investments, a subsidiary of Marsh & McLennan. Previous to Putnam, Mr. Martens spent three years at Lehman Brothers, where he built and managed the firms Global Market Risk Management function From 1991 to 1997, he worked in Zurich with the Credit Suisse Group, serving as Head of Global Market Risk Management and Deputy Head of the Global Risk Management Group. Mr. Martens began his career in Toronto in 1985 with Coopers & Lybrand and subsequently founded Analytic Information Management, Inc., a Toronto-based consulting firm that develops software for economic and financial analysis for banks, brokerage, and other financial institutions.
The EBA Stress Test 2011 From A Distance:

A Practitioners Recollection
What was good What went wrong What could / should be changed next year? Dr. Wilfried H. Paus, Managing Director, Head of Risk Analytics & Instruments, DEUTSCHE BANK AG
THE RISKMINDS RISK APPETITE WORKING GROUP

Exploring The Psychology & Neurology Of Risk Management
09.15
GUEST RISKMINDS CRO ADDRESS

Risk Appetite & Betting The Right Size
How to translate strategic parameters set at the top into actionable risk directions for line risk-takers How to aggregate the actual risk decisions made by line risk-takers into meaningful reports for the executive committee How to immunize the process against agency problems, wishful thinking, office politics, political politics, greed, fear, sloppiness and garbage data Aaron Brown, CRO, AQR
Wilfried Paus originally started with Deutsche Bank Bremen branch right after school in 1984. Upon completion of his PhD at the University of New South Wales in 1996, Wilfried returned to Deutsche Bank to work in risk methodology development in Frankfurt and London. He now heads the Risk Analytics & Instruments department within the banks Risk function, which is responsible for the development, implementation and validation of a wide range of risk models applied in Deutsche Bank group. Wilfried frequently represents the bank in discussions with regulators and industry associations on risk methodology.
12:20
Panellists: Beat Hodel, CRO, RAIFFEISEN

Dr Hodel has been in his current role as Chief Risk Officer and member of the expanded management board of the Raiffeisen Group since June 2005. Prior to this, Dr Hodel was a Partner and Member of the Management Board of COMIT Group (2004-2005), Managing Partner of ABOVO Management Consulting & Services (2002 2004) and Senior Partner at Ernst & Young (1999 2002).
Robust Risk And Capital Frameworks; Improving Transparency And Safeguards Around Model Risk
Comparison of modeling frameworks for risk aggregation and economic/regulatory capital Physical measure simulation for exotic pricing, counterparty risk and capital Accounting for and safeguarding against model risk Andrew Abrahams, Managing Director, Head Of Quantitative Research & Firm-wide Model Oversight JP MORGAN CHASE
Jean-Jacques Van Helten, Chief Risk Officer, Europe, BANK OF MONTREAL FINANCIAL GROUP
Jean-Jacques van Helten is the Chief Risk Officer, Europe for the Bank of Montreal (BMO) Financial Group, based in London. Previously, he ran credit & market risk in the CBAs institutional bank in Sydney and he has worked variously in a range of senior executive risk and capital markets business roles in major investment banks in Europe, Australia and the UK. Jean-Jacques has a doctorate in economics from London University.
Jens Kaessner, CRO, DEUTSCHE POSTBANK

In April 2010 Jens was appointed Chief RIsk Officer of Deutsche Postbank Group. He is responsible for the risk methodology (ratings, VaR models), Basel 2 compliant implementation of Postbanks risk infrastructure, risk reporting and initiating appropriate risk management action. As CRO he is a member of all risk committees of the Group. Jens joined Postbank Group in 2002 and his previous responsibilities include Head of Credit Risk Management, Head of Structured Credit Products and General Manager of Postbank's US subsidiary, where he was responsible for all US capital markets activities. He is experienced in implementing portfolio models to calculate credit risk and market risk models, trading credit derivatives and overseeing other trading activities. Before Postbank Jens was with HypoVereinsbank, Group Risk Control, where he worked on allocation of risk capital.
Aaron Brown is risk manager at AQR Capital Management in Greenwich, Connecticut and the author of Red-Blooded Risk (John Wiley & Sons, October 2011), The Poker Face of Wall Street (John Wiley & Sons, 2006, selected one of the ten best books of 2006 by Business Week) and A World of Chance (with Reuven and Gabrielle Brenner, Cambridge University Press, 2008). In his 30 year Wall Street career he has been a trader, portfolio manager, head of mortgage securities and risk manager for institutions including Citigroup and Morgan Stanley. He also served a stint as a finance professor, and was among the top poker players in the world during the 1970s and 1980s. He is a regular columnist for two financial journals: Wilmott and Quantum and contributes frequently to the professional literature in journals, periodicals and book chapters. He holds degrees in Applied Mathematics from Harvard and Finance and Statistics from the University of Chicago Booth School of Business.
Andrew Abrahams is Managing Director and head of Quantitative Research and Firm-wide Model Oversight at JPMorganChase, based in NY. He has been at the firm since 1997. Previously he held research and teaching positions at the National Center for Supercomputing Applications, The University of North Carolina and Cornell University.
13:00
09:45
GUEST NEUROSCIENTIST ADDRESS Can You Manage A Trader's Biology?

Exploring The Neuroscience Behind Risk Taking
John Coates Senior Research Fellow in Neuroscience and Finance, Judge Business School, UNIVERSITY OF CAMBRIDGE
Prior to his current role, John previously traded derivatives for Goldman Sachs and ran a derivatives trading desk for Deutsche Bank, New York. He developed techniques for valuing and arbitraging the tails of probability distributions. Returning to Cambridge he ran a series of experiments in the City designed to show how traders' physiology affects their P&L. The first of his papers were published in Proceedings of the National Academy of Sciences.
13:10 14:30
Lunch
Johan Andersson, CRO, SEB

Mr. Johan Andersson was appointed as SEB's first Chief Risk Officer and a member of the management board in November 2010, having been Head of Group Credits and Group Risk Control at Sweden's Skandinaviska Enskilda Banken (SEB) since 2005. He joined SEB in 1980 and held various positions within the Merchant Banking division in Stockholm, New York and London. In 1995 Mr Andersson joined the Group Credits area and held senior posts in credit granting. Mr. Andersson holds a Bachelor of Science in Economics.
Economic Capital & Regulatory Capital

Exploring The Divergence Between Economic & Regulatory Capital & Should We Still Use Both For Capital Calculations?
Economic Capital before, during and after the last crisis - any lessons learned Basel 2 vs Basel 3 vs Economic Capital / Risks not covered under Basel Bank specific quantifications Risk Bearing Capacity / Risk Appetite Dr. Sebastian G. Fritz-Morgenthal, Global Head Of Group Risk Management, HSH NORDBANK
David Watts, CRO, WESTPAC NEW ZEALAND

David Watts was appointed Chief Risk Officer of Westpac New Zealand Ltd in October 2009. David is based in Auckland and is responsible for all aspects of risk management including credit risk & restructuring, operational risk, market risk, compliance and security. He is a member of the Executive Management Team, Chairman of the Executive Risk & Audit Committee and a Director of 9 subsidiary boards. Before joining Westpac David had a 17 year career at National Australia Bank where he was Chief Risk Officer for Australia. Prior to entering banking David enjoyed 10 years as a Certified Practising Accountant.
10:30
Risk Management As A Source Of Competitive Advantage And High Performance:

Exploring The Transition Of The Risk Practitioner From Crisis Manager To Critical Business Driver
Benefit from the findings of Accentures 2011 global risk management survey of nearly 400 C-Suite Executives In 2009, the business community was still in a state of shock, only beginning to recover from a global economic meltdown. Then, risk management looked a lot more like crisis management
Plus Expert Advisor: Colonel Tim Collins OBE, Former Officer, THE BRITISH ARMY
18:30 18.40 Challenge & Comment Audience Q&A The Ri$kMinds 2011 Drinks Reception
Sebastan Fritz joined HSH Nordbank as Global Head Of Group Risk Management in May 2010. Prior to this, he worked at the Frankfurt School of Finance & Management as finance director as well as managing director of its fund management subsidiary. From January 2006 until December 2007, Sebastian was Global Head of Operational Risk Management at Deutsche Bank. Prior to that, he worked as head of Market Risk Management and divisional risk board member at WestLB. From 1997 to 2004, Sebastian worked in various areas of Deutsche Banks Risk organisation, where he built the Risk Analytics & Instruments group and was an integral part of the Economic Capital and Basel 2 programme.
10
DAY 2
15:10
Day 2 Main Conference: 7th December 2011

12:20
How To Leverage Your EC Framework For Stress Testing

Idzard van Eeghen, Head of the Risk Office, ROYAL BANK OF SCOTLAND N.V.,
Royal Bank Of Scotland is part of the RBS Group. The Risk Office is responsible for oversight of Credit, Market and Operational Risk and Compliance. Idzard is also leading the Groupwide Economic Capital initiative within RBS. Prior to joining RBS Idzard worked in various positions for ABN AMRO Bank including Head of Integrated Risk Management, Head Credit Rating Development, Vice President Structured Finance and Senior Relationship Manager. Idzard is co-author of the book Economic Capital: How it Works and What Every Manager Needs to Know published in 2009 by Elsevier.
Recovery & Resolution Planning

Exploring & Detailing A Recovery Plan For A G-SIFI
Regulatory requirements Structure of the recovery plan and differences with the Resolution Governance of recovery plan Preliminary analysis of critical issues Andrea Cremonino, Head of European & College Supervision, UNICREDIT
the IRC calculation Wolfgang Bauer, Director, Risk Analytics and Reporting, CREDIT SUISSE
Wolfgang Bauer is responsible at Credit Suisse for the implementation of the IRC methodology. Prior to joining CS in 2010, he worked as a risk consultant at Ernst & Young, specialising on risk quantification and economic capital modelling. Regulatory related projects covered pillar 1 credit risk models for banking and trading book. He holds a PhD in finance.
Session 2: 40mins
15:50
How Can We Avoid Holding Too Much Capital?

