riskminds usa

USAwww.riskmindsusa.com 2011

Insights From Key Supervisors

Created & Produced by

Setting The Agenda For The Future Of Risk Management In The New Market & Regulatory EnvironmentCredit Risk ● Market Risk ● Operational Risk ● Liquidity Risk ● Stress Testing ● ERM ● Capital Management ● Modelling ● Strategic Risk Management

Hear From Over 30 Leading Global CROs Including:

Hilary AckermannChief Risk Officer &Chief Credit OfficerGOLDMAN SACHS

BANK USA

Richard Goulding Group Chief Risk

OfficerSTANDARD

CHARTERED

Martha CummingsChief Risk Officer

SANTANDER

Maureen MiskovicGroup Chief Risk

OfficerUBS

Aaron BrownChief Risk OfficerAQR CAPITAL

Enrico DallavecchiaChief Risk OfficerPNC FINANCIAL

SERVICES GROUP

Jacques Longerstaey Chief Risk OfficerSTATE STREET

GLOBAL ADVISORS

Jackson GomesRisk DirectorBANCO ITAÚUNIBANCO

Paige WisdomChief Enterprise

Risk Officer FREDDIE MAC

Ken WinstonChief Risk Officer

WESTERN ASSETMANAGEMENT

David WattsChief Risk Officer

WESTPACNEW ZEALAND

Peruvemba SatishChief Risk Officer

ALLSTATEINVESTMENTS

GUEST ACADEMICADDRESS

Robert JarrowRonald P. & Susan E. Lynch

Professor of Investment ManagementJOHNSON GRADUATE SCHOOL

OF MANAGEMENT, CORNELLUNIVERSITY

& Director Of ResearchKAMAKURA CORPORATION

GLOBAL ECONOMICOUTLOOK

Zanny Minton-BeddoesEconomics EditorTHE ECONOMIST

BEHAVIORAL FINANCEINSIGHTS

Didier Cossin Professor Of Finance & Governance

IMD

Global Risk Regulation Summit: June 13, 2011Main Conference: June 14-16 2011Post-Conference Workshops: June 17, 2011Buyside Summit:June 17, 2011Insurance Summit: June 13, 2011

Westin Boston Waterfront, Boston, MA, USA

Register By March 18th, 2011 & SAVE Up To $2100

Nellie Liang Director

OFFICE OF FINANCIALSTABILITY POLICY &

RESEARCH

David LynchManager, Quantitative Risk

Management SectionFEDERAL RESERVE

BOARD

Mitsutoshi AdachiChair, SIG Operational

Risk SubgroupBASEL COMMITTEE

& Deputy Division ChiefBANK OF JAPAN

Mike CarhillDirector, Enterprise Risk

Analysis DivisionOFFICE OF THE

COMPTROLLER OF THE CURRENCY

5 Whole Days Of The Latest Innovations InBank, Insurance & Investment Risk ManagementHear insights into stress testing, credit risk, liquidity risk,regulation, risk technology and much more.

The CRO Thought Leadership ForumHear insights from 30+ CROs, plus leading academics andeconomists, as they discuss the key strategic risk issues.

MORE Speakers, MORE Sessions And MORE New ResearchLearn from 100+ leading risk practitioners, regulators &academics.

MORE Time To Network & Benchmark Your Risk ExperiencesDiscuss key issues with 350+ global risk practitioners in informalsessions such as ‘Meet The Speaker’ lunch tables, champagneroundtables and networking cocktail receptions.

NEW FOR 2011

NEW FOR 2011

What Makes Ri$kMinds USA 2011 The Must-Attend Event For

All Leading Risk Practitioners?

5 Brand New Workshops & SummitsJune 13, 2011 (See p.2 for details)

The Global Risk Regulation SummitHear senior regulators and industry practitioners discuss the latest changes in financial regulation,

including Dodd Frank and Basel III, and the impact they will have on risk management.

June 13, 2011 (See p.4 for details)Strategic Risk Management For Insurance Summit

Hear market leaders examine Solvency II and share best practice on economic capital modeling,ALM, managing extreme events and operating in a low interest rate environment

June 17, 2011 (See p.4 for details)The Buyside Risk Management Summit

Hear leading asset mangers share new research on stress testing, managing liquidity, data aggregation,the impact of price on risk and generating returns in the new regulatory environment

June 17, 2011 (See p.4 for details)Counterparty Credit Risk Modelling Workshop

Led by: R2 FINANCIAL TECHNOLOGIES, UNIVERSITY OF WATERLOO& THE FEDERAL RESERVE BOARD

June 17, 2011 (See p.4 for details)Fundamentals Of Risk Management Workshop

Led by: John Hull, Maple Financial Professor Of Derivatives & Risk ManagementUNIVERSITY OF TORONTO

100+ Leading Risk Practitioners &Academics

Viral AcharyaProfessor Of Finance

NEW YORK UNIVERSITYSTERN SCHOOL OF

BUSINESS

Andrew AbrahamsManaging Director, Head Of

Quantitative Research & Firm-wide Model Oversight

JP MORGAN CHASE

Evan PicoultManaging Director,Risk Architecture

CITI& Adjunct Professor

COLUMBIABUSINESS SCHOOL

John HullMaple Financial Professor

Of Derivatives & RiskManagement

UNIVERSITY OF TORONTO

Andreas GottschlingGlobal Head Of Risk Analytics& Instruments, Global Head OfOperational Risk Management

DEUTSCHE BANK

Henry HuAllan Shivers Chair In TheLaw Of Banking & Finance,UNIVERSITY OF TEXAS

LAW SCHOOL

To register: Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected] For latest agenda and to register: www.riskmindsusa.com

Paper sourcedfrom sustainable

forests

ElementalChlorine Free

(ECF)

The 2nd Annual

Don’t Miss

Principal Knowledge Partner Sponsors

Plus

Plus

For The Latest Speaker, Programme & Event News Follow Us On

RiskMinds USA @RiskMinds #RMUS RiskMinds TV

RISKMINDS 2011 COVER_Superreturn A3 07 21/02/2011 13:39

19.10 Join Us For The Networking Drinks Reception

Ri$kMinds USA 2011 Main Conference Day 1CRO THOUGHT LEADERSHIP FORUM 2011

Tuesday June 14, 201107.45 The CRO Breakfast Briefing - strictly by invitation only

08.00 Registration & Welcome Coffee

08.25 Chairman’s Opening WelcomeHamid Samandari, Director, MCKINSEY & COMPANY

08.30SPECIAL GUEST ECONOMIC ADDRESS

Recovery, Demand, Employment, Growth & Economic Policy: Assessing The Global Economic Outlook

Zanny Minton-Beddoes, Economic Editor, THE ECONOMIST

09.10GUEST ACADEMIC ADDRESS

Robert Jarrow, Ronald P. & Susan E. Lynch Professor Of Investment ManagementJOHNSON GRADUATE SCHOOL OF MANAGEMENT, CORNELL UNIVERSITY

& Director Of Research, KAMAKURA CORPORATION

09.50A NEW BUSINESS MODEL FOR BANKING?

How Can We Create A Value Proposition To Ensure The Future SustainabilityOf The Global Banking Industry In The New Economy?

Maureen Miskovic, Group Chief Risk Officer, UBS

10.30 Morning Coffee

11.00RISK CULTURE

Effusing A Culture Of Risk Management Throughout The Business & Ensuring Joint Accountability & Ownership Of Risk Between The Business & Risk Managers

Martha Cummings, Chief Risk Officer, BANCO SANTANDER

11.30

THE CRO THINKTANK I CREATING A HOLISTIC RISK MANAGEMENT FRAMEWORK

How Can Different Risk Functions Be Integrated To Create An Enterprise-Wide View Of Risk?Hilary Ackermann, Chief Risk Officer & Chief Credit Officer

GOLDMAN SACHS BANK USAStuart Lewis, Deputy Chief Risk Officer, DEUTSCHE BANK

Paige Wisdom, Chief Enterprise Risk Officer & Executive Vice PresidentFREDDIE MAC

Gilbert Kohnke, Chief Risk Officer & EVP, Group Risk Management, OCBC BANK

12.10 CRO “CHALLENGE & COMMENT” SESSION With Electronic Polling

12.30 Lunch & Networking Break:Meet The Speaker VIP Lunch Tables

14.00BEHAVIOURAL FINANCE INSIGHTS

Risk Best (& Worst) Practices On BoardsDidier Cossin, Professor Of Finance & Governance, IMD

14.30THE NEW FINANCIAL ZEITGEIST AND BANK RISK MANAGEMENT

Defining The New Role Of The CRO & How They Can Add Value In The New Austere Environment

David Watts, Chief Risk Officer, WESTPAC NEW ZEALAND

15.10

THE CRO THINKTANK IIRISK APPETITE

Articulating & Setting Risk Appetite, Embedding It Throughout The Organisation& Operationalising Into Actionable Risk Guidelines

Richard Goulding, Group Chief Risk Officer, STANDARD CHARTEREDJoan Mohammed, Senior Vice-President, Central Risk Solutions, BANK OF MONTREAL

Tom Donahoe, Global CRO, ALADDIN CAPITAL HOLDINGSAaron Brown, Chief Risk Officer, AQR CAPITAL


16.10 Afternoon Tea

16.40

Risk and Regulation: Assessing The Implications Of The Changing Capital & Liquidity Requirements

Tony Santomero, Senior Advisor, MCKINSEY & COMPANYKevin Buehler, Director, MCKINSEY & COMPANY

Ben Ellis, Principal, MCKINSEY & COMPANY

17.10Human Perception, Uncertainty & Systemic Failures: The Challenges For Risk Management & Modelling

Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETS

17.40

THE CRO THINKTANK IIIRISK GOVERNANCE

Setting The Right Tone At The TopRisk Governance, Non-Executive Oversight & The Relationship Between The Board Of

Directors & The CRO: How Can We Create A More Effective & Accountable Risk Management Function?

Enrico Dallavecchia, Chief Risk Officer, PNC FINANCIAL SERVICES GROUPJackson Gomes, Risk Director, BANCO ITAÚ UNIBANCO

Robert E. Lewis, Formerly Chief Risk Officer, AIGKen Winston, Chief Risk Officer, WESTERN ASSET MANAGEMENT

Yury Dubrovsky, Managing Director, Chief Risk Officer, LAZARD ASSET MANAGEMENT


THE GLOBAL RISK REGULATION SUMMITMonday June 13, 2011


08.25 Chairman’s Introductory WelcomeAndres Portilla, Deputy Director, Regulatory Affairs, IIF

THE NEW REGULATORY LANDSCAPE FOR GLOBAL FINANCIAL SERVICES

08.30

Identifying & Regulating Systemically Important Financial Institutions (SIFIs)Assessing The Progress Towards Reducing The Moral Hazard Posed

By Systemically Important Financial InstitutionsNellie Liang, Director, OFFICE OF FINANCIAL STABILITY POLICY AND RESEARCH

09.05 Resolving the “Too Big To Fail” ChallengeLiving Wills, Bail-In’s, Special Resolution Regimes & Cross-Border Crisis Management

09.35Consistent Interpretation & Implementation: Is It Possible To Create A Level Playing

Field Across Borders, Entities & IndustriesAndreas Gottschling, Global Head Of Risk Analytics & Instruments, Global Head Of Operational Risk Management, DEUTSCHE BANK

10.20 Q&A & Audience Round Up


EXAMINING THE NEW CAPITAL & LIQUIDITY REQUIREMENTS

11.00Basel III: Defining The Scope & Nature Of The New Capital Ratios

Mark Ginsberg, Risk ExpertOFFICE OF THE COMPTROLLER OF THE CURRENCY

11.35

BASEL III: INSIDE THE NEW PROVISIONS FOR LIQUIDITY MANAGEMENT & REGULATION

How Will The New Liquidity Package Impact Bank Business & What Will Regulators Require? Marc Saidenberg, Senior Vice President, Financial Sector Policy & Analysis,

Bank Supervision Group, FEDERAL RESERVE BANK OF NEW YORK

12.10

THE GLOBAL REGULATORY THINKTANK IIEnsuring Pillar 2 Adds Value

How Can Regulators Assess Risk Culture? How Can We Ensure Basel III Leads To Better Quality Of Management?

Christian Lajoie, Head Of Group Supervision Issues, BNP PARIBASFang Du, Executive Vice President, RBS CITIZENS FINANCIAL GROUP

Dominique Bourrat, Managing Director, RISK DYNAMICSEvan Sekeris, Assistant Vice President, Bank Supervision & Regulation Department

FEDERAL RESERVE BANK OF RICHMOND


13.00 Networking Lunch & Meet The Regulators VIP Roundtables

14.10

UNRAVELLING CENTRAL CLEARINGUnderstanding The Scope, Exemptions, & The Intended (& Unintended)

Consequences Of Central ClearingCraig Pirrong, Professor Of Finance

BAUER COLLEGE OF BUSINESS, UNIVERSITY OF HOUSTON

14.45TRADING BOOK RULES

Valuation, Capital & Risk Management: Exploring The Impact Of Regulatory Changes & The Fundamental Review For The Trading Book

Ahmet Yetis, Director, BARCLAYS CAPITAL

15.20

TRADING IN THE NEW ENVIRONMENTUnderstanding What The Volcker Rule Means For Banks, Market Liquidity &

Risk-Taking Across The MarketDavid Lynch, Manager, Quantitative Risk Management Section

FEDERAL RESERVE BOARD


16.10 Afternoon Tea

16.40MODEL VALIDATION CHALLENGES

Examining A New Approach To Risk Management Audit: Independent Model ValidationDominique Bourrat, Managing Director, RISK DYNAMICS

17.15Remuneration & Risk-Taking Incentives: Practice & Regulation

Mark Carey, Adviser, Division Of International FinanceFEDERAL RESERVE BOARD

17.50

PRACTITIONER CHALLENGE & COMMENT SESSIONThe Cumulative Impact Of Regulation, Regulatory Burden & Second Order Impacts:

Will Regulatory Changes Make The World Safer?Barbara Frohn, Managing Director, Advisor To The CEO, GRUPO SANTANDER

Andreas Gottschling, Global Head Of Risk Analytics & Instruments, Global Head Of Operational Risk Management, DEUTSCHE BANK

Christian Lajoie, Head Of Group Supervision Issues, BNP PARIBASEvan Picoult, Managing Director, Risk Architecture, CITI & Adjunct Professor

COLUMBIA BUSINESS SCHOOL

18.20 Q&A & Chairman’s Closing Remarks

18.30

Champagne Roundtables

19.00 Join Us For The Networking Drinks Reception

To Promote Yourself To This Fantastic Audience Contact In the UK – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] In The US Kim Griffiths + 1 646 616 7638 [email protected] Register: tel: +1 888 670 8200 or +1 941 951 7885 fax: +1 941 365 2507 email: [email protected] For the latest program or to register: www.riskmindsusa.com 2

Table 1Mark CareyFEDERALRESERVE BOARD

Table 2Christian Lajoie

BNP PARIBAS

Table 3Dominique

BourratRISK

DYNAMICS

Plus More Sessions

TBC

"The Best Place To Hear The Latest Research & Thinking In Risk Management!"

Eduardo Epperlein, Managing Director, NOMURA INTERNATIONAL

NEW

NEW

19.10

CRO Strategy & Practive Roundtables

Table 4Stuart LewisDEUTSCHE

BANK

Table 3Jackson Gomes

BANCO ITAÚUNIBANCO

Table 2Enrico

DallavecchiaPNC

FINANCIALSERVICES

Table 1David WattsWESTPAC

NEW ZEALAND

Table 7Aaron Brown

AQR CAPITAL

Table 6Didier Cossin

IMD

Table 5Joan

MohammedBANK OF

MONTREAL

RiskMINDS US 2011_Risk Minds 07 22/02/2011 16:36 Page 12

3To Promote Yourself To This Fantastic Audience Contact In the UK – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] In The US Kim Griffiths + 1 646 616 7638 [email protected] Register: tel: +1 888 670 8200 or +1 941 951 7885 fax: +1 941 365 2507 email: [email protected] For the latest program or to register: www.riskmindsusa.com

Ri$kMinds USA 2011 Main Conference Day 2INNOVATIONS IN STRATEGIC &

PRACTICAL RISK MANAGEMENTWednesday June 15, 2011


08.25 Chairman’s Opening WelcomeCharles Richard, Senior Vice President, QRM

08.30GUEST ACADEMIC ADDRESS

Guaranteed To Fail: Fannie Mae, Freddie Mac & The Debacle Of Mortgage FinanceViral Acharya, Professor Of Finance, NEW YORK UNIVERSITY STERN SCHOOL OF BUSINESS

09.10GLOBAL CREDIT MARKET OUTLOOK

Examining The Future Outlook For Credit Markets & The Implications For Funding Strategies & Business Models

Robert McAdie, Global Head Of Credit Research & Strategy, BNP PARIBAS

09.40 Managing Risk In IT & OperationsHamid Samandari, Director, MCKINSEY & COMPANY


Stream AModelling & Integrating

Credit & Market Risk

Stream BCapital & Liquidity

Modelling, Measurement & Management

Stream CInnovations In

Risk Management Systems & Technology

Stream DStrategic Risk

Management In The New Regulatory

Environment

10.40Challenges & Opportunities InThe Integration Of Market &

Credit Risk

Andrew Abrahams JP MORGAN

EXTENDED SESSION

Price Risk Vs. Value Risk

Evan PicoultCITI & COLUMBIA

BUSINESS SCHOOL

Examining The ImplicationsOf The New RegulatoryProposals On Bank RiskManagement Systems

The Survival Guide To The Black Swan World: How To

Build A Robust Tail RiskManagement Framework

To Survive The Next Black Swan Event

Evgueni Invantsov HSBC

11.20 EXTENDED SESSION

Masterclass OnManaging CVA

Jon Gregory SOLUM FINANCIAL

PARTNERS

Examining New Techniques For Managing The IT

Overheads Of Dynamic Risk Management:

Do GPUs Offer An Efficient Way To

Perform Simulations?Stuart Burns

BARCLAYS CAPITAL

RISK APPETITEConnecting Risk Appetite ToStrategic Planning, Policies,

Governance & BusinessDecision-Making

Joe RizziCAPGEN

12.00

Putting Economic Capital At The Heart Of The

Enterprise: The CommercialValue Of Legal Entity

Economic CapitalThorsten Lauterbach BARCLAYS CAPITAL

Efficiently Managing TheIncreasing Volume Of DataBeing Produced, Used &

Required By RiskManagement Processes &

RegulatorsSuresh JayaramanMORGAN STANLEY

Best Practice In ManagingRisk Appetite

Andres PortillaIIF

12.40 Q&A & Audience Round Up Q&A & Audience Round Up Q&A & Audience Round Up Q&A & Audience Round Up

12.50 Lunch + Meet The Speaker VIP Lunch Tables

14.10

CVA, Wrong-Way Risk & Basel III

David SaundersUNIVERSITY OF

WATERLOO

Today's Three R's OfBanking: Risk, Return &

Regulation Darryll Hendricks

UBS

Implementing An Effective Risk Culture

Marcus CreeSUNGARD

Optimum Balance SheetPositioning For Post-Recessionary Times

James CostaPNC FINANCIAL

SERVICES

14.50

Examining Ways Of Integrating CVA Into

Counterparty Credit Risk Capital Models

Michael PykhtinFEDERAL RESERVE

BOARD

Managing Capital: New Regulations, New Constraints &

New IncentivesRick Hamilton

PNC FINANCIAL SERVICES

THE RI$KMINDS USA 2011TECHNOLOGY

SHOWCASETopics To Include:

● New Techniques ForMaking Monte Carlo More

Efficient

Don’t Let A Good Crisis Go To Waste!

