RISKMINDS 2010 COVER:Superreturn A3 07 24/11/10 11:39 Page 1

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Eduardo Canabarro, Global Head Of Quantitative Analysis, MORGAN STANLEY to mbe y
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NEW TOP 50 d
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The 17th Annual

500+ CROs,
Senior Risk
Practitioners, Norah Barger
Regulators & Deputy Director, Division
Academics In Of Banking Supervision
Attendance & Regulation
In 2009 THE FEDERAL RESERVE
BOARD

Risk Modelling, Measurement & Management In The New World Order

25 CROs Give You Strategic Insights Into The New Agenda For Bank RIsk Management

Hugo Banziger Benoit Ottenwaelter Paul Smith Alden Toevs Jacques Beyssade William Dawson Executive Claude Piret Richard Evans
CRO & Member Of Group CRO & Group CRO CRO CRO VP, Chief Credit & Risk CRO & Member Of CRO, Institutional
The Management Member Of The STANDARD BANK COMMONWEALTH NATIXIS Officer, Wealth, The Management Clients Group
Board Executive Board BANK AUSTRALIA Brokerage & Retirement Board CITI
DEUTSCHE BANK SOCIETE GENERALE WELLS FARGO & COMPANY DEXIA

Understanding The Practical Implementations Of The New Regulatory Paradigm On Bank Business & Risk Models
Monday 6 December 2010 – The Global Risk Regulation Summit Day

Julie Dickson Jose-Maria Roldan Sylvie Matherat Peter Praet Svein Andresen Ulrich Bindseil Arnoud Vossen Patrick Raaflaub
Superintendent Director General, Director Of Financial Director Secretary General Head Of Risk Secretary General Director
OSFI Banking Supervision Stability NATIONAL BANK FINANCIAL Management CEBS FINMA
BANCO DE ESPANA BANQUE DE FRANCE OF BELGIUM STABILITY BOARD ECB

Cutting Edge Methodologies In Market, Credit, Liquidity & Gain In-Depth Knowledge
Operational Risk Management
From Four
Plus Technical Workshops
The Fundamentals Of
Risk Management
Darryll Hendricks
Managing Director, Global
Riccardo Rebonato
Global Head Of Corporate
Andreas Gottschling
Global Head Of Risk Analytics
Evan Picoult
Managing Director,
John Hull
Head Of Risk Methodology Markets, Head Of Quantitative & Instruments, Global Head Risk Architecture, CITI UNIVERSITY OF TORONTO
UBS Research, Global Banking Of Operational Risk & Adjunct Professor
RBS Management COLUMBIA BUSINESS 6 December 2010
DEUTSCHE BANK SCHOOL

Counterparty Credit
NEW – The Ri$kMinds 2010 Guest Lectures Risk Management
Broaden your understanding of risk management and the global economic cycle through MORGAN STANLEY, R2 FINANCIAL TECHNOLOGIES
this new series of lectures from leading academics & global figureheads
THE FEDERAL RESERVE BOARD
FINANCIAL ENGINEERING PUBLIC PERCEPTIONS OF RISK 10 December 2010
Paul Embrechts, Professor, David Spiegelhalter, Winton
Department Of Mathematics, Professor For The Public
ETH ZURICH Understanding Of Risk,
Department Of Mathematics,
Coherent Stress Testing
CAMBRIDGE UNIVERSITY Riccardo Rebonato, RBS
GEOPOLITICAL RISK
Pippa Malmgren, Founder, 10 December 2010
CANONBURY GROUP RECOVERING FROM DISASTER
Gerald Ratner, Founder, New
RISK MANGEMENT AT NASA RATNER ONLINE
Jeevan Perera, Risk Manager, Liquidity Risk Management
NASA SPACE CENTRE HISTORY OF FINANCIAL CRISES OENB, COMMERZBANK &
Forrest Capie, Professor Of Economic HSH NORDBANK
History, CITY UNIVERSITY 10 December 2010

Main Conference Lead Sponsor: Co-Sponsors:

7- 9 December 2010
Hotel President Wilson,
Geneva, Switzerland
Tel: +44 (0) 20 7017 7200
Fax: +44 (0) 20 7017 7807
Email: Info@icbi.co.uk Supported By Media Partners
Refreshment Sponsor:
www.icbi-riskminds.com
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36
Greetings From RiskMinds HQ!
Having attracted over 500 CROs, risk practitioners and
academics in both 2008 and 2009, Ri$kMinds has proven
itself once again as the largest and most prestigious risk
management conference.
For 2010, the agenda has changed. Basel III, post-sub-prime
economic fallout and ‘bankers bonuses’ have combined to
politicise risk. What once were the concerns of an elite few
risk managers are now the concerns of daily newspapers,
news reels and political manifestos.
• How will risk management change as a result of the
tsunami of regulatory change?
• How will CROs adapt to foster a new culture of risk within
their firms?
• How will models change as a result of the crisis?
• What tools will YOU need to ensure the stability and
prosperity of your financial institution and indeed wider
global systemic safety?
Meet like minded risk managers, CROs, regulators, academics
and industry leaders at this year’s RiskMinds and get the
answers to all of these questions and more. RiskMinds 2010
is designed to equip the modern risk manager with the
knowledge & tools required to navigate banks in the post-
crisis world.
See you in Geneva!
Katy McDonnell, Conference Director
RiskMinds 2010
Raise Your Profile At
Ri$kMinds 2010
A small number of speaking opportunities remain
on the agenda. Contact Rustum Bharucha at
rbharucha@icbi.co.uk or +44 (0) 20 7017 7225
Have You Recently Published A Paper?
Do You Have A Blog?
Do You Tweet?
blog
If the answer to any of the above is YES then contact
Jen Flynn on jflynn@icbi.co.uk
This year, we are considering launching the Ri$kMinds
blog which will host a number of features including:
 Links to recent papers/articles from some of our top
speakers (and delegates)
 Information on our top speakers including interviews
 Guest articles from leading academics, CROs and risk
practitioners
Keep an eye on www.icbi-riskminds.com for more
information or to submit your articles/ideas
2
Page 1
What Makes RiskMinds The World’s
Most Prestigious Risk Management
Conference?
TWICE AS MANY CROs as 2009
Gain Cutting Edge Insights Into How Chief Risk Officers Across The
Globe Are Reshaping Risk Management & Bank Business
MEET 25 GLOBAL LEADING CHIEF RISK OFFICERS:
1. Benoit Ottenwaelter, Group Chief Risk Officer &
Member Of The Executive Board, SOCIETE GENERALE
2. Richard Evans, CRO, Institutional Clients Group, CITI
3. Hugo Banziger, CRO & Member Of The Management Board,
DEUTSCHE BANK
4. Claude Piret, CRO & Member Of The Management Board, DEXIA
5. Dr. Sebastian Fritz-Morgenthal, Head of Group Risk Management
HSH NORDBANK AG
6. David Li, CRO, CHINA INTERNATIONAL CAPITAL CORPORATION
7. David Watts, CRO, WESTPAC NEW ZEALAND
8. Stephen Anderson, CRO, Europe, HSBC
9. Alden Toevs, CRO, COMMONWEALTH BANK AUSTRALIA
10. Christiane Laibach, Chief Risk Officer, KFW IPEX BANK
11. William Dawson, Executive VP, Chief Credit & Risk Officer, Wealth,
Brokerage & Retirement, WELLS FARGO & COMPANY
12. Beat Hodel, CRO, RAIFFEISEN
13. Holger Demuth, CRO, Member of the Executive Board,
CLARIDEN LEU
14. Jacques Beyssade, CRO, NATIXIS
15. Paige Wisdom, Chief Enterprise Risk Officer, FREDDIE MAC
16. Jamal Saleh, CRO, COMMERCIAL BANK OF DUBAI
17. Jens Kaessner, CRO, DEUTSCHE POSTBANK
18. John Hollows, CRO, KBC
19. Martha Cummings, CRO, BANCO SANTANDER
20. Olivier Irisson, Deputy CRO, BPCE
21. Nasir Ahmad, CRO, BANQUE CANTONALE VAUDOISE
22. Morten Friis, CRO, RBC
23. Paul Smith, Group CRO, STANDARD BANK
24. Petri Viertio, CRO, POHJOLA
25. Stephen Allen, Head Of Risk Management Group,
MACQUARIE GROUP
We’re on Twitter: Follow us @riskminds and use the #RM10 event hashtag
for up to the minute details on the industry and our event.
Join Us On Linked In: www.linkedin.com search ‘Ri$kMinds’ in the groups
section and join the online debate!
NEW For 2010
NEW Norah Barger, THE FED – Top regulatory figurehead confirms to
Speake
r
speak at RiskMinds for the first time!
18 of the 25 Chief Risk Officers speaking this year have never
NEW
CROs spoken at RiskMinds before
Hear It Straight From The CRO’s Mouth – Be it risk appetite, risk
NEW culture or risk management in the Middle East, the CRO showcase
CROsse
Showca on Wednesday 8 December promises honest and frank presentations
from CROs
New Liquidity Risk Management Workshop – Friday 10 December
NEW n
Focus O y 2010 – gain insights into cutting edge techniques for modelling and
Liqudit
mitigating liquidity risk at this in full day in depth workshop
Including: Darryll Hendricks, Managing Director, Global Head Of Risk
NEW Methodology, UBS and
Top rs
Practitio
ne Andreas Heise, Director, Head Of Liquidity Risk Management,
DEUTSCHE BANK
With speakers ranging from
Jeevan Perera
Risk Manager
NASA
NEW
Guest s to author
Lecture Forrest Capie (famous for his writings on the history of the
History Of The Bank Of England), the 2010 Guest Lectures
aim to stretch minds beyond.....
1
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 14:51 Page 3

Day 2 Main Conference: Wednesday 8 December 2010

RISK MODELLING, MEASUREMENT & MANAGEMENT IN THE NEW WORLD ORDER

08.45 Registration & Coffee
Chairman’s Opening Address
09.00
Chaired By: Thomas Kimner, Head of Americas Risk Practice, SAS
THE RI$KMINDS 2010 GUEST SUPERVISOR ADDRESS
09.10
Addressing The Key Issues In Today's Global Financial System
Julie Dickson, Superintendent, OSFI

THE RI$KMINDS 2010 NEW RESEARCH PAPER

09.50 Financial Engineering And The Financial Crisis: Warnings, Guilt And Lessons Hopefully Learned
Paul Embrechts, Professor, Department Of Mathematics, ETH ZURICH

THE RI$KMINDS 2010 GUEST CRO ADDRESS

10.45 Reshaping The New Agenda For Risk Management
How Have Banks Revised Strategies, Systems, Assumptions & Internal Models In Light Of The 2007-2009 Crisis?
Hugo Banziger, CRO & Member Of The Management Board, DEUTSCHE BANK

11.15 Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition

STREAM A
Market Risk Management In
The New Regulatory Paradigm
Chaired By
MUREX
Market & Credit Risk Integration In
The Trading Book vs The Banking Book:
11.40
Delivering A Holistic View Of Risk Exposures
Darryll Hendricks, UBS
Managing Market Risk Exposures
In A Changed World:
12.15 Creating An Appropriate Analytical Tool Set
To Manage The New Market Risk Exposures
Kevin Oden, WACHOVIA
Riding The Waves Of Retail Lending
How Origination, Credit And Economic Cycles
12.50
Often Coincide For Disastrous Effects
Joseph Breeden, STRATEGIC ANALYTICS
STREAM D
STREAM B STREAM C STREAM E
Successful Risk & Capital
Innovations In Credit & Strategic & Regulatory Risk Management Cutting Edge Insights From The
Modelling In Volatile Times
Counterparty Risk Modelling In The New World Order Ri$kMinds Thought Leaders
Chaired By
Chaired By Chaired By Chaired By
RBSA/CITIZENS FINANCIAL GROUP
RISK DYNAMICS PRICEWATERHOUSECOOPERS PRMIA
The RiskMinds 2010 The Ri$kMinds
The Ri$kMinds Thought
Thought
PIT vs TTC CHIEF RISK OFFICER SHOWCASE Leadership Guest
Leadership Guest Lectures
Lectures
Developing A Dual PD PIT-TTC Risk Strategy & Infrastructure
The 2010 Citi Masterclass
Ratings Framework Aligning Business Strategy, Risk Strategy Q and A Off The Record
Scott Aguais, RBS Price Risk Vs Value Risk Julie Dickson, OSFI
And Risk Infrastructure
Evan Picoult, CITI &
Beat Hodel, RAIFFEISEN
COLUMBIA BUSINESS SCHOOL
Incorporating Capital Costs At Origination Risk Management Post Crisis
How To Improve Deal Origination Through How Will Methods & Models Change To
Accounting For Portfolio Effects Represent The New Normal? GUEST LECTURE 1:
Mikael Nyberg Nasir Ahmad
MOODY’S ANALYTICS BANQUE CANTONALE VAUDOISE Financial Crises In
Middle East Risk Management Long Term Perspectives
Quant Heaven? Risk Management In Dubai,
The Road To Credit Risk Management GCC, Middle East
Delivering The Risk Enabled And Forrest Capie, CITY UNIVERSITY
Is Quant Heaven Jamal Saleh
Capital Efficient Enterprise
Eduardo Epperlein, NOMURA COMMERCIAL BANK OF DUBAI
Laurence Trigwell, IBM

13.25 Lunch
Forward Thinking For Scenario Analysis Implementing Risk Appetite
Risk Management In The New Agenda For Risk Management
Basel III & Credit Risk Effectively Embedding Plausible Overcoming The Challenges Of
Do We Need To Reinvent
Private Equity Don't Throw The Baby Out With The Economic Scenarios Into Implementing A Risk Appetite Framework
14.30 The Entire Risk Management Process?
Bathwater Bank-Wide Stress Tests Across Your Institution
Ken Abbott, MORGAN STANLEY Joerg Erlebach, COMMERZBANK
Petri Viertio, POHJOLA
Paul Shotton, UBS Olivier Irisson, BPCE

LIVING WILLS WORKING GROUP

CVA Analytics Liquidity Cycles In Risk Management Living Wills I Scenario Modelling
Effective Strategies For Pre And Liquidity Cycle & The Impact On Credit How Do You Address Bank Inter-Connectivity The Advantages Of Managing
15.05 Post Trade CVA Risk Analytics Decision Making & Risk Management Risk With Scenarios GUEST LECTURE 2:
In Recovery & Resolution Plans?
Paul Jones Addressing The Challenges Of Unwinding
QuIC FINANCIAL TECHNOLOGIES Christoph Dieng, NORD LB Complex Trading Portfolios Hubert Brogniez, FINALYSE Credit Ratings And
John Whittaker, BARCLAYS CAPITAL Securitization

Systemic Risk, Procyclicality & The Are We At The Bottom Of The Roller
Interconnectedness Of Financial Institutions Living Wills II Coaster Ride And The Lending Boom
IRC Successfully Managing & Whose Responsibility Is The Recovery Is Starting Again?
Modelling Incremental Risk Charge Mitigating Systemic Risk & Resolution Plan & What Should Lessons Learnt And How To Set Sensible John Hull
15.40 The Plan Entail?
Barbara Frohn Risk Appetite In Retail Credit Risk UNIVERSITY OF TORONTO
Christian Oehler, D-FINE GRUPO SANTANDER Duncan McNab
Gonzalo de Cadenas PRICEWATERHOUSECOOPERS Uttiyo Dasgupta,
GRUPO SANTANDER HSBC

16.15 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition

Liquidity Risk & Balance Sheet GUEST LECTURE 3:

Management Working Group Early Warning Systems
OTC Derivatives Economic Capital Post-Crisis
Leveraging Capital Market Information In
Liquidity Stress Testing Determining The Impact Of Derivatives Evaluating The Key Issues & Challenges How NASA Manages Their Risks
Credit Risk Management
For Securities Firms Legislation On The Cost & Efficiency Of Risk Around Economic Capital & Assessing Its
16.45
Defining Liquidity Destruction Triggers, Management & On Inter Bank Liquidity Relevance In Bank Business
Volker Kintrup
Scenario Development & Data Consistency RSU RATING SERVICE UNIT
In Liquidity Stress Tests Ahmet Yetis, BARCLAYS CAPITAL Jean-Bernard Caen, DEXIA
Kenji Fujii, MIZUHO SECURITIES CO Jeevan Perera, NASA SPACE CENTRE

Enterprise Liquidity Impact Of Basel III GUEST LECTURE 4:

Business Value In Risk Management
Essential Elements For Managing
Prerequisites For Providing Business
17.20 Enterprise Liquidity
Value With Risk Management
Calibration And Interaction With Regulators
Simon Haldrup, DANSKE BANK
Aaron Sanders, QRM
New Strategies For Credit Portfolio
Management
Charging For Balance Sheet Usage
How Should Current Models Be Revamped
Linking Funds Transfer Pricing And
17.55 In Response To Basel III?
Capital Charging
Ludger Overbeck
Mark Johnston, MACQUARIE GROUP
COMMERZBANK & UNIVERSITY
OF GIESSEN
Impact Of Basel III On Banks:
A Case Study In Risk Appetite Setting
Understanding The Implications Of And Alignment Perceptions Of Risk
Shahram Elghanayan, SUNGARD
Harry Stordel, CREDIT SUISSE Communicating Risks And Deeper
Uncertainties In Words, Numbers
Stress Testing Economic Capital For & Pictures
Impact Of Basel III Q And A
Risk Appetite Design & Capital
Planning Framework
Harry Stordel, CREDIT SUISSE
Broadening Stress Tests To Achieve A
Mattia Rattaggi, UBS
Group Level Risk Appetite Validation Figure
Christian Lajoie, BNP PARIBAS
Sebastian Fritz-Morgenthal, David Spiegelhalter
HSH NORDBANK CAMBRIDGE UNIVERSITY

Champagne Roundtable Discussions

Reputational Risk -
Financial Expert Judgement & Strategies
18.30 PIT vs TTC Managing Risks In NASA
Resource Management: Risk Models: For Rebuilding And
- Scott Aguais Jeevan Perera
Thorsten Kanzler Klaus Boecker Sustaining Reputation:
19.15 Head Of Credit Portfolio Analytics Risk Manager
Group Treasurer Senior Risk Controller Leo Johnson
RBS NASA SPACE CENTRE COMMERZBANK UNICREDIT GROUP Partner
PRICEWATERHOUSECOOPERS

19.30 Cocktail Reception - End Of Day 2

4
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 14:51 Page 4

Day 3 Main Conference: Thursday 9 December 2010

RISK MODELLING, MEASUREMENT & MANAGEMENT IN THE NEW WORLD ORDER
08.30 Registration & Coffee

Chairman’s Opening Address

08.45
Chaired By: Charles Richard, Senior Vice President, QRM

THE RI$KMINDS 2010 ‘FINANCIAL MINDS’ THINKTANK

Determining The New Blueprint For Financial Engineering
Sophisticated Complex Models Vs Crude Robust Risk Measures: Is There Room For Both Strategies In The Post-Sub-Prime World?
09.00 Greg Hopper, Managing Director, GOLDMAN SACHS
Paul Shotton, Deputy Head Of Portfolio Risk Control And Head Of Group Risk Methodology, UBS
Riccardo Rebonato, Global Head Of Corporate Markets, Head Of Quantitative Research, Global Banking, RBS
Evan Picoult, Managing Director, Risk Architecture, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOL

GETTING BACK ON TOP

Recovering And Learning From A Reputational Disaster
09.45 Take Home Insights From The Ri$kMinds Disaster Guru: Learn How To Overcome Adversity & Rebuild Yourself & Your Business With This
‘Real Life’ Case Study From A Top Business Executive
Gerald Ratner, Founder, RATNER ONLINE

10.30 Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition

STREAM A STREAM B STREAM C
Innovations In Credit & STREAM D STREAM E
New Approaches To Measuring & Strategic & Regulatory Risk
Counterparty Risk Modelling The Latest Developments In The Ri$kMinds 2010
Managing Liquidity Risk Chaired By Marcia A. Banks, Management In The Guest Lectures In Finance
Operational Risk & ERM
Chaired By QRM Associate Director, IACPM New World Order
Wrong Way Risk, Stress Testing, Building A Common Framework Second Generation Operational
Liquidity Risk Management Alpha & The CVA For Credit & Market Risk Risk Modelling Integration Of Risk Factors In A
Liquidity Regulation 2.0 - Impact How Can Banks Adopt Counterparty Developing A Comparable Cross-Silo Cutting Edge Operational Liquidity-At-Risk Framework
On The Financial Industry Management Strategies
11.00 Comparable Measure Risk Management
To Successfully Incorporate
Andreas Heise Regulatory Change? David Buckham
DEUTSCHE BANK Greg Hopper Pieter Klaassen Robin Philips MONOCLE SOLUTIONS
GOLDMAN SACHS UBS JP MORGAN

Calibrating Counterparty Op Risk Under Basel III

“Water, Water Everywhere…” Credit Risk Models Through Stress Testing Credit Portfolios
The Value Of Operational Risk GUEST LECTURE 5
A Unitary Approach To Managing Stressed Periods The Role Of Sovereign Risk For
Management In The New Regulatory
Liquidity To Generate Liquidity At Risk Examining The Conceptual Foundation Scenario Development
11.35 Environment Stress Testing And Reverse Stress
& The Potential Impact On Minimum
Suresh Sankaran Capital Requirements Juan Licari Testing For Solvency
Michael Pykhtin Philippa Girling
FISERV MOODY’S ANALYTICS
THE FEDERAL RESERVE BOARD MORGAN STANLEY
Alexander McNeil
Liquidity Risk Tell Me What You Know Maxwell Professor Of
A Balance Sheet Risk Management CVA Risk Management That You Don't Know Mathematics, Department of
Approach & VaR Maximum Entropy & Information Operational Risk Management Actuarial Mathematics &
12.10 Dr. Mario Onorato For Stress Testing Purposes It Is Time To Build Out The ‘M’ In ORM Statistics
ALGORITHMICS UK & Eduardo Canabarro Jay Newberry, CITI HERIOT-WATT UNIV
CASS BUSINESS SCHOOL, CITY MORGAN STANLEY Riccardo Rebonato
UNIVERSITY, LONDON RBS
12.45 Lunch

Capital Management Post-Crisis

Balance Sheet Structuring A Practical Guide For Turning Your Model Risk & Model Control: How Banks Have Altered Their
Balance Sheet Structuring In A Pricing Infrastructure Into A CVA Incorporating Liquidity Fluctuations Post-Crisis ERM Strategies Capital Management Approaches,
Funding Constrained World Infrastructure Into Model Risk Assessments Repositioning ERM In Measures & Decision Making
14.00
Alexander Sokol The Post-Crisis Environment Processes
Martyn Hoccom NUMERIX Pierpaolo Montana Nancy Loucks, STATE STREET
RBS WESTLB Fernando De La Mora
PRICEWATERHOUSECOOPERS

Liquidity Risk Management
Better Including Liquidity Risk In The
Overall Risk Management Framework
14.35
Dominique Laboureix
BANQUE DE FRANCE & CEBS
Re-Thinking Valuation:
Towards A Comprehensive Scenario
Framework For Valuing Credit
Instruments In Illiquid Markets
Dan Rosen
R2 FINANCIAL TECHNOLOGIES
PD Ratings Framework:
Implementing A Dual PD Ratings
Framework Using Internal PD Models
Scott Aguais, RBS
Domiciling Offshore Pro-Cyclicality:
The Bermuda Case Study Modelling Credit Cycles,
Crises And Market Uncertainty
Fawaz Elmalki
CONYERS DILL & PEARMAN Jorge Sobehart, CITI

15.10 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition

PANEL SESSION
Forward Looking Capital Integration Of Operational Risk With The Ri$kMinds Problem Solving
Liquidity Risk Regulation & Provisioning & Expected Loss Future Of Securitisation Debate Controls And Compliance Working Groups
Stress Testing Provisioning: Is This The Renaissance For Structured Moderator: Get Your Questions Answered By
Liquidity Risk Regulation, Reporting & How Are New Capital Buffer Standards
Credit & Securitisation? What Is The Dr. Hans-Peter Güllich, AVANON The Experts! Make The Most
15.40 The Role Of Stress Testing Impact Availability & Use Of Tier 1
Future For CLOs, CDOs & Mortgage Of Your Time At The Conference And
Capital?
Evan Sekeris Backed Securities? Panellists: Post Your Related Questions To
Stefan Schmitz
FEDERAL RESERVE BOARD OF Joachim Pfeifer, COMMERZBANK The Expert Practitioners Running
OENB
RICHMOND Alexander Batchvarov Wolfgang Huetter, VOLKSBANK Each Table
MERRILL LYNCH Deon Tromp, STANDARD BANK Credit Risk Modelling &
Management
Allan Yarish
Transfer Pricing CHANNEL CAPITAL ADVISORS ‘Expert Judgement’ Overcoming Market
Exploring Boundaries Of Risk Challenges
Integrating Liquidity Costs & Steering & Risk Models
Credit Risk Models
Bank Business & Performance Claas Becker A Bayesian Approach To Risk Stress Testing Under
16.15 Stress Testing & Conservatism
Management According To Transfer DEUTSCHE BANK Models & Input Data Basel III
Pricing Klaus Boecker Capital Management
Christian Duesterberg, RBS
Arno Kratky, COMMERZBANK UNICREDIT GROUP

16.50 End Of Ri$kMinds 2010

Post Conference Technical Workshops - Friday 10 December 2010

Liquidity Risk Management Workshop
Stefan Schmitz, Economist, OENB
Arno Kratky, Head Of Liquidity Risk, COMMERZBANK
Clemens Harzer, Risk Manager, Deputy Manager,
Liquidity Risk Controlling, HSH NORDBANK
Coherent Stress Testing Workshop
Riccardo Rebonato, Global Head Of Corporate Markets,
Head Of Quantitative Research, Global Banking, RBS
Counterparty Credit Risk Modelling Workshop
Dan Rosen, CEO, R2 FINANCIAL TECHNOLOGIES
Michael Pykhtin, Senior Economist, FEDERAL RESERVE BOARD
Eduardo Canabarro, MD, Head Of Creidt & Market Quantitative
Risk, MORGAN STANLEY

5
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 4

Day 3 Main Conference: Thursday 9 December 2010

RISK MODELLING, MEASUREMENT & MANAGEMENT IN THE NEW WORLD ORDER
08.30 Registration & Coffee

Chairman’s Opening Address

08.45
Chaired By: Charles Richard, Senior Vice President, QRM

THE RI$KMINDS 2010 ‘FINANCIAL MINDS’ THINKTANK

Determining The New Blueprint For Financial Engineering
Sophisticated Complex Models Vs Crude Robust Risk Measures: Is There Room For Both Strategies In The Post-Sub-Prime World?
09.00 Greg Hopper, Managing Director, GOLDMAN SACHS
Paul Shotton, Deputy Head Of Portfolio Risk Control And Head Of Group Risk Methodology, UBS
Riccardo Rebonato, Global Head Of Corporate Markets, Head Of Quantitative Research, Global Banking, RBS
Evan Picoult, Managing Director, Risk Architecture, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOL

GETTING BACK ON TOP

Recovering And Learning From A Reputational Disaster
09.45 Take Home Insights From The Ri$kMinds Disaster Guru: Learn How To Overcome Adversity & Rebuild Yourself & Your Business With This
‘Real Life’ Case Study From A Top Business Executive
Gerald Ratner, Founder, RATNER ONLINE

10.30 Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition

STREAM A STREAM B STREAM C
Innovations In Credit & STREAM D STREAM E
New Approaches To Measuring & Strategic & Regulatory Risk
Counterparty Risk Modelling The Latest Developments In The Ri$kMinds 2010
Managing Liquidity Risk Chaired By Marcia A. Banks, Management In The Guest Lectures In Finance
Operational Risk & ERM
Chaired By QRM Associate Director, IACPM New World Order
Wrong Way Risk, Stress Testing, Building A Common Framework Second Generation Operational
Liquidity Risk Management Alpha & The CVA For Credit & Market Risk Risk Modelling
Liquidity Regulation 2.0 - Impact How Can Banks Adopt Counterparty Developing A Comparable Cross-Silo Cutting Edge Operational
On The Financial Industry Management Strategies
11.00 Comparable Measure Risk Management
To Successfully Incorporate
Andreas Heise Regulatory Change?
DEUTSCHE BANK Greg Hopper Pieter Klaassen Robin Philips
GOLDMAN SACHS UBS JP MORGAN GUEST LECTURE 5

Calibrating Counterparty Stress Testing And Reverse Stress

Op Risk Under Basel III Testing For Solvency
“Water, Water Everywhere…” Credit Risk Models Through Stress Testing Credit Portfolios
The Value Of Operational Risk
A Unitary Approach To Managing Stressed Periods The Role Of Sovereign Risk For
Management In The New Regulatory
Liquidity To Generate Liquidity At Risk Examining The Conceptual Foundation Scenario Development
11.35 Environment Alexander McNeil
& The Potential Impact On Minimum
Suresh Sankaran Capital Requirements Juan Licari Maxwell Professor Of
Michael Pykhtin Philippa Girling Mathematics, Department of
FISERV MOODY’S ANALYTICS
THE FEDERAL RESERVE BOARD MORGAN STANLEY Actuarial Mathematics &
Statistics
Liquidity Risk Tell Me What You Know HERIOT-WATT UNIVERSITY
A Balance Sheet Risk Management CVA Risk Management That You Don't Know Post-Crisis ERM Strategies
Approach & VaR Maximum Entropy & Information Repositioning ERM In The
Post-Crisis Environment
12.10 Dr. Mario Onorato For Stress Testing Purposes
ALGORITHMICS UK & Eduardo Canabarro Nancy Loucks
CASS BUSINESS SCHOOL, CITY MORGAN STANLEY Riccardo Rebonato STATE STREET
UNIVERSITY, LONDON RBS
12.45 Lunch

Are We At The Bottom Of The Capital Management Post-Crisis

Balance Sheet Structuring Roller Coaster Ride And The
Balance Sheet Structuring In A Lending Boom Is Starting Again?
Funding Constrained World Lessons Learnt And How To Set
14.00
Sensible Risk Appetite In
Martyn Hoccom Retail Credit Risk
RBS Uttiyo Dasgupta
HSBC UK & EUROPE
Model Risk & Model Control:
Incorporating Liquidity Fluctuations
Into Model Risk Assessments
Pierpaolo Montana
WESTLB
Topic & Speaker To Be Confirmed
For more information contact
Rustum at rbharucha@icbi.co.uk
How Banks Have Altered Their
Capital Management Approaches,
Measures & Decision Making
Processes
Fernando De La Mora
PRICEWATERHOUSECOOPERS

