Day 1 Risk USA 2016
Join us on November 9 for the first day of Risk.net’s flagship conference.
Stream One: Risk management and regulation for the trading businesses
- Capital flow, challenges and incentives
- Standardized approach
- Regulatory update and current practices
- Data collection
- Calibrating challenges
- Modeling and having the right data
- 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
- Potential unintended consequences
- What are the current solutions to meet these new regulations?
- Recent developments and regulatory guidance
- 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
Stream Two: Fixed income and market structure
- New post-trade reporting requirements
- Transparency in US treasuries and interest rates swaps
- Changes on the way for the US treasury markets
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?
- 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
- 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
Stream Three: Non cleared derivatives
- 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
The burden of initial margin requirements for noncleared derivatives and what you can do to reduce it
Former Managing Director, GOLDMAN SACHS, Chief Executive and Founder, BILATERAL RISK MANAGEMENT - Former Goldman Sachs
- Increased cost, increased complexity
- Initial margin will be required
- The future of bilateral OTC market
- Regulatory perspective and update
- First set of experiences
- Overcoming new difficulties and adjusting to the newly transformed market
Stream Four: 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
- 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
- What is the future for internal regulatory capital models?
- Key challenges for banks
- Pillar 1 requirements
- Summary of key revisions
- Pros and Cons of Internal models vs standardized approaches (in general first and then focus on AMA vs SMA)
- Rationale behind SMA design
Afternoon networking coffee break for Risk USA delegates.
Vice Chairman Hoenig will be presenting on the future of capital, stay tuned for further details.
- 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.
Managing Director, Global Head of G10 strategy, and Global Head of Currency Strategy - CITIGROUP
A summary of the day from Risk.net’s Editor-in-Chief, Duncan Wood.
Join us for networking drinks to close the first day of Risk USA 2016.