Nancy LoucksSTATE STREET

15.30 Afternoon Tea

16.00Market-Implied Default

ProbabilitiesTerry Benzschael

CITI

Developing Integrated Economic Capital Models

That Better RecogniseCorrelations Between

Risk FactorsAurele Houngbedji

IFC

● Examining The Limits Of Current IT & Information

Management Technology:Balancing The Cost & Benefit Of Spending

On Internal Infrastructure

● Improving Operational Efficiency: Assessing The Value Of Outsourcing &

Offshoring

● Exploring The Opportunities Technological

Advances Offer For Improved Risk

Measurement & Management

Would You Like ToShowcase Your Thought

Leadership To ThisAudience?

Please contact Rustum Bharucha on +44 (0) 20 7017 7225

[email protected] Kim Griffiths

+ 1 646 616 [email protected]

for more details

SYSTEMIC RISKHow To Avoid Making

Regulation Counterproductive? A DualResponsibility For Banks &Regulators To Get It Right

Barbara FrohnGRUPO SANTANDER

16.40 IRC MASTERCLASS

Session I Overcoming The

Challenges Of Modelling The

Incremental Risk ChargeMark StaleyTD BANK

Session IICredit Correlation &

Concentration ModelingPeter Dobranszky

BNP PARIBAS

ALM & TREASURY RISKInnovative Risk Modelling

Techniques For ALM:Developing New Models For More Accurate Risk

Measurement In The NewParadigm

Andreas BohnDEUTSCHE BANK

LIVING WILLSDesigning & Implementing

Coherent Recovery & Resolution PlansMartyn Hoccom

RBS

17.20

LIQUIDITY STRESS TESTS

Overcoming The Challenges To Building Effective

Liquidity Stress Tests &Preparing For Idiosyncratic

& Systemic Liquidity Shocks

Steve LindoFIFTH THIRD BANCORP

CONTINGENT CAPITALExamining The Potential

Market Impact Of The Current Regulatory

Proposals SurroundingContingent Capital

Donna HoweHIMCO

18.00 Q&A followed by Chairman’s closing remarks

Q&A followed by Chairman’sclosing remarks



18.40

Networking Champagne Roundtables

19.10 Networking Drinks Reception

Ri$kMinds USA 2011 Main Conference Day 3INNOVATIONS IN STRATEGIC &

PRACTICAL RISK MANAGEMENTThursday June 16, 2011


08.35 Chairman’s Opening Remarks

08.40SPECIAL GUEST ACADEMIC ADDRESS

Dodd-Frank & Keeping Up With InnovationHenry Hu, Allan Shivers Chair In The Law Of Banking & Finance

UNIVERSITY OF TEXAS LAW SCHOOL

09.10

THE RI$KMINDS 2011 ‘FINANCIAL MINDS’ THINKTANKDetermining The New Blueprint For Financial Engineering Quantitative Models Vs Qualitative

Judgement: Is there Room For Both Approaches In The New Risk World?Enrico Piotto, Managing Director, UBS

Evan Picoult, Managing Director, Risk Architecture, CITI & Adjunct ProfessorCOLUMBIA BUSINESS SCHOOL

John Hull, Maple Financial Professor Of Derivatives & Risk ManagementUNIVERSITY OF TORONTO


Stream AModelling & Integrating

Credit & Market RiskChaired by: Vivek WadhwaMCKINSEY & COMPANY

Stream BNew Advances In

Stress Testing& Model Risk

Stream CThe Latest Thinking

In Operational & Business Risk

Stream DCutting-Edge Innovations

In Investment RiskManagement

10.30

More Credit With Fewer Crises

Max Neukirchen MCKINSEY & COMPANY

Assessing The ProgressTowards Developing

Enterprise-Wide Stress Tests For A More HolisticPicture of Portfolio Risk: A

Supervisor’s ViewMike Carhill

OFFICE OF THECOMPTROLLER OF

THE CURRENCY

Operational Risk & TheRecent Financial Crisis:

A Basel Perspective

Mitsutoshi AdachiBASEL COMMITTEE &

BANK OF JAPAN

ROLE OF RISKMANAGEMENT

Practical Approaches To Developing Effective

Buyside Risk Management Tom Donahoe

ALADDIN CAPITAL HOLDINGS

11.10

CENTRAL COUNTERPARTIES

Managing & Capitalising Exposure To Central

Counterparties

Ahmet YetisBARCLAYS CAPITAL

ENTERPRISE-WIDE STRESS TESTING

Developing A Robust Enterprise-Wide Stress

Testing Framework:Understanding How

Scenarios Will Impact The Bank As A Whole

Ludger OverbeckCOMMERZBANK

Implications Of The Recent & UpcomingRegulatory Changes For Operational Risk

Philippa GirlingMORGAN STANLEY

BUYSIDE STRESSTESTING

Designing A Buyside StressTesting Programme To

Facilitate Smart Risk-TakingAt The Portfolio Level

Jacques LongerstaeySTATE STREET GLOBAL

ADVISORS

11.50

Risk Management In Private Equity

Ken Abbott MORGAN STANLEY

MACROECONOMICSTRESS TESTING

Designing Effective Stress Tests To Model How

Macroeconomic Factors Will Impact Your Portfolio

Enrico PiottoUBS

Exploring How BoundariesBetween Op Risk & Other Risk Factors Are Blurring:How Have Recent Market

Events Impacted How We Now View & Manage

Op Risk?Patrick De Fontnouvelle

FEDERAL RESERVE BANKOF BOSTONMarcelo Cruz

MORGAN STANLEY

TALKING ERMDefining The Optimal Blend Of ERM For Finance And Risk Management, Where Does One Begin And The

Other End?

Lori EvangelMETLIFE

12.30 Q&A & Audience Round Up Q&A & Audience Round Up Q&A & Audience Round Up Q&A & Audience Round Up

12.50 Lunch + Meet The Speaker VIP Lunch Tables

14.00

Pricing Corporate Loans &Revolving Credit Lines

Terry BenzschawelCITI

REVERSE STRESS TESTING

Constructing Bottom-Up & Top-Down Scenarios To Test What Will Break

The BankEvan Sekeris

FEDERAL RESERVE BANK

OF RICHMOND

Strategies For Building A System To Aggregate RiskAcross The Enterprise ToProvide A Holistic View OfRisk & Meet Regulatory

Requirements

EMERGING RISKDeveloping An Emerging

Risk Program That EnablesEffective Identification Of

Emerging Risks, AssessesProbability Of Impact And

Facilitates Business Decision-Making

Brenda BoultwoodCONSTELLATION ENERGY

14.40

CREDIT PORTFOLIOMANAGEMENT

Better Understanding TheRisk Profile Of Your Credit

Portfolio & How MarketEvents Will Impact It?

Anders Wulff-AndersenUBS

Achieving Credit Stress Test Consistency Across

Global Businesses: Theory & Practice

Jorge SobehartCITI

QUANTIFYING OP RISK Overcoming The Limits Of

LDA Models: Assessing The Progress Towards

More Responsive &Transparent SecondGeneration Models

Marcelo CruzMORGAN STANLEY

Can The Risk Of Currency & Correlation Volatility BeManaged By Customizing

The Existing RiskManagement Framework

Or Does It Require AParadigm Shift In Risk Management

Infrastructure?Maurizio Ferconi

BLACKROCK

15.20

Advanced Techniques ForValuing & Measuring The

Risk Of Structured FinancePortfolios

Dan RosenR2 FINANCIAL

TECHNOLOGIES &UNIVERSITY OF

TORONTO

MANAGING &QUANTIFYING MODEL

RISK:How Can We Design A

Framework To Measure &Manage Model Risk?

How Much Capital Should We Allocate To Uncertainty

Around Models?

RCSAEnsuring The Risk &

Control Self-Assessment(RCSA) Remains Relevant,

Effective & Worthwhile: What Lessons Do Previous

Failures In Risk Management Have

To Teach Us?Chris Thompson

ACCENTURE

Designing A Process For The Introduction Of NewProducts, Processes AndActivities That AdequatelyFactors In Enterprise Wide

ImplicationsSarah Collins

THE DREYFUSCORPORATION

16.00 Afternoon Tea

Table 1:Rick Hamilton

PNC FINANCIALSERVICES

Table 2:Marcelo Cruz

MORGAN STANLEY

Table 3:Martyn Hoccom

RBS

Table 4:Terry Benzschael

CITI

16.30

EXTENDED SESSION

The Evaluation Of CVA & DVA Risk

John HullUNIVERSITY OF TORONTO

Innovations In Risk Culture

Alexis KrivkovichMCKINSEY & COMPANY

PORTFOLIO ANALYSISIntegrating Macro-Economic

Date With Models ForForward Looking Portfolio

Analysis

James PurnellKENMAR

17.10

Using Shifted Distributions In Computing Operational

Risk Capital

Ilya RozenfeldCITIZENS BANK

ALTERNATIVE ASSETPORTFOLIOS

Combining FundamentalFactor Analysis With

Qualitative Evaluation Of The Macro Environment

For Effective RiskManagement Of Alternative

Asset Class Portfolios

17.50 Q&A followed by Chairman’s closing remarks



18.00 End Of Day 3

Table 5:Evan Sekeris

FEDERAL RESERVEBANK OF

RICHMOND

NEWRESEARCH

NEWRESEARCH

NEWRESEARCH

RiskMINDS US 2011_Risk Minds 07 21/02/2011 13:28

4

Ri$kMinds USA 2011THE BUYSIDE RISK MANAGEMENT SUMMIT

Friday June 17, 201108.25 Registration & Welcome Coffee

08.30 Chairman’s Opening Remarks

MANAGING RISK IN THE NEW ECONOMIC ENVIRONMENT

09.00

PROACTIVE BUYSIDE RISK MANAGEMENTCreating A Culture That Promotes Proactive Risk Management As A Key Determinant

In The Portfolio Management ProcessPhilip Best, Chief Risk Officer, THREADNEEDLE

09.30GENERATING RETURNS IN THE NEW REGULATORY ENVIRONMENT

Where Is The Next Opportunity/ Arbitrage With Good Risk Adjusted Returns?Marc Galligan, Chief Risk Officer, ZAIS GROUP

10.00NEW RESEARCH

Examining The Impact Of Price On RiskAaron Brown, Chief Risk Officer, AQR CAPITAL

10.30NEW FOUNDATIONS FOR STRESS TESTING

Incorporating Key Macro Trends Into Risk & Valuation ModelsDave Williams, Senior Director, S&P VALUATION AND RISK STRATEGIES


RISK MANAGEMENT OF INVESTMENT PORTFOLIOS

11.30ROLE OF RISK MANAGEMENT

Practical Approaches To Developing Effective Buyside Risk Management Jacques Busquet, Chief Risk Officer, NATIXIS US CORPORATE AND INVESTMENT BANKING

12.00DATA AGGREGATION

Data Aggregation Across Multi Manager Alternative Asset PortfoliosR. Kelsey Biggers, Managing Director Of Risk Management, K2 ADVISORS

12.30MEASURING MARKET RISK

Choosing The Tools & Developing The Processes - The Art & Science Of Market Risk ManagementMark Connors, Head Of Fixed Income Risk, DIAMONDBACK CAPITAL MANAGEMENT, LLC

13.00 Networking Lunch & Meet The Speaker Roundtables

FOCUS ON LIQUIDITY RISK MANAGEMENT

14.00

SPECIAL ACADEMIC ADDRESS ON LIQUIDITY RISKWhat Happens When Liquidity Dries Up?

Professor Mila Getmansky Sherman, Assistant Professor Of FinanceISENBERG SCHOOL OF MANAGEMENT,

UNIVERSITY OF MASSACHUSETTS AMHERST

14.30 MODELLING ILLIQUID EVENTSMeasuring And Managing The Risk Of Complex Illiquid Portfolios And Events

15.00 Afternoon Tea

15.30

STRESS TESTING FOR ASSET MANAGERSDetermining Appropriate Scenarios And Parameters To Stress Test Investment

Portfolios And Enable Smart Risk Taking At The Portfolio LevelAttilio Meucci, Chief Risk Officer, KEPOS CAPITAL

& Adjunct Professor - Master's in Financial Engineering, BARUCH COLLEGE, CUNY

16.00

OPTIMIZING RISK TAKINGDeveloping A Risk Management Platform That Effectively Evaluates Macro Events To

Facilitate Efficient And Effective Risk Taking Across An Investment PortfolioSteven Posner, Risk Manager, IKOS

16.30 The RiskMinds USA Buyside Champagne Roundtables

In-Depth Technical Workshops - Friday June 17, 20119am - 5pm

Innovations In Counterparty Credit Risk ModellingLed by: Michael Pykhtin, FEDERAL RESERVE BOARD

Dan Rosen, R2 FINANCIAL TECHNOLOGIES & UNIVERSITY OF TORONTODavid Saunders, UNIVERSITY OF WATERLOO

The recent financial crisis has highlighted the need for accurately measuring, managing and mitigating Counterparty Credit Risk (CCR). This workshop discusses the evolution of CCR measurement, the latest techniques, as well as the key

issue and challenges to implement an effective CCR program in the aftermath of the crisis and in the context of new Basel IIIregulation.

Workshop Agenda:● An introduction to counterparty credit risk● Modeling Counterparty Credit Exposures● Pricing and Hedging CCR ● Calculating Economic and Basel III Capital For CCR● Summarising the key findings & practical take-away

9am - 5pmThe Fundamentals Of Risk Management

Led by: John Hull, Maple Financial Professor of Derivatives and Risk ManagementJOSEPH L. ROTMAN SCHOOL OF MANAGEMENT, UNIVERSITY OF TORONTO

To Promote Yourself To This Fantastic Audience Contact In the UK – Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] In The US Kim Griffiths + 1 646 616 7638 [email protected] Register: tel: +1 888 670 8200 or +1 941 951 7885 fax: +1 941 365 2507 email: [email protected] For the latest program or to register: www.riskmindsusa.com

Ri$kMinds USA 2011 STRATEGIC RISK MANAGEMENT

FOR INSURANCE SUMMIT Monday June 13, 2011


08.25 Chairman’s Introductory Welcome

MANAGING RISK IN THE NEW ECONOMIC ENVIRONMENT

08.30OPERATING IN A LOW INTEREST ENVIRONMENT

Assessing The Impact Of Low Interest Environment On Risk Management Of Insurance CompaniesDavid K Ingram, Chief Risk Officer, WILLIS RE

09.10

KEYNOTE PRESENTATIONReinventing Risk Management In A Large Insurance Company

Moving From An Asset Allocation To Strategic Risk Allocation Approach For A New Strategic & Tactical Approach To Risk Management

Peruvemba Satish, Managing Director & Chief Risk Officer, ALLSTATE

09.50STRESS TESTING OF STRUCTURED PRODUCTS

Latest Developments In Stress Testing Of Structured Products (RMBS, CMBS & Credit Related) By Ratings Agencies & The Anticipated Impact On Insurers Pricing, Capitalization & Management Of Risk


SPECIAL FOCUS ON THE NEW GLOBAL REGULATORY FRAMEWORK

11.00ESTABLISHING A COMMON GLOBAL REGULATORY FRAMEWORKDeveloping A Common Framework For Evaluating Internationally Active Insurance Carriers

David Sandberg, Vice President & Corporate Actuary, ALLIANZ LIFE

11.40SOLVENCY II & BEYOND

Progress In Granting Solvency II Equivalency To The US, Predicting The Regulatory Framework For Carriers & An Update On The Solvency Modernization Initiative (SMI)

NAIC

12.20

REGULATORY RISK AND IMPACT ON MARKETS & BUSINESS ACTIVITIESDeveloping A Collaborative Risk Management Environment To Stay Abreast Of Regulatory

Change & Its Impact On Markets & Business ActivitiesMark Abbott, Managing Director, Head Of Quantitative Risk Management

GUARDIAN LIFE

13.00 Networking Lunch & Meet The Speaker Roundtables

SPECIAL FOCUS ON ECONOMIC CAPITAL

14.10IMPLEMENTING ECONOMIC CAPITAL EFFECTIVE DECISION MAKING

Implementing EC Models To Facilitate Effective Decision Making Including New Product Evaluation, Profitability Decisions & M&A Valuations

Al Schulman, VP, Enterprise Risk & Capital Modeling, NATIONWIDE

14.50Practical Implications Of Implementing ERM Using Advanced Replicating Portfolio,

Response Surface Analysis & Advanced Copula Techniques QRM

15.30

MARKET VALUE ACCOUNTINGManaging The Implications Of Market Value Accounting On Insurance Carriers When Reporting To

Regulatory Authorities & ShareholdersWilliam Hines, Chairman Of The Financial Reporting Committee

AMERICAN ACADEMY OF ACTUARIES

16.10 Afternoon Tea

16.40

DYNAMIC HEDGINGUsing Dynamic Hedging To Manage The Risks Of Guaranteed Minimum Withdrawal Benefit Products (GMWB) That Take Into Account The Dynamic Nature Of The Underlying Product

Michael Angelina, Chief Actuary & Chief Risk OfficerENDURANCE SPECIALTY HOLDINGS LTD

17.20ASSET LIABILITY MANAGEMENT FOR INSURERS

Latest Innovations In Managing Tail Liabilities Of Longer Term LiabilitiesJohn Manistre, Formerly Vice President, GROUP RISK AEGON USA

18.00MANAGING EXTREME EVENTS

What Else Besides EC Is Needed To Manage Extreme Events?David Sandberg, Vice President & Corporate Actuary, ALLIANZ LIFE

other speakers to be announced

18.30 Champagne Roundtables

“The First Risk Minds USA Conference Was Excellent. Given The Outstanding Quality Of The Annual

Risk Minds Conference In Geneva, I Look Forward To AttendingFuture Risk Minds USA Conferences As Well.”

Evan Picoult, Managing Director, Risk Architecture, CITI & Adjunct ProfessorCOLUMBIA BUSINESS SCHOOL

The Credit Crisis● The credit crisis● The key lessons: securitization, tail risk, incentives, the

role of models, liquidity risk, transparency, etc

The Regulatory Response● Basel 2.5● Basel III● Legislation from national governments

Market Risk● VaR vs expected shortfall

● Extensions of the standard historical simulation approach● Extreme value theory● Stressed VaR● Regulatory requirements

Credit Risk● Default probabilities: Real world vs risk-neutral probability

measures● The expected cost of counterparty defaults: CVA and DVA● What copulas are and how they are used● Regulatory requirements.

About Your W orkshop Leaders

M ichael Pykhtin is responsible for carrying out policy analysis and independent research related to financial markets, risk management and regulationof financial institutions. Prior to joining the FRB in 2009, Michael had had a successful nine-year career as a quantitative researcher at Bank of Americaand KeyCorp. Michael has edited “Counterparty Credit Risk Modelling”, published by Risk Books in 2005. He is also a contributing author to severalrecent 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.

Dr. Rosen acts as an advisor to institutions around the world and lectures extensively on valuation of structured finance and derivatives; counterpartycredit risk; risk management; and economic and regulatory capital. He has authored numerous risk management and financial engineering publications,and serves on the editorial board of several industrial and academic journals. Prior to founding R2 in 2006, he was at Algorithmics, where hadresponsibility for variety of functions including research and financial engineering, strategy and business development, and product marketing. In 2010,Dr. Rosen was inducted a fellow of the Fields Institute for Research in Mathematical Sciences. He holds a Ph.D. from the University of Toronto.