Liquidity Risk Management
Better Including Liquidity Risk In The
Overall Risk Management Framework
14.35
Dominique Laboureix
BANQUE DE FRANCE & CEBS
Re-Thinking Valuation:
Towards A Comprehensive Scenario
Framework For Valuing Credit
Instruments In Illiquid Markets
Dan Rosen
R2 FINANCIAL TECHNOLOGIES
Domiciling Offshore Pro-Cyclicality:
PD Ratings Framework:
The Bermuda Case Study Modelling Credit Cycles,
Implementing A Dual PD Ratings
Framework Using Internal PD Models Crises And Market Uncertainty
Fawaz Elmalki
Scott Aguais, RBS CONYERS DILL & PEARMAN Jorge Sobehart, CITI

Afternoon Tea &

15.10
Opportunity To Visit The Ri$kMinds Exhibition
Forward Looking Capital The Ri$kMinds Problem Solving
Liquidity Risk Regulation & Provisioning & Expected Loss ‘Expert Judgement’
Future Of Securitisation Debate Working Groups
Stress Testing Provisioning: & Risk Models
Is This The Renaissance For Structured Get Your Questions Answered By
Liquidity Risk Regulation, Reporting & How Are New Capital Buffer Standards A Bayesian Approach To Risk
Credit & Securitisation? What Is The The Experts! Make The Most
15.40 The Role Of Stress Testing Impact Availability & Use Of Tier 1 Models & Input Data
Future For CLOs, CDOs & Mortgage Of Your Time At The Conference And
Capital?
Evan Sekeris Backed Securities? Post Your Related Questions To
Stefan Schmitz Klaus Boecker
FEDERAL RESERVE BOARD OF The Expert Practitioners Running
OENB UNICREDIT GROUP
RICHMOND Alexander Batchvarov Each Table
MERRILL LYNCH
Credit Risk Modelling &
Transfer Pricing Asset Allocation In
Exploring Boundaries Of Management
Integrating Liquidity Costs & Steering Allan Yarish Situations Of Stress
Credit Risk Models Overcoming Market
Bank Business & Performance CHANNEL CAPITAL ADVISORS Coherent Asset Allocation In The
Stress Testing & Conservatism Risk Challenges
16.15 Management According To Transfer Presence Of Exceptional Events
Pricing Claas Becker Stress Testing Under
Christian Duesterberg
Arno Kratky DEUTSCHE BANK Riccardo Rebonato Basel III
RBS
COMMERZBANK RBS Capital Management
16.50 End Of Ri$kMinds 2010

Post Conference Technical Workshops - Friday 10 December 2010

Liquidity Risk Management Workshop
Stefan Schmitz, Economist, OENB
Arno Kratky, Head Of Liquidity Risk, COMMERZBANK
Clemens Harzer, Risk Manager, Deputy Manager,
Liquidity Risk Controlling, HSH NORDBANK
Coherent Stress Testing Workshop
Riccardo Rebonato, Global Head Of Corporate Markets,
Head Of Quantitative Research, Global Banking, RBS
Counterparty Credit Risk Modelling Workshop
Dan Rosen, CEO, R2 FINANCIAL TECHNOLOGIES
Michael Pykhtin, Senior Economist, FEDERAL RESERVE BOARD
Eduardo Canabarro, MD, Head Of Creidt & Market Quantitative
Risk, MORGAN STANLEY

5
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 5

0
ay 201
o nd er 30pm
M m 5.
e
b The Fundamentals Of Risk Management Workshop
ec m –
D
6 .30a
9
Incorporating The Latest Practical Requirements And
Technical Innovations Into Your Risk Management Framework:
Stress Testing, Liquidity Risk, Counterparty

Workshop Agenda
SESSION 1 SESSION 2 SESSION 3 SESSION 4
Background Counterparty Default Risk Stress Testing Model Risk
• The credit crisis: how it happened • Default probabilities: Real world vs risk- • Developing the scenarios • Understanding the role of models
• The key lessons: tail risk, incentives, the role neutral probability measures • Evaluating the scenarios • Exploring the nature of model risk
of models, liquidity risk transparency, etc • The expected cost of counterparty defaults • What to do with the results • Pricing vs hedging
• Scenario analysis and the assessment of • Evaluating standard vs non-standard
Market Risk Liquidity Risk
loss probability distributions products
• How can we improve VaR and C-VaR • Trading risk vs funding risk
• The role of copulas
• Extensions of the standard historical • Quantifying liquidity
simulation approach • Liquidity black holes
• Stressed VaR

About Your Workshop Leader

John Hull, Maple Financial Professor of Derivatives & Risk Management
UNIVERSITY OF TORONTO
John Hull is an internationally recognized authority on derivatives and has
many publications in that area. Recently his research has been concerned
with credit risk, executive stock options, volatility surfaces, market risk, and
interest rate derivatives. He was, with Alan White, one of the winners of the
Nikko-LOR research competition for his work on the Hull- White interest rate model. He has
written three books “Risk Management and Financial Institutions” (new this year), "Options,
Futures, and Other Derivatives" (now in its sixth edition) and "Fundamentals of Futures and
Options Markets" (now in its fifth edition). The books have been translated into many
languages and are widely used in trading rooms throughout the world. He has won many
teaching awards, including University of Toronto's prestigious Northrop Frye award, and was
voted Financial Engineer of the Year in 1999 by the International Association of Financial
Engineers.

We’re on Twitter: Follow us @riskminds and use the #RM10 event hashtag for up to the
minute details on the industry and our event.
Join Us On Linked In: www.linkedin.com search ‘Ri$kMinds’ in the groups section and join the online debate!

Liquidity Risk Management Workshop

pm 0
.30 201
m b y
0a cem da
– 4 er
8.3 De Fri

Led by: Stefan Schmitz, Economist, OENB

10

Arno Kratky, Head Of Liquidity Risk, COMMERZBANK

1
Dr Clemens Harzer, Risk Manager, Deputy Manager, Liquidity Risk Controlling, HSH NORDBANK

SESSION 1: • Pricing application and behavioural adjustments SESSION 4:

Introduction To Liquidity Risk • Liquidity management and steering impact of fund Liquidity Risk Management Under Basel III &
• What is liquidity risk? transfer prices on business Stress Testing
• Managing liquidity risk • Outlook: The impact of future regulation • What does current regulation dictate?
SESSION 2: SESSION 3: • Stress Testing for liquidity risk
Transfer Pricing Liquidity Value at Risk In The Spotlight
• General framework for banking and financial risk • Liquidity maturity statement
• Conceptional principles of fund transfer pricing • Insolvency Risk
framework • Stress Testing
• Pricing component • Liquidity Value At Risk

About Your Workshop Leaders

Stefan Schmitz
Economist
OENB
Stefan joined Oesterreichische
Nationalbank (OeNB) in 2003 where he
covers the macroprudential analysis of
liquidity risk, payment systems, and
funded pension products. Publications include: "Why
Central Banks Should Look At Liquidity Risk", Central
Banking Vol. XVII No. 4, (with A.Ittner); Institutional
Change in the Payments System and Monetary Policy,
Routledge, London, 2006 (co-edited with Geoffrey E.
Wood); Carl Menger and the Evolution of Payment
Systems: From Barter to Electronic Money, Edward
Elgar, Cheltenham, 2002 (co-edited with M. Latzer).
Arno Kratky
Head Of Liquidity Risk,
COMMERZBANK
Arno works in Group Treasury heading
the team Liquidity Analytics. He is deals
with conceptional enhancements of the
liquidity management framework such
as fund transfer pricing systems, stress testing and
liquidity contingency planning. After graduating in
industrial engineering, he joined Dresdner Bank in 1994
to a trading desk for interest rate derivatives. He pursued
a career in different roles in finance and risk
management and spent 5 years in London responsible
for market, credit and liquidity risk. After the merger of
Commerzbank and Dresdner Bank he became a member
of the Treasury Management Team in Group Treasury of
Commerzbank.
Clemens Harzer
Risk Manager, Deputy Manager,
Liquidity Risk Controlling
HSH NORDBANK
Dr Harzer has worked in liquidity risk
management since 2007 focussing on
liquidity value at risk, insolvency risk,
new products, new market and project management.
Prior to 2007, Dr Harzer worked in market risk at HSH
Nordbank and from 2002 to 2006 at Deutsche
Genossenschafts und Hypothekenbank (DG HYP)
looking at market risk management and performance
measurement. Dr Harzer’s postgraduate studies at
Universität Tübingen focussed on nuclear physics.

6
Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
For latest programme or to register please visit: www.icbi-riskminds.com
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 6

pm 0
.3 0 2 0 1 Coherent Stress
m b y
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– 4 er
8.3 De Fri

Testing Workshop:
10

A Bayesian Approach To The Analysis Of Financial Risk

Workshop Agenda
SESSION 1 SESSION 2 SESSION 3
Introduction: Stress Testing In Theory & Stress Testing: • Graphical representation of stress results Review Of ‘Coherent Stress Testing’:
Practice • Bottom up versus top down • Checking for consistency with subjective “Rebonato’s refreshingly original book is the most significant
• Uses and misuses of: - Determining the pros and cons in different conditional probabilities: linear programming advance in financial risk management in many years. It is
rigorous yet thoroughly practical, proposing an operational
- VaR environments (trading book, banking book, • Other intuitive and quantitative checks Bayesian framework that complements purely statistical
- Economic capital approaches with the causal/economic structure needed for
etc) • How to link a bottom-up with a top down coherent stress testing. Prominently displayed and mixed
- Scenario analysis • The link between stress testing and risk stress test: compare and contrast with beautifully throughout are both the expansive wisdom of a
- Stress testing appetite economic capital serious scholar, and the pragmatic applied sense of a
seasoned industry veteran. Rebonato has defined the new
• Stress testing • How to use expert judgement: • The link with regulatory requirements frontier of best-practice financial risk management. I am
- What is 'in the data' and what comes from - Conditional probabilities open-mouthed with admiration.”
Francis X. Diebold, Paul F. and Warren S. Miller Professor
expert judgement? - Correlations SESSION 4 of Economics, Co-Director, WHARTON FINANCIAL
- Causation • Real-life worked-out examples INSTITUTIONS CENTER, Professor of Finance and
Statistics, UNIVERSITY OF PENNSYLVANIA
• Conclusion: The Reality Of Stress Testing
• Q and A

About Your Workshop Leader

Riccardo Rebonato, Global Head of Corporate Markets, Market Risk and
Head of Quantitative Research, Global Banking & Markets
ROYAL BANK OF SCOTLAND
Dr Riccardo Rebonato is Head of Front Office Risk Management and Head of the
Quantitative Analytics at GBM, RBS. He is also a Visiting Lecturer at Oxford University
(Mathematical Finance) and Adjunct Professor at Imperial College (Tanaka Business
School). He sits on the Board of Directors of ISDA and on the Board of Trustees for
GARP and is a member of the Bloomberg Risk Council. He is an Editor for the International Journal of
Theoretical and Applied Finance, for Applied Mathematical Finance, for the Journal of Risk and for the
Journal of Risk Management in Financial Institutions. He holds Doctorates in Nuclear Engineering and
in Science of Materials/Solid State Physics. He was a Research Fellow in Physics at Corpus Christi
College, Oxford, UK. Dr Rebonato is also the author of the books Coherent Financial Stress Testing: A
Bayesian Approach (2010), The LMM-SABR Model: Pricing, Calibration and Hedging (2009), Plight of
the Fortune Tellers (2007), Volatility and Correlation in Option Pricing (2004, 1999), Modern Pricing of
Interest-Rate Derivatives (2002), Interest-Rate Option Models’ (1998, 1996). He regularly publishes
academic papers on finance in academic journals such as Quantitative Finance, Journal of Investment
Management, International Journal of Theoretical and Applied Finance, Applied Mathematical Finance,
Journal of Risk Management in Financial Institutions and others.

We’re on Twitter: Follow us @riskminds and use the #RM10 event hashtag for up to the
minute details on the industry and our event.
Join Us On Linked In: www.linkedin.com search ‘Ri$kMinds’ in the groups section and join the online debate!

Innovations In Counterparty
pm 0
.30 201
0a em day
– 4 er
8.3 Dec Fri
m b

Credit Risk Management &

10

Modelling Workshop
The recent financial crisis has highlighted the need for the industry to understand the complexity and interconnectedness of the web of financial transactions that constitutes the over-the-counter (OTC)
markets, and to develop better approaches for accurately measuring, managing and mitigating Counterparty Credit Risk (CCR). In particular, the Basel Committee identified several areas where capital for CCR
proved to be inadequate. For instance, wrong-way risk was evident through the crisis and was not adequately incorporated into the framework. Second, mark-to-market losses due to credit valuation
adjustments (CVA) were not directly capitalised, with roughly two-thirds of CCR losses due to CVA. Also, large financial institutions were more interconnected than previously modelled. Finally, Central
Counterparties (CCPs) were not widely used to clear trades. This workshop discusses the evolution of CCR measurement, the latest techniques available to practitioners, as well as some of the key issue and
challenges to implement an effective CCR program in the aftermath of the crisis and in the context of new derivatives regulation.
Session 1: • Risk control and risk management for CCR • Wrong-way exposures and market-credit Session 5:
Introduction: Counterparty Credit Risk (CCR) • Counterparty limits correlations Calculating Economic & Regulatory Capital
• Credit risk in the trading book • Mitigating CCR - Master agreements and For CCR
• Definition of CCR and CCR components: CP collateral management Session 4: • Economic capital and capital allocation
exposures, CP credit quality, LGDs, • Hedging CCR Pricing & Hedging CCR • General modelling of credit risk capital
codependence • Credit value Ajustment (CVA) • Credit risk capital, Basel II, and Basel III
• Credit limits, mitigation and collateral Session 3: • Unilateral and bilateral CVA • Computing counterparty credit risk (CCR)
• CCR pricing and hedging Modelling Counterparty Credit Exposures • Semi-analytical methods and MC simulation capital and alpha
• CCR risk measurement, capital and • Counterparty exposures – PFEs and risk • Effect of netting and collateral agreements • Stress testing, wrong-way risk, and
management measures • CVA allocation and pricing new transactions correlations
• CCR and the Basel regualtion • PFE Methodologies: MtM + add on, MC • Wrong-way exposures and CVA
simulation • Dynamic market risk hedging of CVA using Session 6:
Session 2: • Analytical/semi-analytical methods greeks Challenges & New Directions For CCR
CCR Management • Detailed modelling netting and collateral • Hedging CCR using Contingent CDSs
• How and where to manage CCR in a financial agreements • Practical issues of hedging CVA
institution – trading desk, market risk, credit • Exposures for credit instruments: CDSs,
portfolio management, collateral CDOs and structured credit
management

About Your Workshop Leaders

Dan Rosen, Visiting Fellow,
THE FIELDS INSTITUTE FOR RESEARCH IN
MATHEMATICAL SCIENCES, & President,
R2 FINANCIAL TECHNOLOGIES
Dr. Dan Rosen is a Visiting fellow at The Fields Institute for Research
in Mathematical Sciences and an Adjunct Professor at the University
of Toronto's Masters program in Mathematical Finance. In addition,
he is the President and Co-Founder of R2 Financial Technologies and
acts as an advisor to institutions in Europe, North America, and Latin America on
derivatives valuation, risk management, economic and regulatory capital.
Michael Pykhtin
Senior Economist
FEDERAL RESERVE BOARD
Michael Pykhtin is a Senior Economist in the Quantitative Risk
Management Section at the Federal Reserve Board. He is
responsible for carrying out policy analysis and independent
research related to financial markets, risk management and
regulation of financial institutions. Prior to joining the FRB in 2009,
Michael had had a successful nine year career as a quantitative researcher at Bank of
America and KeyCorp. Michael has edited “Counterparty Credit Risk Modelling”, published
by Risk Books in 2005. He is also a contributing author to several recent edited
collections. Michael has extensively published in the leading industry journals. He is an
Associate Editor of the Journal of Credit Risk. Michael holds a Ph.D. degree in Physics
from the University of Pennsylvania.
Eduardo Canabarro, Managing Director,
Head Of Credit & Market Quantitative Risk
MORGAN STANLEY
Eduardo is responsible for the development of the methods and
models used to measure market and credit risks as well as for the
independent review and validation of pricing and risk models used
by the bank. Prior to his current position, Eduardo was with Lehman
Brothers for three years as Managing Director and Global Head of
Quantitative Risk Management. He was responsible for all quantitative risk functions in
the Risk Management organization including market, credit and operational risk analytics,
model validation, risk technology and regulatory interface related to the implementation of
the quantitative frameworks. Eduardo has also worked for Goldman Sachs and Salomon
Brothers in Quantitative Research, Modelling and Risk Management.