An Exploration & Critique Of The Capital Efficient Structures Currently Available
Speaker tbc
16.30
Andrea joined UniCredit Group in the investment banking arm where he dealt with market risk management also for marketing purposes. He later moved to the Holding company in CFO where he developed methodologies for the commercial product evaluation and hedge accounting purposes. For four years he has been responsible of Risk Integration function and the related development of models for internal capital and aggregated stress testing. Moreover he coordinated the ICAAP implementation at group level. Then he moved to Banking Supervisory Relations where he deals with managing the relationship with the consolidated supervisors and the other ones with a strong focus on risk management besides coordinating the working group on Recovery and Resolution Plans. He has been a member of working Groups within CEBS and European Banking Federation on ICAAP and banking regulation
IRC Model Validation

How To Validate And Review Your Model In Light Of Regulatory Feedback
Purpose of the IRC model and regulatory requirements Basic modelling approach what alternatives are there from a review perspective? Testing of correlation assumptions and correlation modelling approach Other key assumptions for review and validation to test: - Formation of transition matrices - Treatment of liquidity horizons - Pricing of non standard instruments Colin Burke, Head of Technical Model Oversight, LLOYDS TSB
Colin is the Head of Technical Model Oversight in the Risk Model Review Team. He provides team line management to market risk reviewers and technical leadership to market and credit reviewers in the Risk Model Review Team. The role encompasses leading the technical review of market risk models (including VaR, CVA and PFE), credit risk models (rating, PD/LGD/EAD) and other models such as portfolio models, RAROC and economic capital. Before this role, he concentrated on building counterparty credit risk and portfolio models. He has previously held a number of roles in Lloyds, ING, Abbey and Barclays. He has a degree and PhD in physics.
13:00

16:40 17:10 Afternoon tea

13:10 14:30 Lunch

Effectively Factoring Regulatory Constraints And Strategic Objectives Into Your Capital Targets
Aligning regulatory capital requirements and stress testing results Assessing the impact of development strategies on risks and revenues Factoring the capital constraint into business development Didier Blanchard, Head of the Global Risk Measurement Department SOCIETE GENERALE
Didier Blanchard, who started at Socit Gnrale in 2009, is now Head of the Global Risk Measurement department in the Risk Division. Didier had performed the Basel 2 validation of BNP Paribas Group, before structuring regulatory and accounting solutions at that bank's Fixed Income department. Didier had started his career in 1995 at Commission Bancaire, the French banking supervisor.
Wholesale Credit Risk Modelling And Validation The Next Steps

Standards for monitoring and validation Data Models and Cyclicality Model Risk Portfolio analytics Stuart Burns, Head Of Credit Risk Methodology, BARCLAYS CAPITAL
18:30

18:40
17:50
Stuart Burns is the Head of Credit Risk Methodology at Barclays Capital. He joined in April 2010 from HSBC, where he was responsible for Credit Risk Modelling and saw the bank achieve Advanced IRB status. Prior to this Stuart was Head of Economic Capital and Model Risk Management at Standard Chartered Bank, where his responsibilities included coordination of stress testing across portfolios and risk types. Stuart has also worked in credit risk modelling roles at RBS Financial Markets and Abbey National Treasury Services.
19:00
RiskMinds Networking Drinks
Creating A Scenario Framework For Risk Capital Stress Testing And Risk Appetite:
Black Swans or Ugly Ducklings?
Creating consistent scenarios for stress testing and risk appetite Analyzing the impact of market feedback, credit cycles, crises and uncertainty on portfolio losses Alternative framework for fat-tail events and asset price dynamics based on market behaviour Quantifying the risk of extreme events. From theory to practice Jorge Sobehart, Managing Director, Risk Architecture CITI
15:10
STREAM C Liquidity Risk Management & Funding

Chairman: Gilles Demeulenaere Director of Europe/Africa Marketing QUANTITATIVE RISK MANAGEMENT
Mr. Demeulenaere is a Vice President of QRM and has been responsible for QRM's European & African Marketing since 1998. Prior to joining QRM, Mr. Demeulenaere served Marine Midland Bank and Socit Gnrale in New York, for 16 years, in various capacities with a focus on structured finance. Mr. Demeulenaere holds an MA degree in Economics from Dauphine University, Paris and a BA degree in Economics from Assas University, Paris
Risk Weight Workshop The US & Europe: A Level Playing Field?

How Can We Compare US Banks With European Banks When The US Banks Are Still On Basel I & Can A Level Playing Field Between Banks Be Ever Achieved?
Do the US banks have an advantage over European banks in the current environment? Can a level playing field between banks be ever achieved? Ahmet Yetis, Director, BARCLAYS CAPITAL
Ahmet is the regulatory and Basel II strategist at Barclays Capital in New York. He advises clients on regulatory developments and capital management. Prior to joining Barclays, Ahmet spent three years in Japan advising Asian banks on capital management. Ahmet is an engineer and holds an MBA degree from Carnegie Mellon University.
11:40
Jorge R. Sobehart is a Managing Director at Citi Risk Architecture (Credit and Operational Risk Analytics) where he is involved in credit risk capital measurement and allocation, stress testing, advanced portfolio loss models for wholesale credit exposures, credit migration and default risk modeling. Previously, he was a member of Moody's Standing Committee on Quantitative Tools and VP senior analyst in Moody's Risk Management Services, where he developed default risk models, early warning tools and model validation metrics and procedures. During his career, he has worked and acted as a scientific consultant for several prestigious companies and institutions making contributions in different fields, and publishing numerous technical articles and conference papers. He also acted as a referee for many professional journals in risk management, finance, physics, computation and mathematical modeling.
The Next Challenge in the Evolution of Enterprise Risk Management: Liquidity Risk, Pricing and Risk Assessment
Measuring liquidity risk in a dynamic funding environment and the interplay between funding costs and borrower characteristics An economic framework for calculating an FTP rate for credit exposures with prepayment options and other contingencies Holistic decomposition of a transfer rate into contingent liquidity, funding liquidity, credit risk, and option premia components Amnon Levy, Managing Director, Head of Portfolio Research, MOODYS ANALYTICS QUANTITATIVE RESEARCH
15:50
Basel 2 Risk Weights

How Do We Assure That Risk Weight Are Well Calculated, Can We Make The Calculations Comparable Across Banks?
Richard Crecel, Head Of Credit Risk & Rating Models, SOCIET GENERALE
Richard CRECEL has been active for 16 years in risk management, both on retail and non retail sides. He began its career as scoring engineer, then evolved as Head for modelling and risk management teams in the sector of consumer finance, in France, Italy and Turkey during 5 years. He then became freelance consultant in this domain for a number of reference companies of the banking industry during 7 years, before joining the Risk Division of SOCIETE GENERALE as Head for Credit Risk and Rating Models within the Global Risk Measurement department. Richard is Statistician Actuary from UPMC University (Paris - France).
18.30

18:40 19:00 Champagne Roundtables
STREAM B Implementing Regulatory Change Into Risk Management Processes

11:40
Simon Samuels, Managing Director, Equity Analyst BARCLAYS CAPITAL

Mr. Samuels heads up the research team covering the European bank sector and has responsibility for sector-wide thematic research. Mr. Samuels joined Barclays Capital in 2009 from Citigroup where he fulfilled a similar role for 12 years. At Citigroup his team was ranked Top 3 in every major survey for a decade. He was the # 1 ranked bank analyst in Europe in 2011 according to the Thomson Extel survey. Prior to Citigroup, he worked at Dresdner Bank and Merrill Lynch. Mr. Samuels qualified as a Chartered Accountant at Price Waterhouse after graduating with an Economics degree from London School of Economics.
Dr. Amnon Levy heads the Portfolio Research Group that is responsible for research and model development for Moodys Analytics portfolio and balance sheet models. Dr. Levy holds a B.A. in Economics from the University of California at Berkeley and a Ph.D. in Finance from the Kellogg Graduate School of Management, Northwestern University. Prior to joining MKMV, Dr. Levy was a visiting assistant professor at the Stern School of Business, New York University, and the Haas School of Business, University of California at Berkeley. He has also taught Corporate Finance at the Kellogg School of Management, Northwestern University and worked at the Board of Governors of the Federal Reserve System. He is currently teaching a course on credit risk at the Haas School of Business MFE program. Dr. Levy has been published in the Journal of Financial Economics, Journal of Monetary Economics, Encyclopedia of Quantitative Finance, Risk, and Journal of Banking and Finance. His current research interests include modeling credit portfolio risk, integrated models for balance sheet management, as well as liquidity risk.
12:20
Overcoming The Challenges Of Measuring Risk In The Trading Book

What Are The Current Boundaries Between The Trading And The Banking Book?
Pierpaolo Montana, Head Of Model Validation, BNP PARIBAS
Liquidity Buffers
How To Effectively Structure Liquidity Buffers & Assessing Whose Responsibility Will This Be In The Bank?
Speaker tbc
13:00
16:30

16:40 17:10 Afternoon Tea
RiskMinds in Geneva is truly the annual event for the industry. It is the place to meet with your peers and find out what everyone (ranging from the CROs, academics & regulators to the risk practitioners) is working on. With the current regulatory changes on the horizon, I am looking forward to hearing what everyone has to say during the 2011 event!
Eduardo Epperlein Managing Director, Global Head of Risk Methodology NOMURA

13:10 Lunch
IRC Workshop
Session 1: 40mins
14:30
IRC Calculation
The Incremental Risk Charge One Year After Going Live A Practitioners View
Challenges encountered during the development and deployment of the IRC framework since the regulatory requirement came into force in Switzerland in 2011 The key lessons learned during the first year of operation The main challenges faced in the completion of the framework during 2011 to include developed market sovereign exposures into
Enhancing Decisions For The Business Through Disciplined Risk Management

David Buck, Client Relationship Manager QUANTITATIVE RISK MANAGEMENT
Mr. Buck joined QRMs Credit and Capital Management team in 2007 and is now a Client Relationship Manager in the London Office. Prior to joining QRM, he held various management roles in risk management with General Electric, The Federal Reserve Bank of Chicago, and Fannie Mae. Mr. Buck holds an MBA in Econometrics and Statistics from the University of Chicago and a Bachelors degree in Business from the University of Toledo.
11
DAY 2
Henry Norwood, Chief Operating Officer QUANTITATIVE RISK MANAGEMENT
Mr. Norwood joined Quantitative Risk Management Inc. in 1995. As Chief Operating Officer, he helps to manage QRM's operations, including those related to the firms offerings in enterprise risk management. A graduate of Colby College and the University of Chicago's Booth School of Business, Mr. Norwood is also a Chartered Financial Analyst.

