Day One – November 9

09/11/2016

Day 1 Risk USA 2016

Join us on November 9 for the first day of Risk.net’s flagship conference.

08:20- 08:50

Registration and continental breakfast

08.50- 09.00

Welcome Address – Duncan Wood, Editor-in-Chief, Risk.net

9:00- 9:40

Keynote address: The evolution of the CRO

Kevin Blakley
Member of the Board of Directors, Chair of the Compliance Committee - HSBC North America

9:40- 10:20

Plenary: Time for a forward looking view of risk?

 

Remy Briand
Managing Director, Global Head of Research - MSCI

10:20- 11:00

Keynote interview: Gambling and blockchain and US treasuries revolution

David Rutter
Founder and Chief Executive Officer - R3

11.00- 11.30

Morning coffee break


Stream One: Risk management and regulation for the trading businesses

11:40- 12:20

Basel 2, 2.5 and the development of FRTB

  • Capital flow, challenges and incentives
  • Standardized approach
  • Regulatory update and current practices
  • Data collection
  • Calibrating challenges
  • Modeling and having the right data
  • SPA
Ping Hu
Lead of FRTB Implementation - WELLS FARGO

12:25- 1:05

Technology as an enabler of successful enterprise market risk implementation

  • FRTB in a nutshell, key challenges and features
  • The new framework for market risk capital calculation creates major challenges for the industry, particularly due to its tight implementation timeline
  • How integrated technology platforms can help banks overcome the challenges associated with this revised framework
Normand Tanguay
Head of Risk for the Americas - MUREX

1:05- 2:05

Lunch

2:05- 2:45

Getting to grips with FRTB requirements

  • Potential unintended consequences
  • What are the current solutions to meet these new regulations?
  • Recent developments and regulatory guidance
Richard O’Connell
Global Markets Lead for Risk, Capital, and Regulatory Change - CREDIT SUISSE

2:50- 3:30

FRTB capital cost and its implications on product prices and availability

  • Higher capital requirements and impact on products prices and offerings
  • Predictions on the future for exotics
  • Impact on emerging markets product offerings and current restrictions
Phil Ohana
Risk Chief Operating Officer, Americas - SOCIETE GENERALE

Stream Two: Fixed income and market structure

11.40- 12.20

Panel: US treasury, fixed income and interest rates swaps markets developments

  • New post-trade reporting requirements
  • Transparency in US treasuries and interest rates swaps
  • Changes on the way for the US treasury markets
Fred Dassori
Head of US Principal Rates Electronic Trading - CREDIT SUISSE
Agha Mirza
Managing Director and Global Head of Interest Rate Products - CME GROUP
Michael Cloherty
Head of U.S. Interest Rate Strategy - RBC
Michael De Pass
Michael De Pass, Head of U.S. Treasury Trading - CITADEL SECURITIES

12:25- 1:05

Panel discussion: The changing face of liquidity providers – how is the market transforming and where is it heading?

  • Who offers liquidity in today’s market structure and how is it provided?
  • How are new entrants disrupting fixed income markets to break the norm and offer differentiation to the buy side?
  • How and how much can dealers save in broker fees and transaction costs?
  • What can the newcomers and traditional players learn from each other?
  • How will traditional players evolve with the electronic market structure?
Mike du Plessis
Managing Director and Global Head of FX, Rates and Credit Execution Services - UBS
Nicola White
Global COO for Fixed Income - CITADEL SECURITIES
Philip Alexander
Regulations Editor - Risk.net

1:05- 2:05

Lunch

2:05- 2:45

Systemic vulnerabilities in asset management

  • Overview of regulatory concerns on systemic risk posed by asset managers
  • Potential risks related to liquidity mismatches, leverage, use of derivatives, securities lending and operational deficiencies
  • Current regulatory proposals and their potential impact, including new FSB policy recommendations
  • How the industry can assist regulators in addressing concerns

2:50- 3:30

Panel: Risk allocation: managing investment portfolio using risk

  • How to cover multi asset class coverage including alternatives like private assets and hedge funds
  • Can we capture Smart Beta’s returns
  • Proper treatment of derivatives and leverage
  • The role of risk parity in the portfolio
Max Giolitti
Managing Director - VERUS