To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225 7
KN2255 RiskMINDS 2010:Risk Minds 07
THE RI$KMINDS GLOBAL RISK REGULATION SUMMIT
Overcoming The Practical & Implementation Challenges Of Basel III
& Evaluating The Impact Of The New Regulatory Package
07.15 Registration & Coffee
07.45
Chairman’s Opening Welcome
David Schraa
Director, Regulatory Affairs
IIF
David Schraa is Director of the Regulatory Affairs Department of the Institute of International
Finance. The Department supports the IIF's representation of internationally active financial
institutions to the Basel Committee on Banking Supervision, IOSCO, IAIS, the Financial Stability
Board, Joint Forum, IASB and other international regulatory groups.
08.00
OPENING KEYNOTE ADDRESS
Strengthening The Resilience Of The Banking Sector
Basel III & Financial Stability
Stefan Walter
Secretary General
BASEL COMMITTEE ON BANKING SUPERVISION
Stefan Walter assumed the position of Secretary General of the Basel Committee on Banking
Supervision as of September 2006. Previously, Mr. Walter was a senior vice president in the
Bank Supervision Group of the Federal Reserve Bank of New York, where he headed the
Financial Sector Policy and Analysis Function. He was responsible for assessing financial sector
developments and risks and for developing bank supervisory policies on issues related to risk
management and capital adequacy. Mr. Walter holds a B.A. in Political Economy from the
University of California at Berkeley and a Masters in International Affairs from Columbia
University.
08.30
Creating An Integrated Global Regulatory Framework For Systemic
Risk Mitigation: How Desirable And Achievable Is An Internationally
Integrated Approach To Regulation?
Svein Andresen
Secretary General
FINANCIAL STABILITY BOARD
Svein has held his current position since the FSF’s initiation in 1999. Prior
to this he held various positions at the Bank for International Settlements
(BIS). He was Advisor to the General Manager of the BIS from 1997 to
2000. From 1995 through to 1997, he led the Secretariat to G10 central
bank Governors on financial issues. He was Secretary to the Committee
on the Global Financial System from 1992 till 1997 and to the Markets Committee from 1995 till
1997. He joined the BIS Monetary and Economic Department in 1989. Prior to joining the BIS,
Mr. Andresen was an Assistant Professor of Economics at the University of North Carolina at
Chapel Hill.
09.00
Macro-Prudential Regulatory Challenges: Understanding Markets,
Policy, Tools & Financial Institutions: What Does Macro Prudential
Policy Mean For Risk Managers?
Jose-Maria Roldan
Director General, Banking Supervision
BANCO DE ESPANA
Mr. José María Roldán has been in his current role since October 2000.
He is currently a member of the Basel Committee on Banking
Supervision (BCBS), and the Committee of European Banking
Supervisors (CEBS). In January 2009 he became the Chairman of the
Standards Implementation Group (SIG, formerly the Accord
Implementation Group). Between January 2007 to January 2009, he was the Chairman of the
Accord Implementation Group (AIG). Between 2005 and January 2009, he was a member of
the Advisory Board of XBRL International. During 2004 and 2005, Mr. Roldán was also the
Chairman of the Committee of European Banking Supervisors (CEBS).
09.30
Capital Provisioning, Procyclicality & Accounting In The New
Paradigm: How Can We Avoid The Mistakes Of The Past?
Sylvie Matherat
Director Of Financial Stability
BANQUE DE FRANCE
Sylive Matherat joined Société Générale as an inspector before moving to
the Banque de France in 1986. In October 2007, she took on the role as
head of the Directorate of Financial Stability. She is a member of the
Basel Committee and the chair of its Accounting Task Force, and
represents the Basel Committee on the IASB’s Standards Advisory
Council, Financial Instruments Working Group and Financial Crisis Advisory Group. She is also a
member of the Banking Supervisory Committee of the European Central Bank and the chair of
one of its two main groups.
10.00
THE PRACTITIONER COMMENT &
CHALLENGE SESSION
The below two leading regulatory liaisons will offer comment on the
prior presentations and challenge the presenters on their comments.
Audience members will also have the chance to pose their questions
anonymously and in real time through emailing question@icbi.co.uk
Commentators:
• Barbara Frohn, Managing Director, GRUPO SANTANDER
In her role, Barbara Frohn assumes responsibility for the internal validation of Risk Models and
Economic Capital at a corporate level. The Model Validation group consists of four hubs, Madrid,
London, Brazil and Boston each with responsibility over their respective regions and not only
performs quantitative, but also qualitative and IT/data quality related reviews of the various risk
quantification tools used within the group. In addition, as part of Santander´s Public Policy group
Barbara Frohn represents Grupo Santander in various international forums. Preceding her move
to Madrid, Barbara fulfilled during 15 years of employment at ABN AMRO various roles in a.o.
Global Relationship Management, Energy Finance and Asset Securitisation. Lastly, she headed
the Basel II Requirements & Strategic Advisory department within Group Risk Management.
• Adam Gilbert, Managing Director, JP MORGAN
Adam is currently Head of Regulatory Policy in the Corporate Risk Management Group where
he is responsible for analyzing the impact of regulatory proposals, developing the firm's
strategic responses and working with lines of business and corporate functions on the
implementation of final rules. In addition, Adam is a leader in the firm's capital management
process through his co-chairmanship of the Economic Capital Working Group, chairmanship of
the Regulatory Capital Policy Committee, and oversight of the firm's Basel II implementation.
Adam also is a member of the North America Reputation Risk Committee and advises lines of
business on supervisory and regulatory matters. Previously, Adam has held roles as Head of
Risk Policy, Chief Operating Officer of the Credit Portfolio Group and Head of Corporate
Regulatory Reporting. Adam is active in numerous industry groups related to capital, risk
management and regulatory reform. He joined JPMorgan Chase in 1997 after having spent 10
years in various positions at the Federal Reserve Bank of New York, including as a seconded
member of the Secretariat of the Basel Committee on Banking Supervision.
Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
8 For latest programme or to register please visit: www.icbi-riskminds.com
24/11/10 11:36 Page 7
Monday 6 December 2010
Panellists:
• Svein Andresen, Secretary General, FINANCIAL STABILITY BOARD
• Jose-Maria Roldan, Director General, Banking Supervision
BANCO DE ESPANA
• Sylvie Matherat, Director Of Financial Stability
BANQUE DE FRANCE
10.30 Morning Coffee
10.55
THE CENTRAL BANK PERSPECTIVE
Long Term Debt, Retail Deposits & Collateral Requirements
Understanding Central Bank Expectations & The Future Landscape For
Funding Liquidity
• The role of the central bank collateral framework for banks'
funding liquidity in normal and stressed times
• The role of non-conventional measures
• The interaction of the collateral framework and monetary policy
implementation technique with liquidity regulation
• Short term and long term incentives and market effects
Ulrich Bindseil, Head Of Risk Management, ECB
Ulrich studied Economics and joined the Deutsche Bundesbank
economics department in 1994. In 1997 he went to the European
Monetary Institute and in 1999 to the ECB. He has been Head of the
Liquidity Management Section, Head of the Risk Management Division,
and is currently Deputy Director General of Market Operations of the
ECB. He has published papers and books on monetary policy
implementation and central bank risk management.
11.20
The Role Of Capital For Systematically Relevant Financial Institutions
Patrick Raaflaub, Director, FINMA
After starting his career at Credit Suisse and EBDI Consulting AG, Patrick
Raaflaub joined Swiss Re in 1994, where he worked in a number of different
company divisions in Germany, Italy, the United States and Switzerland. He
held the position of CFO of Swiss Re Italia, Divisional Controller for America in
the United States and Head of Finance in Zurich. In the latter function he was
the local CFO for Swiss Re Zurich and responsible for IT. In 2005 Patrick
Raaflaub was appointed CFO for continental Europe and Asia. From 2006 to
2008, he was responsible for Group Capital Management. His position involved the capi-talisation of
the group, legal entity structure of the group, relationships with the rating agencies and dealing with
Regulatory Affairs. On 8 May 2008 Patrick Raaflaub was elected CEO of the Swiss Financial Market
Supervisory Authority FINMA which was founded by merging the formerly separated Swiss Federal
Banking Commission, the Federal Office of Private Insurance and the Anti Money Laundering Control
Authority. Patrick Raaflaub took up operations on 1 January 2009.
11.45
Inside The New Provisions For Liquidity Management & Regulation
How Will The New Liquidity Package Impact Bank Business & What
Will The Regulators Require?
Marc Saidenberg, Senior Vice President, Financial Sector Policy and
Analysis, Bank Supervision Group
FEDERAL RESERVE BANK OF NEW YORK
Marc R. Saidenberg heads the financial sector policy & analysis function, having worked for Merrill
Lynch and Company where he served as a managing director. He was previously employed at the
Federal Reserve Bank of New York beginning his career in the Research and Statistics Group in
September 1995 as an economist. In December 2000, he was appointed an officer of the New
York Fed and assigned to the economic capital competency center and in December 2001 was
promoted to assistant vice president. He was assigned to credit risk in the risk management
function in December 2003. In January 2004, Mr. Saidenberg was assigned to the large complex
banking organizations relationship management department and was promoted to vice president
in July 2004. Mr. Saidenberg left the Bank to work for Merrill Lynch in November 2005.
12.10
Inside The New Provisions For Liquidity Management & Regulation
How Will The New Liquidity Package Impact Bank Business & What
Will The Regulators Require?
• Linking the dimensions of liquidity risk (intraday, tactical,
structural)
• Impact assessment liquidity coverage ratio
• Operationalising liquidity buffers
• Quo vadis NSFR
• Monitoring tools - The case for international harmonisation
• Getting disclosure right - Trade-off between transparency and self-
fulfilling prophecy
Thierry Lopez, Director, PRICEWATERHOUSECOOPERS
Thierry has 15 years of banking experience. He is the Basel II Leader, the Risk Management
Services Leader, the Governance, Risk and Compliance Leader and the Banking Industry Services
Driver at PricewaterhouseCoopers Luxembourg. Thierry is coordinating a global offer to banks,
insurance undertakings, investment funds, operational companies and the public sector, amongst
numerous other European institutions. Thierry is a member of various consultative committees on
liquidity risk management, including the Institute of International Finance. Thierry is involved in the
academic circle and research as Risk Management Professor at the HEC-Business School of the
University of Liège. He has written articles and well-known books in English with John Wiley & Sons
and in French with De Boeck Université.
12.35
THE PRACTITIONER COMMENT &
CHALLENGE SESSION
The below two leading regulatory liaisons will offer comment on the
prior presentations and challenge the presenters on their comments.
Audience members will also have the chance to pose their questions
anonymously and in real time through emailing question@icbi.co.uk
Commentators:
• Mattia Rattaggi, Managing Director,
Head Of Group Supervisory Relations, UBS
Prior to his current role, Mattia occupied senior positions in Group Compliance and Group Risk
Control. Before joining UBS in 1999, Mattia worked in the Treasury of ZKB heading Asset and
Liability Management and as a Senior Economist at the Swiss Bankers Association. Mattia
holds a Ph.D from the University of Fribourg, and pursued post doctoral research at the
University of Cambridge (UK).
• Andrew Cross, Managing Director, CREDIT SUISSE
Andrew Cross is a Managing Director in the Risk Measurement & Management department of
Credit Suisse, based in London. He has responsibility for measuring and reporting all credit risk,
country risk, market risk and economic risk capital for Credit Suisse and for managing credit risk
systems and information management requirements. In addition, Mr Cross acts as Credit
Suisse's global Basel II Programme Director managing both the internal preparation project as
well as Credit Suisse's external response.
Panellists:
• Ulrich Bindseil, Head Of Risk Management, ECB
• Patrick Raaflaub, Director, FINMA
• Thierry Lopez, Director, PRICEWATERHOUSECOOPERS
• Marc Saidenberg, Senior Vice President,
Financial Sector Policy and Analysis, Bank Supervision Group
FEDERAL RESERVE BANK OF NEW YORK
13.00 Lunch For All Speakers & Delegates
14.00
A Post-Crisis Lesson In Risk Appetite: The Importance Of Risk
Appetite, Risk Governance And Risk Culture
• What does risk appetite mean? What are the key dimensions to
be looked at?
• How can we reconcile top down and bottom up approaches?
• Which level of involvement is expected from the executive
management and board of directors?
• What kind of risk statement should be delivered and to what
audience?
• How can we formalize risk culture? What are the key success
factors for its effective deployment?
Dominique Bourrat
Managing Director
RISK DYNAMICS
Dr. Dominique Bourrat has a PhD in Mathematical Sciences – Nuclear Physics from ULG Belgium
and University of Montreal Canada. She has over 20 years of extensive experience in the field of
risk management applied to the financial world. After having developed mathematical models for
the CERN in Geneva, giving rise to international publications, she joined the dealing room of
Paribas to develop risk management and hedging models in the derivatives market. She then
enriched her skills at INSEAD before joining MasterCard to set up and manage its European Risk
Management centre. Later, she led Fortis’ cross-risk modelling department towards Basel II
compliance. As a founder of Risk Dynamics and industry expert, she now focuses on supporting
major financial institutions in leveraging their Pillar II and economic capital strategy, interfacing
with regulators and facilitating roundtables around the globe.
14.25
Defining Risk Appetite In The New Regulatory Environment
• Risk appetite - its heightened importance in the new environment
• Designing and implementing a robust risk appetite framework -
what does "good" look like?
• New regulatory developments and how they may shape risk
appetite
• Economic, industry and risk developments and how they are
likely to shape risk appetite
Alan Smith
Global Head of Risk Strategy
HSBC
Alan Smith is responsible for the Risk Appetite, ICAAP, Economic Capital,
Scenario Stress Testing, and Risk Methodology infrastructures for the
Group. Alan's unit also oversees Pension Risk across HSBC. He is a
member of the Global Risk Management Board, the Capital Demand and
Basel 2 Oversight Committees and chairs the Group Economic Capital
and Scenario Stress Testing Committees. Alan has worked with HSBC for
15 years in a variety of senior finance, risk and capital management roles.
Prior to HSBC, Alan worked with KPMG London, latterly within its Financial Sector Advisory
practice.
14.50
Crisis Management & Resolution Developing An Integrated Crisis
Management & Resolution Framework: Creating A Single & Sound
Market For The Financial Services Industry
• The reforms of crisis management and resolution frameworks,
within and across borders, triggered as a result of the crisis
• The need for the EU to go well beyond the global cross-border
arrangements, and establish a truly integrated crisis management
and resolution framework for its single market
• The debate on this, our specific proposal, and its merits relative
to other proposals that are on the table
Wim Fonteyne
Senior Economist
INTERNATIONAL MONETARY FUND
Wim Fonteyne is a Senior Economist in the IMF’s European Department.