STREAM D The Latest Developments In Credit Risk & Counterparty Credit
Chaired by: THE IACPM
The International Association of Credit Portfolio Managers (IACPM) is a non-profit industry association established in 2001 to further the practice of credit exposure management. The association provides a common platform for its member institutions to take collective action, and also provides an active forum to exchange ideas on topics of common interest. The Association also represents its members before legislative and administrative bodies in the US and internationally, holds annual conferences and regional meetings, conducts research on the credit portfolio management field, and works with other organizations on issues of mutual interest relating to the measurement and management of credit portfolio risk. Membership in the IACPM is open to all financial institutions that manage portfolios of corporate loans, bonds or similar credit sensitive financial instruments. More information is available at www.iacpm.org.
16:40 17:10
Afternoon Tea
Credit Cycles & Stress Testing

Exploring The Role Of Credit Cycles In Stress Testing
Scott Aguais, Head Of Credit Portfolio Analytics, RBS
In his current role, Scotts responsibilities include developing, implementing and managing a suite of credit risk models and methodologies end-to-end in support of active credit risk and capital management. Additional responsibilities include developing and implementing key credit methodologies for stress testing, Point-in-Time and Through-the-Cycle ratings and portfolio management and working to enhance the overall credit risk systems architecture. Prior to joining RBS in March 2009, Dr. Aguais was Global Head of Credit Risk Methodology at Barclays Capital where he led the Barclays Capital credit risk modelling effort in support of the successful attainment of their Basel II AIRB waiver. This work included developing a suite of 40 credit models and an industry-leading solution for PIT and TTC ratings that utilised systematic credit risk cycles. In this role he also led the design, development and implementation of Barclays Capitals Phoenix solution, which is the firms Basel II system and architectural solution.
15:10
Banking Book Risk Management In A Current Low Interest Rate Environment:

How Does Margin & Profitability Preservation Impact Risk Measurement And Capital, Regulatory Reporting?
Preservation of product margin requires some form of asset duration extension Several approaches have been taken by the industry, like increases of mortgage books with reduced interest rate risk hedge, extension of duration of replication portfolios of client deposits or firm equity, central deflation hedge positions We evaluate the pros and cons of the above approaches including impacts on risk measurement, capital requirement, regulatory reporting and accounting We simulate impacts on future earnings and economic value of equity Gaspare La Sala, Treasurer of the Wealth Management and Swiss Bank Division, UBS
Gaspare is responsible for all treasury related matters of the division including the management, forecasting and reporting of the interest result with the related risks. Prior to this, he was the Head of Liquidity Management in UBS Group Treasury and managed the group liquid assets buffer as part of this function. He also has multiple years of experience in UBS Investment Bank as Head of ALM and as a trader in rates derivatives.
11:40
CVA:
Modelling Perspectives From Banks And Regulators
CVA risk from banks perspective CVA risk from regulatory perspective How to converge the two perspectives? Economic incentives Economic capital Regulatory capital Eduardo Canabarro, Managing Director, Head Of Credit & Market Quantitative Risk, MORGAN STANLEY
17:50
Exploring The Issues Involved In Modelling Collateralized Exposure

Definition of Exposure Sources of Exposure under Collateral Management Uncertainties when modelling the Margin Period of Risk Klaus Boecker, Head Of Risk Models & Analytics DEUTSCHE PFANDBRIEFBANK
15:50
Linking Liquidity & Capital

A Practical ERM Perspective
Liquidity & Capital: Direct & Opportunity Cost Impact on Pricing and Performance Integrated Enterprise Wide Stress Test Strategic Business Model Implications Dr. Mario Onorato, Senior Director, and Head of Balance Sheet and Capital Management, ALGORITHMICS
Eduardo is responsible for the development of the methods and models used to measure market and credit risks as well as for the independent review and validation of pricing and risk models used by the bank. Prior to his current position, Eduardo was with Lehman Brothers for three years as Managing Director and Global Head of Quantitative Risk Management. He was responsible for all quantitative risk functions in the Risk Management organization including market, credit and operational risk analytics, model validation, risk technology and regulatory interface related to the implementation of the quantitative frameworks. Eduardo has also worked for Goldman Sachs and Salomon Brothers in Quantitative Research, Modelling and Risk Management.
12:20
Dr. Klaus Bcker is responsible for market risk methods, counterparty credit risk and CVA calculations. Prior to joining Deutsche Pfandbriefbank, he was team head of Risk Analytics and Methods in UniCredit Group. In this capacity, one of his primary responsibilities was overseeing all quantitative aspects of UniCredit Group's economic capital model, in particular business risk, real estate risk, financial investment risk, and risk aggregation. Klaus is in the Editorial Board of the Journal of Risk Management in Financial Institutions and is also research fellow at the Center for Mathematical Sciences at the Technische Universitt Mnchen. He is conducting research in various fields of finance where he has authored and co-authored several articles that have been published in recognized finance and mathematical journals. In 2007, 2008 and 2010 he won the prestigious PRMIA Institutes Award for New Frontiers in Risk Management related to his research activities. Klaus is editor of the two-volume book "Rethinking Risk Measurement" which has been published in 2010. In August 2007, Klaus was inducted by his peers as a charter member of the international Risk Who's Who honor society.
Credit Risk Model Performance

Vivek Wadhwa, Principal, MCKINSEY & COMPANY
Vivek is a Principal in McKinseys New York Office. He is a member of the Risk practice and leads McKinseys global credit risk service line. Vivek has worked with retail and commercial banking clients in areas including Enterprise Risk management, retail distribution, consumer and small business credit (cards, auto, home equity), business strategy, credit risk management and anlaytics, and regulations and capital management. Before joining McKinsey, Vivek worked in the banking technology field at CS First Boston, IBM and other organizations where his responsibilities included global strategy and business development in Europe and Latin America.
18:30
Dr. Mario Onorato is the Senior Director, acting as the Head of Balance Sheet and Capital Management. Mario is tasked with the development of asset and liability, liquidity and capital management solutions for corporate and financial institutions. Prior to joining Algorithmics, he was Head of Strategic Consulting at Misys Banking Systems, Scientific Consultant at KPMG, and Corporate Finance Senior Consultant at Sanwa Bank UK. Mario has held a number of academic positions in the Netherlands and U.K. In addition to this, he has authored several books and research papers in his areas of expertise and is Honorary Senior Lecturer at the Faculty of Finance, Cass Business School, City University, London. Mario holds a PhD in Finance.

18:40
19:00
16:30
13:00


13:10 14:30 Lunch
STREAM E GUEST LECTURES IN RISK & FINANCE

Chairman: Robert Iommazzo, Managing Partner SEBA INTERNATIONAL
Robert is a co-founder of SEBA International and currently the Managing Partner for the Firms Financial Services practice based in SEBAs London and New York offices. His focus lies in the recruitment of finance, risk management and compliance professionals. Robert leads global assignments across the Americas, the United Kingdom, Europe, Africa, the Middle East and Asia Pacific in commercial and retail banking, corporate banking as well as in the investment management space. Robert is a frequent speaker to industry events and has authored various articles pertaining to employment trends on risk management and compliance.
Carrot Vs. Stick How To Drive Credit Risk Aware Behaviour
Uncollateralised Funding
Effective Techniques For Pricing The LVA & The FVA Into A Deal
Introducing uncollateralized funding costs into derivative valuation The adjusted discounting approach versus an asymmetric CVA approach Double counting and the relationship between DVA and Funding costs Organizational implications for managing uncollateralized funding costs Andrew Green, Head of Quantitative Research - Credit Risk LLOYDS BANKING GROUP
Dr Andrew Green has been involved in CVA field since 2003. He currently heads the Quantitative Research credit risk team at Lloyds Banking Group where he is responsible for the modelling of CVA and unsecured funding costs and is also interested in asset-liability models. Prior to joining Lloyds in 2008, Andrew spent twelve years at Barclays Capital. He headed the DCRM quant modelling team from its foundation in 2005 and previously worked in quantitative roles in both fixed income and equity derivatives. Andrew has a BA in Physics and a DPhil in Theoretical Physics from the University of Oxford and the Certificate of Advanced Study in Mathematics (Part III) from the University of Cambridge.
Mat Newman, VP Product Management, Adaptiv, SUNGARD

Mat Newman has been working in the risk area of the capital markets industry for over 20 years. He is currently vice president, product management, Adaptiv, where he has responsibility for the product direction and management of SunGards Adaptiv solution suite, the part of SunGards capital markets business that focuses on risk management. Mr. Newman joined SunGard in 2002 from Celoxica plc, where he was senior vice president responsible for technology strategy and execution. Prior to that, he worked at Accenture, Oliver, Wyman & Co. and Alpha-Numeric Developments, specializing in risk management projects across the capital markets business.
15:10
11:40
The Efficient Calculation Of Economic And Regulatory Capital For Structured Credit Instruments
David Saunders, Associate Professor, Department of Statistics and Actuarial Science, UNIVERSITY OF WATERLOO
David Saunders is an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, and a Senior Research Consultant at R2 Financial Technologies. He is the author of many articles on the subjects of risk management, portfolio optimization and derivatives pricing. Dr. Saunders holds a Ph.D. in Mathematics from the University of Toronto, and is a Research Fellow of the HERMES European Center of Excellence on Computational Finance and Economics at the University of Cyprus, and the Waterloo Institute for Quantitative Finance and Insurance at the University of Waterloo.
After The Crisis:

What Is Required Now For Risk Disclosures
Comparing risk disclosures across time and institutions What are the key requirements of post crisis risk disclosures ? Introducing the risk statement concept, a concise, focussed and comparable primary statement. Rami Feghali, Financial Services Advisory Partner, PwC
17:50
Liquidity Management
What Impact Will New Regulation Have On Transfer Pricing And Can We Use It To Steer The Business?
What is the difference between internal liquidity models and Basel III liquidity requirements How does Basel III translate into steering signals How will Basel III impact internal transfer prices Arno Kratky, Head Of Liquidity Risk, COMMERZBANK
15:50
How Consumer Demand Drives Credit Cycles and Can Defeat Risk-Based Pricing
Seeds of the US Mortgage Crisis in shifting consumer demand, and examples from UK lending Failing to price loans correctly by not understanding that the borrower pool has shifted Failing in PD predictions because of shifts in consumer demands Joseph Breeden, PhD, CEO, STRATEGIC ANALYTICS
Rami is the leader of the PwC Financial Quantitative Services practice in Paris and the central cluster Market Risk network. Prior to joining PwC in 1998, he was an interest rate derivative trader. Rami has managed risk management engagements for large financial services firms on a large range of issues: Basel 2 advanced approaches model development and validation, ALM and liquidity risk framework gap analysis and process improvement, design of ICAAP, risk appetite statements and risk reporting frameworks. Rami has also assisted large financial institutions in the implementation of IFRS on valuation and risk management issues.
12:20
Arno works in Group Treasury heading the team Liquidity Analytics. He is dealing with conceptional enhancements of the liquidity management framework such as fund transfer pricing systems, stresstesting and liquidity contingency planning. After his graduate in industrial engineering, he joined Dresdner Bank in 1994 at a trading desk for interest rate derivatives. He pursued his career in different roles in finance and risk management and spent 5 years in London responsible for market, credit and liquidity risk. After the merger of Commerzbank and Dresdner Bank he became a member of the Treasury Management Team in Group Treasury of Commerzbank.
The UK Independent Commission On Banking