David Saunders is an Assistant Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, and a Senior ResearchConsultant at R2 Financial Technologies. He is the author of many articles on the subjects of risk management, portfolio optimization and derivativespricing. Dr. Saunders holds a Ph.D. in Mathematics from the University of Toronto, and is a Research Fellow of the HERMES European Centre ofExcellence on Computational Finance and Economics at the University of Cyprus, and the Waterloo Institute for Quantitative Finance and Insurance atthe University of Waterloo.

John Hullis an internationally recognized authority on derivatives and has many publications in that area. Recently his research has been concernedwith credit risk, executive stock options, volatility surfaces, market risk, and interest rate derivatives. He was, with Alan White, one of the winners ofthe Nikko-LOR research competition for his work on the Hull- White interest rate model. He has written three books “Risk Management and FinancialInstitutions” (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 haswon many teaching awards, including University of Toronto's prestigious Northrop Frye award, and was voted Financial Engineer of the Year in 1999by the International Association of Financial Engineers.


5

UNDERSTANDING THEIMPACT OF NEW

FINANCIAL REGULATION,INCREASED CAPITAL

REQUIREMENTS & THENEW SUPERVISORY

LANDSCAPE FOR RISKMANAGEMENT

08.00 Registration & Coffee

08.25

Chairman’s Opening AddressAndres Portilla, Deputy Director, RegulatoryAffairs, IIF

08.30

Identifying & Regulating SystemicallyImportant Financial Institutions (SIFIs):Assessing The Progress Towards ReducingThe Moral Hazard Posed By SystemicallyImportant Financial Institutions

Nellie Liang, DirectorOFFICE OF FINANCIAL STABILITYPOLICY AND RESEARCHNellie Liang is the Director of the newlyestablished Office of Financial Stability Policy andResearch. The office will bring togethereconomists, banking supervisors, markets

experts, and others in the Federal Reserve who will be dedicatedto supporting the Board's financial stability responsibilities. Theoffice will develop and coordinate staff efforts to identify andanalyze potential risks to the financial system and the broadereconomy. It will also support the supervision of large financialinstitutions and the Board's participation on the Financial StabilityOversight Council. Liang joined the Board in 1986, acting mostrecently as a senior associate director in the Division of Researchand Statistics. In that role, she has led a group of economistsfocused on the intersection of economics and finance, includingoversight of capital markets, financial institutions, consumerfinance, and financial flows. Liang was a key participant in craftingthe Federal Reserve's response to the financial crisis and helpedlead the Supervisory Capital Assessment Program, or bank stresstests, which helped increase public confidence in the bankingsystem in 2009. Liang has a Ph.D. in economics from theUniversity of Maryland and an undergraduate degree ineconomics from the University of Notre Dame.

09.10

Resolving the “Too Big To Fail” Challenge:Living Wills, Bail-In’s, Special ResolutionRegimes & Cross-Border CrisisManagementSpeaker tbc

09.50

Consistent Interpretation & Implementation:Is It Possible To Create A Level PlayingField Across Borders, Entities & Industries?

Andreas Gottschling Global HeadOf Risk Analytics & Instruments,Global Head Of Operational RiskManagement, DEUTSCHE BANKDr. Andreas Gottschling assumed the role ofGlobal Head of Risk Analytics and Instruments atDeutsche Bank in 2005 and is responsible for all

Credit, Counterparty, Operational and VaR Analytics for the Group.Prior to this he was Head of Quantitative Analysis at DeutscheBank Research responsible for all internal econometric andmathematical modeling activities as well as external modelassessment.

10.30

Morning Coffee

11.00

Basel III: Defining The Scope & Nature OfThe New Capital RatiosMark Ginsberg,Risk ExpertOFFICE OF THE COMPTROLLER OF THECURRENCYMark has worked for over 20 years in bank regulation, includingsix years in regulatory capital policy. Over the past three years, hehas worked on Basel Committee groups addressing the responseto the credit crisis (Basel III) in the areas of eliminating ormitigating cliff effects and negative incentives on the use of creditratings, revising the Basel securitization framework, revising thedefinition of capital, and evaluating the possible role of contingentcapital in regulatory capital. He has worked on U.S. rulemakingsinvolving the implementation of Basel II advanced approaches andregulatory capital rules to address FAS 166 and FAS 167. He iscurrently working on U.S. rulemakings required under Dodd Frankto remove and replace references to credit ratings from U.S. bankagency rules and to remove transitional floors from Basel IIadvanced approaches.

11.40

Basel III: Inside The New Provisions ForLiquidity Management & RegulationHow Will The New Liquidity PackageImpact Bank Business & What Will TheRegulators Require? Marc Saidenberg, Senior Vice President,Financial Sector Policy & Analysis, Bank Supervision GroupFEDERAL RESERVE BANK OF NEW YORKMarc R. Saidenberg heads the financial sector policy & analysisfunction. Mr. Saidenberg rejoined the Bank in November 2008.Most recently, Mr. Saidenberg worked for Merrill Lynch &Company where he served as a Managing Director.

12.20

THE GLOBAL REGULATORYTHINKTANK II

ENSURING PILLAR 2 ADDS VALUEHow Can Regulators Assess Risk Culture?How Can We Ensure Basel III Leads ToBetter Quality Of Management?

Fang DuExecutive Vice President RBSCITIZENS FINANCIAL GROUPFang leads the Division of Risk Capital, Reserveand Portfolio Management, which includes BaselII Program Management Office, Risk DataPlatform, Reserves, Portfolio Analytics,

Economic Capital, Stress Testing, Quantitative Analytics, and RiskReporting. Prior to joining the RBS CFG Risk, Fang spent morethan six years at Banking Supervision & Regulation in the Board ofGovernors of the Federal Reserve and has led numerous Basel IIrelated projects. She brings extensive experience related toeconomic capital, commercial and consumer risk rating systemdesign, stress testing, enterprise-wide risk management, pillar II,counterparty risk, securitization qualification and quantitativemethods, as well as many other key risk disciplines. Beforeworking at the Fed, Fang spent seven years in various riskleadership positions at FleetBoston, four years as an adjunctprofessor at the University of Rhode Island’s Business Schooland was a Visiting Assistant Professor at the Rutgers University.Fang received her M.S. and Ph.D. in economics from theUniversity of Massachusetts, Amherst and B.S. in mechanicalengineering from the Tianjin Polytechnic University. Fang is afrequently invited speaker in domestic and international riskconferences and seminars.

Christian LajoieHead Of Group Supervision IssuesBNP PARIBASMr. Christian Lajoie has been working for BNPParibas since 1973. Throughout his career, hehas held various executive positions both inbusinesses and central functions. He currently

reports to the Group Executive Committee.

Dominique BourratManaging DirectorRISK DYNAMICSDr. Dominique Bourrat has a PhD in Mathematical Sciences –Nuclear Physics from ULG Belgium and University of MontrealCanada. She has over 20 years of extensive experience in the fieldof risk management applied to the financial world. After havingdeveloped mathematical models for the CERN in Geneva, givingrise to international publications, she joined the dealing room ofParibas to develop risk management and hedging models in thederivatives market. She then enriched her skills at INSEAD beforejoining MasterCard to set up and manage its European RiskManagement centre. Later, she led Fortis’ cross-risk modellingdepartment towards Basel II compliance. As a founder of RiskDynamics and industry expert, she now focuses on supportingmajor financial institutions in leveraging their Pillar II and economiccapital strategy, interfacing with regulators and facilitatingroundtables around the globe.

Evan Sekeris, Assistant Vice President, BankSupervision & Regulation DepartmentFEDERAL RESERVE BANK OF RICHMONDEvan Sekeris is a member of the Supervision and RegulationDepartment focusing on the internal risk modeling and capitalallocation at large banking organizations. His current researchinterests are in asset pricing with particular emphasis on the role ofinformation on the cross section of assets and in operational risk.

13.00 Networking Lunch

14.10

UNRAVELLING CENTRALCLEARING

Understanding The Scope, Exemptions, &The Intended (& Unintended) ConsequencesOf Central Clearing

Craig PirrongProfessor Of FinanceBAUER COLLEGE OF BUSINESS,UNIVERSITY OF HOUSTONDr. Pirrong joined the Bauer College faculty afterteaching at the Michigan Business School, theGraduate School of Business of the University of

Chicago, the Olin School of Business at Washington University inSt. Louis, and Oklahoma State University. He worked in privateindustry for Lexecon, Inc. and GNP Commodities, and has alsodone consulting for OM, Warenterminbörse, DeutscheTerminbörse, Eurex, the Winnipeg Commodity Exchange, the NewYork Mercantile Exchange, the Chicago Board of Trade, theChicago Stock Exchange, several electric utilities, and the FHLBB.His research focuses on the economics of derivatives markets andrisk management. He has a PhD, an MBA, and a BA from theUniversity of Chicago.

14.50

TRADING BOOK RULESValuation, Capital & Risk Management:Exploring The Impact Of RegulatoryChanges & The Fundamental Review ForThe Trading Book

Ahmet Yetis, DirectorBARCLAYS CAPITALAhmet is the regulatory and Basel II strategist atBarclays Capital in New York. He advises clientson regulatory developments and capitalmanagement. Prior to joining Barclays, Ahmetspent three years in Japan advising Asian banks

on capital management. Ahmet is an engineer and holds an MBAdegree from Carnegie Mellon University.

15.30

Trading In The New EnvironmentDavid Lynch, Manager, QuantitativeRisk Management Section,FEDERAL RESERVE BOARDDavid Lynch is Manager of the Quantitative RiskManagement Section of the Federal ReserveBoard. He provides oversight of trading modelapprovals for the Federal Reserve System and

has served as the Basel II Qualification team leader for tradingactivities. Prior to joining the Federal Reserve, David was afinancial economist in the Broker Dealer Finance section of theSecurities and Exchange Commission. David holds a PhD inEconomics from the University of Maryland.

16.10 Afternoon Tea

16.40

MODEL VALIDATIONCHALLENGES

Examining A New Approach To RiskManagement Audit: Independent ModelValidation• What is the best approach to risk management

audit?• Why is risk management audit critical: Lessons

learnt from the crisis?• Which are the key focus points of regulators and

supervisors?• Which are the possible operating models and their

pros/cons?• Which are the key components of an end-to-end

validation methodology?Dominique Bourrat, Managing DirectorRISK DYNAMICS Bio available above

17.20

Remuneration & Risk-Taking Incentives:Practice & Regulation

Mark Carey, Adviser, Division Of International FinanceTHE FEDERAL RESERVE BOARDMark Carey is Adviser in the Division ofInternational Finance at the Federal ReserveBoard in Washington, DC. He is also co-directorof the National Bureau of Economic Research’s

Risks of Financial Institutions Working Group, which is a mixedgroup of academics and financial professionals that focuses on riskmanagement at financial firms. He was a founding-father of Basel2, and though he is a research economist, he has frequentlyworked closely with bank examiners. He has written a lot oftechnical papers about credit risk and also about corporate debtand corporate finance. His Ph.D in economics is from Berkeley andhis undergraduate degree in economics is from Oberlin College.

18.00

PRACTITIONERCHALLENGE & COMMENT

SESSIONSecond Order Impacts, Regulatory Burden &The Cumulative Impact Of Regulation: WillRegulatory Changes Make The World Safer?

Barbara Frohn, Managing DirectorGRUPO SANTANDERBarbara Frohn acts as personal advisor to thegroup’s CEO focusing in particular on theSantander´s European operations andintegration projects, regulatory and supervisoryissues as well as all matters pertaining to Risk.

Before that, she headed up the Global Internal Validation teamwithin the Risk Division. In addition, Barbara Frohn representsGrupo Santander in various international forums and is advisor tothe European Parliament. Preceding her move to Madrid, Barbarafulfilled during 15 years of employment at ABN AMRO variousroles in a.o. Global Relationship Management, Energy Finance,Asset Securitisation & managing the Basel II Knowledge Center.

Andreas Gottschling, Global HeadOf Risk Analytics & Instruments,Global Head Of Operational RiskManagementDEUTSCHE BANKBio available above

Evan Picoult, Managing Director,Risk Architecture,CITI & Adjunct ProfessorCOLUMBIA BUSINESS SCHOOLEvan Picoult is a Managing Director within Citi’sRisk Architecture Department as well as anAdjunct Professor in the Decision, Risk and

Operations Department of Columbia University’s Business School.Over the last few years he has focused on firm-wide projectsregarding Basel II, stress testing and the enhancement of the

measurement, implementation and use of Economic Capital. Evanjoined Citibank in 1980 in systems development, transferred to atrading desk in 1986 and has worked in internal risk managementsince 1988. He has led the development of the methods used atCiti for measuring market risk and counterparty credit risk. He is afrequent lecturer on risk topics at professional conferences,regulatory conferences and at universities and has published anumber of articles on risk topics.

Christian Lajoie, Head Of Group Supervision Issues, BNP PARIBAS Bio available above

18.30



08.25

Chairman’s Introductory Welcome

08.30

OPERATING IN A LOWINTEREST ENVIRONMENT

Assessing The Impact Of Low InterestEnvironment On Risk Management OfInsurance Companies David K Ingram, Chief Risk Officer, WILLIS REDave is a member of Willis Re’s Value Based Capital Managementteam based in New York. Value Based Capital Management offersinsurers a practical way to use ERM to identify specific actionsand strategies that will enhance the value of their firm. Dave waspreviously the Senior Director, ERM in the Insurance RatingsGroup of Standard and Poor’s, New York. In that position, hespearheaded S&P’s initiative to incorporate ERM as one of theprimary ratings criteria and the development of the framework forreviewing economic capital models. Dave has authored over 40published articles relating to ERM. His paper "Risk and Light" wonthe 2009 Best Practical Paper award at the ERM Symposium. Hehas been the founder and Chair of the SOA Risk ManagementTask Force and the first Chair of the 3000 member JointSOA/CAS/CIA Risk Management Section. He is a member of theboard of ERM-II. He founded the International Network ofActuarial Risk Managers. Dave is a graduate of Lehigh University.

09.10

KEYNOTE PRESENTATIONREINVENTING RISK MANAGEMENTIN A LARGE INSURANCE COMPANYMoving From An Asset Allocation ToStrategic Risk Allocation Approach For ANew Strategic & Tactical Approach To RiskManagement

Dr. Peruvemba SatishManaging Director & Chief Risk Officer, ALLSTATEPeruvemba Satish is the chief risk officer atAllstate Investments, LLC, overseeing $100billion investments in fixed income, equities andalternative strategies. He has held senior

leadership positions in the areas of research, portfoliomanagement, and risk management for over 15 years. Satishjoined Allstate from Jamison Capital Partners, where he was CROresponsible for portfolio construction and risk management ofcommodity and macro strategies. Earlier, he was a partner andthe CRO at DKR Capital Partners LP. Prior to joining DKR, Satishwas director of risk management at Soros Fund Management.Satish received his PhD in Finance from the University of Texas atAustin and is also a CFA charter holder.

09.50

STRESS TESTING OFSTRUCTURED PRODUCTS

Latest Developments In Stress Testing OfStructured Products (RMBS, CMBS & CreditRelated) By Ratings Agencies & TheAnticipated Impact On Insurers Pricing,Capitalization & Management Of Risk Speaker tbc


11.00

ESTABLISHING A COMMONGLOBAL REGULATORY

FRAMEWORKDeveloping A Common Framework ForEvaluating Internationally Active InsuranceCarriers

Dave Sandberg, Vice President &Corporate Actuary, ALLIANZ LIFEDave Sandberg (MAAA, FSA, CERA) is a VP andCorporate Actuary at Allianz Life and was theappointed actuary for LifeUSA InsuranceCompany, a major writer of deferred and equityindexed annuities, where he worked from 1989

until LifeUSA’s purchase by Allianz Life in 1999. Additionalresponsibilities have included GAAP & Statutory Reporting,

Global Risk RegulationSummit

Monday June 13, 2011

Strategic RiskManagement For

Insurance SummitMonday June 13, 2011


Global Risk Regulation SummitStrategic Risk Management For Insurance Summit

Monday June 13, 2011


6

Crediting Rate & Investment Strategies, Experience AnalysisGovernment Relations and Reinsurance. In addition, Dave is thePresident Elect for the American Academy of Actuaries. Over thepast decade, he has participated in and/or chaired Academycommittees, task forces, and work groups that addressed financialreporting, risk and solvency topics for life, health and P&Cbusiness, life product issues, systemic risk issues, and risks facingPublic Pension plans. He has also been the Vice-Chair of theInternational Actuarial Association’s Insurance Regulation Committeeand currently chairs their ComFrame Task Force to recommendconcepts for the regulation of internationally active companies. Hispersonal and professional interests over the last several years havefocused on furthering the application of emerging corporate ERMbest practices to topics such as the guaranteed retirement incomemarket, the regulation of that market as well as the application ofERM principles to systemic risk regulation.

11.40

SOLVENCY II & BEYONDAssessing The Progress In GrantingSolvency II Equivalency To The US,Predicting The Regulatory Framework ForCarriers & An Update On The SolvencyModernization Initiative (SMI)Speaker tbc, NAIC

12.20

Developing A Collaborative RiskManagement Environment To Stay Abreast OfRegulatory Change & Its Impact On MarketsAnd Business ActivitiesMark Abbott, Managing Director, Head OfQuantitative Risk Management, GUARDIAN LIFEMark C. Abbott, PRM, is Managing Director, Investments, and headof Quantitative Research, ALM and Risk Management for GuardianLife Insurance Company of America. He is responsible forquantitative strategy, measurement, management and attribution ofactive portfolio exposures and performance relative to theirrespective benchmarks for all of Guardian's financial products andgeneral account and ALM for the fixed annuity business. Mark has21 years of experience and previously managed several prominentinstitutional risk management and quantitative relationships atBlackRock, Barra, Global Advanced Technology, Drexel BurnhamLambert and Merrill Lynch. Mark has served on the Board ofDirectors of the Professional Risk Managers’ InternationalAssociation (PRMIA) since their first election (Fall 2002) and wasreelected (Fall 2003) for a 3 year term expiring Fall 2006; he Chairsthe Regional Director Committee and serves on the New YorkSteering Committee. Mark has Professional Risk Manager (PRM)certification from PRMIA.

13.00 Networking Lunch & VIP Roundtables

14.10

Implementing Economic Capital Models ToFacilitate Effective Decision MakingIncluding New Product Evaluation,Profitability Decisions & M&A ValuationsAl Schulman, VP, Enterprise Risk & Capital Modeling, NATIONWIDEAlbert (Al) J. Schulman is Vice President – Enterprise Risk andCapital Management at Nationwide. Al began working atNationwide in 1982 in Corporate Finance where he worked onNationwide’s first strategic planning, net present value and capitalmodels. In subsequent assignments he served as Controller ofNationwide’s New England agency operations and Nationwide’swestern direct marketing operations. In 1997 Al led the initialdevelopment of Nationwide’s Corporate Development function,and in the following years he led a number of acquisition anddivestiture teams. In 2000 he served as one of the leaders in thedevelopment of Nationwide’s RAROC and economic capitalmodeling capabilities, as well their dynamic financial analysis andALM capabilities. In 2006 Al joined Enterprise Risk Management,where he has led the risk and capital modeling group. In thiscapacity he has been instrumental in developing investmentportfolio benchmarks for Nationwide’s Property/Casualtycompanies, developing risk and capital metrics, and buildingNationwide’s model validation capabilities.