For the past five years, he has been closely involved in the dialogue
between the IMF and the EU on financial sector policies. He is co-author
of the IMF book “Integrating Europe’s Financial Markets” (second edition
forthcoming) and lead author of a recently published paper on bank
resolution in the EU.
15.15
Portfolio Optimisation Under Basel III: Effectively Positioning The
Balance Sheet In The Face Of Basel III Using Advanced Portfolio
Optimization Techniques
• Portfolio optimization fundamentals
• Defining the objective function: Liquidity constraints & capital
constraints
• Analyzing Alternative Structures: Single period solutions & multi-
period solutions
• Conclusion
Miguel Nathwani
Practice Leader, Credit Risk & Capital
QRM
Mr. Nathwani manages the Credit Risk & Capital Management Practice
Area at QRM. Prior to joining QRM in 2002, Mr. Nathwani managed
Economic Capital & Funds Transfer Pricing Methodology at Bank One. Mr.
Nathwani holds an MBA in Quantitative Finance and Competitive Strategy
from the University of Chicago, an MS in Physics from the University of
Washington and a BS in Physics from the University of California,
Berkeley.
KN2255 RiskMINDS 2010:Risk Minds 07
DAY THE RI$KMINDS CRO FORUM
1
15.45
THE PRACTITIONER COMMENT &
CHALLENGE SESSION
The below two leading regulatory liaisons will offer comment on the
prior presentations and challenge the presenters on their comments.
Audience members will also have the chance to pose their questions
anonymously and in real time through emailing question@icbi.co.uk
Commentators:
• Christian Lajoie, Head Of Group Supervision Issues
BNP PARIBAS
Mr. Christian Lajoie has been working for BNP Paribas since 1973. Throughout his
career, he has held various executive positions both in businesses and central
functions. He currently reports to the Group Executive Committee.
• Andrew Jennings, Managing Director, Risk, CITI
Responsible for oversight of all risks in Citi’s UK legal entities. Policy advisor for Pillar 2
and ICAAPs and regulatory capital developments. Initially responsible for
implementation of Basel II across Citigroup, although subsequently the role was split
into two parts, and I assume responsibility for the policy of implementing Basel II
across the group. Previously, the Business Credit Risk manager for Citigroup’s
European Leasing business and Head of Operational Risk in Europe. Chief Risk Officer
for the Investment banking division of Schroders plc prior to it being acquired by Citi in
2000. Formerly a banking regulator with the Bank of England, Head of Surveillance for
UK securities institutions and Head of Supervision of primary dealers, market makers
and other participants in the UK Government Bond Market.While at the Bank of
England had specific responsibility for the approval of UK banks’ market risk models
and was the Bank of England’s representative on the Basel Risk Committee and on the
Basel Market Risk Working Group. He was originally an accountant with KMPG.
Panellists:
• Dominique Bourrat, Managing Director, RISK DYNAMICS
• Alan Smith, Global Head Of Risk Strategy, HSBC
• Wim Fonteyne, Senior Economist
INTERNATIONAL MONETARY FUND
• Miguel Nathwani, Practice Leader, Credit Risk & Capital, QRM
16.10 Afternoon Tea
16.30
Regulation And Optimal Financial Structure & Growth
Richard Reid, Director Of Research
INTERNATIONAL CENTRE FOR FINANCIAL REGULATION
Before his current appointment Richard was a Managing Director of Citigroup's Economics
Department in London. Previously Richard was Chief International Economist for Donaldson Lufkin
& Jenrette, where he developed thematic issues such as the impact of the “New Economy” on
equity markets and the changing structure of Europe’s financial systems. Richard spent fourteen
years as Chief European Economist for UBS, five of which were spent in the company's Frankfurt
office. In addition to his private sector experience Richard has also advised HM Treasury and the
Civil Service committee on international monetary affairs and is a noted commentator on
Bundesbank and the ECB.
17.00
THE RI$KMINDS REGULATORY THINKTANK
Determining The Cumulative Impact Of Basel III: Assessing The
Aggregate Impact Of The New Capital & Liquidity
Requirements: How Will Basel III Impact Bank Business,
Economic Output & The Global Trajectory For Economic
Growth & Recovery?
17.00 - 17.10
The Economist Perspective
Jose Brandao De Brito, Head Of Financial Markets Research
MILLENIUM BCP
José joined Millennium BCP in 2009 as Head Of Financial Markets Research, a unit that covers the
major global economies, policy issues, and developments in financial markets. He has written
several op-eds for both the Portuguese and the international press including the Financial Times.
17.10 - 17.20
The Supervisor Perspective
Peter Praet, Director
NATIONAL BANK OF BELGIUM
Peter Praet was appointed Executive Director of the National Bank of
Belgium in 2000 and is responsible for financial stability. Mr. Praet serves on
several high-level international committees, including the Basel Committee
on Banking Supervision. He is an Alternate Director of the Committee of
G10 Governors. He is also Co-Chair of the Research Task Force of the Basel
Committee on Banking Supervision.
17.20 - 17.30
The CEBS Perspective
Arnoud Vossen
Secretary General
CEBS
Arnoud Vossen was departmental director at De Nederlandsche Bank before
joining CEBS as Deputy Secretary General in 2008. More specifically, he
was responsible for cross-sectoral policy issues like financial crime,
corporate governance, supervisory reporting and accounting. Before that, he
set up the oversight department at De Nederlandsche Bank and was heavily
involved in the merger of Euronext.
17.30 -17.40
The CRO Perspective
Morten Friis, CRO, RBC
As Chief Risk Officer, Mr. Friis oversees the strategic management of risk on an enterprise-wide
basis. He is a member of RBC’s Group Executive, which sets the overall strategic direction of RBC.
Mr. Friis joined RBC in 1979 and was appointed chief risk officer in 2004. Prior to this position, Mr.
Friis was Executive Vice-President and Chief Credit Officer for RBC.
17.40 - 17.50
The Practitioner Perspective
Andreas Gottschling
Global Head Of Risk Analytics & Instruments, Global
Head Of Operational Risk Management
DEUTSCHE BANK
Dr. Andreas Gottschling assumed the role of Global Head of Risk
Analytics and Instruments at Deutsche 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 Deutsche Bank Research responsible for
all internal econometric and mathematical modeling activities as well as external model
assessment.
To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225
24/11/10 11:36 Page 8
Tuesday 7 December 2010
17.50 -18.10 Structured Q And A 09.15
From Ubiquity To Precision: A Future For Global Banking: How
18.10 Regulation Could Fundamentally Change Banking As We Know It
Richard Kibble
The Ri$kMinds Regulatory Working Group Partner, Financial Services Strategy Team
Creating A Blueprint For The Future Of Regulatory Risk Management PRICEWATERHOUSECOOPERS
• Barbara Frohn, Managing Director, GRUPO SANTANDER Richard joined PwC in 2008 to help build the firm’s corporate strategy and
capability business. He has 20 years’ experience advising financial institutions
• Alan Smith, Global Head Of Risk Strategy, HSBC in the UK and Europe, on the full range of strategic, operational, and
• Christian Lajoie, Head Of Group Supervision Issues organisational issues. His focus covers retail financial services, wholesale, and
asset management. Prior to joining PricewaterhouseCoopers, Richard was
BNP PARIBAS the UK Managing Partner at Marakon (1990-2007). His particular areas of expertise include corporate
• Mattia Rattaggi, Managing Director, Head Of Group strategy, strategic management, large-scale change management and linking people development to
performance. More recently Richard worked with 6 major UK banks on the impact of proposed
Supervisory Relations, UBS regulations on the UK economy and advised the UK’s largest mutual on strategic direction and key
• Andrew Cross, Managing Director, CREDIT SUISSE issues. Richard also co-authored the PricewaterhouseCoopers publication on the financial crisis
entitled ‘The Day After Tomorrow’.
• Andrew Jennings, Chief Regulatory Liaison Officer, CITI
• Adam Gilbert, Managing Director, JP MORGAN
09.45
• Andreas Gottschling, Global Head Of Risk Analytics &
Instruments, Global Head Of Operational Risk Management, Balancing Risk & Opportunity In The Search For Growth: How Can
Risk Management & Measurement Frameworks Both Support The
DEUTSCHE BANK
Financial System & Foster An Environment For Growth?
18.45 - 19.15 Benoît Ottenwaelter, Group Chief Risk Officer &
Member Of The Executive Board
Champagne Roundtable Discussions
SOCIETE GENERALE
• Jose Brandao De Brito, Head Of Financial Markets Research Benoît Ottenwaelter began his career with the Société Générale Group in
1988 as Head of Back Office Capital Markets in Paris. In 1990, he moved
MILLENIUM BCP to Société Générale Strauss Turnbull in London as Head of Equity
Derivatives. In 1994, Benoît returned to the Paris office as Head of
• Morten Friis, CRO, RBC
Treasury and Foreign Exchange and then became SG CIB’s Global Head of
• Dominique Bourrat, Managing Director, RISK DYNAMICS Debt, Currencies and Commodities. In 2004, Benoît was appointed Deputy Head of Corporates
• Richard Reid, Director Of Research, INTERNATIONAL CENTRE and Institutions and became a member of the Executive Committee of SG CIB and of the Group
Management Committee. Since January 2007 he has been Head of Corporates, Institutions and
FOR FINANCIAL REGULATION the Advisory Division.
19.15 - 20.00 Welcome Drinks Reception 10.15
Sponsored By THE CRO COMMENT & CHALLENGE SESSION
Leading industry figurehead Stephan Schoess will offer comment on
the prior presentations and challenge the presenters on their
comments. Audience members will also have the chance to pose
their questions anonymously and in real time through emailing
question@icbi.co.uk
Commentator:
• Stephan Schoess, Chief Economist
THE OPTIONS CLEARING CORPORATION (OCC)
Prior to his current position, Mr. Schoess managed OCC’s risk-management department
The Ri$kMinds CRO Forum with responsibilities for formulating, devising, and controlling OCC’s risk-management
procedures. Before joining OCC in 1998, Mr. Schoess held positions as Principal of
Hedge, Inc., Managing Director of the Chicago Board Options Exchange, Senior
Tuesday 7 December 2010 Strategic Planner at Continental Illinois National Bank of Chicago, and Associate
Professor of Finance at Northeastern Illinois University.
Panellists:
07.30 Registration & Coffee
• Pippa Malmgren, Founder, THE CANONBURY GROUP
• Norah Barger, Deputy Director, Division Of Banking Supervision
& Regulation, THE FEDERAL RESERVE BOARD
08.00
• Richard Kibble, Partner, Financial Services Strategy Team,
Chairman’s Opening Address PRICEWATERHOUSECOOPERS
Robert Sullivan • Benoît Ottenwaelter, Group Chief Risk Officer & Member Of
Financial Services Assurance & Advisory Partner, The Executive Board, SOCIETE GENERALE
Global Banking & Capital Markets Leader
PRICEWATERHOUSECOOPERS 10.45 Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition
Bob is the lead engagement partner for one of PwC’s largest Global
Financial Institution clients and the Global Banking and Capital Markets
11.15
Leader. Prior to his current roles, he was the leader of PwC’s US Financial
Services Advisory business, which comprises over 500 professionals and the Financial Risk
Management Advisory and Assurance Practice. The Advisory business provides process
THE CRO THINKTANK I
improvement, transaction and crisis management advisory services to major financial institutions. Risk Culture & Ethics: What Systems & Processes Can Enhance The
Bob has managed risk management advisory and assurance engagements for a broad range of Risk Culture In Every Financial Institution To Make Sure Things Are
companies including large financial services firms, energy and other commodity trading firms, and
large corporations. He also provides technical advisory services on accounting for financial
Different This Time?
instruments and related risk management issues to major derivative dealers as well as to major
financial institutions and corporations. THE IFRI CRO DISCUSSION
The Mission of the International Financial Risk Institute (IFRI) is to
08.15 provide opportunities for senior risk practitioners, especially the Chief
Risk Officers of the world's major financial institutions, to discuss and
WHERE’S THE NEXT ICEBERG? exchange ideas on both the principles and the practical application of
Geopolitical Risk, Macro Economic Policy & Scenario Management: financial risk management. The Institute thereby seeks to develop
Understanding What Risks Lie In Wait On The Horizon & How Should thought leadership and provide learning opportunities by and for senior
Banks Prepare For The Next Crisis? risk professionals, with a view to enhance risk management best
Pippa Malmgren practice in the financial industry as a whole. www.ifri.ch
Founder Chaired By:
THE CANONBURY GROUP Richard Evans
Dr Malmgren served as financial market advisor to President GW Bush on
the National Economic Council in The White House from 2001-2002 where CRO, Institutional Clients Group
she was responsible for financial market issues. Before joining the CITI
administration, she served as the Deputy Head of Global Strategy at UBS Richard joined Citibank in June 2008 as Chief Risk Officer for the
Warburg and as the Chief Currency Strategist for Bankers Trust. She headed Institutional Clients Group (which covers Markets, Securities and Banking
the Global Investment Management business for Bankers Trust in Asia out of Hong Kong. She is a and Alternative Assets). He is based in London and runs a global team of
frequent guest on the BBC and a guest presenter on CNBC’s Squawk Box (UK). She is also a Senior 1250 risk personnel. Prior to joining Citi, Richard was the Deputy and Co-
Advisor to Deustche Bank in Australia and the Middle East, Prudential Real Estate Investments Chief Risk Officer of Deutsche Bank AG for eight years. Prior to that, Richard spent over eighteen
worldwide and Amwal in Qatar. She is a Governor of the Ditchley Foundation in the UK. years with JP Morgan, working in London, Sydney, Brussels and New York. After trading for
thirteen years, he moved into Risk Management from 1993 onwards. In 1995, Richard was
seconded to the Bank of England to investigate the collapse of Barings Bank and was one of the
08.45 primary authors of the official report presented to Parliament. In January 2004 Richard was named
‘Risk Manager of the Year’ by RISK Magazine. Richard was a Director of Euroclear SA and PLC and
Chairman of the Board’s Risk Policy Committee from 2005-2008. He is also a member of the
GUEST SUPERVISOR ADDRESS Executive Committee of the International Financial Risk Institute (IFRI) and was President of IFRI
The New Risk Paradigm For Banks: How Can The Next Generation from 2003 to 2005.
Of Banks Avoid The Mistakes Of The Past?
Morten Friis, CRO, RBC
Norah Barger (see biographical details previously)
Deputy Director, Division Of Banking Supervision &
Regulation Stephen Allen
THE FEDERAL RESERVE BOARD Head Of Risk Management Group
Norah is the Deputy Director for the Division Of Banking Superivison & MACQUARIE GROUP
Regulation at the Federal Reserve Board in Washington DC. She is also Stephen is the Head of Risk Management for the Macquarie Group
the co-chair of the Trading Book Group in Basel where she works on globally. Stephen joined Macquarie in 1993 and has undertaken a broad
addressing issues relating to the application of Basel II to certain range of roles within the organisation, predominantly in the investment
exposures arising from trading activities. A current focus of this group is the appropriate banking area. He began his career with Macquarie in the infrastructure and
capital treatment of event risk in the trading book. utilities advisory business in Australia and later established the European
infrastructure business for Macquarie. Stephen’s roles at Macquarie have included Head of Credit
for Macquarie Group, Global Head of Macquarie’s Infrastructure and Utilities Advisory practice,
CEO of the independently listed toll road investor the Macquarie Infrastructure Group and Head of
the London office of the Macquarie Group.
9
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 9