Implications And Consequences
Description of key proposals Potential Impact on UK banking industry Implications for Recovery and Resolution Martyn Hoccom, Head Of Strategy, RBS
Martyn Hoccom has held his current position since September 2008. He was previously at Lloyds TSB working in the wholesale division with a focus on funding, liquidity and product pricing. Martyn has worked in a number of Asset Liability Management roles in major UK banks covering interest rate, liquidity and treasury management issues.
18:30

18:40 19:00
Dr. Breeden, Chief Executive Officer of Strategic Analytics Inc., leads the design of advanced analytic solutions including the invention of Dual-time Dynamics that comprise the firm's market offerings for forecasting, stress testing, and economic capital modelling for retail portfolios. He recently published Reinventing Retail Lending Analytics and has published papers and given lectures on retail lending analytics and economic capital around the world. Strategic Analytics, founded in 1999, has successfully grown to become an industry power and its software and services are used to analyze over $2 trillion in credit cards, auto, home equity, mortgage and other consumer credit portfolios.
16:30
Champagne Roundtables RiskMinds Networking Drinks
13:00

13:10 Lunch
12
DAY 2&3
14:30
Day 2 & 3 Main Conference: 7th & 8th December 2011
RI$KMINDS 2011 DAY 2 & 3

The CROs Perspective
Session 1: 35mins
Ri$kMinds 2011 Day 3 8th December 2011

08.00 08.30
10:55
Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition
Risk Culture
How Can You Retain The Risk Culture In A Benign Environment & Should This Be At The Expense Of Losing Competitive Share?
Olivier Irisson, Deputy CRO, BPCE
Olivier joined BPCE in June 2010. Prior to his new role, he was the head of the 'Global Risk Measurement' department in charge of transversal risk analytics and portfolio analysis, stress testings and capital measures at group level for credit, market and operational risks. Olivier joined SG in 2002 and held several positions in quantitative risk modeling before leading the global Rating and Capital modeling unit from 2006 to 2009. Before this, Olivier was a manager in the Financial Risk Management practice of PricewaterhouseCoopers and worked for BNPP personal finance. Olivier holds a Doctorate from the University of Paris Dauphine and has taught finance and risk management at HEC and Ecole Centrale.
STREAM A Strategic & Regulatory Risk Management

11:20
Chairmans Welcome Address

Charles Richard, Senior Vice President QUANTITATIVE RISK MANAGEMENT
Mr. Richard has over 25 years of experience in the field of enterprise risk management, balance sheet management, credit risk management and regulatory capital management. During his tenure at QRM, Mr. Richard has consulted with hundreds of financial institutions worldwide and helped QRM build an international client base that now lists over 250 long term engagements.
Risk Management & The Business

How Does Risk Management Function With Other Parts Of The Firm To Ensure That Activities Are Harmonised With The Risk/Return Profile?
Darryll Hendricks, Managing Director, Global Head Of Risk Methodology, UBS
Darryll Hendricks has primary responsibility for leading the strategic remediation and enhancement of market and credit risk methodologies as well as the independent review of valuation models. Since Autumn 2009, he has also served as the chair of the US industry task force on tri-party repo infrastructure. Before joining UBS, Darryll worked at the Federal Reserve Bank of New York for 13 years where he focused on capital regulation and on the risk assessment of clearing and settlement infrastructure. Darryll has a PhD from Harvard University.
Session 2: 35mins
Exploring & Re-Evaluating The Generally Accepted Risk Metrics

The advantages of a standardised risk management vocabulary Proposals for use across the risk management profession Challenges in implementation The role and use of customised risk vocabulary Dr Kanwardeep Ahluwalia, Head of Financial Risk Management (FRM), SWISS RE GROUP.
THE RISKMINDS 2011 FINANCIAL MINDS THINKTANK

08:40
NEW SOVEREIGN DEBT RESEARCH

Current Conditions And Outlook For Sovereign And Corporate Debt Markets
Edward I. Altman, Max L. Heine Professor of Finance, STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY
Edward I. Altman is the Max L. Heine Professor of Finance at the Stern School of Business, New York University. He is the Director of Research in Credit and Debt Markets at the NYU Salomon Center for the Study of Financial Institutions. Prior to serving in his present position, Professor Altman chaired the Stern School's MBA Program for 12 years. He has been a visiting Professor at the Hautes Etudes Commerciales and Universite de Paris-Dauphine in France, at the Pontificia Catolica Universidade in Rio de Janeiro, at the Australian Graduate School of Management and MacQuarie in Sydney, University of Western Australia in Perth, Luigi Bocconi University in Milan and CEMFI in Madrid. Dr. Altman was named to the Max L. Heine endowed professorship at Stern in 1988. Dr. Altman has an international reputation as an expert on corporate bankruptcy, high yield bonds, distressed debt and credit risk analysis. He was named Laureate 1984 by the Hautes Etudes Commerciales Foundation in Paris for his accumulated works on corporate distress prediction models and procedures for firm financial rehabilitation.
12:00
FRM oversees the risks of the internal Asset Management division of Swiss Re, with over $150 billion of assets within the company. In addition, the activities of the Treasury function, the underwriting of credit risks within the insurance divisions and the overall credit risks of the Group are monitored and managed. The FRM team is split into four units covering Credit Risk, Market Risk, Quantitivative Risk and Valuation Risk issues. Prior to joining Swiss Re, Kanwardeep Ahluwalia worked for 12 years in the US investment bank, Bear Stearns, rising to number 2 in the global risk management division. He served as the Chief Risk Officer for Europe & Asia and was appointed Head of Market Risk Management during the financial crises. Kanwardeep contributed to the expansion of the company internationally and participated in the final sale of the company to JP Morgan.
How To Stay Afloat In A Basel III World: Managing Risk And Capital Under A Capital Buffer Regime
Changes to capital supply and demand Regulatory versus internal capital buffers Loss absorption in real terms: instruments, timing, process Katja Pluto, Global Head Of Risk Measurement HSBC HOLDINGS
Concluding Discussion: 10mins
What Keeps The CRO Awake At Night Q&A

15.50
As Global Head of Risk Measurement at HSBC Holdings, Katja oversees all risk models for credit risk and Economic Capital globally and manages the ICAAP and FSA Supervisory Review Process. Prior to joining HSBC, Katja worked with Dresdner Bank and with the Banking Supervision department of Deutsche Bundesbank. In the latter capacity, she approved bank internal market risk models and represented Bundesbank in various working groups of the Basel Committee of Banking Supervision and the Committee of European Supervisors during the Basel II negotiations.
Central Clearing Houses

Is It Possible That Central Counterparties Could Become Too Big To Fail?
Stephan Schoess, Chief Economist THE OPTIONS CLEARING CORPORATION (OCC)
Prior to his current position, Mr. Schoess managed OCCs riskmanagement department with responsibilities for formulating, devising, and controlling OCCs risk-management procedures. Before joining OCC in 1998, Mr. Schoess held positions as Principal of Hedge, Inc., Managing Director of the Chicago Board Options Exchange, Senior Strategic Planner at Continental Illinois National Bank of Chicago, and Associate Professor of Finance at Northeastern Illinois University.
09.25
12:40
THE PRACTITIONER PANEL How Much Can You Use Your RiskMind In Our New Era Of Basel III Regulation?
Is There Still Room For Financial Innovation In The Field Of Risk Management & Modelling & If So, Where Do The Opportunities Lie?
Riccardo Rebonato, Head of Front Office Risk Management and Quantitative Analytics, RBS
Dr Riccardo Rebonato is Head of Front Office Risk Management and Head of the Quantitative Analytics at GBM, RBS. He is also a Visiting Lecturer at Oxford University (Mathematical Finance) and Adjunct Professor at Imperial College (Tanaka Business School). He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP and is a member of the Bloomberg Risk Council. He is an Editor for the International Journal of Theoretical and Applied Finance, for Applied Mathematical Finance, for the Journal of Risk and for the Journal of Risk Management in Financial Institutions. He holds Doctorates in Nuclear Engineering and in Science of Materials/Solid State Physics. He was a Research Fellow in Physics at Corpus Christi College, Oxford, UK. Dr Rebonato is also the author of the books Coherent Financial Stress Testing: A Bayesian Approach (2010), The LMM-SABR Model: Pricing, Calibration and Hedging (2009), Plight of the Fortune Tellers (2007), Volatility and Correlation in Option Pricing (2004, 1999), Modern Pricing of InterestRate Derivatives (2002), Interest-Rate Option Models (1998, 1996). He regularly publishes academic papers on finance in academic journals such as Quantitative Finance, Journal of Investment Management, International Journal of Theoretical and Applied Finance, Applied Mathematical Finance, Journal of Risk Management in Financial Institutions and others
Executing An Effective Regulatory Change Programme:

Solving The Dual Challenges Of Restoring Profitability And Meeting The Requirements For The Multiple Streams Of Regulatory Challenges Through An Integrated Change Programme To Deliver Business Outcomes
Solving for the dual challenges of restoring profitability Meeting the requirements for the multiple streams of regulatory challenges through an integrated change programme to deliver business outcomes Steve Culp, Managing Director, ACCENTURE RISK MANAGEMENT Bio can be found on page 10
13:20 14:30 Lunch
16:30

A View From Outside The Industry

What Are Other Industries Doing To Manage & Mitigate Risk & What Can We Learn From Them?
Session 1: 30mins
Achieving One Capital Figure

Evaluating Best Practice Techniques For Combining Credit, Market & Liquidity Risk Into Your Economic Capital Calculations
Max Bezard, Head Of Group Capital Management BNP PARIBAS
Max is Head of Group Capital Management, where he leads budget and strategic planning processes. Prior to this, he was in charge of the Group Strategy and of the development of Corporate & Investment Banking. He also served as head of Risk & Capital Analytics, and before joining BNP Paribas he spent several years as a scientific consultant for Societe Generale.
A View From The Energy Industry