14.50

Practical Implications Of Implementing ERMUsing Advanced Replicating Portfolio,Response Surface Analysis & AdvancedCopula Techniques • RP and RSM Explained• Benefits and disadvantages• ERM case study including key steps for a successful

implementationSpeaker tbc, QRM

15.30

Managing The Implications Of Market ValueAccounting On Insurance Carriers WhenReporting To Regulatory Authorities &ShareholdersWilliam Hines, Chairman Of The FinancialReporting CommitteeAMERICAN ACADEMY OF ACTUARIES William has spent almost 25 years’ in the insurance industryprimarily focused on financial reporting and capital managementissues. He spent the first 14 years’ of his career at John HancockInsurance Company where he was responsible for the financialreporting function for all individual life insurance products. Williamhas spent the last ten years as a consultant with Milliman, wherehe has performed numerous assignments supporting the USGAAP and Statutory reporting needs of clients. He has or currently

serves as appointed actuary for several insurance companiesdomiciled in the US and Bermuda. William has served onnumerous committees of the American Academy of Actuaries(AAA) and the International Actuarial Association (IAA)concentrating on financial reporting issues. He previously chairedthe AAA's IFRS task force and currently serves as chair of theFinancial Reporting Committee which focuses on financial reportingissues affecting all insurance practice areas. From 2001 to 2010 healso served as the AAA representative to the IAA’s insuranceaccounting committee.

16.10 Afternoon Tea

16.40

DYNAMIC HEDGINGUsing Dynamic Hedging To Manage TheRisks Of Guaranteed Minimum WithdrawalBenefit Products (GMWB) That Take IntoAccount The Dynamic Nature Of TheUnderlying Product

Michael Angelina, Chief Actuary &Chief Risk Officer, ENDURANCESPECIALTY HOLDINGS LTDMichael Angelina joined Endurance as its ChiefActuary in June 2005. Mr. Angelina is anAssociate of the Casualty Actuarial Society and aMember of the American Academy of Actuaries.

Mr. Angelina graduated from Drexel University with a B.S. inMathematics, and began his actuarial career with CIGNA in theworkers compensation and actuarial research units. Mr. Angelinathen joined Tillinghast in 1988 where he participated in thedevelopment of Tillinghast's excess of loss pricing system and itsGlobal Loss Distributions initiative, as well as numerous clientassignments, with a focus on reinsurance companies. Mr.Angelina worked for one year for Reliance Reinsurance Corp. as aVice President and Actuary prior to returning to Tillinghast in2000. Mr. Angelina is the co-author of Tillinghast's industry-wideasbestos actuarial study and participated in the development ofthe 2003 FAIR Act (proposed Federal asbestos legislation).

17.20

ALM FOR INSURERSLatest Innovations In Managing TailLiabilities Of Longer Term LiabilitiesJohn Manistre, Formerly Vice PresidentGROUP RISK AEGON USACurrently based in Baltimore Md. John Manistre has over 30 yearsof actuarial experience in the US and Canadian life insuranceindustries. For the last 10 years he has been heavily involved inenterprise risk management issues with a focus on economiccapital and fair value financial reporting for life insurers. John holdsBMath, MMath and PhD degrees in applied mathematics and hasearned the FSA and CERA designations from the Society ofActuaries.

18.00

MANAGING EXTREMEEVENTS

What Else Besides EC is Needed To ManageExtreme Events?Dave Sandberg, Vice President & Corporate Actuary, ALLIANZ LIFE

18.30


07.45

The CRO Breakfast BriefingStrictly by invitation only. Contact [email protected] for more details

08.00 Registration & Coffee

08.25

Chairman’s Opening Address

08.30

GUEST ECONOMIC ADDRESSRecovery, Demand, Employment, Growth &Economic Policy: Assessing The GlobalEconomic Outlook

Zanny Minton-BeddoesEconomic EditorTHE ECONOMISTZanny Minton-Beddoes is The Economist’seconomic editor, overseeing all of the prestigiouspublication’s American and global economicscoverage. She is responsible for coverage of the

American economy, economic policy, and issues surroundingglobalization. Before moving to Washington in April 1996, Minton-Beddoes was The Economist’s emerging-markets correspondentbased in London. She has written surveys of the World Economy,

Latin American finance, global finance and Central Asia. Minton-Beddoes joined The Economist in 1994 after spending two years asan economist at the International Monetary Fund (IMF). Beforejoining the IMF, she worked as an adviser to the Minister ofFinance in Poland, as part of a small group headed by ProfessorJeffrey Sachs of Harvard University. Minton-Beddoes has writtenextensively about the American economy and international financialpolicy. She has published in Foreign Affairs and Foreign Policy, andhas testified before Congress on the introduction of the euro.Minton-Beddoes is a regular commentator on Marketplace (NPR).She has also appeared on CNN, MacNeil-Lehrer Newshour, CNBC,and Public Interest. She is a trustee of the Carnegie Endowmentfor International Peace and a member of the Research AdvisoryBoard of the Committee for Economic Development.

09.10

GUEST ACADEMIC ADDRESSRisk Management Models (Misuses &Abuses)• Types of model assumptions (robust and critical)• How to test a model• Types of models (theoretical and statistical)• Common errors in calibration• Problems with vega hedging

Robert JarrowRonald P. & Susan E. Lynch ProfessorOf Investment ManagementJOHNSON GRADUATE SCHOOLOF MANAGEMENT, CORNELLUNIVERSITY & Director Of ResearchKAMAKURA CORPORATION

Robert Jarrow is the Ronald P. and Susan E. Lynch Professor ofInvestment Management at the Johnson Graduate School ofManagement, Cornell University and director of research atKamakura Corporation. Professor Jarrow is a co-creator of both theHeath-Jarrow-Morton model for pricing interest rate derivatives andthe reduced form credit risk models employed for pricing creditderivatives. In commodities, his research was the first todistinguish between forward/futures prices, and he is the creator ofthe forward price martingale measure. These tools and models arenow the standards utilized for pricing and hedging in majorinvestment and commercial banks. He has been the recipient ofnumerous prizes and awards including the CBOE Pomerance Prizefor Excellence in the Area of Options Research, the Graham andDodd Scrolls Award, and the 1997 IAFE/SunGard Financial Engineerof the Year Award. He is on the advisory board of MathematicalFinance– a journal he co-started in 1989. He is also an associate oradvisory editor for numerous other journals and serves on theboard of directors of several firms and professional societies. He iscurrently both an IAFE senior fellow and a FDIC senior fellow. In2009 he was the winner of Risk Magazine’s Lifetime AchievementAward. He is included in both the Fixed Income Analysts SocietyHall of Fame and the Risk Magazine’s 50 member Hall of Fame.He has written four books, including the first published textbookson both the Black Scholes and the HJM models, as well as over155 publications in leading finance and economic journals.

09.50

A NEW BUSINESS MODELFOR BANKING?

How Can We Create A Value Proposition ToEnsure The Future Sustainability Of TheGlobal Banking Industry In The NewEconomy?

Maureen MiskovicGroup Chief Risk OfficerUBSMaureen Miskovic was appointed Group ChiefRisk Officer (CRO) and member of the GEB inJanuary 2011. From 2008 to 2010, she served asChief Risk Officer of State Street Corporation,

Boston, as well as a member of the firm’s Senior ExecutiveManagement Committee and chair of its Major Risk Committee.From 2002 to 2007, she was Chairperson of Eurasia Group, a NewYork City-based political risk research and consulting companydeveloping the firm’s brand as the political risk advisor forinstitutional and foreign direct investors. Between 1996 and 2002,Ms. Miskovic was the Chief Risk Officer for Lehman Brothers andfrom 1995 to 1996 she worked as the European Treasurer forMorgan Stanley. Prior to that, she was Group Risk Manager andTreasurer for SG Warburg & Co. Ms. Miskovic received a bachelor’sdegree in Russian and German from King’s College, LondonUniversity. She was born on 25 April 1957 and is a British citizen.


11.00

RISK CULTUREEffusing A Culture Of Risk ManagementThroughout The Business & Ensuring JointAccountability & Ownership Of RiskBetween The Business & Risk Managers• Attracting and keeping good talent, developing future

risk managers AND business professionals with astrong risk orientation and understanding

• Thoughts and tools to develop talent and enhancerisk management

• Bridging the compensation and culture gap betweenRisk and Business

Martha CummingsChief Risk OfficerBANCO SANTANDERMartha Cummings is Chief Risk Officer for BancoSantander in New York. She is responsible for therisk management of all credit and tradingoperations booked in New York, including Loans,

Project Finance, Structured Finance, Debt and Equity CapitalMarkets transactions as well as all trading portfolios for LatinAmerican Equities, Fixed Income and Derivative Products.Previously, Ms. Cummings was a consultant; her engagements

included working as Program Advisor for the Wharton ExecutiveEducation and assisting in business development for a privateequity fund. She has served as Risk Manager for the North andSouth American capital markets operations of Banco Santanderand was responsible for the review, structuring and approval oflocal and cross-border capital market transactions throughout LatinAmerica as well as workouts of problem loans. Prior to joiningBanco Santander, Ms. Cummings was Head of Equity CapitalMarkets for Latin America at Bankers Trust. Ms. Cummings hasalso worked with Citibank in Mexico. Ms. Cummings holds anMBA from the Wharton School and an MA in International StudiesMs. Cummings serves as co-chair of the Advisory Board of theWharton Fellows Program.

11.30

THE CRO THINKTANK ICREATING A HOLISTICRISK MANAGEMENT

FRAMEWORKHow Can Different Risk Functions BeIntegrated To Create An Enterprise-WideView Of Risk?

Hilary Ackermann, Chief Risk Officer& Chief Credit Officer, GOLDMANSACHS BANK USA Hilary is chief risk officer and chief credit officer ofGoldman Sachs Bank USA. She is a member ofthe Bank’s Management Committee and serveson the Bank’s Risk Committee, New Activities

Committee, Community Investments Committee and FinanceSubcommittee. Hilary is chairman of the Bank's CreditSubcommittee as well as the Bank’s Operational Risk Committeeand serves as co-chair of the Bank's Middle Market LoanCommittee. She is also a member of the Firmwide CapitalCommittee and Credit Policy Committees. In addition, Hilary chairsthe Firmwide Operational Risk Committee. Prior to assuming hercurrent role in 2008, she was a managing director in the Credit RiskManagement and Advisory Department, where she focused onmanaging credit risk across numerous FICC products and LatinAmerica, and provided rating advisory services to clients in thenatural resources, utilities and renewable energy industries. Hilaryjoined Goldman Sachs in 1985 as an associate in the CreditDepartment and was named managing director in 2002. Prior tojoining the firm, Hilary worked as the assistant department head forCredit at Swiss Bank Corp. Hilary serves on the Board of Directorsof BRIC Arts/Media/Bklyn. Hilary earned a BS in Russian fromGeorgetown University in 1977.

Stuart Lewis, Deputy CRODEUTSCHE BANKStuart was appointed Chief Credit Office andDeputy Chief Risk Officer in December 2006.Before assuming his current function, Stuart heldthe role of Global Head of Loan ExposureManagement Group (LEMG) since July 2005.Prior to this, from July 2003, Stuart headed the

European function of LEMG.

Paige Wisdom, Chief Enterprise RiskOfficer & Executive Vice President,FREDDIE MAC Paige Wisdom was appointed Freddie Mac’s chiefenterprise risk officer in April 1, 2010, and is amember 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 directionfor enterprise risk management and leads an integrated riskmanagement 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-managementpositions with Bank of America, Bank One Corporation/J P Morgan,UBS/Warburg Dillon Read, Citibank Salomon Smith Barney, andSwiss Bank Corporation. She holds a Master of BusinessAdministration from The University of Chicago's Graduate School ofBusiness and a Bachelor of Science in math and computer sciencefrom the University of Illinois, Chicago.

Gilbert Kohnke, Chief Risk Officer &EVP, Group Risk ManagementOCBC BANKGilbert Kohnke is CRO and EVP, Group RiskManagement at OCBC Bank in Singapore,covering credit, market, liquidity and operationalrisk aspects of the bank. A Canadian citizen, he

has 23 years experience in the banking industry, initially in Canadawith the last 14 years working overseas in New York, London andSingapore. His career has covered a broad spectrum of bankingactivities, including leveraged loans origination, trading room creditand international credit risk approval and securitization.

12.10

CRO “Challenge & Comment” Session


Including Meet The Speaker VIP LunchTables

"A Great Conference: TopSpeakers, New Insights & A Full

House - Even In The Midst OfThese Turbulent Times!"

Andreas GottschlingGlobal Head Of Risk Analytics & Instruments And

Operational Risk ManagementDEUTSCHE BANK

Main Conference Day 1CRO Thought

Leadership ForumTuesday June 14, 2011

Tuesday June 14, 2011

MAIN CONFERENCE DAY ONE The Ri$kMinds USA CRO THOUGHT LEADERSHIP FORUM

DAY 1



Tuesday June 14, 2011

MAIN CONFERENCE DAY ONE The Ri$kMinds USA CRO THOUGHT LEADERSHIP FORUM

DAY 1&2

7

14.00

GUEST ACADEMIC ADDRESSRisk Best (& Worst) Practices On Boards

Didier Cossin, Professor Of Finance& Governance, IMDProfessor Cossin works with senior leaders,executive committees and boards to provide thelatest thinking on best-in-class governance, riskand opportunity optimization, investmentselection and strategy design. His latest research

focuses on the role of the board in achieving success. His pastresearch has dealt with risks, M&As and financial decision making.In his work with boards, Professor Cossin helps them enhanceorganizational performance through strategy involvement,executive monitoring, information management and generalgovernance (including board restructurings). He also looks at thelatest approaches to risk issues. His work addresses not onlytechnical risks but also those arising from a number of differentfactors: psychological biases, social and cultural environments,technological changes, strategic choices and/or governancestructure. Professor Cossin is an advisor and/or executive teacherwith the United Nations, the central banks of several countries,the boards and executive committees of corporations, financialinstitutions and funds in Europe, Asia and the Middle East.Professor Cossin holds a PhD from Harvard University (Robert C.Merton Chair) and is a former Fulbright Fellow at theMassachusetts Institute of Technology, Department of Economics(USA). Before joining IMD, Professor Cossin worked for GoldmanSachs and pharmaceutical company Roussel-Uclaf as it wasconsidering an initial offering on the Tokyo Stock Exchange. He hastaught at Harvard University and was associate then full professorat HEC, University of Lausanne. He is the author and co-author oftwo books, a number of book chapters and many articles. Heholds the UBS Chair in Banking and Finance at IMD. He is on theboard of four companies, including Bank of America/Merrill LynchDerivative Products and is a former member of the academicboard of Fitch Investors.

14.30

Defining The New Role Of The CRO & HowThey Can Add Value In The New AustereEnvironment

David Watts, Chief Risk Officer WESTPAC NEW ZEALANDDavid Watts was appointed Chief Risk Officer ofWestpac New Zealand Ltd in October 2009. Davidis based in Auckland and is responsible for allaspects of risk management including credit risk& restructuring, operational risk, market risk,

compliance and security. He is a member of the ExecutiveManagement Team, Chairman of the Executive Risk & AuditCommittee and a Director of 9 subsidiary boards. Before joiningWestpac David had a 17 year career at National Australia Bankwhere he was Chief Risk Officer for Australia. Prior to enteringbanking David enjoyed 10 years as a Certified Practising Accountant.

15.10

THE CRO THINKTANK IIRISK APPETITE

Articulating & Setting Risk Appetite,Embedding It Throughout The Organisation& Operationalising Into Actionable RiskGuidelines

Richard GouldingGroup Chief Risk OfficerSTANDARD CHARTEREDRichard F Goulding is the Group Chief RiskOfficer of Standard Chartered Bank, and isresponsible for managing Credit, Market andOperational Risk across the Group. He is also a

member of the Group Management Committee (GMC). In hisearlier role, Richard was the Chief Operating Officer for theWholesale Bank, and was responsible for managing andoverseeing various functions including strategy development,research, legal & compliance, technology & operations, risk,finance, human resources, and portfolio management. Richardjoined Standard Chartered from the Old Mutual Group where hewas Chief Operating Officer of their global financial servicesdivision based in London and Boston.

Aaron Brown, Chief Risk OfficerAQR CAPITALAaron Brown is risk manager at AQR CapitalManagement and author of The Poker Face ofWall Street (Wiley, 2006, selected one of the tenbest business books of the year by BusinessWeek), A World of Chance (Cambridge UniversityPress, 2009, with Reuven and Gabrielle Brenner)

and Red-Blooded Risk (Wiley, 2011, forthcoming). He is a regularcolumnist for Wilmott and Quantum magazines and serves on theeditorial board of the Global Association of Risk Professionals. Inhis 29-year Wall Street career he has been a portfolio manager,trader, head of mortgage securities and risk managers forinstitutions including Citigroup and Morgan Stanley; he also did astint as a finance professor. He hold degrees in AppliedMathematics from Harvard, and Finance and Statistics from theUniversity of Chicago.

Joan Mohammed, Senior VicePresident, Corporate RiskManagement, BANK OFMONTREALJoan Mohammed is the Senior Vice President,Corporate Risk Management and hasresponsibility for Policy & Reporting, Technologyand Operations Risk Management, Enterprise

Operational Risk Management, Risk Operations, Private ClientGroup, CRO and BMO Insurance Risk Management. Joan startedher career in 1983 at BMO progressing through managementroles in Personal and Commercial Banking. In 1990, she moved toRBC Financial Group and held several roles before beingpromoted, in 1999, to Chief Risk Officer, Security First NetworkBank, with responsibility for Enterprise Risk Management, Audit

& Compliance. Joan re-joined BMO in 2001 as Vice-President,Credit Risk Management, in the Personal and Commercial ClientGroup. The following year, she was appointed Vice-President,Risk Management Group with responsibility for developing theinfrastructure to support the delivery of the New Basel CapitalAccord. In 2003, Joan was appointed as Vice-President,Operational Management & Governance, Human Resources andwas promoted to Senior Vice-President, Operational Management& Governance, HR in September, 2005 with responsibility forFinance, Technology, Operations, Service Management &Delivery, Information Management and Program Management. In2008, Joan was appointed as Senior Vice President, Risk RenewalStrategies and assigned accountability for driving all riskmanagement strategic projects and change managementinitiatives, including our Risk Evolution Program.

Tom Donahoe, Global Chief Risk OfficerALADDIN CAPITAL HOLDINGSTom is Global Chief Risk Officer at Aladdin Capital Holdings LLC,an $11 Bn Hedge Fund and CLO Manager with a focus onDistressed Debt and Credit Trading. He heads the Market RiskCommittee and Valuation Committee, and oversees risk in theaffiliated US and UK Broker-Dealers. Previously, Tom was the ChiefRisk Officer at Angelo, Gordon & Co., a large multi-strat HedgeFund. He oversaw all aspects of risk across the firm with focuson Distressed Debt, Real Estate, Convertibles and RMBS/CMBSstrategies. Tom was with Barclays Capital as a Risk Director forseveral product areas as well as COO of Market Risk in NY.Previously, Tom was a Portfolio Risk Director at Merrill Lynch andat MetLife where he started the Derivatives Trading Unit. Earlier inhis career, Tom headed the Bankers Acceptance and internalTreasury Funding desks at a money center bank and was Directorof Trading and Sales for a large commodities trading firm based inWashington, D.C. with assignments in Vienna and Zurich. Heserved as an original Prmia Director in NY. Tom has authoredpapers on risk including chapters in various publications includingthe Professional Handbook of Risk Management.