Day 1 CRO Forum & Day 2 Main Conference: 7 & 8 December 2010
DAY
RI$KMINDS
1&2 Risk Modelling, Measurement & Management In The New World Order

12.00 15.00 17.15

Determining Risk Appetite In A Post-Crisis Environment: Global Banks In The Emerging Markets Remuneration & Risk-Taking Incentives: Practice & Regulation
Understanding The Links Amongst Risk Appetite, Strategy, The Challenges And Opportunities Facing Global Banks Operating Mark Carey
Capital Allocation, And Other Important Actions/Allocations In Emerging Markets Adviser, Division of International Finance
Alden Toevs • How do you balance the requirements of global standards THE FEDERAL RESERVE BOARD
CRO with the practical challenges of banking in the emerging Mark Carey is Adviser in the Division of International Finance at the
Federal Reserve Board in Washington, DC. He is also co-director of
COMMONWEALTH BANK AUSTRALIA markets? the National Bureau of Economic Research’s Risks of Financial
Alden joined the Commonwealth Bank of Australia on 23 June • How do we define emerging markets? Institutions Working Group, which is a mixed group of academics and
2008 as Group Chief Risk Officer. Alden provides leadership in financial professionals that focuses on risk management at financial
ensuring effective risk management and risk governance across the • The role of emerging market banks beyond pure banking
firms. He was a founding-father of Basel 2, and though he is a research economist, he has
Bank and also acts as an advisor to the Bank’s Board and Executive Paul Smith frequently worked closely with bank examiners. He has written a lot of technical papers
Management on risk management. Prior to commencing with the Commonwealth Bank, Group CRO about credit risk and also about corporate debt and corporate finance. His Ph.D in economics
Alden led First Manhattan Consulting Group’s (FMCG) risk management, MIS and is from Berkeley and his undergraduate degree in economics is from Oberlin College.
mortgage banking practice areas for 15 years, and was lead consulting partner between STANDARD BANK
2000 and 2008. Paul Smith was appointed Chief Risk Officer for the Standard Bank
Group on 1 November 1999. He reports to Jacko Maree, the Group 17.45
Chief Executive and is a member of the Group Executive Committee
12.25 and Group Credit Committee. He was previously the Head of Risk THE CRO THINKTANK IlI
within the Corporate and Investment Banking Division of Standard
Post Crisis CROs Identifying The New Challenges For A CRO In A Bank, a position he held from 1 June 1997. Paul Smith was previously a partner in the What Keeps The CRO Awake At Night?
Post Crisis World Financial Services Group of KPMG – he was a partner with the firm for 13 years out of a This CRO panel discussion will give insight into the key concerns
total period of service of 21 years. top of the list for leading global Chief Risk Officers
Martha Cummings
CRO William Dawson
15.30 Executive VP, Chief Credit & Risk Officer, Wealth,
BANCO SANTANDER
Martha Cummings is Chief Risk Officer for Banco Santander in New THE CRO THINKTANK II Brokerage & Retirement
York. She is responsible for the risk management of all credit and WELLS FARGO & COMPANY
trading operations booked in New York, including Loans, Project Risk Governance, Non-Executive Oversight & The Relationship William L. Dawson assumed his role in 2009. Bill provides
Finance, Structured Finance, Debt and Equity Capital Markets Between The Board Of Directors & The CRO: management oversight and is responsible for credit, market and
transactions as well as all trading portfolios for Latin American Equities, Fixed Income and How Can We Create A More Effective & Accountable Risk operational risk, including compliance for the following business
Derivative Products. Previously, Ms. Cummings was a consultant; her engagements included lines within this division: Wealth, Family Office Services, Brokerage
working as Program Advisor for the Wharton Executive Education Management Function?
(Wells Fargo Advisors) and Retirement. Bill has over 35 years’ experience in the financial
and assisting in business development for a private equity fund. Ms. Cummings is an Stephen Anderson services industry. Prior to joining Wells Fargo, Bill, an 8-year veteran of Wachovia
experienced investment banker specializing in international finance and has extensive CRO, Europe Corporation, most recently held the position of Chief Risk Officer, Capital and Wealth
expertise in Latin American clients and markets. Management, for Wachovia.
HSBC
Stephen joined HSBC as an International Manager in 1983 and has
12.50 worked in eight countries, covering almost all business lines. More Jacques Beyssade
recently he has specialised in risk management and COO roles. CRO
THE CRO COMMENT & CHALLENGE SESSION Stephen established the Credit Risk function in Thailand in 1998 NATIXIS
Leading industry figurehead Ruth Whaleywill offer comment on during the Asian crisis, and spent the next two years working out Jacques Beyssade began his career in 1984 at Crédit Lyonnais in
the prior presentations and challenge the presenters on their HSBC’s non-performing loan portfolio in Thailand. As COO, first for London as a financial analyst. He headed up the Champs Elysées
HSBC Singapore and more recently for HSBC Turkey, he has successfully implemented Corporate Banking Branch (1994-1997) before being appointed
comments. Audience members will also have the chance to pose major strategic cost reduction programmes. He is currently the Chief Risk Officer for HSBC
their questions anonymously and in real time through emailing Country Manager for Korea (1997-2001). He later became Head of
in Europe based in London. Debt Markets in New York (2001-2005). In 2006, he took up the
question@icbi.co.uk position of Head of Calyon’s Capital Markets division for the Asia-Pacific region. He joined
Commentator: Christiane Laibach Natixis in 2008 as Head of Risk Supervision for the Corporate and Investment Banking
• Ruth Whaley CRO division. Since July 2009, he as been the Chief Risk Officer of the bank and a member of
KFW IPEX BANK its Executive Committee.
Director Of Corporate Relations, Judge Business School
Ms Laibach was appointed Chief Risk Officer in 2009. She has
CAMBRIDGE UNIVERSITY been a member of the Board of Managing Directors of KFW IPEX- Holger Demuth
Ruth is responsible for the corporate relationships of Cambridge Judge Business Bank since 2008 and has previously held positions in the
School with a focus on recruitment across all programs, shared research, internships infrastructure finance team within the bank.
CRO, Member Of The Executive Board
and even sponsorship. Prior to her role at Cambridge University, Ruth held the position CLARIDEN LEU
of CRO at MBIA from 1999 to 2009. She also holds board positions at Nuclear Electric Holger G. Demuth has been Chief Risk Officer at Clariden Leu since
Insurance, Cambridge In America and the Eisenhower Fellowships and has previously Dr. Sebastian Fritz-Morgenthal November 17, 2008. Previously, he built up and led the Risk
held positions at Citi, CapMAC Holdings and the Union Bank Of Switzerland. Head of Group Risk Management Management unit in the Asset Management Division of Credit
HSH Nordbank AG Suisse in the position of Global Head of Risk. In 2005 he was Global
Panellists: Head of Project Office & a Member of the "One Bank" Working
• Richard Evans David Li Group at Credit Suisse. Prior to this he held various management positions at Credit Suisse
in Chicago, London and Zurich. In 1986 Holger G. Demuth studied at the International
CRO, Institutional Clients Group CRO Banking School of Credit Suisse in New York followed by studies at the Business School of
CITI CHINA INTERNATIONAL CAPITAL Zurich where he graduated with a federal diploma in banking. He subsequently completed
CORPORATION the Master of Business Administration at the University of Rochester NY and attended the
• Alden Toevs David Li’s financial career began in 1997 at the Canadian Imperial Advanced Management Program at the Harvard Business School in Boston.
CRO Bank of Commerce, and by 2003 he was director and global head
COMMONWEALTH BANK AUSTRALIA of credit derivatives research at Citi. In 2004 he moved to Barclays Jens Kaessner, CRO
Capital where he headed up the credit quantitative analytics team.
• Martha Cummings In 2008 Li moved to Beijing where he works for China International Capital Corporation DEUTSCHE POSTBANK
as Head of the Risk Management department. In April 2010 Jens was appointed Chief RIsk Officer of Deutsche
CRO Postbank Group. He is responsible for the risk methodology
BANCO SANTANDER (ratings, VaR models), Basel 2 compliant implementation of
Lesley Jones Postbank’s risk infrastructure, risk reporting and initiating
Group Chief Credit Officer appropriate risk management action. As CRO he is a member of all
13.20 Lunch For All Delegates RBS risk committees of the Group. Jens joined Postbank Group in 2002
and his previous responsibilities include Head of Credit Risk Management, Head of
See www.icbi-riskminds.com for biographical details
Plus “Meet The VIP” Lunch Tables & Private Dining With Guest Structured Credit Products and General Manager of Postbank's US subsidiary, where he
Speakers (pre-registration required – please sign up at the was responsible for all US capital markets activities. He is experienced in implementing
John Hollows portfolio models to calculate credit risk and market risk models, trading credit derivatives
conference registration desk) CRO and overseeing other trading activities. Before Postbank Jens was with HypoVereinsbank,
KBC Group Risk Control, where he worked on allocation of risk capital.
Table Hosts: See www.icbi-riskminds.com for biographical details)
• Richard Evans Paige Wisdom
CRO, Institutional Clients Group 16.15 Chief Enterprise Risk Officer
CITI FREDDIE MAC
(see biographical details previously) THE CRO COMMENT & CHALLENGE SESSION Paige Wisdom was appointed Freddie Mac’s chief enterprise risk
Leading industry figurehead Maureen Miskovic will offer officer on April 1, 2010, and is a member of the company's senior
• Norah Barger, Deputy Director, leadership team, reporting directly to the CEO. In this role,
Division Of Banking Supervision & Regulation comment on the prior presentations and challenge the presenters Wisdom is responsible for providing the overall leadership, vision
THE FEDERAL RESERVE BOARD on their comments. Audience members will also have the chance and direction for enterprise risk management and leads an
to pose their questions anonymously and in real time through integrated risk management framework for all aspects of risk across the company.
(see biographical details previously) Previously, Wisdom served as Freddie Mac's Business Unit CFO, and earlier in her career
• Pippa Malmgren emailing question@icbi.co.uk held senior finance and risk-management positions with Bank of America, Bank One
Corporation/J P Morgan, UBS/Warburg Dillon Read, Citibank Salomon Smith Barney, and
Founder Swiss Bank Corporation. She holds a Master of Business Administration from The
Commentator:
THE CANONBURY GROUP • Maureen Miskovic
University of Chicago's Graduate School of Business and a Bachelor of Science in math
and computer science from the University of Illinois, Chicago.
(see biographical details previously)
Former CRO
• Claude Piret STATE STREET 18.15
CRO & Member Of The Management Board Most recently, Maureen J. Miskovic was Executive Vice President and CRO at State
Street, responsible for leading the company’s risk management function globally. She SUMMARY OF THOUGHTS
DEXIA was also a member of the company’s Operating Group, State Street’s most senior
strategy and policy-making team. Before being appointed to this role, Ms. Miskovic Today’s leading industry commentators will meet to deliver their
14.30 served on State Street’s Board of Directors and was Chairman at Eurasia Group, a thoughts on the shape of risk management from the CRO’s
global political risk advisory and consulting firm based in New York. Previously, Ms. perspective. Comments will be available in note form on the
The New Financial Zeitgeist And Bank Risk Management: Miskovic spent six years as chief risk officer for Lehman Brothers and prior to this
How Can CROs Add Value In The New Risk-Averse Environment? appointment she was Treasurer at Morgan Stanley in London responsible for capital RIskMinds website after the event www.icbi-riskminds.com
David Watts
planning, bank relations and cash management for its European and Indian businesses. Commentators:
She has also held senior management roles at S.G. Warburg in London. • Stephan Schoess, Chief Economist
CRO
WESTPAC NEW ZEALAND Panellists: THE OPTIONS CLEARING CORPORATION (OCC)
David Watts was appointed Chief Risk Officer of Westpac New • David Watts • Maureen Miskovic, Former CRO, STATE STREET
Zealand Ltd in October 2009. David is based in Auckland and is
CRO • Ruth Whaley, Director Of Corporate Relations, Judge
responsible for all aspects of risk management including credit risk & Business School, CAMBRIDGE UNIVERSITY
restructuring, operational risk, market risk, compliance and security. WESTPAC NEW ZEALAND
He is a member of the Executive Management Team, Chairman of
the Executive Risk & Audit Committee and a Director of 9 subsidiary boards. Before joining • Paul Smith 18.30 - 19.30
Westpac David had a 17 year career at National Australia Bank where he was Chief Risk Group CRO
Officer for Australia. Prior to entering banking David enjoyed 10 years as a Certified
STANDARD BANK Main Conference Cocktail Party
Practising Accountant.
• Stephen Anderson Sponsored By
CRO, Europe
HSBC