Embedding ERM Into Strategic Thinking For The Business
Petter Kapstad, Head of Risk Management, STATOIL ASA
Petter Kapstad has 20 years experience in risk management, middle office and controlling from international banks and as a consultant. He is Chairman for the Risk Professionals Association Norway and regional director in GARP (Global Association of Risk Professionals). Petter Kapstad joined Statoil in 1994 as a Financial Controller, and since 1996 has been responsible for building up Statoil's Corporate Risk Management which he is now heading.
Paul Shotton, Deputy Head Of Portfolio Risk Control & Head Of Group Risk Methodology, UBS Bio can be found on page 8 Eduardo Canabarro, Managing Director, Head Of Credit & Market Quantitative Risk, MORGAN STANLEY Bio can be found on page 12 Andrew Abrahams, Global Head Of Quantitative Research JP MORGAN Bio can be found on page 10 Evan Picoult, Managing Director, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOL Bio can be found on page 15
10:10
Session 2: 30mins
15:10
Managing Risk In The Post-Variance World: The Pension Fund Perspective

Variance and correlation-derived risk measures tend to be procyclical and if used in the context of dynamic asset allocation may result in significantly higher levels of ex-post risk. What are the fundamental reasons behind the poor performance of variance and correlation? What are the available alternatives for dynamic asset allocation and hedging? Widespread myths about dynamic portfolio construction and suggest practical and intuitive steps to avoid suboptimal investment decisions Taron Ganjalyan, Head Of Strategic Asset Allocation, SHELL ASSET MANAGEMENT COMPANY (SAMCO).
Linking Risk Capital To Compensation

Is This The Optimal Way Forward For The Industry & If So, How Can We Best Achieve It?
Interpretation of regulatory developments How to build helpful optionality into pay arrangements Latest innovations Mark Carey, Adviser, Division of International Finance, THE FEDERAL RESERVE BOARD
THE RISKMINDS 2011 GUEST ACADEMIC ADDRESS

Volatility, Correlation And Tails For Systemic Risk Measurement
Robert Engle, Michael Armellino Professor In The Management Of Financial Services, STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY
Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Francisco. Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models. He is currently the Director of the newly created NYU Stern Volatility Institute and is the Co-Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joining NYU Stern in 2000, Professor Engle was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology.
Taron has thirteen years of asset management experience, most recently with Shell Asset Management Company (SAMCo) the asset manager of Shell pension funds globally, where he is responsible for strategic asset allocation. Prior to his strategy work at SAMCo, Taron was a senior portfolio manager active strategies with responsibilities for long-short quantitative and global thematic portfolios. As a senior fund manager at Delta Lloyd Asset Management (AVIVA Group) Taron was instrumental in developing and launching absolute return investments funds with derivative overlays, raising in excess of Eur 700 million.
Mark Carey is Adviser in the Division of International Finance at the Federal Reserve Board in Washington, DC. He is also co-director of the National Bureau of Economic Researchs Risks of Financial Institutions Working Group, which is a mixed group of academics and financial professionals that focuses on risk management at financial firms. He was a founding-father of Basel 2, and though he is a research economist, he has frequently worked closely with bank examiners. He has written a lot of technical papers about credit risk and also about corporate debt and corporate finance. His Ph.D in economics is from Berkeley and his undergraduate degree in economics is from Oberlin College.
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Afternoon Tea
18:30

18:40 19:00
"The Best Line-Up Of The Leading Thinkers In Risk Management"

Dan Rosen, President, R2 FINANCIAL TECHNOLOGIES
Champagne Roundtables RiskMinds Networking Drinks
13
DAY 3
16:30

Strategy, Americas Head of Market Risk and COO for Americas Global Banking & Markets and Global Asset Management. Prior to that, he ran various trading business for different banks.
12:40
Sovereign Risk In The Economic Capital Framework

Why are banks exposed to sovereign risks? The multiple impacts of sovereign risk on banks Current assessment of sovereign risk Towards sovereign balance sheets? Jean-Bernard Caen, Risk Analytics Senior Adviser DEXIA
15:50 16:30
Afternoon Tea
What Makes A Good Risk Manager?: Understanding The Relative Importance Of Experience, Education & Specific Skill Set & How Can You Do Better?
Keith Waitt, President and CEO CONSULTANCY MATTERS LLC
Keiths career spans 23 years at Citigroup in London and New York, in a variety of leadership roles managing businesses, people and developing risk competencies. Since establishing Consultancy Matters, Keith has taught and advised corporate and investment bankers, regulators and academics in risk management practices and training curricula on a global basis. Keith is currently on the New York chapter of the Risk Management Association (RMA) Education and Standards Committee. Keith is a member of the Global Council for Thunderbird School and is also an Executive in Residence and Director of the Thunderbird Global Risk Management Center at the School. Keith is passionate about the pursuit of excellence in the risk management profession.
Senior Managements Stress With The Stress Test

The Role Of Senior Management In Stress Test Based Risk Management Processes
Setting stress test objectives Definition of stress test scenarios Stress test validation Risk/stress test analysis and risk reporting. Ottmar Bongers, Head of Q RM, BAFIN
Since September 2002, Jean-Bernard Caen has conceived and implemented the Economic Capital framework at DEXIA Group. Before joining DEXIA, Jean-Bernard was CEO of the consulting firm Finance & Technology Management (FTM), which he founded in 1990 with 5 partners. FTM was active in the areas of Risk Management, Capital Allocation and ALM. In this role, Jean-Bernard Caen directed numerous assignments for banks and financial institutions, notably in France.
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Economic Capital: Is It Still Needed In A Reg Cap Constrained World?

Alan Smillie, Head of Economic Risk Analytics, NOMURA Bio can be found on page 6
17:50 End Of Main Conference
Ottmar has more than 28 years experience in risk management as banker and regulator. He graduated in mathematics and economics at Cologne University, started his professional career 1983 at WestLB in Operations Research and moved to Investment Banking in 1998 where he managed the Banks banking book bond portfolio. 1995 Ottmar became Head of Risk Management Support & Control and run the Banks global market risk management; later his area of responsibility also covered operational risk management, credit portfolio modelling / reporting and the introduction of economic capital based enterprise risk management. 2005 Ottmar joined Risk Modelling Group of BaFin, Germanys Federal Financial Supervisory Authority, as Special Advisor and Head of Methods & Policies, covering especially the use of risk models for market, credit and operational risk. Currently he is in charge of Q RM, BaFins Department for Risk Modelling, which covers risk models in the banking and insurance industry.
Jane Howard, Chief Administration Officer, RBS RISK MANAGEMENT

Janes banking career spans 30 years in RBS, ranging from in former years, traditional Retail and Corporate banking in the UK and latterly, experience in Operations Management and Risk Management for a global business. Jane has a proven track record of change leadership in substantial operations, across-boundaries and Globally achieving outstanding results. In Janes current role as Chief Administration Officer she leads the Group Risk Learning and Development, Remuneration and Communications Teams. Jane is also responsible for a large Change Project which aims to enhance the risk management culture across the RBS Group. Jane has a First Class BA (Hons) degree in Financial Services specialising in Generic Strategy, Strategic Issues in Information Technology and Change Leadership. Jane has also been an Associate of the Chartered Institute of Banking since 1987.
STREAM B Stress Testing

Chaired by: Dominique Bourrat, Managing Director, RISK DYNAMICS Bio can be found on page 8
11:20
17:10
Exploring The Creation Of Loan Performance Indices As Basis For Stress Testing
What Is The Impact Of Negative GDP Growth, Unemployment And Drop In Real Estate Prices On PD And LGD Developments In Bank Portfolios?
Panellists: Philip Winckle, SEB
Philip Winckle has worked in banking for 30 years, after completing a bachelor degree in finance at Macquarie University in Sydney, Australia. He has worked mainly in credits and risk in Australia, Asia and Europe. Career highlights include workout roles in the Australian property disaster in the early 1990s and the Asian financial crisis of 1997-2000 and setting up of the Group Risk Control function for SEB in 2007. His current role is Senior Advisor to the CRO at SEB in Stockholm, particularly focusing on credit and operational risk measurement and RWA. Philip is also chairman and one of the founders of the Pan European Credit Data Consortium (PECDC).
Angus MacLennan, Chairman, IRSQ INDEPENDENT ADVISORY BOARD

Angus MacLennan spent over 30 years in wholesale banking. Educated at Napier University, Edinburgh, and later at Insead Business School, he started his career in credit risk, spent some time in Markets on structured swap solutions, then moved to Corporate Banking. Angus MacLennan spent over 18 years at Danske Bank, in London and Copenhagen, ending on the bank's EXCO, with responsibility for CIB. In 2007 he joined Fortis and ended up as Co-Head of Merchant Banking for the Group. Since 2010 Angus has gone plural, and in addition to his role as Chairman of the Advisory Board of iRSQ, he is also Chairman of An Teallach Energy, Senior Independent Director of Vocalink Holdings, Non Exec Director of ABC International Bank plc, and Senior Advisor to the Boards of Nordic Aviation Capital A/S as well as Isle of Harris Distillery.
Economically-Motivated Stress Testing

How To Use Bayesian Nets To Select & Define The Right Scenarios For Your Institution
Starting from the root causes Identifying the transmission channels Connecting with the portfolios Providing the inputs Analyzing the results Riccardo Rebonato, Head of Front Office Risk Management and Quantitative Analytics, RBS Bio can be found on page 7
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Antonella Pisani, Banking Sector Team, FSA

13:20 14:30 Lunch
Jeroen Batema, Executive Director, PECDC

Jeroen Batema is an executive director of the Pan European Credit Data Consortium (PECDC), having stepped down as its founding Chairman in December 2010. He is also a director and founder of Open Source Investor Services B.V.; a new servicing company in the ABS market He started his banking career in commercial lending at ING Bank, in 2000 he became head of Credit Portfolio Management at NIBC and in 2007 he became head of Securitization at Credit Portfolio Management at BNP Paribas Fortis. In the last role he was responsible for several post crisis and Basel 2 compliant securitisation transactions. Jeroen holds a masters degree in law from the University of Utrecht, The Netherlands.
EC & Business Risk

Exploring Methodologies To Improve The Accuracy Of Business Risk Calculations For Your Economic Capital Model
Michael Kalkbrener, Director, Risk Analytics & Instruments, DEUTSCHE BANK
Michael Kalkbrener specializes in developing risk measurement and capital allocation methodologies. His current responsibilities include credit portfolio modelling and the development of a quantitative model for operational risk. Prior to joining Deutsche Bank, he worked at Cornell University and the Swiss Federal Institute of Technology where he received the venia legendi for mathematics.
Macroeconomic Stress Testing

Key risks to the global recovery Linking scenario analysis with risk parameters: credit and market risk stress testing From risk parameters to portfolio analysis Reverse stress testing from a Macroeconomic viewpoint: key quantitative challenges Dr. Juan M. Licari, Senior Director MOODYS ANALYTICS
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End Of Main Conference
STREAM C Enterprise Wide Risk Management & Business Risk