15.50

CRO “Challenge & Comment” Session

16.10 Afternoon Tea

16.40

Risk and Regulation: Assessing TheImplications Of The Changing Capital &Liquidity Requirements

Tony Santomero, Senior AdvisorMCKINSEY & COMPANYAnthony M. Santomero is a Senior Advisor inMcKinsey & Company’s New York Office. Dr.Santomero was the ninth President of theFederal Reserve Bank of Philadelphia. He holdsthe title of Richard K. Mellon Professor Emeritus

of Finance at the Wharton School of the University ofPennsylvania, and is on the Boards of Citicorp, RenaissanceReinsurance Company Ltd, the Penn Mutual Life InsuranceCompany, and the Columbia Funds.

Kevin Buehler, DirectorMCKINSEY & COMPANYKevin is a senior partner in the New York office ofMcKinsey & Company and co-leader ofMcKinsey's global Risk practice. Kevin joinedMcKinsey in 1993 and has significant experienceaddressing the strategic decisions and risk and

return tradeoffs facing leading financial institutions. His thinking onrisk has appeared in the Harvard Business Review, the Wall StreetJournal, the McKinsey Quarterly and many other publications.Previously, Kevin served as Chief Operating Officer of InternationalEquity Partners, an emerging markets private equity firm, andpracticed law as a corporate attorney at Cravath, Swaine & Moore.

Ben Ellis, Principal, MCKINSEY & COMPANY

17.10

Human Perception, Uncertainty & SystemicFailures: The Challenges For RiskManagement & Modelling

Sanjay Sharma, Chief Risk Officer,Global Arbitrage & Trading, RBCCAPITAL MARKETSSanjay Sharma is the Chief Risk Officer of GlobalArbitrage and Trading at RBC Capital Markets.Previously, he was the Chief Credit Officer ofNatixis Capital Markets for five years. Prior to his

tenure at Natixis he held investment banking and riskmanagement positions at Merrill Lynch, Goldman Sachs, Moody’s,and Citigroup respectively. At Merrill he headed the ratingsadvisory practice for the Americas and also advised the firm’sclients on issues related to liability management and capitalstructure. At Goldman he advised the firm’s clients on issuesrelated to capital structure and ratings. At Moody’s he coveredcommercial, consumer and aircraft finance companies as anAnalyst, and was also involved in rating several structured financetransactions. Prior to his career in the financial services industry,he worked as a marine engineer with Asian and Europeanshipping companies on cargo ships and supertankers, andreceived the Chief Engineer’s certificate of competency. He holdsa Ph.D. in Finance and International Business from New YorkUniversity and an MBA from the Wharton School of Business. Heholds the CFA charter and is the Founder and Board Member ofGreen Point Technology Services, a provider of online education.

17.40

THE CRO THINKTANK IIIRISK GOVERNANCE

Risk Governance, Non-Executive Oversight &The Relationship Between The Board OfDirectors & The CRO: How Can We Create AMore Effective & Accountable RiskManagement Function?

Enrico Dallavecchia, Chief RiskOfficer, PNC FINANCIAL SERVICESGROUPEnrico Dallavecchia is Chief Risk Officer for ThePNC Financial Services Group. In this role, he hasresponsibility for PNC’s enterprise-wide riskmanagement program, including operating,

compliance, credit and market risk. Dallavecchia, who joined PNC inApril 2010, has extensive risk management experience in thefinancial services industry. He served as Chief Risk Officer forFannie Mae from 2006 to 2008. Before that, he held a number ofleadership positions over the course of 19 years at JPMorganChase, including head of market risk management for the ChiefInvestment Office and Retail Financial Services. His responsibilitiesincluded oversight of the firm’s global investment portfolios andforeign exchange exposure. Prior to that at JPMorgan, he had beenresponsible for managing the market risk of the company’s globaltreasury and proprietary positioning divisions on a worldwide basis,and he had served as co-head of the Market Risk Technology group.

Jackson Gomes, Risk DirectorBANCO ITAÚ UNIBANCOJackson Gomes holds a bachelor degree inAeronautical Engineering from the AeronauticInstitute of Technology in Brazil, and MBA fromThe University of Chicago GSB. Currently he isthe director in charge of Risk Control at Banco

Itaú Unibanco. Jackson is a permanent member of the executivecommittees responsible for Credit, Operational, and InsuranceRisk Management, for the entire financial holding group. Jacksoncoordinated the implementation of one of first risk managementstructures in the Brazilian banking system. He has also beeninvolved in several working groups, at the IIF – InternationalInstitute of Finance and the Brazilian Bank Federation, in chargeof discussing regulatory changes since the conception of Basel 2.

Robert E. Lewis, Formerly ChiefRisk Officer, AIGRobert E. Lewis recently retired from hisposition as Senior Vice President and Chief RiskOfficer of American International Group, Inc.(AIG), where he had served AIG in this capacityfrom 2004. He was responsible for enterprise

risk management for the firm, reporting to the Executive VicePresident Finance, Risk and Investments, and to the Finance andRisk Management Committee of the Board of Directors.Corporate departments responsible for insurance, credit, marketand operational risk management, as well as business unit chiefrisk officers, reported directly to him. He served as the Chairmanof the AIG Risk and Capital Committee and the ComplexStructured Finance Transaction Committee. Mr. Lewis joined AIGin 1993 as its first Chief Credit Officer, where he chaired AIG’sCredit Risk Committee, and was responsible for setting creditpolicy and procedures at the corporate level and for approving allfinancial transactions, investments and credit exposures outsidecertain established parameters and limits. Mr. Lewis started hiscareer with The Chase Manhattan Bank (now JPMorgan Chase),rising over the course of twelve years to the position of VicePresident, Portfolio Risk and Policy Review. After Chase, Mr. Lewisheld for six years various senior executive positions with ING Group’sNorth America banking operations, including Chief Risk Officer.

Ken Winston, Chief Risk OfficerWESTERN ASSET MANAGEMENT Kenneth Winston is the Chief Risk Officer ofWestern Asset Management, a unit of LeggMason. Western manages over $500 billion offixed income assets globally. Dr. Winston headsthe risk management group, comprisinganalytics, investment and credit risk analysis and

risk management, and enterprise risk management. He chairs thefirm's market and credit risk committee. Previously, Dr. Winstonwas chief risk officer at Morgan Stanley Investment Management,and worked as firm portfolio risk manager on Morgan Stanley'ssell side. Dr. Winston obtained a PhD in mathematics from MIT,and taught mathematics at Rutgers University before starting hisfinancial career as portfolio manager. He is the author of a numberof articles in mathematics and finance.

Yury Dubrovsky, Managing Director,Chief Risk OfficerLAZARD ASSET MANAGEMENTYury S. Dubrovsky is the Head of Global RiskManagement, responsible for Lazard’s GlobalRisk Management team, which reviews allproducts and portfolios on a monthly basis and

provides the product teams with risk reports as well as providingsupport to portfolio management teams on sector and countryallocation, executing the initial phase of the research process, andproviding portfolio attribution data. He began working in theinvestment field in 1995. Prior to joining Lazard in 2005, Yury wasGlobal Head of Market Risk Management for Emerging Marketsand G20 Credit Products with Credit Suisse First Boston, GlobalHead of Exposure Management for Emerging Markets as well asRegional Head of Exposure Management for the Americas withDeutsche Bank AG, Senior Technology Auditor with JP Morgan &Co. and a Senior Programmer/Analyst with AT&T, SBSInternational and Kiev Polytechnic University.

18.20

CRO “CHALLENGE & COMMENT” SESSION18.40



08.25

Chairman’s Opening Remarks

08.30

GUEST ACADEMIC ADDRESSGuaranteed To Fail: Fannie Mae, FreddieMac & The Debacle Of Mortgage Finance• Examining how poorly designed government

guarantees for Fannie Mae and Freddie Mac led tothe debacle of mortgage finance

• Assessing different reform proposals• Practical recommendations and the role of public-

private partnershipViral Acharya, Professor Of FinanceNEW YORK UNIVERSITY STERNSCHOOL OF BUSINESSViral V. Acharya is Professor of Finance at NewYork University Stern School of Business (NYU-Stern), Research Associate of the NationalBureau of Economic Research (NBER) in

Corporate Finance, Research Affiliate of the Center for EconomicPolicy Research (CEPR) in Financial Economics, ResearchAssociate of the European Corporate Governance Institute (ECGI),and an Academic Advisor to the Federal Reserve Banks ofCleveland, New York and Philadelphia, and the Board of Governors.He completed Bachelor of Technology in Computer Science andEngineering from Indian Institute of Technology, Mumbai in 1995and Ph.D. in Finance from NYU-Stern in 2001. Prior to joiningStern, he was at London Business School (2001-2008). He wasthe Academic Director of the Coller Institute of Private Equity atLondon Business School (2007-09) and a Senior Houblon-NormalResearch Fellow at the Bank of England (Summer 2008). Viral’sprimary research interest is in theoretical and empirical analysis ofsystemic risk of the financial sector, its regulation and its genesisin government-induced distortions. He is a current editor of theJournal of Financial Intermediation (2009-) and associate editor ofthe Journal of Finance (2011-), Review of Corporate FinanceStudies (RCFS, 2011-) and Review of Finance (2006-). At Stern, hehas co-edited the books Restoring Financial Stability: How toRepair a Failed System, John Wiley & Sons, March 2009 andRegulating Wall Street: The Dodd-Frank Act and the NewArchitecture of Global Finance, John Wiley & Sons, November2010. He is also the co-author of the forthcoming bookGuaranteed to Fail: Fannie Mae, Freddie Mac and the Debacle ofMortgage Finance, Princeton University Press, March 2011. He isthe current PhD coordinator in the Finance department at Stern.

09.10

GLOBAL CREDIT MARKETOUTLOOK

Examining The Future Outlook For CreditMarkets & The Implications For FundingStrategies & Business Models

Robert McAdie, Global Head OfCredit Research & StrategyBNP PARIBASDr. McAdie joined BNP Paribas in August 2010from Barclays Capital where he was GlobalHead of Credit Research and Strategy,responsible for cash and structured credit

strategy as well as quantitative strategy spanning the creditmarkets. Before Barclays Capital, he was at Lehman Brotherswhere he was Executive Director and European Head of CreditStrategy and Salomon Brothers where he was involved inquantitative emerging market and interest rate derivativeresearch. Prior to this, he was in academia and holds a PhD inApplied Mechanics and Applied Mathematics.

09.40

Managing Risk In IT & OperationsHamid SamandariDirectorMCKINSEY & COMPANYHamid is a senior partner in the New York officeof McKinsey & Company and the leader ofMcKinsey's Americas Banking and SecuritiesRisk practice. He joined McKinsey in 1997 and

has served a range of wholesale and retail financial organizationsin the US, Latin America, Europe and Asia. He has a Ph D. inScientific Computing and Computational Mathematics fromStanford University.


10.40

Challenges & Opportunities In TheIntegration Of Market & Credit Risk• Integrated framework for economic capital and firm-

wide risk aggregation• Incorporation of counterparty risk• Connection with regulatory rules• Economic capital in operation and its use in capital

allocationAndrew Abrahams, ManagingDirector, Head Of QuantitativeResearch & Firm-wide ModelOversight, JP MORGAN CHASEAndrew Abrahams is Managing Director andhead of Quantitative Research and Firm-wideModel Oversight at JPMorganChase, based in

NY. He has been at the firm since 1997. Previously he heldresearch and teaching positions at the National Center forSupercomputing Applications, The University of North Carolina andCornell University.

Main ConferenceDay 2

Wedneday June 15, 2011

Stream A: Modelling & Integrating Credit &

Market Risk



8

11.20

EXTENDED SESSIONMasterclass On Managing CVA• Market approach to quantifying CVA• Credit spreads and default probabilities• The unintended consequences of CVA• Credit risk components• Market risk components• The role of DVA• Pragmatic hedging of counterparty risk

Jon Gregory, PartnerSOLUM FINANCIAL PARTNERSDr Jon Gregory is a partner at Solum Financialand specialises in counterparty risk and CVArelated consulting and advisory projects. He hasworked on many aspects of credit risk in hiscareer, being previously with Barclays Capital,BNP Paribas and Citigroup. He is author of the

book “Counterparty Credit Risk: The new challenge for globalfinancial markets”. Jon holds a PhD from Cambridge University.

12.40

Q&A & Audience Round Up

12.50 Lunch & Networking Break

Including Meet The Speaker VIP Lunch Tables

14.10

CVA, Wrong-Way Risk & Basel IIIDavid SaundersAssistant Professor, Department OfStatistics & Actuarial ScienceUNIVERSITY OF WATERLOO David Saunders is an Assistant Professor in theDepartment of Statistics and Actuarial Science atthe University of Waterloo, and a Senior Research

Consultant at R2 Financial Technologies. He is the author of manyarticles on the subjects of risk management, portfolio optimizationand derivatives pricing. Dr. Saunders holds a Ph.D. in Mathematicsfrom the University of Toronto, and is a Research Fellow of theHERMES European Centre of Excellence on ComputationalFinance and Economics at the University of Cyprus, and theWaterloo Institute for Quantitative Finance and Insurance at theUniversity of Waterloo.

14.50

Counterparty Credit Risk Capital:Examining Ways Of Integrating CVA IntoCounterparty 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

Michael Pykhtin, Senior EconomistFEDERAL RESERVE BOARDMicheal is responsible for carrying out policyanalysis and independent research related tofinancial markets, risk management andregulation of financial institutions. Prior to joiningthe FRB in 2009, Michael had had a successful

nine-year career as a quantitative researcher at Bank of Americaand KeyCorp. Michael has edited “Counterparty Credit RiskModelling”, published by Risk Books in 2005. He is also acontributing author to several recent edited collections. Michael hasextensively published in the leading industry journals. He is anAssociate Editor of the Journal of Credit Risk. Michael holds aPh.D. degree in Physics from the University of Pennsylvania.

15.30 Afternoon Tea

16.00

Market-Implied Default Probabilities• Introduction – the need for forward-looking default

models • Advantages and limitations of existing models • The need for market-based PDs • The credit risk premium • PDs, credit spreads and spread volatility • Model for market-based PDs • Summary

Terry Benzschawel, ManagingDirector, Bond Portfolio Analysis, CITIINSTITUTIONAL CLIENTS GROUPTerry Benzschawel is a Managing Director inBond Portfolio Analysis of Citigroup’s InstitutionalClients Business. Terry heads the PortfolioAnalysis and Quantitative Strategies group which

develops and implements quantitative tools and strategies forcredit market trading and risk management, both for Citi’s clientsand for in-house applications. Terry joined Salomon Brothers in1992 after six years of post-doctoral research in academia andindustry, and two years in commercial banking. At Salomon, Terrybuilt models for proprietary arbitrage trading in bonds, currenciesand derivative securities in emerging markets in the Fixed IncomeArbitrage Group. He moved to the Fixed Income Strategydepartment in 1998, with a focus on all credit markets. Terryreceived his Ph.D. in Experimental Psychology from IndianaUniversity (1980).

16.40

IRC MASTERCLASSSession 1: 40 minutesOvercoming The Challenges Of ModellingThe Incremental Risk ChargeMark Staley, Head Of The Risk & CapitalModeling Group, TD BANKDr. Mark Staley joined TD bank in 2004 as Head of the Risk andCapital Modeling Group within Quantitative Analysis, Trading RiskManagement. His main focus is on developing credit risk andtrading risk models in support of Basel II regulatory requirements.His group also builds models used for economic capital andgeneral loan-loss provisions. Prior to joining TD bank, he spenteight years at CIBC building trading risk models.

Session 2: 40 minutesCredit Correlation & Concentration Modeling• Asset value correlation models vs. correlated jump

models and Markov chains • Model risk in models of joint default events and

migration moves • Probing consistency between marginal and joint

densities • Credit correlation modeling for various time horizons • Modeling the concentration of default events and

migration moves • Assessing skewed correlation models and separating

the default and migration correlations • Introducing a link to Incremental Risk Capital Charge

modelling Peter Dobranszky, Head Of RiskMethodology ValidationBNP PARIBASPeter manages a team being responsible for thevalidation of internal risk methodologies relatedto capital markets. Earlier, he was validatingequity, commodity and energy pricing models.

As a consultant, he helped banks to develop and implementfinancial models and pricing engines. As part of his academicresearch, he focused on credit derivatives, on capturing the assetprice and volatility dynamics and on advanced numericaltechniques. Earlier, he gave lectures and held seminars in finance.

18.00

Audience Q&A & Industry Round Up18.10


.

10.40

EXTENDED SESSIONPrice Risk vs. Value Risk• Two perspectives on measuring risk• Appropriate context for measuring risk from each

perspective• Firm wide stress testing across accrual, OCI and

marked-to-market portfolios• EC for trading book: integrating stress testing and VaR • EC for counterparty credit risk from each perspective• The reason EC from a price risk perspective is higher

than EC from a value risk perspectiveEvan Picoult, Managing DirectorCiti & Adjunct ProfessorColumbia Business SchoolBio available on pg. 5

12.00

Putting Economic Capital At The Heart Of TheEnterprise: The Commercial Value Of LegalEntity Economic Capital• Insights from developing an economic capital

framework for material legal entities • The role of legal entity economic capital in strategy

setting and business management Thorsten LauterbachDirector, Risk AnalyticsBARCLAYS CAPITALThorsten is responsible for leveraging theexisting Barclays risk framework to further theholistic understanding of the portfolio risk profilein the US and globally. He joined the firm in

August 2010 after three years at Bank of Tokyo-Mitsubishi UFJ(BTMU), where he headed the market risk managementdepartment. Prior to BTMU, Thorsten spent eight years atCommerzbank New York with responsibility for credit riskmanagement, operational risk management and finance.

12.40




14.10

Today's Three R's Of Banking: Risk, Return &Regulation

Darryll Hendricks, ManagingDirector, Global Head Of RiskMethodology, UBSDarryll Hendricks is Managing Director and GlobalHead of Risk Methodology for UBS InvestmentBank, where he has primary responsibility for

leading the strategic remediation and enhancement of market andcredit risk methodologies as well as the independent review ofvaluation models. Since Autumn 2009, he has also served as thechair of the US industry task force on tri-party repo infrastructure.Before joining UBS, Darryll worked at the Federal Reserve Bank ofNew York for 13 years where he focused on capital regulation andon the risk assessment of clearing and settlement infrastructure.Darryll has a PhD from Harvard University.

14.50

Managing Capital: New Regulations, NewConstraints and New Incentives • What is Binding Constraint?: Basel I, Pillar 1, ICAAP,

Leverage and Liquidity • The Challenges of Multiple Capital Frameworks • Options / Opportunities

Rick Hamilton, Senior VicePresident, Director, Economic Capital& ICAAP AnalyticsPNC FINANCIAL SERVICESRick is the Director of Economic Capital andICAAP Analytics at PNC. In this role, he leadsthe firm’s economic capital modeling effort and

is co-leading the development of PNC’s ICAAP. Rick has a broadbackground in economic capital modeling that includes credit,market and operational risk capital modeling and has been activein the field for over 7 years. Prior to his current role, Rick workedfor seven years in National City’s Asset/Liability managementgroup where he managed interest rate risk simulation and marketrisk modeling. He has also had experience working in thecommercial credit, commercial lending, retail banking andmergers and acquisition groups at National City.