16.45 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition

Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
10 For latest programme or to register please visit: www.icbi-riskminds.com
KN2255 RiskMINDS 2010:Risk Minds 07
Day 2 Main Conference: Wednesday 8 December 2010
DAY
2 Risk Modelling, Measurement & Management In The New World Order
Day 2 Main Conference
Wednesday 8 December 2010
08.45 Registration & Coffee
09.00
Chairman’s Opening Address
Chaired By:
Thomas Kimner
Head of Americas Risk Practice
SAS
Mr. Kimner is Head of the Americas Risk Practice at SAS where he
leads a team of experts in shaping risk solutions by applying best-
of-breed data, modeling, and decision optimization methodologies.
Mr. Kimner joined SAS in 2009 bringing nearly 20 years of
experience in credit risk analytics, information management, and
systems architectures—the last 10 years in various senior level
positions at Fannie Mae, where he spearheaded initiatives to more effectively manage
credit risk and financial reporting.
09.10
The Ri$kMinds 2010
Guest Supervisor Address
Addressing The Key Issues In Today's Global Financial System
Julie Dickson
Superintendent
OSFI
Julie Dickson was appointed Superintendent of Financial
Institutions in July 2007, for a seven-year term. Ms. Dickson joined
the Office of the Superintendent of Financial Institutions (OSFI) in
April 1999, and was Assistant Superintendent, Regulation Sector,
from January 2000 to June 2006, when she was appointed Deputy
Superintendent. In October 2006, she was appointed Acting Superintendent. Prior to
joining OSFI, Ms. Dickson served in both the public and private sectors. In the federal
government, she served for 15 years with the Department of Finance, primarily in areas
related to financial institution policy. In the private sector, she served as Group Leader of
the Financial Institutions Practice for a national consulting firm from 1995 to 1998. She is
a member of the Accounting Standards Oversight Council of Canada, and was a member
of the Basel Committee on Banking Supervision from 2002 to 2006. She also represents
OSFI on the Financial Stability Board and the Integrated Supervisors group. As
Superintendent, Ms. Dickson serves on the Council of Governors of the Canadian Public
Accountability Board, the board of directors of the Canada Deposit Insurance Corporation,
and the board of directors of the Toronto Leadership Centre.
09.50
The Ri$kMinds 2010 New Research Paper
Financial Engineering And The Financial Crisis: Warnings, Guilt
And Lessons Hopefully Learned
• Mathematics and QRM: examples and an assessment based
on the financial crisis
• Model uncertainty and the road to Basel III
• The real culprits
• Risk management lessons to be learned from the crisis
Paul Embrechts
Professor, Department Of Mathematics
ETH ZURICH
Paul Embrechts is Professor of Mathematics and Director of
RiskLab at the ETH Zurich specializing in actuarial mathematics and
quantitative risk management. He co-authored the influential books
"Modelling of Extremal Events for Insurance and Finance", Springer,
1997 and "Quantitative Risk Management: Concepts, Techniques
and Tools", Princeton UP, 2005. Dr. Embrechts consults on issues in quantitative risk
management for financial institutions, insurance companies and international regulatory
authorities.
10.45
The Ri$kMinds 2010
Guest CRO Address
Reshaping The New Agenda For Risk Management:
How Have Banks Revised Strategies, Systems, Assumptions &
Internal Models In Light Of The 2007-2009 Crisis?
Hugo Banziger
CRO & Member Of The Management Board
DEUTSCHE BANK
Hugo was appointed to the Deutsche Bank Management Board in
May 2006 as the Chief Risk Officer. He is responsible for Credit,
Market and Operational Risk, as well as Corporate Security &
Business Continuity, and Treasury. In May 2007 he also assumed
responsibility for Legal and Compliance. In 2000 he became DB's
Chief Credit Officer and assumed responsibility for Operational Risk Management in 2004.
From 1985 to 1996 Hugo worked at Credit Suisse Group. In 1990, Hugo was appointed
Global Head of Credit for Credit Suisse Financial Products, the derivatives house of Credit
Suisse Group, based in London. In 1983 he started his career at the Swiss Federal Banking
Commission, the Supervisory Agency of Swiss Banks. Hugo has a Doctorate in Economic
History from the University of Berne, Switzerland.
11.15
Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition
STREAM A:
Market Risk Management In The New Regulatory Paradigm
Chaired By
MUREX
see www.icbi-riskminds.com for further details
To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225
24/11/10 11:36 Page 10
RI$KMINDS
11.40
Market & Credit Risk Integration In The Trading Book
vs The Banking Book:
Delivering A Holistic View Of Risk Exposures
Darryll Hendricks
Managing Director, Global Head Of Risk Methodology
UBS
Darryll Hendricks is Managing Director and Global Head of Risk
Methodology for UBS Investment Bank, where he has primary
responsibility for leading the strategic remediation and enhancement
of market and credit risk methodologies as well as the independent
review of valuation models. Since Autumn 2009, he has also served
as the chair of the US industry task force on tri-party repo
infrastructure. Before joining UBS, Darryll worked at the Federal
Reserve Bank of New York for 13 years where he focused on capital
regulation and on the risk assessment of clearing and settlement
infrastructure. Darryll has a PhD from Harvard University.
12.15
Managing Market Risk Exposures In A Changed World:
Creating An Appropriate Analytical Tool Set To Manage The New
Market Risk Exposures
Kevin Oden
Managing Director, Head Of Market Risk For Global Rates
WACHOVIA
Kevin Oden is a Managing Director and Market Risk Officer for the Securities Investment
Group of Wells Fargo. In this position, he leads a team responsible for commodity,
interest rate, municipal, foreign exchange and counterparty credit risk management.
Before moving to finance, Kevin was the Benjamin Pierce Assistant Professor of
Mathematics at Harvard University, where he specialised in differential geometry and
published in the areas of geometry, statistics and graph theory.
12.50
Riding The Waves Of Retail Lending:
Origination, Credit And Economic Cycles Often Coincide For
Disastrous Effects
• How to identify these cycles
• How to ride the wave
Joseph Breeden
CEO
STRATEGIC ANALYTICS
Dr. Breeden, Chief Executive Officer of Strategic Analytics Inc., leads the design of
advanced analytic solutions including the invention of Dual-time Dynamics that comprise
the firm's market offerings for forecasting, stress testing, and economic capital modelling
for retail portfolios. He recently published Reinventing Retail Lending Analytics and has
published papers and given lectures on retail lending analytics and economic capital
around the world. Strategic Analytics, founded in 1999, has successfully grown to
become an industry power and its software and services are used to analyze over $2
trillion in credit cards, auto, home equity, mortgage and other consumer credit portfolios.
13.25 Lunch
14.30
Risk Management In Private Equity
Ken Abbott
Managing Director & Chief Operating Officer, Market Risk
MORGAN STANLEY
Ken Abbott is a Managing Director at Morgan Stanley in New York, where he is Chief
Operating Officer for the Market Risk Department. In addition, he also supervises the
reporting, capital, and scenario processes and is responsible for the legal entity risk
management for Morgan Stanley's US broker dealer and national bank. Previously, he ran
market risk management for Bank of America’s Investment Bank. He has over 25 years’
banking experience, including 14 years at Bankers Trust as an analyst, trader, and risk manager.
15.05
CVA Analytics:
Effective Strategies For Pre And Post Trade CVA Risk Analytics
Paul Jones
Vice President, Product Management
QuIC FINANCIAL TECHNOLOGIES
Paul is responsible for defining and executing QuIC’s overall product go-to-market
strategy and technology roadmap. He holds more than 14 years’ experience in financial
engineering and risk, including roles at Lehman Brothers and Algorithmics. Paul holds a
BA Hons Physics from Oxford University.
15.40
IRC:
Modelling Incremental Risk Charge
• Insight into the IRC market
• Modelling approaches, parameterisation and calculation
processes
• Selected topics from a practitioner’s point of view
Christian Oehler
Senior Manager
D-FINE
Christian works as Senior Manager within d-fine GmbH. His main responsibilities are strategic
developments and projects in the framework of credit portfolio modelling and all aspects of
profitability oriented risk & capital management concepts including risk based pricing and limit
setting frameworks. Furthermore, he is a specialist in ICAAP and incremental risk charge
modelling and measurement in the trading book. Before joining d-fine he worked for Deutsche
Bank in the Application and Implementation team within Risk & Capital Management where
he was responsible for the credit portfolio model. Prior to Deutsche Bank he worked for Arthur
Andersen as a specialist for Basel II relevant topics with a focus on rating development and
validation methods. He earned a PhD in experimental particle physics from University of
Karlsruhe and holds a MSc. in financial mathematics from the University of Oxford.
16.15
Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition
Liquidity Risk & Balance Sheet
Management Working Group
16.45
Liquidity Stress Testing For Security Firms:
Defining Liquidity Destruction Triggers, Scenario Development &
Data Consistency In Liquidity Stress Tests
• New Basel liquidity proposal and liquidity stress testing
• Developing global liquidity stress testing for security firms
• Challenges for designing and developing global liquidity
stress testing
Kenji Fujii
Joint Head, Global Risk Management Group
MIZUHO SECURITIES CO
In his current role, Kenji Fujii is in charge of market risk, enterprisewide risk management
and risk capital framework. Prior to his current role, he was Senior Managing Executive
Officer, Chief Market Risk Officer at Aozora Bank, and General Manager, Basel 2
Implementation Office, Corporate Risk Management Division at Mitsubishi UFJ Financial
Group. Mr. Fujii has participated in numerous industry initiatives in risk management area,
including those related to the Basle II. He also acts as Principal of Tokyo the Risk
Managers Association (TRMA).
17.20
Enterprise Liquidity Management:
Essential Elements For Managing Enterprise Liquidity
• The regulatory challenge, just the baseline
• Extending traditional ALM to meet the challenge
• Applying deterministic and stochastic stress tests
• Defining the optimal liquidity funding structure using
advanced portfolio optimization techniques
Aaron Sanders, Market Risk Practice Leader
QRM
Mr. Sanders is the Market Risk Practice Leader at Quantitative Risk Management (QRM).
His current duties focus on ensuring QRM's models and clients use best practices for
Market Risk and Liquidity Risk. Since joining QRM in 2000, he has consulted and led the
implementation of Market, Credit and Liquidity Risk practices at many leading banks and
other financial institutions. Aaron has his BA in Economics from The University of Chicago.
17.55
Charging For Balance Sheet Usage: Linking Funds Transfer Pricing
And Capital Charging
• Should we charge for use of regulatory capital or economic
capital or both?
• Is charging for economic capital use the same as charging for
risk?
• Are real or notional charges best?
• How does tax enter the picture?
Mark Johnston, Division Director, Balance Sheet Strategy
MACQUARIE GROUP
Mark Johnston heads the Balance Sheet Analysis & Strategy team at Macquarie Group,
responsible for projecting and managing capital adequacy, designing incentive schemes
such as funds transfer pricing and capital charging, ensuring efficient use of capital and
managing macro risks. Prior to taking on this role Mark worked in Macquarie's Risk
Management Group, with responsibility for economic capital, risk appetite and risk-
adjusted performance measurement.
STREAM B:
Innovations In Credit & Counterparty Risk Modelling
Chaired By Dominique Bourrat, Managing Director
RISK DYNAMICS
(see biographical details previously)
11.40
PIT vs TTC: Developing A Dual PD PIT-TTC Ratings Framework
• The importance of systematic credit cycles in developing
internal ratings
• Managing real risk vs capital stability
• Industry vs regional systematic factors
• Using Agency Ratings in a Dual PD Ratings Framework
Scott Aguais, Head Of Credit Portfolio Analytics, RBS
In his current role, Scott’s responsibilities include developing, implementing and managing a
suite of credit risk models and methodologies end-to-end in support of active credit risk and
capital management. Additional responsibilities include developing and implementing key
credit methodologies for stress testing, Point-in-Time and Through-the-Cycle ratings and
portfolio management and working to enhance the overall credit risk systems architecture.
Prior to joining RBS in March 2009, Dr. Aguais was Global Head of Credit Risk Methodology at
Barclays Capital where he led the Barclays Capital credit risk modelling effort in support of the
successful attainment of their Basel II AIRB waiver. This work included developing a suite of
40 credit models and an industry-leading solution for PIT and TTC ratings that utilised
systematic credit risk cycles. In this role he also led the design, development and
implementation of Barclays Capital’s Phoenix solution, which is the firm’s Basel II system and
architectural solution.
12.15
Incorporating Capital Costs At Origination:
How To Improve Deal Origination Through Accounting For Portfolio
Effects
• Improving credit portfolio characteristics starting at
origination
• Deal pricing implications of credit concentrations
• Dynamically linking the deal structuring process to credit
portfolio management
Mikael Nyberg, Managing Director, Advisory Services
MOODY’S ANALYTICS
Mikael Nyberg leads Moody's Analytics Advisory Services as a Managing Director. The
Advisory Services group provides consulting, product training and implementation
services for Moody's Analytics portfolio, credit risk measurement and valuation products.
The team lead by Mikael is responsible for the implementation and introduction of
RiskFrontier™, Moody's Analytics' latest portfolio and CDO technology. His background
includes having worked since 1998 on the global implementation and product
management of KMV EDF™ and Portfolio Manager™ products. In these roles he was
responsible for the research and new development of models, software and data
products. His educational background includes B.Sc.(ECON) in Finance and Accounting
from the London School of Economics and an M.B.A. from IESE in Barcelona. His
thought leadership focus provides clients with frameworks and insights for addressing
their most pressing portfolio strategy issues.
11
KN2255 RiskMINDS 2010:Risk Minds 07
Day 2 Main Conference: Wednesday 8 December 2010
DAY
2 Risk Modelling, Measurement & Management In The New World Order
12.50
Quant Heaven? The Road To Credit Risk Management Is Quant
Heaven
Eduardo Epperlein, Managing Director,
Global Head of Risk Methodology, NOMURA
Eduardo Epperlein is a Managing Director at Nomura International, responsible for Global
Risk Methodology. His responsibilities include market and counterparty risk and their
implications for regulatory and economic capital. Eduardo has 16 years’ experience in the
financial industry, is a regular contributor to regulatory meetings and has chaired several
industry groups on Basel rules. He holds a PhD in Plasma Physics from Imperial College
and spent ten years as a research scientist prior to joining Citigroup in 1994.
13.25 Lunch
14.30
Basel III & Credit Risk: Don't Throw The Baby Out With The
Bathwater
• A critical view on the successes and shortcomings of Basel II
• "Positive" lessons for lending from the financial crisis
• The potential costs of indiscriminate capital buffers
Joerg Erlebach, Head Of Group Risk Controlling &
Capital Management, COMMERZBANK
Joerg Erlebach’s responsibilities cover topics spanning credit and operational risk controlling
and reporting, risk measurement methodologies, risk portfolio management by means of
limit systems, allocation and management of internal and external capital requirements and
group risk communication. In the past, he has been responsible for the group’s Basel II and
IFRS LLP projects. Before joining Commerzbank, he has filled various leading management
positions within the risk functions of Deutsche Bank AG and Eurohypo AG.
15.05
Liquidity Cycles In Risk Management: Liquidity Cycles & The
Impact On Credit Decision Making & Risk Management
• Excess liquidity and its impact on asset prices, risk appetite &
standards
• Will liquidity shocks drive the "new" business cycle?
Christoph Dieng, Chief Credit Risk Officer
NORD LB
Christoph Dieng was appointed Chief Credit Risk Officer in September 2007. Prior to
joining NORD/LB he worked at Deutsche Bank for over 10 years in various functions. In his
last assignment he served as Co-Head Credit Risk Management for Global Corporates and
Institutions in Europe.
15.40
Systemic Risk, Procyclicality & The Interconnectedness Of
Financial Institutions: Successfully Managing & Mitigating
Systemic Risk
Barbara Frohn
Managing Director
GRUPO SANTANDER
(see biographical details previously)
Gonzalo de Cadenas
Senior Analyst, Public Policy Department
GRUPO SANTANDER
16.15
Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition
16.45
Early Warning Systems
Leveraging Capital Market Information In Credit Risk Management
• Capital markets process information both real-time and
forward-looking
• Sophisticated econometric models based on market
information can help forecast solvency risk with a lead time of
more than half a year
• Market based early warning systems can considerably
strengthen credit risk management - in particular in times of
market crises
Volker Kintrup, Managing Director
RSU RATING SERVICE UNIT
Before joining RSU, Mr. Kintrup was employed with Oliver Wyman and Mitchell Madison
Financial Services Consulting for seven years. During this time, he advised banks and
insurance companies on issues regarding strategy, risk management and IT solutions. Mr.
Kintrup studied at the London School of Economics where he obtained a Master of
Science in Management of Information Systems.
17.20
Business Value In Risk Management
Prerequisites For Providing Business Value With Risk Management
Simon Haldrup, VP for Economic & Regulatory Capital
DANSKE BANK
After graduation, Haldrup was engaged by Danske Bank as project manager for several
major development projects within risk management, and he was in charge of
implementing a strategic data warehouse project. Haldrup moved on with his career as
head of the department of Credit Risk Modeling at Danske Bank. His primary objective
was to manage Danske Bank’s regulatory and economic capital, covering areas like
solvency, risk-weighted assets, economic credit capital and stress testing. Currently,
Haldrup is Vice President for Economic and Regulatory Capital at Danske Bank, where his
area of responsibility covers risk-weighted assets, economic capital, implementation of risk
and capital in the bank's business model. Other areas within Haldrup’s domain are
implementation of risk and Basel II and addressing the new regulation of Basel III.
17.55
New Strategies For Credit Portfolio Management
How Should Current Models Be Revamped In Response
To Basel III?
Ludger Overbeck, Head Of Quantitative Credit Portfolio
Management, COMMERZBANK & Professor Of Mathematics
UNIVERSITY OF GIESSEN
Since June 2003, Ludger Overbeck has held a Professorship of Mathematics and its
Application at the University of Giessen in Germany. His main academic interests are
Quantitative Methods in Finance and Risk Management and Stochastic Analysis. As of
January 2007 he also began consulting for Commerzbank as the Head Of Quantitative
Credit Portfolio Management. In this role, he is responsible for all quantitative aspects,
12
Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
For latest programme or to register please visit: www.icbi-riskminds.com
24/11/10 11:36 Page 11
RI$KMINDS
including integrated portfolio modelling (Market and Credit Risk), formulation of the risk
aversion and tolerance, riskreturn based performance management, optimization, hedge
decisions (micro- and macro hedges) and transaction and loan pricing. In his professional
career before 2003 he held many positions mainly in the area of Risk at DZ Bank,
HypoVereinsbank and Deutsche Bank.
Stream C:
Strategic & Regulatory Risk Management In
The New World Order
Chaired By
Richard Barfield, Director
PRICEWATERHOUSECOOPERS
Richard is a Director in the Risk and Capital Advisory team of PwC’s UK Financial Services
practice. He has broad-ranging consulting experience gained in 20 years with PwC. During
2010, he has been a key member of the PwC team that has been working with a group of
UK banks to assess the implications of Basel III and the wider reform agenda. He often
leads teams consulting at board level and advises financial services clients on how to
develop and strengthen risk management. His recent advisory work includes advice on risk
governance, risk appetite, stress testing, policy development, and Arrow preparation.
Previously he led the design and delivery of training to FSA banking supervisors on Pillar 2
SREP, and has advised financial institutions and other supervisors on SREP and ICAAP.
Richard has held senior line management positions for example through secondment as
Finance Director to Barclaycard, while at Coopers & Lybrand.
The Ri$kMinds 2010 Chief Risk
Officer Showcase
11.40
Risk Strategy & Infrastructure: Aligning Business Strategy, Risk
Strategy And Risk Infrastructure
Beat Hodel, CRO
RAIFFEISEN
Dr Hodel has been in his current role as Chief Risk Officer and member of the expanded
management board of the Raiffeisen Group since June 2005. Prior to this, Dr Hodel was a
Partner and Member of the Management Board of COMIT Group (2004-2005), Managing
Partner of ABOVO Management Consulting & Services (2002 – 2004) and Senior Partner at
Ernst & Young (1999 – 2002).
12.15
Risk Management Post Crisis: How Will Methods & Models
Change To Represent The New Normal?
Nasir Ahmad, CRO, BANQUE CANTONALE VAUDOISE
Prior to his current role, Nasir was the lead partner for Quantitative Advisory Services for
EMEIA and Head of Financial Services Risk Management for the Middle East at Ernst &
Young based in Dubai. He has 15 years of risk management experience including 5 years
as a quant at a large Canadian bank in Toronto. Nasir has a PhD in Mathematics and a
Masters degree in Theoretical Physics from the Swiss Federal Institute of Technology in
Lausanne Switzerland.
12.50
Middle East Risk Management: Risk Management In Dubai, GCC,
Middle East
• Our key challenges
• The differences … our risk management approach
• Going forward … back to the future
Jamal Saleh, CRO, COMMERCIAL BANK OF DUBAI
Jamal Saleh is PRMIA's Regional Director for the United Arab Emirates Chapter. He is an
Arab-American banker with 21 years of banking experience (10 in New York and 11 in the
UAE) in Risk Management, Credit, Corporate Banking, Private Banking, and Asset
Management. Jamal is presently heads Risk Management at Commercial Bank of Dubai
(UAE) where he is responsible for Credit Risk (Wholesale and Retail), Market Risk, and
Operational Risk, as well as IT-Governance, Risk, and Compliance (GRC), overall Corporate
Governance, and Implementation of Basel II.
13.25 Lunch
14.30
The New Agenda For Risk Management: Do We Need To Reinvent
The Entire Risk Management Process?
Petri Viertio, CRO
POHJOLA
Petri is Chief Risk Officer at Pohjola Bank Plc which is a leading financial services group in
Finland and Baltics focusing in corporate banking, treasury and trading operations, asset
management and P&C insurance activities. His main reponsibility is to lead the risk
management activities at the group, but as a member of the executive management team
he also participates to all strategic activities of the group.
Living Wills Working Group
15.05
Living Wills I: How Do You Address Bank Inter-Connectivity In
Recovery & Resolution Plans? Addressing The Challenges Of
Unwinding Complex Trading Portfolios
John Whittaker, Group Head Of Operational Risk
BARCLAYS CAPITAL
John Whittaker has been in his current role for the past six years. In total he has been with
the Barclays group for 22 years. His original background is in finance, where he has held
numerous positions covering both financial and product control. His experience includes
four years working in each of Japan and Hong Kong. He acted as the country chief
operations officer in Hong Kong and ran operational risk at Barclays Capital before moving
into his group role.
15.40
Living Wills II: Whose Responsibility Is The Recovery & Resolution
Plan & What Should The Plan Entail?
Duncan McNab, Partner
PRICEWATERHOUSECOOPERS
As Partner in the Banking and Capital Markets division of PricewaterhouseCoopers Duncan
has over 20 years’ experience of proving audit and advisory services to banks. Duncan has
principally worked with their wholesale and investment banking clients including; JP
Morgan, Barclays Capital, Commerzbank/Dresdner, ABN Amro and BNP Paribas Fortis.
Duncan is now focussing a substantial amount of time on Recovery and Resolution
Planning. He is assisting a large US bank in drafting its recovery plan and has a developing
network of contacts within the banks and regulators who are grappling with this issue.
Duncan was a member of the PwC management team at Lehman (LBIE) for 14 months
with visibility of all the different aspects of the administration. At Lehman he has live
experience of the most complex bank resolution that has been undertaken.
16.15
Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition
16.45
OTC Derivatives: Determining The Impact Of Derivatives
Legislation On The Cost & Efficiency Of Risk Management & On
Inter Bank Liquidity
Ahmet Yetis, Director, BARCLAYS CAPITAL
Ahmet is the regulatory and Basel II strategist at Barclays Capital in New York. He advises
clients on regulatory developments and capital management. Prior to joining Barclays,
Ahmet spent three years in Japan advising Asian banks on capital management. Ahmet is
an engineer and holds an MBA degree from Carnegie Mellon University.
17.20
Impact Of Basel III On Banks: Understanding The Implications Of
Calibration And Interaction With Regulators
Harry Stordel, Head Of Regulatory Coordination,
Policies and Controls, CREDIT SUISSE
Harry heads the Regulatory Coordination, Policies and Controls team in the CRO
Department of Credit Suisse AG. Prior to this role he was responsible for the credit risk
model validation and risk reporting team, and held various other positions in risk
management, controlling and economic research at Credit Suisse. Harry holds a PhD in
international economics from the University of Geneva.
17.55
Impact Of Basel III Q And A
• Harry Stordel, Head Of Regulatory Coordination,
Policies & Controls, CREDIT SUISSE
(see biographical details previously)
• Mattia Rattaggi, Managing Director, Head Of Group
Supervisory Relations, UBS
(see biographical details previously)
• Christian Lajoie, Co-Head Of Group Prudential &
Public Affairs, BNP PARIBAS
(see biographical details previously)
STREAM D:
Successful Risk & Capital Modelling In Volatile Times
The 2010 Citi Masterclass
11.40 - 12.15
Price Risk Vs Value Risk
• Two perspectives on measuring risk, “price risk” vs. “value
risk”
• The context in which each measure is appropriate
• The problem with using market spreads to estimate default
losses
• The very material difference in measuring economic capital for
the same portfolio from each perspective
• Issues in the application of these perspectives
Evan Picoult, Managing Director, Risk Architecture,
CITI & Adjunct Professor
COLUMBIA BUSINESS SCHOOL
Evan Picoult is a Managing Director within Citi’s Risk Architecture Department as well as an
Adjunct 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 projects regarding
Basel II, stress testing and the enhancement of the measurement, implementation and use of
Economic Capital. Evan joined Citibank in 1980 in systems development, transferred to a
trading desk in 1986 and has worked in internal risk management since 1988. He has led the
development of the methods used at Citi for measuring market risk and counterparty credit
risk. He is a frequent lecturer on risk topics at professional conferences, regulatory
conferences and at universities and has published a number of articles on risk topics.
12.50
Delivering The Risk Enabled And Capital Efficient Enterprise
Banks have long desired, and regulators encouraged, an optimal end
state in which financial and operational decisions are risk informed,
capital optimized and aligned with organizational risk appetite. The
challenge has been how to justify and quantify the value of this
utopian finance integrated, risk enabled enterprise. In this session
IBM will present best practices and approaches for measuring return
on investment gained from a case-based study of major banks
worldwide and analysis of academic/industry research.
Laurence Trigwell, Worldwide FSS Executive &
Euroepan Industry Leader, Business Analytics, IBM
Laurence Trigwell is the worldwide Financial Services Executive in the newly created Business
Analytics division, incorporating Business Intelligence, Information Applications, Financial
Performance Management and Advanced Analytics. In this capacity he is responsible for
developing and executing IBM Business Analytics Financial Services solution strategy and
heavily engaged in IBM's broader Financial Services solution, development and sales execution.
Accordingly Laurence works with financial services customers, industry bodies, thought leaders
and partners worldwide to understand their insight, analytics and performance objectives,
challenges and approaches. As a result he has written and contributed to research articles,
whitepapers and books in the areas of improved risk decisioning; sustainable profitability
strategies; and increased operational efficiency. He has worked with banks worldwide helping
to determine how risk insight can be exploited to drive increased alignment, agility and capital
efficiency. Laurence has more than 25 years financial services experience determining how
technology capability can be exploited for business benefit working in all major FS sectors in
both client and supplier organizations.
12.50 – 13.25
Closing Remarks & Structured Q And A
13.25 Lunch
14.30
Forward Thinking For Scenario Analysis Effectively Embedding
Plausible Economic Scenarios Into Bank-Wide Stress Tests
Paul Shotton, Deputy Head Of Portfolio Risk Control And
Head Of Group Risk Methodology, UBS
In his current role, Paul is responsible for oversight of all risk taken in UBS's Investment
Bank, Wealth Management and Asset Management businesses, and the Corporate Center.
Prior to joining UBS, Paul was Global Head of Market Risk Management at Lehman
Brothers in New York, and before that he was Head of Market Risk for Europe, Africa &
Middle East at JP Morgan, Chase & Co. in London. Before becoming a risk manager, Paul
was a trader, principally in fixed income products, for nine years, beginning his trading
career at Goldman Sachs in London. Before turning his attention to financial markets, Paul
was a physicist at the European Centre for Nuclear Physics Research (CERN), in Geneva,
Switzerland, having completed his Bachelor's, Master's and PhD in physics at Balliol
College, University of Oxford.
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 12