11:20
15:10
Overcoming Silo Based Thinking

Risk Appetite And The Role Of The Board
Developing a Risk Appetite Statement: Purpose, Quantitative and Qualitative Components, Process, and Output The Linkage between Strategy and Risk: Ensuring that strategic plans and associated performance objectives are consistent with the Boards risk appetite Determining the role that boards and their standing committees should play to ensure that the risk appetite is cascaded through the firm and embedded into operational decision-making Assessing the effectiveness of Board risk oversight Key Questions Directors Need to Ask Themselves Clark Abrahams, Global Marketing Director, Governance, Risk, & Compliance, SAS
Juan M. Licari is a Senior Director at Moodys Analytics and the head of the Credit Analytics team for Europe, the Middle East, and Africa. Dr. Licaris team provides consulting support to major industry players, builds econometric tools to model credit phenomena, and implements several stress-testing platforms to quantify portfolio risk exposure. His team is an industry leader in developing and implementing credit solutions that explicitly connect credit data to the underlying economic cycle, allowing portfolio managers to plan for alternative macroeconomic scenarios. Juan is actively involved in communicating the teams research and methodologies to the market. He often speaks at credit events and economic conferences worldwide.
Understanding What Connects Different Risk Types & How To Devise And Implement An ERM Framework In The Context Of All Other Silo Frameworks?
Nancy Loucks, EVP, Enterprise Risk Management STATE STREET *tbc
State Streets Enterprise Risk Managements programs are designed to identify, assess, measure, manage, control, and report on State Streets risk exposures globally. Ms. Loucks recent activities have focused on risk management governance and program evolution in the wake of recent market events. Ms. Loucks serves on a number of corporate risk management committees at State Street as well as a number of affiliate bank boards.
12:40
Macro Economic Stress Testing

Meaningfully Combining External Information From Other Banks With Internal Results to Improve The Quality Of The Individual Bank Stress Test
Evan Sekeris, Assistant Vice President, Bank Supervision and Regulation Department, FEDERAL RESERVE BOARD OF RICHMOND
Evan Sekeris is a member of the Supervision and Regulation Department focusing on the internal risk modeling and capital allocation at large banking organizations. His current research interests are in asset pricing with particular emphasis on the role of information on the cross section of assets and in operational risk.
15:50 16:30
Afternoon Tea
The RiskMinds Problem Solving Working Groups

Get Your Questions Answered By The Experts & Network With Like-Minded Peers At The Following Small Group Themed Roundtables: Liquidity Risk Stress Testing
13:20 14:30
Lunch
Clark Abrahams is Global Marketing Director, Governance, Risk, & Compliance at SAS. A former Chief Risk Officer, Author and Inventor, he is currently on the Board of Social Compact, and a committee member on OCEGs Leadership Council. He has more than 30 thirty years of experience as a banker and senior risk manager. Abrahams and coauthor Mingyuan Zhang wrote: Fair Lending Compliance Intelligence and Implications for Credit Risk Management (2008) and Credit Risk Assessment The New Lending System for Borrowers, Lenders, and Investors (2009). On his blog, The Principled Achiever, Abrahams discusses the importance of winning business, while earning trust.
Integrated Stress Testing

Richard Barfield, Director, Risk Consulting, PwC
Richard has broad-ranging consulting experience gained in 20 years with PwC. During 2010, he was a key member of the PwC team that worked with the six larger UK banks to assess the implications of Basel III and the wider reform agenda. Richard has also held senior line management positions for example through secondment as Finance Director to Barclaycard, while at Coopers & Lybrand.
12:00
ERM & Risk Culture

Uwe Stegemann, Director, MCKINSEY & COMPANY
Dr. Uwe Stegemann is a Director at McKinsey & Company, Inc. He is one of the leaders of McKinsey's Financial Institutions Group and is responsible for McKinseys Banking Risk and Capital Management Practice in Europe. Dr. Stegemann has broad experience in risk management, capital markets and banking business and has served clients in the US, Europe and Asia. Dr. Stegemann leads among others McKinseys service lines on capital and credit portfolio management. Prior to joining McKinsey & Company Dr. Uwe Stegemann has worked at various banks in Germany, Luxemburg and the USA.
Living With Basel III Capital Management & Modelling
15:10
Challenges In Forward-Looking Stress Simulations

Market Risk simulation is often a 'risk neutral' spot shock, what other choices are available? Traded Risk portfolio evolution over medium-term stress horizons Econometric models as an input and calibration tool for integrated stress Martyn Brush, Global Head of GBM Market Risk and Head of Market Risk NV GBM, RBS
Martyn Joined RBS in Jan 2010 after running a private equity fund focused on distressed US Banks. Prior to this he worked for 15 years at HSBC with the last 5 years in the US. Martyns roles for HSBC included Global Head of Foreign Exchange Derivatives, Head of Derivative
17:50
Cindy Levy, Director, MCKINSEY & COMPANY

Cindy Levy is a senior partner in McKinseys London office. She leads the U.K. Financial Institutions Group and U.K. Risk Management Practice. Since joining McKinsey in October 1992, Cindy has focused on the banking and private equity sectors across Europe, where she has developed the Firms thinking and experience on multiple risk topics. Cindy has led the risk knowledge effort on Operational Risk and Risk Culture.
"A Great Opportunity To Discuss The Key Topics Impacting The Risk Management Industry Today"
Stephan Schoess, First Vice President, Chief Economist, OCC
14
DAY 3
STREAM D The Latest Developments In Counterparty Credit Risk & CVA
11:20

Michael Pykhtin, Senior Economist, Quantitative Risk Management Section, THE FEDERAL RESERVE BOARD
Michael is responsible for carrying out policy analysis and independent research related to financial markets, risk management and regulation of financial institutions. Prior to joining the FRB in 2009, Michael had had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael has edited Counterparty Credit Risk Modelling, published by Risk Books in 2005. He is also a contributing author to several recent edited collections. Michael has extensively published in the leading industry journals. He is an Associate Editor of the Journal of Credit Risk. Michael holds a Ph.D. degree in Physics from the University of Pennsylvania.
RiskMinds 2011: The Vital Statistics

Event History Now in its 18th year, RiskMinds is the worlds largest and longest running annual risk management conference and as such, it brings together leading industry CROs, renowned academics, influential regulators and expert risk practitioners Attendee Numbers RiskMinds regularly attracts over 600+ Industry professionals from over 33 countries across the globe The Big Themes The Global Supervisory Landscape (see the Risk Regulation Summit) The CROs Agenda (see the CRO Summit) Capital Management & Modelling Liquidity Risk Management Stress Testing & Market Risk Credit Modelling, Counterparty Credit Risk & CVA ERM & Business Risk The Speakers 25+ Global CROs 24+ Regulatory Experts (including supervisors and practitioners) 12+ Leading Academics & Out-side of the industry Expert Speakers 80+ Practitioners & Industry Experts
Risk And CVA For Exotic Derivatives: The Universal Modeling

Exposure: Scenarios vs. Modeling Future price and exposure for callable instruments in the Modeling Framework Backwards pricing using the least-squared MC Aggregation of exercises into the instrument exposure Direct approach: cumbersome tracking of exercise indicator New approach: automatic recursion CVA Risk: measure dependence and the real-world measure as fictitious currency Examples and conclusion Alexander Antonov, PhD, Senior Vice President, Quantitative Research, NUMERIX
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17:50
STREAM E: THE GUEST LECTURE SERIES

11:20
Systemic Risk Insight

A Q&A With A Nobel Laureate
Robert Engle, Michael Armellino Professor In The Management Of Financial Services, STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY Bio can be found on page 13
12:00
Sovereign Debt Insight EXTENDED SESSION

A Q&A With Corporate & Sovereign Debt Expert
Edward I. Altman, Max L. Heine Professor of Finance, STERN SCHOOL OF BUSINESS, NEW YORK UNIVERSITY Bio can be found on page 13
12:40
Handling Wrong Way Risk in CVA Calculations

Calculation of CVA Basel III requirements A model for wrong way/right way risk Results from using the model Impact of wrong way/right way risk on the Greeks Impact of collateral, threshold, independent amount, cure period etc John Hull, Maple Financial Professor of Derivatives & Risk Management, UNIVERSITY OF TORONTO
Using Svar, IRC And CRM

Do They Satisfy The Use(Less) Test?
Capital allocation under regulatory vs. Economic capital regimes Operational complexity under divergent economic and regulatory capital regimes Eduardo Epperlein, Managing Director, Global Head of Risk Methodology, NOMURA
John Hull is an internationally recognized authority on derivatives and has many publications in that area. Recently his research has been concerned with credit risk, executive stock options, volatility surfaces, market risk, and interest rate derivatives. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull- White interest rate model. He has written three books Risk Management and Financial Institutions (new this year), "Options, Futures, and Other Derivatives" (now in its sixth edition) and "Fundamentals of Futures and Options Markets" (now in its fifth edition). The books have been translated into many languages and are widely used in trading rooms throughout the world. He has won many teaching awards, including University of Toronto's prestigious Northrop Frye award, and was voted Financial Engineer of the Year in 1999 by the International Association of Financial Engineers
Eduardo Epperlein is a Managing Director at Nomura International, responsible for Global Risk Methodology. His responsibilities include market and counterparty risk and their implications for regulatory and economic capital. Eduardo has 16 years experience in the financial industry, is a regular contributor to regulatory meetings and has chaired several industry groups on Basel rules. He holds a PhD in Plasma Physics from Imperial College and spent ten years as a research scientist prior to joining Citigroup in 1994.
13:20 14:30
Lunch
13:20 14:30
Lunch
CVA - What Does It Achieve?