15.30 Afternoon Tea

16.00

Developing Integrated Economic CapitalModels That Better Recognise CorrelationsBetween Risk Factors

Aurele Houngbedji, Senior RiskManagement Officer,INTERNATIONAL FINANCECORPORATIONDr. Aurele M. Houngbedji is responsible fordeveloping new methodologies for modelingeconomic capital and its applications for strategic

business decision making, risk management; concentration limitssetting, capital allocations, and performance measurement. Prior tojoining the World Bank Group in January 2005, Dr. Houngbedji wasa Quantitative Analyst in the Capital Markets Department atAmTrustBank. He was responsible for developing mortgagepipeline hedging models; risk based pricing models, delinquencyanalysis models, valuation models for the bank’s loans, servicingassets, and other hedging instruments and assets. His currentresearch interests include strategic risk management, economiccapital management, risk culture development, credit risk andeconomic capital modeling. He is an adjunct professor of riskmanagement, quantitative finance, in the Carey Business School atJohns Hopkins University. Dr. Houngbedji holds a Ph.D inMathematical Finance from the University of Pittsburgh; he is acertified Financial Risk Manager from both the Global Associationof Risk Professionals (GARP) and the Professional Risk Managers’International Association (PRMIA) since 2002.Dr. Houngbedji is aCharter Member of Risk Who’s Who since February 2009.Dr.Houngbedji is the regional director for the GARP Washington DCChapter since 2005.

16.40

Developing New Models For More AccurateRisk Measurement In The New Paradigm

Andreas Bohn, Head Of Asset &Liability Management, GlobalTransaction BankingDEUTSCHE BANKDr. Andreas Bohn started his career at DeutscheBank Fixed Income Research in 1993. He heldseveral roles such as market maker for short-term

interest rate derivatives, structurer for interest rate notes, andmarket risk manager for interest rate derivatives as well as bankingbooks. Since 2004 he runs the Asset & Liability Management aswell as overall Balance Sheet Management for Global TransactionBanking of Deutsche Bank with presences in Frankfurt, London,New York and Singapore.

17.20

Overcoming The Challenges To BuildingEffective Liquidity Stress Tests & PreparingFor Idiosyncratic & Systemic LiquidityShocks

Steve Lindo, Director, TreasuryManagement & Mortgage Risk,FIFTH THIRD BANCORPSince January 2011 Mr. Lindo has been workingas Director of Treasury Management andMortgage Risk at Fifth Third Bancorp. Before thishe completed a two-year engagement as CEO of

PRMIA. In this role, he led the association’s programs providingonline resources, thought-leadership, certifications, training, eventsand member services designed to promote higher standards of riskmanagement practice and education globally. Previously Mr. Lindowas Head of Risk Capital Management at GMAC Financial ServicesLLC (now Ally Bank), responsible for the capital measurement andmodeling of GMAC’s automotive loan, lease, insurance andresidential mortgage portfolios. Before that, he held a number ofrisk management roles in Cargill’s proprietary financial trading group,which today operates as Black River Investments and CarvalInvestors. Mr. Lindo spent his early career as an internationalbanking and credit officer with Lloyds TSB Bank and then FirstNational Bank of Chicago (now part of JPMorganChase) in Brazil,London and Madrid.

18.00

Audience Q&A & Industry Round Up

18.10


10.40

Examining The Implications Of The NewRegulatory Proposals On Bank RiskManagement SystemsSpeaker Under Invitation

11.20

New Techniques For Managing The ITOverheads Of Dynamic Risk Management:Do GPUs Offer An Efficient Way To PerformSimulations?• Introducing GPUs • Simulating Credit Risk Loss Distributions • Implementation • Comparisons with traditional CPU technology • Resimulation

Stuart BurnsHead Of Credit Risk Methodology,BARCLAYS CAPITALStuart Burns is the Head of Credit RiskMethodology at Barclays Capital. He joined inApril 2010 from HSBC, where he was responsiblefor Credit Risk Modelling and saw the bank

achieve Advanced IRB status. Prior to this Stuartwas Head of Economic Capital and Model Risk Management atStandard Chartered Bank, where his responsibilities includedcoordination of stress testing across portfolios and risk types.Stuart has also worked in credit risk modelling roles at RBSFinancial Markets and Abbey National Treasury Services.

12.00

Efficiently Managing The Increasing VolumeOf Data Being Produced, Used & RequiredBy Risk Management Processes &Regulators

Suresh Jayaraman, Vice President,Firm Risk Management - Technology& Data, MORGAN STANLEYSuresh Jayaraman is a Vice President at MorganStanley’s Firm Risk Management. He isresponsible for Risk Architecture and Strategy inthe Data and Technology Division in New York. In

his prior roles, Suresh was Vice President, Equities Sales andInvestment Research Technology at Goldman Sachs and Head ofEnterprise Risk Architecture at AIG.

12.40




14.10

Implementing An Effective Risk Culture Marcus Cree, VP, Risk Solutions, SunGardMarcus Cree is VP of Risk in charge of client solutions for NorthAmerica, for the Position, Risk & Operations division withinSunGard. This is the latest iteration of Marcus's SunGard career,which has seen him work in the implementation team for theAdaptiv risk product as well as part of the solutions team inEurope. Before joining SunGard, Marcus has worked in the riskcontrol unit for Deutsche Bank, the implementation team of Misysand as an analyst for a UK based stock broker. As well as AIMRqualifications, Marcus holds a degree in mathematics fromLeicester University.

"The Best Line-Up Of TheLeading Thinkers In Risk

Management"Dan Rosen, President

R2 FINANCIAL TECHNOLOGIES

Stream B: Capital & Liquidity Modelling,

Measurement

Stream C: Innovations In Risk Management

Systems & Technology

Wednesday, June 15, 2011

MAIN CONFERENCE DAY TWO INNOVATIONS IN STRATEGIC & PRACTICAL RISK MANAGEMENT

DAY 2



Wednesday, June 15, 2011 & Thursday, June 16, 2011

MAIN CONFERENCE DAY TWO & THREEINNOVATIONS IN STRATEGIC & PRACTICAL RISK MANAGEMENT

DAY 2/3

9

14.50 - 18.00

RI$KMINDS USA 2011TECHNOLOGY SHOWCASE

Topics To Include:• New Techniques For Making Monte Carlo More

Efficient

15.30 Afternoon Tea

• Examining The Limits Of Current IT & InformationManagement Technology: Balancing The Cost &Benefit Of Spending On Internal Infrastructure

• Improving Operational Efficiency: Assessing TheValue Of Outsourcing & Offshoring

• Exploring The Opportunities Technological AdvancesOffer For Improved Risk Measurement &Management

Please contact Rustum Bharucha on +44 (0) 20 7017 7225 or [email protected] Kim Griffith on + 1 646 616 [email protected] more details

18.00


18.10


10.40

The Survival Guide To The Black SwanWorld: How To Build A Robust Tail RiskManagement Framework To Survive TheNext Black Swan Event• Why focus on the tail risk management matters in

new regulatory environment • Understanding the “unknown unknowns” • Implementing the tail risk management framework • Risk appetite and black swans • Vital components for managing tail risks

Evgueni IvantsovHead Of Portfolio Risk & StrategyHSBCEvgueni Ivantsov is the Head of Portfolio Risk &Strategy at HSBC. In this role, he is responsiblefor development and implementation of theenterprise-wide risk management approach for

European region which covers all major risks as well as forimplementation of strategic solutions to ensure the improvement ofthe portfolio risk/return profile across key customer groups. Inparticular, he is in charge of the development of the Risk Appetiteframework and portfolio stress testing. As a member of the CreditRisk Oversight Committee and European Portfolio Crisis PlanningCommittee, he is also involved in the decision-making process instrategic risk areas. In addition, Evgueni is a member of TheEconomist magazine Advisory Board for European Capital Markets.Prior to his current role, Evgueni was the Head of Global Analytics atHSBC. Prior to HSBC, Evgueni worked for ING Group as a SeniorManager of Credit Portfolio Group and for BBL (Banque BruxellesLambert) as a Senior Analyst of Large Corporate Rating Agency.Evgueni holds an MBA degree and a Ph.D. in Economics.

11.20

Connecting Risk Appetite To StrategicPlanning, Policies, Governance & BusinessDecision-Making• Risk exposures consistent with

- Strategy- Earnings objectives- Risk appetite- Capital- Ratings- Regulators- Stress testing

• All risk is not the same: the link between riskappetite and value creation

• Decisions at Risk (DAR)• Governance

Joseph V. RizziSenior Investment StrategistCAPGEN FINANCIALJoseph Rizzi is Senior Investment Strategist forCapGen Financial, a private equity firm focusingon financial institutions. Prior to that, he workedat ABN AMRO for a number of years in both the

U.S. and Holland in the areas of risk management, structuredfinance, acquisition finance and asset liability management. Theauthor of numerous articles on lending, risk management, andfinancial accounting, he is also a frequent lecturer to academic andprofessional groups. He holds a BA degree (summa cum laude)from DePaul University, a MBA from University of Chicago, and aJD degree from Notre Dame University Law School (magna cumlaude). See JoeRizzi.com for a complete list of publications andpresentations.

12.00

Best Practice In Managing Risk AppetiteAndres PortillaDeputy Director, Regulatory Affairs, IIFAndres joined the IIF, the global association of financial servicesfirms, in 2002 and was appointed to his current position as DeputyDirector of the Regulatory Department in 2008. In his current roleAndres is in charge of coordinating the work of various industrycommittees and working groups on a wide range of regulatoryissues including in particular regulatory capital and corporategovernance issues as well as conducting advocacy activities vis-à-vis the regulatory community on behalf of IIF members.

12.40



Including Meet The Speaker VIP LunchTables14.10

Optimum Balance Sheet Positioning ForPost-Recessionary Times

James Costa, Executive VicePresident, Head Of Enterprise CreditPortfolio Management, PNCFINANCIAL SERVICESJames Costa is responsible for providing broadportfolio oversight and development of capitalmanagement strategies for all credit exposures at

the bank. Jim came to PNC in 2010 from Risk Insight where hewas principal and founder. Risk Insight specialized in capitalallocation, portfolio management, hedging, and market research forregional banks and asset management firms. Prior to Risk InsightJim was Senior Vice President and Head of Credit Strategies atWachovia Bank. At Wachovia his primary responsibilities were thedevelopment and execution of enterprise wide credit strategiesacross Wachovia’s commercial, consumer and commercial realestate portfolios. As part of that effort, Jim chaired Wachovia’scredit portfolio committee and ran and developed the bank’s macrohedging program. Prior to joining Wachovia Jim held similar roles asboth line and risk officer at SunTrust Banks and FleetBostonFinancial where he developed credit portfolio managementfunctions and risk analytics teams to support Basel compliance. Hehas co-authored a book on public finance. He conducted hisdoctoral studies at the University of Minnesota where he was anadjunct professor of finance and economics.

14.50

Don’t Let A Good Crisis Go To Waste! • How the skills and attributes of risk management professionals

have evolved over the past 25 years • What will make a successful risk manager going forward • How to build a risk management team to meet future

opportunities Nancy Loucks, EVP, Enterprise Risk ManagementSTATE STREETState Street’s Enterprise Risk Management’s programs aredesigned to identify, assess, measure, manage, control, and reporton State Street’s risk exposures globally. Ms. Loucks’ recentactivities have focused on risk management governance andprogram evolution in the wake of recent market events. Ms. Loucksserves on a number of corporate risk management committees atState Street as well as a number of affiliate bank boards.

15.30 Afternoon Tea

16.00

Systemic Risk: How To Avoid MakingRegulation Counterproductive? A DualResponsibility For Banks & Regulators ToGet It RightBarbara Frohn, Managing DirectorGRUPO SANTANDERBio available on pg. 5

16.40

Designing & Implementing CoherentRecovery & Resolution Plans• Latest developments on bail ins • Bail ins in context of recovery and resolution plans • Outlook for banking financial structure

Martyn Hoccom, Head Of StrategyRBS TREASURYMartyn Hoccom is the Head of Strategy at RBSTreasury. His major focus is on the businessimpacts of the changing regulatory and marketsenvironment. Martyn has spent his career inasset and liability management in a number ofmajor financial institutions.

17.20

CONTINGENT CAPITALExamining The Potential Market Impact OfThe Current Regulatory ProposalsSurrounding Contingent CapitalDonna Howe, CFA, Executive Vice President &Chief Risk Officer, HIMCODonna is an Executive Vice President and Chief Risk Officer. She isa member of the senior leadership team and is responsible formanaging the firm’s risk management team and overseeing therisk management process for all client portfolios. Donna brings tous significant experience in multiple aspects of risk management.

Prior to joining the firm in 2010, she founded Windbeam RiskAdvisory, where as CEO she offered strategic risk advisoryservices to new business initiatives and the design andimplementation of risk management frameworks. Prior to launchingWindbeam, Donna was Global Hedge Fund Risk Manager/Managing Director with UBS AG in Stamford, CT. She has alsoserved as Chief Risk Officer for Angelo, Gordon & Co. in New York,as well as both Chief Risk Officer and Head of Market Risk fordivisions of ABN AMRO Bank and as Deputy Head of Market Riskfor Deutsche Bank. Donna is the author of A Guide to ManagingInterest-Rate Risk (1991) and a member of the Board of Directorsfor the Global Association of Risk Professionals. She teachesoccasionally at Rutgers, New York University’s Stern BusinessSchool and New York University’s Graduate School of Economics.

18.00

Audience Q&A & Industry Round Up18.10



08.35


08.40

GUEST ACADEMIC ADDRESSDodd-Frank & Keeping Up With Innovation

Henry Hu, Allan Shivers Chair In TheLaw Of Banking & Finance,UNIVERSITY OF TEXAS LAWSCHOOLProfessor Henry T. C. Hu holds the Allan ShiversChair in the Law of Banking and Finance at theUniversity of Texas Law School. In September

2009, Securities and Exchange Commission Chairman Mary L.Schapiro appointed him the inaugural Director of the Division ofRisk, Strategy, and Financial Innovation. The first new Division in 37years, "Risk Fin" was created to provide sophisticated,interdisciplinary analysis across the entire spectrum of SECactivities, including policymaking, rulemaking, enforcement, andexaminations. He returned to academia in January 2011. Interestedin an interdisciplinary approach to financial innovation and complexcapital market and corporate governance issues generally, he haswritten on asset allocation; bank, derivatives, hedge fund, andmutual fund regulation; corporate control and disclosure; creditor,derivatives dealer, managerial, shareholder, and trader behavior;debt, equity, and hybrid "decoupling" through credit default swaps,equity swaps, securitization, and other means; director fiduciaryduties; investor illiteracy; model risk; risk management; systemicrisk; "time diversification"; and Warren Buffett. The writings haveappeared in law reviews (e.g., Columbia Law Review, University ofPennsylvania Law Review, and Yale Law Journal), finance andspecialist journals (e.g., European Financial Management, Journalof Applied Corporate Finance, and Risk), and newspapers (e.g.,Financial Times, New York Times, and Wall Street Journal).

09.20

THE RI$KMINDS 2011‘FINANCIAL MINDS’

THINKTANKDetermining The New Blueprint For

Financial EngineeringQuantitative Models Vs QualitativeJudgement: Is there Room For BothApproaches In The New Risk World?Enrico Piotto, Managing Director, UBSEnrico Piotto is a Managing Director in UBS. After several roles in riskcontrol in UBS he now holds a dual responsibility as Global Head ofCertification of risk models and Head of firm-wide stress test.

Evan Picoult, Managing Director, RiskArchitecture, CITI & Adjunct ProfessorCOLUMBIA BUSINESS SCHOOL Bio available on pg. 5

John Hull, Maple Financial ProfessorOf Derivatives & Risk Management,UNIVERSITY OF TORONTOJohn Hull is an internationally recognized authorityon derivatives and has many publications in thatarea. Recently his research has been concernedwith credit risk, executive stock options, volatilitysurfaces, market risk, and interest rate

derivatives. He was, with Alan White, one of the winners of theNikko-LOR research competition for his work on the Hull- Whiteinterest rate model. He has written three books “RiskManagement 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 fifthedition). The books have been translated into many languages andare widely used in trading rooms throughout the world. He haswon many teaching awards, including University of Toronto'sprestigious Northrop Frye award, and was voted Financial Engineerof the Year in 1999 by the International Association of FinancialEngineers.


10.30

More Credit With Fewer Crises Max Neukirchen, PartnerMCKINSEY & COMPANY

11.10

Managing & Capitalising Exposure ToCentral CounterpartiesAhmet Yetis, Director, BARCLAYS CAPITALBio available on pg. 5

11.50

Risk Management In Private EquityKen Abbott, Managing Director &Chief Operating Officer, Market Risk,MORGAN STANLEYKen Abbott is a Managing Director at MorganStanley in New York, where he is Chief OperatingOfficer for the Market Risk Department. Inaddition, he also supervises the reporting, capital,

and scenario processes and is responsible for the legal entity riskmanagement for Morgan Stanley's US broker dealer and nationalbank. Previously, he ran market risk management for Bank ofAmerica’s Investment Bank. He has over 25 years’ bankingexperience, including 14 years at Bankers Trust as an analyst, trader,and risk manager.

12.30

Q&A & Audience Round Up12.40 Lunch & Networking Break

14.00

Pricing Corporate Loans & Revolving CreditLines• Introduction – the need for loan pricing models • Challenges in pricing and managing loan portfolios • Model for pricing term loans and revolving credit

lines • Risk management of loan portfolios • Other applicationsTerry BenzschawelManaging Director, Bond Portfolio AnalysisCITI INSTITUTIONAL CLIENTS GROUPBio available on pg. 8

14.40

Better Understanding The Risk Profile OfYour Credit Portfolio & How Market EventsWill Impact It?• Understanding your jump risk• How correlated is your portfolio?• Concentration risk and conditional market risk• Portfolio stress tests• Wrong way risk

Anders Wulff-AndersonHead Of Counterparty Credit RiskAnalytics, Risk ControlUBS INVESTMENT BANKAnders is head of Counterparty Credit RiskAnalytics, Risk Control at UBS Investment Bank.He was previously head of Risk Methodology

Model Development and before that he held various senior roles inthe risk methodology area.

15.20

Advanced Techniques For Valuing &Measuring The Risk Of Structured FinancePortfoliosDan Rosen, CEO, R2 FINANCIALTECHNOLOGIES & Adjunct ProfessorUNIVERSITY OF TORONTODr. Rosen acts as an advisor to institutions around the world andlectures extensively on valuation of structured finance andderivatives; counterparty credit risk; risk management; andeconomic and regulatory capital. He has authored numerous riskmanagement and financial engineering publications, and serves onthe editorial board of several industrial and academic journals. Priorto founding R2 in 2006, he was at Algorithmics, where hadresponsibility for variety of functions including research andfinancial engineering, strategy and business development, andproduct marketing. In 2010, Dr. Rosen was inducted a fellow of theFields Institute for Research in Mathematical Sciences. He holds aPh.D. from the University of Toronto.

16.00 Afternoon Tea

16.30

EXTENDED SESSIONThe Evaluation Of CVA & DVA RiskJohn Hull, Maple Financial Professor OfDerivatives & Risk ManagementUNIVERSITY OF TORONTOBio available on pg. 9

Stream D: Strategic Risk Management In The New

Regulatory Environment

Main ConferenceDay 3

Thursday June 16, 2011

Stream A: Modelling & Integrating Credit &

Market Risk



10

17.50


10.30

Assessing The Progress Towards DevelopingEnterprise-Wide Stress Tests For A MoreHolistic Picture of Portfolio Risk: ASupervisor’s View• Supervisory expectations for enterprise-wide stress

testing• Assessing the stress scenarios• Assessing the income and capital forecasts• Remaining areas of uncertainties• The final goal of the process

Mike Carhill, Director, Enterprise Risk Analysis DivisionOFFICE OF THE COMPTROLLER OFTHE CURRENCYMike Carhill is the Director in of the EnterpriseRisk Analysis Division (ERAD) of the Office of theComptroller of the Currency. ERAD employs

quantitative modeling experts who specialize in aggregating thevarious sources of risk to advise bank examiners, bankers, andpolicy makers on the state of the art in risk-management-information systems at the enterprise level. Mike joined the OCCas a staff economist in 1991, and became Deputy Director forMarket Risk Modeling from 1995-2003. He received a Ph.D. ineconomics in May 1988 from Washington University.