Stream Three: Non cleared derivatives

11:40- 12:20

Lessons learned from the rollout of margin requirements

  • What happened on September 1? What has the industry learned?
  • Looking ahead to the next set of deadlines
  • Documentation challenges – repapering the entire market by March 1
  • The next phase of development for margin models
Scott O’Malia
Chief Executive Officer - ISDA

12:25- 1:05

The burden of initial margin requirements for noncleared derivatives and what you can do to reduce it

Oliver Frankel
Former Managing Director, GOLDMAN SACHS, Chief Executive and Founder, BILATERAL RISK MANAGEMENT - Former Goldman Sachs

1:05- 2:05

Lunch

2:05- 2:25

Trading non-cleared derivatives under new margin rules

  • Increased cost, increased complexity
  • Initial margin will be required
  • Solutions?
Charles Schwartz
Head of Portfolio Management, Derivatives and Hedging - AXA US

2:50- 3:30

Changes brought by the Bilateral Margin Rules

  • The future of bilateral OTC market
  • Regulatory perspective and update
  • First set of experiences
  • Overcoming new difficulties and adjusting to the newly transformed market
Dominick Falco
Managing Director, Head of Collateral Segregation Product - BNY MELLON MARKETS GROUP

Stream Four: Credit Risk

11.40- 12.20

Machine intelligence in credit risk

  • Automating and streamlining creation of credit risk models with Machine Intelligence
  • Applying Machine Intelligence to create a proactive decision making platform for credit risk forecasting
Igor L Bidny
Vice President, Product Strategy, Financial Services - AYASDI

12:25- 1:05

Credit risk modelling

  • Holistic approach of credit risk assessment in infrastructure debt and long term investment
  • Risk component based pricing is crucial  to the successful structuring of infrastructure products
  • Transparency of credit risk model and  regulatory risk capital impact
  • Flexibility requirement to handle risk premium component including liquidity risk premium  in credit risk model
Chunlan Wang
Senior Investment Officer, Quantitative Solution - THE WORLD BANK TREASURY

1:05- 2:05

Lunch

2:05- 2:45

Basel next generation

  • What is the future for internal regulatory capital models?
  • Key challenges for banks
  • Pillar 1 requirements
  • Summary of key revisions

2:50- 3:30

New operational risk capital models – SMAs

  • Pros and Cons of Internal models vs standardized approaches (in general first and then focus on AMA vs SMA)
  • Rationale behind SMA design
  • Future
  • Questions
Filippo Curti
Financial Economist, Quantitative Supervision and Research - FEDERAL RESERVE BANK OF RICHMOND

3.30- 4.00

Afternoon coffee break

Afternoon networking coffee break for Risk USA delegates.

4:00- 4:40

Keynote address: Remarks on capital

Vice Chairman Hoenig will be presenting on the future of capital, stay tuned for further details.

4:40- 5:20

Political risk discussion: US economy under new presidency

  • What do we know about the new president’s policies and economic plans for financial sector?
  • How much of a political risk are you factoring into your internal capital planning?
  • Will the US Dollar downtrend accelerate and lead to repricing of assets worldwide?
  • Quantifying potential regulatory impact under new leadership in the U.S.
Ulf J. Lindahl
Chief Executive Officer and Chief Investment Officer - A.G. BISSET
Steven Englander
Managing Director, Global Head of G10 strategy, and Global Head of Currency Strategy - CITIGROUP
Kit Juckes
Global Head of FX Strategy - SOCIETE GENERALE
Raman Aylur Subramanian
Raman Aylur Subramanian, Head of Equity Applied Research for the Americas - MSCI

5.20- 5.30

Closing Remarks: Duncan Wood, Editor-in-Chief, Risk.net

A summary of the day from Risk.net’s Editor-in-Chief, Duncan Wood.

5.30- 6.30

Drinks Reception

Join us for networking drinks to close the first day of Risk USA 2016.