Motivation for using CVA The uncertainty of CVA Credit curve mapping Challenging in hedging CVA The impact of Basel III rules Jon Gregory, Partner, SOLUM FINANCIAL
Dr Jon Gregory is a partner at Solum Financial and specialises in counterparty risk and CVA related consulting and advisory projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is author of the book Counterparty Credit Risk: The new challenge for global financial markets.
Testing The Foundations Of Risk Measurement:

A review and analysis of what went wrong during the crisis. Lessons learned with respect to improving the measurement of market risk, counterparty credit risk and the importance of stress testing Comments on the implications of Basel II.5, Basel III and the DFA regarding the calculation of RWA, changes in the definition of capital and higher minimum capital requirements and the new Basel liquidity rules Evan Picoult, Managing Director, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOL
THE RISKMINDS COMMUNITY SNAPSHOT

The RiskMinds community comprises primarily risk practitioners from the banking industry however; we do have representatives from the insurance and asset management and corporate industries also. Regulators, consultants and academics also attend to offer a broad cross-section of the risk management industry.
15:10
CVA For Collateralised Positions

The challenges of effectively mitigating counterparty risk through collateral agreements Collateral options & the reality of the margining process Clearing vs. OTC: Impacts on funding, CVA and regulatory capital costs Alexandre Bon, Product Manager, Credit Risk, MUREX
Alexandre heads the Credit Risk product management practice at Murex where he leads the development and implementation of credit risk solutions for financial institutions. His recent work has focused predominantly on the Counterparty Risk management of OTC derivatives, supporting both risk management and CVA trading desk functions. Alexandre joined Murex in 2000 as an interest derivatives consultant. Prior to his current appointment, he successfully performed product consulting and client management roles in the areas of market and credit risk management, last serving as Head of ERM, Asia Pacific. Alexandre holds a Masters degree in management and finance from HEC Paris.
Evan Picoult is a Managing Director within Citis Risk Architecture Department as well as an Adjunct Professor in the Decision, Risk and Operations Department of Columbia Universitys Business School. Over the last few years he has focused on firm-wide projects regarding BaselII, B-II.5, and Basel-III, stress testing and the enhancement of the measurement, implementation and use of Economic Capital. Evan joined Citibank in 1980 in systems development, transferred to a trading desk in 1986 and has worked in internal risk management since 1988. He has led the development of the methods used at Citi for measuring market risk and counterparty credit risk. He is a frequent lecturer on risk topics at professional conferences, regulatory conferences and at universities and has published a number of articles on risk topics. He is on the Advisory Board of the IAFE (International Association of Financial Engineers) and is co-head of the IAFE Credit Risk Committee. He was the North American co-chair of ISDAs Risk Management Committee from the mid-1990s until last year, and is still active on ISDA risk committees. For the last 16 years he has very actively worked on Basel issues as a member of several industry associations working groups. For several years, until 2008, he was also on the board of directors of the IACPM (International Association of Credit Portfolio Managers).. Evan has multi-departmental ties to Columbia University. He has a Ph.D. in experimental particle physics from the Columbias Physics Department, did post-doctoral research on visual perception and taught in Columbias Psychology Department, and, after joining Citibank, he returned to Columbia part time to obtain an MBA in finance from the Executive MBA program of Columbias Business School. Since 2006 he has been an Adjunct Professor in the Decision, Risk and Operations department of Columbias Business School where he teaches the Risk Management course.
RiskMinds 2010 Delegate Breakdown

Buy Side Risk Managers 3%
Industry Experts & Service Providers 23%
Corporate Risk Managers 4% Academics 3% Regulators 5% Financial Services Risk Practitioners 62%
15:50 16:30
Afternoon Tea
15:50 16:30
Afternoon Tea
Whilst attendance is predominantly European, we have growing and significant attendance from all across the world. RiskMinds truly is a global event!
CVA, Wrong Way Risk And Basel III

Dan Rosen, Visiting Fellow, THE FIELDS INSTITUTE FOR RESEARCH IN MATHEMATICAL SCIENCES, & President, R2 FINANCIAL TECHNOLOGIES
Dr. Dan Rosen is a Visiting fellow at The Fields Institute for Research in Mathematical Sciences and an Adjunct Professor at the University of Toronto's Masters program in Mathematical Finance. In addition, he is the President and Co-Founder of R2 Financial Technologies and acts as an advisor to institutions in Europe, North America, and Latin America on derivatives valuation, risk management, economic and regulatory capital.
CoCos Workshop
Structuring, Pricing And Dynamics Of CoCos: Determining The Right Issue Size
Overview Of Coco Pricing Models: From Rule Of Thumb Models To Smile Conform Advanced Models The Death Spiral And Hedge Dynamics Determining The Right Issue Size On The Basis Of Stress Testing And Market Free Float Wim Schoutens, Professor In Financial Engineering, CATHOLIC UNIVERSITY OF LEUVEN
RiskMinds 2010 Regional Split

Americas 10% Middle East 5% Africa 9% Asia 14%
17.10
Counterparty Credit Risk Capital And CVA

Examining Ways Of Integrating CVA Into Counterparty Credit Risk Capital Models
Counterparty credit exposure and CVA Trading book loss under counterparty risk Counterparty risk as market risk Counterparty risk as credit risk Counterparty risk capital under Basel II & III
Wim Schoutens is professor in financial engineering at the Catholic University of Leuven, Belgium. He has extensive practical experience of model implementation and is well known for his consulting work to the banking industry and other institutions. He is an independent expert advisor to the European Commission on State aid assessment of valuation of impaired assets and of asset relief measures and has assessed in that position about EUR 1 trillion of assets. Wim is the author of several books including " Contingent Convertibles (CoCos) : Structure and Pricing," the first book ever on Contingent Capital and CoCo bonds (written together with Jan De Spiegeleer). He is Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of several quantitative finance journals.
Europe 62%
17:50
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ABOUT YOUR SPONSORS & EXHIBITORS

Principal Sponsor
With our global network of risk management specialists we work with our clients to provide innovative solutions aimed at helping to embed risk management disciplines into their organisations. Our business oriented risk advisory approach ensures that we deliver sustainable solutions that balance industry best practices with the individual requirements of our clients. Our focus encompasses the strategic to operational continuum of risk management including business risk solutions, risk and finance integration, risk function effectiveness, technical risk solutions and regulation and assurance. PwC (www.pwc.com) provides industry-focused assurance, tax and advisory services to build public trust and enhance value for its clients and their stakeholders. More than 162,000 people in 154 countries across our network share their thinking, experience and solutions to develop fresh perspectives and practical advice. PwC refers to the network of member firms of PricewaterhouseCoopers International Limited (PwCIL), or, as the context requires, individual member firms of the PwC network. Each member firm is a separate legal entity and does not act as agent of PwCIL or any other member firm. PwCIL does not provide any services to clients. PwCIL is not responsible or liable for the acts or omissions of any of its member firms nor can it control the exercise of their professional judgment or bind them in any way. No member firm is responsible or liable for the acts or omissions of any other member firm nor can it control the exercise of another member firms professional judgment or bind another member firm or PwCIL in any way.
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Accenture is a global management consulting, technology services and outsourcing company, with more than 223,000 people serving clients in more than 120 countries. Combining unparalleled experience, comprehensive capabilities across all industries and business functions, and extensive research on the worlds most successful companies, Accenture collaborates with clients to help them become high-performance businesses and governments. The company generated net revenues of US$21.6 billion for the fiscal year ended Aug. 31, 2010. Accenture Risk Management consulting services works with clients to create and implement integrated risk management capabilities designed to gain higher economic returns, improve shareholder value and increase stakeholder confidence. Moodys Analytics helps capital markets and risk management professionals worldwide respond to an evolving marketplace with confidence. The company offers unique tools and best practices for measuring and managing risk through expertise and experience in credit analysis, economic research and financial risk management. By providing leading-edge software, advisory services, and research, including the proprietary analysis of Moodys Investors Service, Moodys Analytics integrates and customizes its offerings to address specific business challenges. Moody's Analytics is a subsidiary of Moody's Corporation (NYSE: MCO), which reported revenue of $2 billion in 2010, employs approximately 4,500 people worldwide and maintains a presence in 26 countries. Further information is available at www.moodysanalytics.com. Quantitative Risk Management, with offices in Chicago, London, and Singapore, is the world's leading enterprise risk management consulting firm. Since our founding in 1987, QRM's vision has been to consistently provide expert analytics and risk management advice to financial institutions across the globe. Today, we are the trusted financial risk consultancy of industry-leading organizations, with a track record of success under any economic circumstance or event. We have extended our proven methods to an international base, including clients on 6 continents and in over 30 countries. QRM's client list numbers over 150 financial institutions worldwide, including 9 of the top 10 US banking companies. QRMs Risk Framework combines the advice of a consulting firm, knowledge of a financial research firm, and models developed with the expertise of an information technology company, to create a comprehensive foundation upon which a financial institution can build an enterprise risk management practice that includes market and credit risk as well as economic and regulatory capital. Risk Dynamics mission is to deliver risk management consulting to the global financial services industry through expertise, excellence and innovation. Our market leadership lies in assessing the adequacy, reliability, consistency and transparency of risk management practices. Specifically, we perform audits of risk management frameworks, ICAAP and ORSA as to ensure consistency around key domains such as risk appetite, risk profile, risk control & environment and stress testing. We validate models in banking, insurance and asset management industries. We also offer bespoke training and coaching to regulators, senior management and firms requiring global deployment of risk policies and strategies. Our engagements cover the whole spectrum of risks (credit, market, underwriting, operational, ALM but also strategic, reputational and liquidity risks). We work in small teams of highly skilled experts operating with a time-boxing and value-add approach. Our methodologies are continuously updated through sustained dialogue with regulators, permanent examination of market best practices, and dedicated research. Our practices and services are customized according to the uniqueness of each client's environment and strategy. Risk Dynamics caters to its customers whatever the size, geographical location or regulatory environment. SAS is the leader in business analytics software and services, and the largest independent vendor in the business intelligence market. Through innovative solutions delivered within an integrated framework, SAS helps customers at more than 45,000 sites improve performance and deliver value by making better decisions faster. SAS approaches governance, risk, compliance and performance management by providing a powerful blend of data integration, analytics and reporting capabilities (Business Analytics Framework) for analyzing and managing risks in the context of corporate strategy and performance. Since 1976 SAS has been giving customers around the world THE POWER TO KNOW.
McKinsey & Company is a global management consulting firm. For more than 85 years, our mission has been to help our clients achieve distinctive, substantial and lasting improvements in their performance. We help companies worldwide to define their strategies, strengthen their organizations and improve their operations. We are the trusted advisor and counselor to many of the most influential businesses and institutions in the world and our clients include more than two-thirds of the Fortune 1000. In Risk, McKinsey acts as prime counselor to clients in all industries, with particularly strong links to our financial services, energy and materials industry practices. Our practice consists of more than 80 partners, 350 consultants and 65 experts and specialists, supported by a global risk analytics team focused on modeling and tool development. We serve clients on topics including enterprise risk management and risk strategy, risk governance, organization and culture, risk and regulation, credit and counterparty risk, market and commercial risk, and operational risk. As an institution privately owned by its partners, McKinsey remains completely independent.
Associate Sponsors
Algorithmics is the world's leading provider of enterprise risk management solutions. Algorithmics software, analytics, and advisory services enable financial institutions to make risk-aware business decisions, maximize shareholder value, and meet regulatory requirements. Supported by a global team of risk experts based in all major financial centers, Algorithmics offers proven, award-winning solutions for market, credit, liquidity, and operational risk, as well as collateral and capital management. Algorithmics is a member of the Fitch Group. workflow, increase global distribution to markets, manage risk and compliance and improve operational efficiency. MORS Software is a leading provider of intelligent real-time risk management solutions for banks. MORS real-time solutions enable treasurers, liquidity managers, risk managers, controllers and senior management to make informed and optimised decisions in all market conditions. MORS solutions real-time information flows and continuous calculation modules provide more monitoring facilities and flexibility for risk management. MORS Liquidity Manager TM, a powerful solution for risk optimisation, risk mitigation and internal steering of the banks liquidity, funding and holdings, is delivered with a default configuration for Basel III LCR (Liquidity Coverage Ratio) and CIS7 reporting. Like all MORS solutions, MORS Liquidity Manager gathers transactions from existing core and trading solutions, and provides a complete and transparent picture of the banks liquidity position. The analysis covers not only treasury and trading, but also the retail side of the banking books
Bloomberg provides solutions designed specifically to address the trading, sales, portfolio ,and operations needs of buy-side and sell-side firms. For sell-side fixed income firms, Bloomberg provides a front-toback inventory, trading and operations solutions on a hosted platform. Central to this platform is the Bloomberg Trade Order Management System, TOMS, a global, multi-asset class, order management system. TOMS enables you to optimize the trading
Rich of its 25-year experience in capital markets, Murex has developed an unmatched competence in the design and implementation of integrated and cost effective solutions offering best-in-class features horizontally across asset classes - and vertically, from the front office to the back office. Murex offers a suite of risk management solutions for banks, hedge funds, asset managers, prime brokers, exchanges, corporate treasuries, utilities, oil groups, trading organisations and other institutions. The MX.3 platform features: An enterprise-wide risk management solution, called MX Risk Manager, providing cutting edge risk management tools for the management and control of Credit Risk, Market Risk and Liquidity Risk. MX Risk Manager can be deployed as a standalone risk platform. A Compliance & Constraints Server for pre-trade and post-trade compliance on a wide variety of rule types. A Margining & Collateral Management solution, called MX Collateral Manager providing an enterprise-grade cross-product collateral management and margin trading system.
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Associate Sponsors
Numerix is the global leader in cross-asset analytics for OTC derivatives and structured products, providing software and services for structuring, pre-trade pricing and analysis, trade capture, valuation, and risk management. Numerix offers a comprehensive model library and a transparent dealdefinition architecture that allows the rapid modeling of any instrument, including commodity, credit, equity, fixed income, foreign exchange, and inflation derivatives, plus a unique hybrid model framework for exotics and structured products. Numerix analytics are available through Windows applications, Excel add-ins, developer kits and a wide range of partner systems, with over 700 clients and 50 partners across more than 25 countries. Founded in 1996, Numerix is privately held, with offices in New York, London, Tokyo, Hong Kong, Singapore, Beijing, Seoul, Sydney, Mumbai, Dubai and Vancouver. For more information, please contact sales@numerix.com SEBA International Executive Search recruits exclusively for Financial Services and Technology companies. Our Financial Services practice specializes in recruiting executives to finance, risk and compliance positions across the global financial services sector. For over ten years, our team has partnered with global market leaders across commercial and retail banking, corporate and wholesale banking as well as the investment management sector. This niche recruitment specialty has allowed us to develop unsurpassed marketplace knowledge within these disciplines, which in turn, has translated into and continues to deliver faster results for our clients. Our focus on industry as well as function provides our clients with unparalleled market awareness while our global reach ensures that clients have access to this talent on a worldwide scale. Deep, trusted client relationships, complemented by extensive domain expertise and a global network, help us achieve close alignment between clients and candidates to ensure long-term retention and continued success.
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Refreshment Sponsor
Consultancy Matters LLC is an independent consulting company that operates across the global financial services industry with expertise in designing, developing and delivering skills enhancement programs. Training encompasses hard skill areas (e.g. risk management, compliance and professional qualifications) and soft skill areas (e.g. leadership, people management). Each program is individually created to sustainably meet the specific needs of each client organization and delivered by expert Associates, who have real-world experience of successfully implementing best practice risk management and compliance policies and procedures within banks and other financial institutions globally. From corporate governance at board-level through policy writing to process mapping, Consultancy Matters expert staff have the experience and knowledge to offer advice and execute training on a broad array of risk and compliance management issues. Whether through our corporate training activities or our academic links, we are committed to the ongoing education of current and future risk professionals. Visit www.consultancymatters.com
SOCIAL MEDIA AT RISKMINDS 2011