11.10

Developing A Robust Enterprise-Wide StressTesting Framework: Understanding HowScenarios Will Impact The Bank As A Whole• Implementing a portfolio wide-stress testing• Integrated scenarios for market and credit risk scenarios• Consistent choice of macro-economic views• Evaluating the stress testings exercises from FED and

CEBS from a portfolio risk management point of viewLudger Overbeck, Head Of Quantitative CreditPortfolio Management, COMMERZBANK& Professor Of Mathematics, UNIVERSITY OF GIESSENSince June 2003, Ludger Overbeck has held a Professorship ofMathematics and its Application at the University of Giessen inGermany. His main academic interests are Quantitative Methods inFinance and Risk Management and Stochastic Analysis. As ofJanuary 2007 he also began consulting for Commerzbank as theHead Of Quantitative Credit Portfolio Management. In this role, heis responsible for all quantitative aspects, including integratedportfolio modelling (Market and Credit Risk), formulation of the riskaversion and tolerance, riskreturn based performancemanagement, optimization, hedge decisions (micro- and macrohedges) and transaction and loan pricing. In his professional careerbefore 2003 he held many positions mainly in the area of Risk atDZ Bank, HypoVereinsbank and Deutsche Bank.

11.50

Designing Effective Stress Tests To ModelHow Macroeconomic Factors Will ImpactYour PortfolioEnrico Piotto, Managing Director, UBSBio available on pg. 9

12.30



14.00

Constructing Bottom-Up & Top-DownScenarios To Test What Will Break The BankEvan Sekeris, Assistant Vice President, BankSupervision & Regulation DepartmentFEDERAL RESERVE BANK OF RICHMONDBio available on pg. 5

14.40

Achieving Credit Stress Test ConsistencyAcross Global Businesses: Theory &Practice• Creating consistency in the understanding of credit

stress testing across global businesses• Analyzing the impact of market feedback, credit

cycles, crises and uncertainty on portfolio losses• Quantifying extreme events for stress testing and

what-if analysis. From theory to practice.Jorge Sobehart, Managing Director,Credit & Operational Risk Analytics,CITIJorge Sobehart leads the probabilisticassessment of credit risk capital for wholesaleexposures, and the development of stress testingand advanced portfolio risk models. Previously,

he was a member of Moody's Senior Standing Committee onQuantitative Tools and Vice President/Senior Analyst in Moody'sRisk Management Services, where he developed default riskmodels and their model validation framework. He also acted asreviewer for many technical journals.

15.20

Managing & Quantifying Model Risk: HowCan We Design A Framework To Measure &Manage Model Risk? How Much CapitalShould We Allocate To Uncertainty AroundModels?Speaker tbc

16.00 Afternoon Tea

16.30

EXTENDED SESSIONThe Evaluation Of CVA & DVA RiskJohn Hull, Maple Financial Professor OfDerivatives & Risk ManagementUNIVERSITY OF TORONTO Bio available on pg. 9

17.50


10.30

Operational Risk & The Recent FinancialCrisis: A Basel Perspective

Mitsutoshi Adachi, Chair, SIGOperational Risk Subgroup, BASELCOMMITTEE & Director & DeputyDivision Chief, Examination PlanningDivision Financial Systems & BankExamination DepartmentBANK OF JAPAN

Mitsutoshi M. Adachi has been a Director and Deputy DivisionChief of the Examination Planning Division, the Financial Systemsand Bank Examination Department of the Bank of Japan. HisDivision is responsible for policy development and review ofexaminations and implementation of global supervisory standardsfor large and complex financial institutions. Mr. Adachi has a longcareer as a financial supervisor and a global macro-economist. Hisspecialization includes financial risk management, and analysis ofcentral European economies and emerging Asia. He has extensiveinternational experience, starting with as a working group memberof the Euro-currency Standing Committee during 1996-97. Since2008, he has represented the BoJ in two groups of the BaselCommittee on Banking Supervision. He has been the Chairman ofthe SIG Operational Risk Subgroups since May 2010. Prior to thecurrent assignment, Mr. Adachi has served as economist at PolicyDevelopment and Review Department of the InternationalMonetary Fund (IMF) during 2000-03, and participated in variouscountry missions to central Europe and Asia as well as working onprogram surveillance of member countries. He was a senioreconomist at the Institute of International Finance (IIF) during 2005-08, and also served as the liaison between the IIF and Japanesemember firms. He did graduate work on game theory andindustrial organization at Boston University receiving a Doctor ofPhilosophy degree in 1996. He has published in leadingprofessional journals including the European Economic Review(now the Journal of the European Economic Association) and theJournal of Comparative Economics.

11.10

Implications Of The Recent & UpcomingRegulatory Changes For Operational RiskPhilippa GirlingChief Of Staff Of Operational RiskMORGAN STANLEYPhilippa has 15 years’ experience in the global securities industry,working in the fields of operational risk, change management andproject management. Ms. Girling has also designed and led manytraining programs, including an Operational Risk ExecutiveEducation program for Columbia University, NYC. She was selectedas one of the top fifty faces of operational risk by Operational Riskand Compliance magazine. Previously, she headed the Banking andFinancial Services practice at the law firm Garrity, Graham, Murphy,Garofalo and Flinn, P.C. Prior to that she was Global Co-Head ofOperational Risk Management at Nomura. Before joining Nomura,Ms. Girling spent nearly 10 years at Morgan Stanley in several rolesincluding program director of the Operational Risk function andCOO of the Global Financial Control Group.

11.50

PANEL DISCUSSIONExploring How Boundaries Between Op Risk& Other Risk Factors Are Blurring: How HaveRecent Market Events Impacted How WeNow View & Manage Op Risk?

Marcelo Cruz, Global Head OfOperational Risk Analytics,MORGAN STANLEYMarcelo Cruz, Global Head of Operational RiskAnalytics at Morgan Stanley. Before he was anassociate partner at McKinsey & Co. and was theGroup Chief Risk Officer of Aviva plc, the 5th

largest insurer in the world. Prior to that, he led operational risk atLehman Brothers and UBS and for 4 years run his own boutiqueconsulting firm. He was a derivatives trader at JP Morgan formany years before moving to risk management. He holds a PhD inMathematics from the Imperial College in London a M.Sc. inFinance and MBA and a B.Sc. in Economics. He is also an adjunctprofessor at NYU and Columbia and wrote a number of books andarticles. One of his books, “Modeling, Measuring and HedgingOperational Risk” is a best seller in risk management.

Patrick de Fontnouvelle, VicePresident, Supervision, Regulation &Credit Department, FEDERALRESERVE BANK OF BOSTONPatrick de Fontnouvelle is a Vice President in theSupervision, Regulation and Credit Department atthe Federal Reserve Bank of Boston. As head of

the Bank’s Risk and Policy Analysis Unit, Mr. de Fontnouvelle’sresponsibilities include: risk modeling and capital planning,economic research, accounting policy, Money Market Fund policyissues, and Basel II implementation. He has had a longstandinginterest in operational and reputational risks, and is currentlyundertaking research on banks’ dividend policies during the recentfinancial crisis. Previously, Mr. de Fontnouvelle held positions as aFinancial Economist with the U.S. Securities and ExchangeCommission and with General Electric Corporation. He has alsotaught economics as an Assistant Professor at Iowa StateUniversity. Mr. de Fontnouvelle has a Ph.D. in economics.

12.30



14.00

Strategies For Building A System ToAggregate Risk Across The Enterprise ToProvide A Holistic View Of Risk & MeetRegulatory RequirementsSpeaker tbc

14.40

Overcoming The Limits Of LDA Models:Assessing The Progress Towards MoreResponsive & Transparent SecondGeneration Models• How to bring operational risk to the same level of

market and credit risks• The multiple versions of LDAs available in the

industry• Developing a database that helps proactive risk

management• How to aggregate all types of data in a single

measureMarcelo CruzGlobal Head Of Operational Risk Analytics,MORGAN STANLEYBio available above

15.20

Ensuring The Risk & Control Self-Assessment (RCSA) Remains Relevant,Effective & Worthwhile: What Lessons DoPrevious Failures In Risk Management HaveTo Teach Us?

Chris ThompsonSenior ExecutiveACCENTUREChris Thompson is a senior executive atAccenture, leading its Risk Management practicein North America, and its Banking Risk offeringsglobally. Mr. Thompson has nearly 20 years of

experience in large-scale finance and risk change programs, workingwith some of the world’s leading retail, commercial and investmentbanks. He started his career in London, and after 10 years relocatedto Accenture’s New York Office, where he has been since 2001.Chris specializes in financial architectures, control, operating modelsand performance management. He has deep expertise inRegulatory Reform, Risk Culture, Operational Risk, Fraud andFinancial Crime. Chris has a masters degree in engineering fromSouthampton University, England. He is based in New York.

16.00 Afternoon Tea

16.30

Innovations In Risk CultureAlexis KrivkovichAssociate PrincipalMCKINSEY & COMPANY

17.10

Using Shifted Distributions In ComputingOperational Risk Capital

Ilya RozenfeldLead Quantitative AnalystCITIZENS BANKSince 2007 Ilya Rozenfeld has worked as LeadQuantitative Analyst at Citizens Bank. In this rolehe has developed methodologies and applicationsfor estimating Operational and Credit Risk

economic capital and company-wide stress testing. Prior to this heworked as a Senior Systems Engineer at Raytheon Company. Heholds a PhD in Applied Mathematics from Rensselaer PolytechnicInstitute.

17.50


10.30

Practical Approaches To DevelopingEffective Buyside Risk ManagementTom Donahoe, Global Chief Risk OfficerALADDIN CAPITAL HOLDINGSBio available on pg. 7

11.10

Designing A Buyside Stress TestingProgramme To Facilitate Smart Risk-TakingAt The Portfolio Level

Jacques LongerstaeyChief Risk OfficerSTATE STREET GLOBAL ADVISORSJacques M. Longerstaey is an executive vicepresident and chief risk officer of State StreetGlobal Advisors (SSgA). Prior to joining SSgA inApril 2008, Mr. Longerstaey was managing

director and head of the Risk & Portfolio Analysis Group (RPAG) atPutnam Investments. This group had oversight over investmentrisk, counterparty credit as well as operational risk across the fundcomplex. It was also responsible for providing performanceattribution and other analyses to both internal and external clients.Prior to joining Putnam in November 2003, Mr. Longerstaey wasco-head of the risk management group at Goldman Sachs AssetManagement. From 1987 to 1998, he held various positions at J.P.Morgan and Co., including economist and fixed income researcherfor the Benelux region, head of the Bond Index Group andoriginator of the RiskMetrics Value at Risk methodology. Mr.Longerstaey holds a Licence en Sciences Economiques from theUniversity of Louvain in Belgium. He is a member of the board oftrustees and the executive committee of the Global Association ofRisk Professionals (GARP).

11.50

Defining The Optimal Blend Of ERM ForFinance And Risk Management, Where DoesOne Begin And The Other End?

Lori Evangel, Senior Vice President,Enterprise Risk Management,METLIFEIn November 2008, Lori M. Evangel assumedresponsibility for all Enterprise Risk Managementreporting to the Chief Risk Officer. Prior to that,Lori was the Credit Risk Officer of MetLife, Inc.,

is responsible for the monitoring, analysis, and management of riskfor the enterprise. The various aspects of risk covered include:credit risk, derivatives, economic capital, governance & policy,market risk, and operational risk. Lori has expanded globalresponsibilities, consisting of both Home Office and Regional Riskfunctions. She joined MetLife in May 2007. Prior to joining MetLife,Lori was a Managing Director for MBIA Insurance Corporation andwas most recently Group Head of Portfolio Management andMarket Risk. Lori began her career at Moody’s Investors Service inthe asset-backed finance group.

12.30



14.00

Developing An Emerging Risk Program ThatEnables Effective Identification Of EmergingRisks, Assesses Probability Of Impact AndFacilitates Business Decision-MakingBrenda Boultwood, Senior Vice President, ChiefRisk Officer, CONSTELLATION ENERGYBrenda Boultwood leads risk management activities forConstellation Energy and its businesses, including defining andassessing enterprise-wide business risks and facilitating proactivedecision-making to effectively manage the risks associated witheach business line. Prior to joining Constellation Energy, Boultwoodmost recently served as global head of strategy, AlternativeInvestment Services for J.P. Morgan Chase & Company. During hertenure at J.P. Morgan Chase, she also served as global head,strategic risk management for its Treasury Services group and asglobal business head, Global Derivative Services of its AlternativeInvestment Services group. Prior to this, she held risk managementpositions with Bank One Corporation, having served as head,corporate market risk management and head, corporate operationalrisk management and then advancing to head, global riskmanagement for its Global Treasury Services group. Boultwood alsoworked with PricewaterhouseCoopers as a senior manager and wasemployed with Chemical Bank Corporation as a financialengineering associate. In addition, she spent six years teaching inthe University of Maryland’s Master of Business Administrationprogram. She has a Ph.D. in economics.

14.40

Designing A Process For The Introduction OfNew Products, Processes And ActivitiesThat Adequately Factors In Enterprise WideImplicationsSarah Collins, Senior Risk Management OfficerDreyfus CorporationHer responsibilities include coordinating the completion of risk andcontrol self-assessments, establishing and monitoring key riskindicators, money market fund stress testing, and reviewingselected processes and new products to improve controls andstrengthen defenses against fraud and errors. Ms. Collins hasbeen with Dreyfus since October 2001, where she created theinvestment risk analysis function. She has worked in a variety ofaccounting, finance, credit, and risk management roles for morethan 30 years. With Mellon Bank since 1986, Ms. Collins hasserved as Controller, as Head of Credit Review, Chief ComplianceOfficer, and as both Chief Risk Management Officer and Chief

Stream B: New Advances In Stress Testing

& Model Risk

Stream C: The Latest Thinking In Operational &

Business Risk

Stream D: Cutting-Edge Innovations In Investment

Risk Management

Thursday, June 16, 2011

MAIN CONFERENCE DAY THREEINNOVATIONS IN STRATEGIC & PRACTICAL RISK MANAGEMENT

DAY 3



Thursday, June 16, 2011

MAIN CONFERENCE DAY THREEFriday June 17, 2011

THE BUYSIDE RISK MANAGEMENT SUMMIT

DAY 3

11

Financial Officer for Mellon’s asset management, custody, andprivate wealth businesses. Ms. Collins began her career as aForeign Service Officer for the U.S. Department of State. She hasheld financial positions at Touche Ross & Co., The PMI Group, andBankAmerica Corporation where she headed Financial Accounting,Reporting, and Systems. She is a founding member and currentofficer of the Buy Side Risk Managers Forum and serves on theICI’s Risk Management Committee.

RISK MANAGING GLOBALMANDATES

Can The Risk Of Currency & CorrelationVolatility Be Managed By Customizing TheExisting Risk Management Framework OrDoes It Require A Paradigm Shift In RiskManagement Infrastructure?

Maurizio Ferconi, ManagingDirector, Head of RiskMethodologies, BLACKROCKMaurizio Ferconi is the Head of RiskMethodologies at BlackRock. In his role he isresponsible for the development of the riskmodels and analytics. He is also responsible for

the risk in the passive, business and a number of hedge funds. Priorhe was with Barclays Global Investors, where he was the globalhead of investment risk. Before BGI he was heading the FinancialEngineering Department at Putnam Investments. He earned a PhDin Physics and is a member of the Advisory Board for the Master ofFinancial Engineering at the University of California at Berkeley.

16.00 Afternoon Tea

16.30

Integrating Macro-Economic Date WithModels For Forward Looking PortfolioAnalysis

James Purnell, Chief Risk OfficerKENMARAt Kenmar, James E. Purnell is responsible forinvestment analytics and portfolio/riskmanagement and collaborates on manager duediligence and analytics. Mr. Purnell is a memberof the Investment Committee and the

OperationsCommittee. He joined Kenmar in 2010. Mr. Purnell hashad 20 years of capital markets experience, including seven yearsat Dresdner Bank in their Alternative Investment Group where herisk managed and structured the US hedge fund linked structuredproducts portfolio. Immediately prior to Dresdner, James was aDirector at Swiss Re and then Natixis, modeling insurance andcapital market convergence structures. After leaving Dresdner inmid-2008, James joined Tremont Capital Management as Head ofRisk Management. During James’ time at Tremont, he co-executed the liquidation of their fund of hedge funds portfolio. Heis an Adjunct Professor of Finance at Pace University.

17.10

Combining Fundamental Factor AnalysisWith Qualitative Evaluation Of The MacroEnvironment For Effective Risk ManagementOf Alternative Asset Class PortfoliosSpeaker tbc

17.50

Q&A and chairman’s closing remarks


08.30


09.00

PROACTIVE BUYSIDE RISKMANAGEMENT

Creating A Culture That Promotes ProactiveRisk Management As A Key Determinant InThe Portfolio Management ProcessPhilip Best, Chief Risk Officer, THREADNEEDLEPhilip Best joined Threadneedle in 2007 as our Chief Risk Officerand head of the Quantitative Research team, responsible formeasuring, monitoring and reporting investment risk. He hasworked on financial markets risk since 1985, and in 1998 publishedone of the first books on VAR, Implementing Value at Risk.

09.30

Where Is The Next Opportunity/ ArbitrageWith Good Risk Adjusted Returns?Marc Galligan, Chief Risk Officer, ZAIS GROUPMarc Galligan is the Chief Risk Officer at ZAIS. In addition to riskmanagement, Marc is responsible for firmwide valuations and theMiddle-Office operations in Red Bank. Marc has over 30 years’experience in the credit markets. He joined ZAIS from Bear Stearnswhere he was responsible for Credit Trading Risk management,including cash and synthetic trading risk as well as LeverageFinance. Prior to Bear Stearns, Marc worked briefly at Moody’s as asenior analyst and spent 18 years in a variety of credit andinvestment banking roles at the First National Bank of Boston andThe Chase Manhattan Bank.

10.00

Examining The Impact Of Price On RiskMost risk management is done in terms of pricechanges, for example, you worry about your positionsgoing down 10%. But there is clearly more risk buyingsomething at the highest price ever recorded for it, thanbuying it at a normal price. It’s easy to miss this in riskmanagement, and think that something that has gone upsteadily in the recent past is safe; when in fact it may bethe most dangerous thing.Aaron Brown, Chief Risk Officer, AQR CAPITALBio available on pg. 7

10.30

NEW FOUNDATIONS FORSTRESS TESTING

Incorporating Key Macro Trends Into Risk &Valuation Models

Dave Williams, Senior DirectorS&P VALUATION AND RISKSTRATEGIESDave Williams is the Senior Director and head ofthe Solutions Architects team at S&P Valuationand Risk Strategies. The SA team providesthought leadership and solutions strategies to

clients and markets as well as analytical expertise in developingmethodologies and cross-product, cross-asset solutions for theValuations and Risk Strategies group. Prior to his current position,Dave served as global head of the Structured Finance Platform atS&P Valuation and Risk Strategies, which includes the ABSXchangeand Analytics-on-Demand (AOD) products. In that role, his teamalso provided consulting services around valuation, bondadministration, tax, and accounting. Dave brings 16 years ofindustry experience to his position. He was a member of the teamthat, over a 12 year period, built up IMAKE Consulting, Inc. whichwas then acquired by S&P. His responsibilities at IMAKE rangedfrom developing the analytics behind the ABSXchange and AODapplications to working directly with clients on valuation and otherservices. Dave received his B.S. degree in economics from theUnited States Military Academy at West Point, an MBA from theUniversity of Hawaii with a focus in International Finance, and hasbeen a Chartered Financial Analyst (CFA) since 1999.