As the team behind Riskminds, the event that brings the asset management industry together each year, we find the social media networking incredibly exciting. While nothing can replace the opportunity to meet face to face, we believe social media is key to bridging the information and networking gap between our annual conferences. With that in mind, we would like to invite you to join us on the social media journey of discovery. If youre a social media novice, just ask any member of the team for a quick tour. Our blog www.blogs.icbi-events.com/riskminds brings original articles from some of our high profile guest speakers, our industry research and a digest of news and views around the web. Register for email updates or add our RSS feed to your reader. Were on Twitter (www.twitter.com). Follow us @riskminds for the latest industry updates and live tweets from our events Our LinkedIn group Riskminds is a great place for you to gather the latest views from the industry. Through this group, we are aiming to create a virtual community for networking and knowledge sharing. We will also keep you updated on our latest research and event news. View images of speakers, delegates and activities throughout the Riskminds event on Flickr (www.flickr.com) the photo sharing website. You can watch all our interviews with key speakers and all the highlights from the event by logging on to our RiskmindsTV YouTube channel http://www.youtube.com/riskmindstv
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The Ri$kMinds Exchange is an unrivalled opportunity to access our large and senior audience in a practical and productive way over the course of the three days of main conference. By booking a booth you will have the opportunity to access a highly targeted international audience full of key decision makers who will use the conference to source new service providers. We have a strictly limited number of stand spaces and this number is decreasing daily. You have no time to lose if you wish to profit from this fantastic audience.
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RiskMinds in Geneva is truly the annual event for the industry. It is the place to meet with your peers and find out what everyone (ranging from the CROs, academics & regulators to the risk practitioners) is working on. With the current regulatory changes on the horizon, I am looking forward to hearing what everyone has to say during the 2011 event!
Eduardo Epperlein, Managing Director, Global Head of Risk Methodology, NOMURA
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John Hull Workshop 5 December 2011 Global Risk Regulation Summit 5 December 2011 Main Conference 6-8 December 2011 Post-Conference Risk Workshops 9 December 2011
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5297
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This Is The Best Risk Management Conference in The World

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This Is The Best Risk Management Conference in The World

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This Is The Best Risk Management Conference In The World

Eduardo Canabarro, Global Head Of Quantitative Analysis, MORGAN STANLEY

Sa ve 9 S Boo Up ept k b To emb y e

David Coleman CRO RBS

Maureen Miskovic Group CRO UBS

Chng Sok Hui Chief Financial Officer DBS BANK

Lewis ODonald CRO NOMURA HOLDINGS

Tham Ming Soong CRO UOB BANK

Alden Toevs CRO THE COMMONWEALTH BANK OF AUSTRALIA

Johan Andersson CRO SEB

Jose Maria Roldan Director General, Banking Regulation BANCO DE ESPANA

Maarten Gelderman Head of Macroprudential Analysis Department DE NEDERLANDSCHE BANK

Bill Coen Deputy Secretary General BASEL COMMITTEE ON BANKING SUPERVISION

Andrew Abrahams Global Head Of Quantitative Research JP MORGAN

Darryll Hendricks Managing Director, Global Head Of Risk Methodology UBS

Sharpen Your Skills At The RiskMinds Practical Workshops

The Theory & Practice Of Credit Risk

Advanced Modelling Of Counterparty Credit Risk & CVA

Stress Testing: A Bayesian-Net Approach

Riccardo Rebonato, RBS

Basel 2.5 & Beyond: From Implementation To Implication

Scan with smartphone QR Reader App

Benefit From Fresh Perspectives At RiskMinds 2011!

Greetings From RiskMinds HQ!

Victoria Chatterton, Conference Director, RiskMinds 2011

RiskMinds 2011: Our Most Senior CRO Line-Up Yet!

The Ri$kMinds Global Risk Regulation Summit

The Ri$kMinds CRO FORUM 2011

Monetary Policy, Financial Stability & The Sovereign Debt Crisis

THE CFOS BRIEFING ON RISK MANAGEMENT

EXPLORING THE IMPACT OF NEW REGULATORY INITIATIVES

Basel III & Macro-Prudential Risk Regulation

Challenge & Comment Audience Q&A

Too Good To Fail

CRO THINKTANK The Business Impact Of Regulation

THE PRACTITIONERS CHALLENGE: UNDERSTANDING & IMPLEMENTING BASEL III

Afternoon Chairman: Philipp Hrle, Director, MCKINSEY & COMPANY

How Much Capital Is Enough?

THE RISKMINDS 2011 LEADING CRO ADDRESS

Basel III Implementation Challenges

LEADING CRO ADDRESS

Implementing & Maintaining A Risk Culture:

CRO THINK TANK The CROs Challenge!

Challenge & Comment Audience Q&A

THE RISKMINDS REGULATORY REVIEW: 30mins

THE RISKMINDS REGULATORY ROUNDUP: 30mins Where Now For Regulation?

LEADING CRO ADDRESS Fail To Prepare, Prepare To Fail?

CRO THINK TANK Why Saying No Can Be Good For Business

European Parliament And Risk Regulation Barbara Frohn GRUPO SANTANDER

Where Next For Risk Regulation? Valerie Maysey HSH NORDBANK

The Practitioners Response To Recent Regulation Mattia Rattaggi, UBS

Ri$kMinds 2011 Welcome Drinks Reception

Challenge & Comment Audience Q&A

THE RISKMINDS RISK APPETITE WORKING GROUP

GUEST NEUROSCIENTIST ADDRESS Can You Manage A Trader's Biology?

New Research Findings

Risk Management As A Source Of Competitive Advantage And High Performance:

THE RISKMINDS 2011 IN-DEPTH RISK PRACTITIONER MASTERCLASSES

Structured Audience Q&A & Industry Round Up

Structured Audience Q&A & Industry Round Up

Ri$kMinds Networking Drinks

The Ri$kMinds CRO-Only Dinner