11.30

Practical Approaches To DevelopingEffective Buyside Risk ManagementJacques Busquet, Chief Risk Officer, NATIXISUS CORPORATE AND INVESTMENT BANKINGMr. Busquet joined Natixis US Corporate and Investment Bankingas Chief Risk Officer in April 2008. Prior to Natixis he spent 20years with Calyon (formerly Crédit Lyonnais) in various positionsincluding Senior Vice President and Manager of the MerchantBanking Division and, most recently, Executive Vice President andmember of the Executive Committee. Mr. Busquet holds MBAdegrees from Wharton and HEC, France.

12.00

DATA AGGREGATIONData Aggregation Across Multi ManagerAlternative Asset PortfoliosR. Kelsey Biggers, Managing Director Of RiskManagement, K2 ADVISORSR. Kelsey Biggers has worked in financial services and institutionalinvesting since 1983. In April 2002, Mr. Biggers joined K2 Advisors,a Fund of Hedge Funds headquartered in Stamford Connecticutwith $7.5 billion under management. He is responsible for riskmanagement and Information Technology and sits on theManagement committee.

12.30

MEASURING MARKET RISKChoosing The Tools & Developing TheProcesses - The Art & Science Of MarketRisk ManagementMark Connors, Head Of Fixed Income Risk,DIAMONDBACK CAPITAL MANAGEMENT, LLCMark Connors is Diamondback’s Head of Fixed Income Risk. Priorto Diamondback, Mr. Connors was the Head Risk Officer forStrategic Value Partners LLC’s global credit strategies andresponsible for the implementation and oversight of riskmanagement portfolio and counterparty procedures and reporting.Prior to joining Strategic Value Partners, Mr. Connors co-foundedMaystone Partners LLC, a capital structure arbitrage fund where hecreated and implemented the risk architecture. Prior to Maystone,he was with CIBC World Markets managing the capital structurearbitrage strategy and co-managing the high yield credit hedgebook. Prior to CIBC, Mr. Connors worked in institutional convertiblesales for CRT Capital Group and Alex. Brown & Sons Inc. Mr.Connors received his BA in English from the University of Virginia.

13.00 Networking Lunch & VIP Roundtables

14.00

SPECIAL ACADEMIC ADDRESSON LIQUIDITY RISK

What Happens When Liquidity Dries Up? Professor Mila Getmansky Sherman, AssistantProfessor Of Finance, ISENBERG SCHOOL OFMANAGEMENT, UNIVERSITY OFMASSACHUSETTS AMHERSTMila Getmansky Sherman is an Assistant Professor of Finance atthe Isenberg School of Management, UMASS-Amherst. Shespecializes in empirical asset pricing, hedge funds, performance ofinvestment trading strategies, and system dynamics. Shepublished in the Journal of Financial Economics, Review ofFinancial Studies, Journal of Investment Management, and Journalof Alternative Investments, as well as contributed to half a dozenbooks and book chapters. Professor Getmansky Sherman is anAssociate Editor of the Journal of Alternative Investments. She is arecipient of numerous awards and grants from the Q-Group,National Bureau of Economic Research, Inquire-Europe, andNational Science Foundation, and a recipient of the CollegeOutstanding Research Award. Professor Getmansky Shermanteaches courses in corporate finance and financial modeling inMBA and undergraduate programs.

14.30

Measuring & Managing The Risk Of ComplexIlliquid Portfolios & EventsSpeaker tbc

15.00 Afternoon Tea

15.30

STRESS TESTING FORASSET MANAGERS

Determining Appropriate Scenarios &Parameters To Stress Test InvestmentPortfolios & Enable Smart Risk Taking At ThePortfolio LevelAttilio Meucci, Chief Risk Officer, KEPOSCAPITAL & Adjunct Professor - Master's inFinancial Engineering, BARUCH COLLEGE, CUNYAttilio Meucci is the chief risk officer at Kepos Capital LP.Concurrently he is adjunct professor at the Master's in FinancialEngineering - Baruch College - CUNY, where he teaches theintensive Advanced Risk and Portfolio Management bootcamp.Previously, Attilio was the head of research at ALPHA, BloombergL.P.'s portfolio analytics and risk platform; a researcher at POINT,Lehman Brothers' portfolio analytics and risk platform; a trader atthe hedge fund Relative Value International; and a consultant atBain & Co, a strategic consulting firm. Concurrently he taught atColumbia, NYU-Courant, and Bocconi University. Attilio is theauthor of Risk and Asset Allocation and numerous otherpublications in practitioners and academic journals. He holds a BAsumma cum laude in Physics from the University of Milan, a MA inEconomics from Bocconi University, a PhD in Mathematics fromthe University of Milan and he is CFA chartholder. Attilio is fluent insix languages and loves physical activity in the outdoors.If you would like to know more, you can visit www.symmys.com

16.00

OPTIMIZING RISK TAKING Developing A Risk Management PlatformThat Effectively Evaluates Macro Events ToFacilitate Efficient & Effective Risk TakingAcross An Investment PortfolioSteven Posner, Risk Manager, IKOS

16.30

The Ri$kMinds USA Buyside Champagne Roundtables

5 Whole Days OfThe Latest Innovations In Bank,Insurance & Investment RiskManagementHear insights into stress testing, creditrisk, liquidity risk, regulation, risktechnology and much more.

The CROThought Leadership ForumHear insights from 30+ CROs, plusleading academics and economists,as they discuss the key strategic riskissues.

MORE Speakers, MORE SessionsAnd MORE New Research Learnfrom 100+ leading risk practitioners,regulators & academics.

MORE Time To Network &Benchmark Your Risk ExperiencesDiscuss key issues with 350+ globalrisk practitioners in informal sessionssuch as ‘Meet The Speaker’ lunchtables, champagne roundtables andnetworking cocktail receptions.

But Don’t Just Take Our Word ForIt. Hear What These Leading Risk

Experts Have To Say AboutRi$kMinds USA

"A Great Opportunity To DiscussThe Key Topics Impacting The

Risk Management Industry Today"

Stephan Schoess, First Vice PresidentChief Economist, OCC

"RiskMinds Offers GreatNetworking Opportunities At ATime When Learning From YourIndustry Peers Is So Essential"

Tamar JouliaHead Of Credit Portfolio Group

ING

The Buyside Risk ManagementSummit

Friday June 17, 2011

NEW FOR 2011

NEW FOR 2011


• Showcase your company’s expertise or introduce yourkey talent to the market with a sponsoredpresentation, moderator of a panel or involvement inan interactive discussion session in a key position onthe conference agenda.

• Demonstrate your company’s capabilities, increaseyour brand recognition and win new business bysecuring an exhibition stand or meeting space in theexchange area of the conference.

• Entertain new and existing clients whilst raising yourcompany profile by hosting a lunch or a social function.A great opportunity to introduce your team to themarket a more informal atmosphere.

• Get in touch with key clients before the event andcontinue the discussion with Risk Minds USA pre andpost-event branding, marketing and sales packages.The conference is marketed to Informa’s extensivenetworking of thousands of Risk professionals globally.

• Bring your team and your key clients to the event bysecuring discounted VIP conference passes. These arejust a few suggestions of how you can use the eventto raise your profile in the industry and secureprivileged networking opportunities with global projectsponsors, lenders and investors.

We would be pleased to design and create the rightcoverage to suit your specific marketing objectives andbudget.

For further information, please contact:In the UK – Rhustum Bharucha on +44 (0) 20 7017 7225or [email protected] the US – Kim Griffiths on +1 646 616 7638 [email protected]

WOULD YOU LIKE TO SHOWCASE YOUR THOUGHT LEADERSHIP AND EXPERTISE TO THIS SENIOR INDUSTRY AUDIENCE?

There are a number of opportunities at the event for you to showcase your expertise in this sector and gain access to the leading risk management professionals.

What Makes Ri$kMinds USA 2011

The Must-Attend Event For All Leading RiskPractitioners?


Principal Knowledge PartnerMcKinsey & Company is a global management consulting firm. For more than 75 years, ourmission has been to help our clients achieve distinctive, substantial, and lasting improvements intheir performance. We help companies worldwide to define their strategies, strengthen theirorganizations, and improve their operations. Our clients include more than half of the world’s top

200 companies. In Risk Management,McKinsey acts as prime counselor to clients in all industries, developing "end-to-end" risk management with tangible businessimpact, on topics ranging from strategic and financial risk management to credit, market, liquidity, commercial and operational risk management. We also serveclients on issues relating to the implementation and implications of regulation and on risk organization, governance and culture. As an institution privately owned byits partners, McKinsey remains completely independent.

SponsorsAccenture is a global management consulting, technology services and outsourcing company, with approximately 204,000 people serving clients in morethan 120 countries. Combining unparalleled experience, comprehensive capabilities across all industries and business functions, and extensive researchon the world’s 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. Its home page is www.accenture.com.

Quantitative Risk Management, with offices in Chicago, London, and Singapore, is the world's leading enterprise risk management consulting firm. Sinceour founding in 1987, QRM's vision has been to consistently provide expert analytics and risk management advice to financial institutions across theglobe. Today, we are the trusted financial risk consultancy of industry-leading organizations, with a track record of success under any economiccircumstance 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.

QRM’s Risk Framework™ combines the advice of a consulting firm, knowledge of a financial research firm, and models developed with the expertise ofan information technology company, to create a comprehensive foundation upon which a financial institution can build an enterprise risk management practice that includes marketand 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.

SEBA International is a global executive search firm serving clients in the Financial Services and Technology industries. Our focus is on positions in Risk &Finance, Strategy, Marketing, and Business Development. The Firm's Risk and Finance practice has been serving global financial services clients for over adecade. This niche recruitment specialty has allowed us to develop an unsurpassed knowledge of the risk management marketplace, which in turn, hastranslated into and continues to deliver faster results for our clients.

SEBA earns the loyalty of our clients through our ability to deliver outstanding results—not just once, but every time the best possible candidate is neededfor a strategically important position. Deep, trusted client relationships, complemented by extensive domain expertise and a global network, help us achieve close alignmentbetween companies and candidates to ensure long-term retention and continued success.

Well-known at the highest level of our profession, we’re the partner of choice for many of the world’s most respected organisations.

Standard & Poor's Valuation and Risk Strategies offers a portfolio of products and services that serve the global financial markets by providing financialmarket intelligence and analytic insight for risk-driven credit analysis. S&P Valuation and Risk Strategies provides market insight, credit information, andanalytical tools to help organizations evaluate the credit quality of counterparties and better manage credit risk.

SunGard’s Adaptiv provides enterprise-wide credit and market risk management and operations solutions for financial services institutions. Adaptivassists institutions of varying size and complexity to deploy technology to meet both internal and regulatory requirements for risk management andoperational control. Adaptiv helps financial services institutions from the banking, hedge fund, asset management, insurance and corporate sectors

with our deep understanding of risk management and operational processes. Email: [email protected] Visit www.sungard.com/enterpriserisk

USAwww.riskmindsusa.com 2011

Register By March 18th, 2011 & SAVE Up To $2100

Setting The Agenda For The Future Of Risk Management In The New Market & Regulatory EnvironmentCredit Risk ● Market Risk ● Operational Risk ● Liquidity Risk ● Stress Testing ● ERM ● Capital Management ● Modelling ● Strategic Risk Management

For The Latest Speaker, Programme & Event News Follow Us On

RiskMinds USA @RiskMinds #RMUS RiskMinds TV

To register: Tel: 888.670.8200 (US) or +1 941.951.7885 (Int’l) Fax: +1 941.365.2507 Email: [email protected] For latest agenda and to register: www.riskmindsusa.com

About Your Sponsors

RiskMINDS REG 2011_Risk Minds 07 22/02/2011 16:34 Page 2

50% off

DATES

1st Delegate: NameJob title DepartmentDirect Tel Mobile TelEmail Address Direct FaxI would like to receive information on future events & services via email. By giving you my email address I am giving ONLY IIR companies the permission to contact meby email.❑ Yes! I would like to receive info on future events & services via faxSignatureHd of Dept: Name Job title DepartmentDirect Tel Mobile TelEmail Address Direct Fax

Booking Contact: Name Job title DepartmentDirect Tel Mobile TelEmail Address Direct Fax

Person who will attend if I have to cancel:

NameJob title DepartmentDirect Tel Mobile TelEmail Address Direct Fax

2nd Delegate: NameJob title DepartmentDirect Tel Mobile Tel

Email Address Direct FaxI would like to receive information on future events & services via email. By giving you my email address I am giving ONLYIIR companies the permission to contact me by email.❑ Yes! I would like to receive info on future events & services via fax

Signature

3rd Delegate: Name

Job title Department

Direct Tel Mobile Tel

Email Address Direct FaxI would like to receive information on future events & services via email. By giving you my email address I am giving ONLYIIR companies the permission to contact me by email.❑ Yes! I would like to receive info on future events & services via fax

Signature

YOUR COMPANY DETAILS

Company Name: Nature of Company’s business:

Address:

Postcode:

VENUE DETAILSWestin Boston Waterfront425 Summer Street, Boston, MA 02210

#1-888-627-7115The codes is: Risk Minds-IIF09

Online Reservations: Institute for InternationalResearch IIR 2011 (OR copy and paste the followinglink into a web browser)http://www.starwoodmeeting.com/Book/IIR2011

Please do not cover VIP code

Conference Code: U2447 • Main Conference June 14 - 16, 2011

• Global Risk Regulation Summit June 13, 2011

• Risk Mgmt for Insurance Summit June 13, 2011

• Buyside Risk Mgmt Summit June 17, 2011

• Counterparty Credit Risk ModellingWorkshop June 17, 2011

• Fundamentals of Risk Mgmt WorkshopJune 17, 2011

All discounts are subject to approval. Discounts cannot be combined. The discounts apply to the price at the date of registration. Discounts can only be claimed at the time of registration.

* Savings include Multiple Booking and Early Booking discounts * Please note the conference fee does not include travel or hotel accommodation costs

I will pay by:

o Cheque/bankers draft made payable to Institue For International Research Inc. for $...............................................o Invoice to be sent to my companyo Bank transfer - full details of bank transfer options will be given with your invoice on registration.

Please use this form as our request for payment. Fax and phone bookings should be made with a credit card number, or followed up by a posted registration form. Places are only guaranteed by full payment, which must be received before the conference.

Please debit my Mastercard Visa Diners Club American Express Discover

Card Number

Expiry Date/ with the sum of $

Signature3 digit security code on thereverse of card, 4 digits forAMEX card

CVV Number

Please Select Your Early Bird Package DATES Register byMarch 18, 2011 SAVE Register by

April 15, 2011 SAVE Register byMay 13, 2011 SAVE Register after

May 13, 2011 SAVE� 5-DAY PACKAGE: Main Conference + 2 Summits June 13-17, 2011 $4897 $2100 $5297 $1700 $5597 $1400 $5897 $1100� � 5-DAY PACKAGE: Main Conference + 1 Summit + 1 Workshop June 13-17, 2011 $4697 $1800 $5097 $1400 $5397 $1100 $5697 $800� 4-DAY PACKAGE: Main Conference + 1 Summit June 13-16 or 14-17, 2011 $4098 $1400 $4398 $1100 $4698 $800 $4998 $500� � 4-DAY PACKAGE: Main Conference + 1 Workshop June 14-17, 2011 $3898 $1100 $4198 $800 $4498 $500 $4798 $200� � 3-DAY PACKAGE: Main Conference Only June 14-16, 2011 $3199 $800 $3399 $600 $3699 $300 $3999 -� 1-DAY PACKAGE: 1 Summit Only June 13 or 17, 2011 $1399 $100 $1499 - $1499 - $1499 -� 1-DAY PACKAGE: 1 Workshop Only June 17, 2011 $899 $100 $999 - $999 - $999 -PLEASE SELECT WHICH SUMMIT you'd like to attend o Global Risk Regulation Summit (June 13) o Risk Mgmt for Insurance Summit (June 13) o Buyside Risk Mgmt Summit (June 17)

PLEASE SELECT WHICH WORKSHOP you'd like to attend o Counterparty Credit Risk Modelling Workshop (June 17) o Fundamentals of Risk Mgmt Workshop (June 17)

Register Now – Five Easy Ways!1. Fax this form on +1 941 365 2507 2. Post this form to: RiskMinds USA 2011 IIR NY, P.O. Box 3685, Boston,MA 02241-3685. 3. Telephone us on +1 888 670-8200 or +1 941 951-7885 4. Email: [email protected] 5. Via the website: www.riskmindsusa.com Venue: Westin Boston Waterfront, Boston, USAAlways quote your VIP CODE when registering.

“The RiskMinds Conference Is Far & Away The Best

Risk Conference Around”Scott Aguais, RBS

Multi-booking Discount: If you register more than 2 delegates, the 3rd and each subsequently registered delegate will receive 50% off the fee for any packages that include the main conference.*

PAYMENTS: You may enclose payment with your registrations or we will send an invoice. Payment is due within 30 days of registering. If registering within 30 days of the event, payment is due immediately. Payments can be made by check, VISA, MasterCard, Diners Club or American Express. Pleasemake checks payable to the “Institute for International Research, Inc.” and write the name of the conference delegate (s) on the face of the check as well as our reference code: U2447. If payment has not been received prior to registration the morning of the conference, a credit card hold will berequired.SUBSTITUTIONS AND CANCELLATIONS: If you need to make any changes or have any questions, please feel free to contact us via email at [email protected]. Cancellations must be in writing and must be received by IIR prior to 10 business days before the start of the event. Upon receipt of atimely cancellation notice, IIR will issue a credit voucher for the full amount of your payment, which may be applied towards registration fees at any future IIR event held within 12 months after the issuance (the “Expiration Date”). All credit vouchers shall automatically expire on the Expiration Dateand shall then become void. In lieu of issuance of a credit voucher, at your request, IIR will issue a refund less a $795 processing fee per registration. Registrants are advised that no credit vouchers or refunds will be issued for cancellations due to weather or other causes beyond the registrant’scontrol. IIR therefore recommends that registrants allow for unexpected delays in making travel plans. Substitutions at any time are welcome. If for any reason IIR decides to cancel this conference, IIR accepts no responsibility for covering airfare, hotel or other costs incurred by registrants, includingdelegates, sponsors, speakers and guests.Data protection: The personal information shown on this form, and/or provided by you, will be held on a database and may be shared with other companies in the Informa Group in the UK and internationally. If you do not wish your details to be available to other companies in the Informa Groupplease contact the Database Manager - Tel +44 (0)20 7017 7077, Fax +44 (0)20 7017 7828 or Email: [email protected]. Occasionally your details may be obtained from, or made available to, external companies who wish to communicate with you offers related to your business activities. If youdo not wish to receive these offers, please tick the box Incorrect Mailing: If you are receiving multiple mailings, have updated information or would like to be removed from our database, please fax this page to +1 419.781.6036. Please keep in mind that amendments can take up to 6 weeks.By completing and submitting this registration form, you confirm that you have read and understood the ICBI Delegate Terms and Conditions and you agree to be bound by them.

RiskMINDS REG 2011_Risk Minds 07 22/02/2011 16:34 Page 1

riskminds usa

Documents