Day 2&3 Main Conference: Wednesday 8 Thursday 9 December 2010

DAY
2&3 Risk Modelling, Measurement & Management In The New World Order
15.05
Scenario Modelling: The Advantages Of Managing Risk With
Scenarios
Hubert Brogniez
Managing Director
FINALYSE
Hubert is in charge of strategy and international development of the group Finalyse, a
European leader consultancy specialized in implementing valuation, risk and performance
solutions for the financial community. Hubert has a proven experience in designing risk
management systems for banks and asset managers. He particularly focuses his
attention on data and process management related to all kind of risks: Market, ALM,
Liquidity, Credit, Operational. Hubert has frequent contacts with risk managers at
different levels in the organisation and in different countries. Hubert brings a transversal
approach of an experienced generalist. He is convinced that managing risks through
scenarios is a major help to creating a risk culture inside a company.
15.40
Are We At The Bottom Of The Roller Coaster Ride And The
Lending Boom Is Starting Again? Lessons Learnt And How To
Set Sensible Risk Appetite In Retail Credit Risk
Uttiyo Dasgupta
Head Of Analytics
HSBC UK & EUROPE
Uttiyo joined HSBC Group in May 2004 to set up the Group’s Corporate Analytics
function, thereafter he has worked in the UK & European Region in retail risk. Uttiyo
spent 18 years with Standard Chartered prior to joining HSBC. His last role was heading
Standard Chartered’s Economic Capital and Portfolio Management modelling function
based in London. Uttiyo has worked in a wide range of roles, which includes setting up a
Japanese Yen swap desk in Dubai, new Consumer Finance businesses in Thailand, Taiwan
and the Philippines. He was the Regional Head of the Retail business in India, Group
Head of Retail Credit Audit, Manager Corporate Banking and Trade Finance.
16.15
Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition
16.45
Economic Capital Post-Crisis: Evaluating The Key Issues &
Challenges Around Economic Capital & Assessing Its Relevance
In Bank Business
• How did the Economic Capital metrics perform throughout
the crisis?
• Is it still a relevant risk metric to manage banking
businesses?
• What risks are not captured by the Economic Capital
metrics?
• How to complement it in order to have a safe and sound
Risk Management framework
Jean-Bernard Caen
Risk Analytics Senior Adviser
DEXIA
Since September 2002, Jean-Bernard Caen has conceived and implemented the
Economic Capital framework at DEXIA Group. Before joining DEXIA, Jean-Bernard was
CEO of the consulting firm Finance & Technology Management (FTM), which he founded
in 1990 with 5 partners. FTM was active in the areas of Risk Management, Capital
Allocation and ALM. In this role, Jean-Bernard Caen directed numerous assignments for
banks and financial institutions, notably in France.
17.20
Topic to be confirmed
Shahram Elghanayan
Managing Director
SUNGARD
17.55
Stress Testing Economic Capital For Risk Appetite Design &
Capital Planning Framework: Broadening Stress Tests To Achieve
A Group Level Risk Appetite Validation Figure
Sebastian Fritz-Morgenthal
Global Head Of Group Risk Management
HSH NORDBANK
Sebastan Fritz joined HSH Nordbank as Global Head Of Group Risk Management in May
2010. Prior to this, he worked at the Frankfurt School of Finance & Management working
on topics such as Risk Management, Renewable Energy Finance and Institution Building.
From January 2006 until December 2007, Sebastian was Global Head of Operational Risk
Management at Deutsche Bank. Prior to that, he worked as Head of Market Risk
Management and was adivisional risk board member at WestLB. From 1997 to 2004,
Sebastian worked in various areas of Deutsche Bank’s Risk organisation, where he built
the Risk Analytics & Instruments group and was an integral part of the Economic Capital
and Basel 2 programme.
STREAM E:
Cutting Edge Insights From The Ri$kMinds Thought Leaders
Chaired By
David Stréliski, Regional Director,
Member of the Global Board of Directors
PRMIA
David Stréliski has been involved with PRMIA (Professional Risk
Managers' International Association) since July 2002 as member of
the Global Board of Directors (ongoing) and Regional Director of
Montreal chapter (until summer of 2010). He is now also part of
PRMIA Geneva Steering Committee. Mr. Stréliski is Partner in charge of the Financial
Risk Management practice of Deloitte in Geneva, where he manages a team of
quantitative finance and risk management experts to provide advisory services to
financial institutions, corporations and commodity and energy traders. He has more than
15 years of experience in the development of risk management and reporting systems, in
promulgation of sound treasury and risk management practices and in quantitative
modeling.
"This Is The Best Risk Management
RI$KMINDS
11.40 • Expert Judgement & Models:
Klaus Boecker, Senior Risk Controller, UNICREDIT GROUP
Q & A Off The Record
• Reputational Risk - Strategies For Rebuilding And
Julie Dickson, Superintendent, OSFI
Sustaining Reputation:
(see biographical details previously)
Leo Johnson
Partner
12.15
PRICEWATERHOUSECOOPERS
GUEST LECTURE 1: Leo Johnson is a Partner of PricewaterhouseCoopers' Sustainability and Climate Change
team, and Co-Founder of Sustainable Finance Ltd., advisors since 2004 to over 50
Financial Crises In Long Term Perspectives
international financial institutions around the risks and opportunities of sustainability, and
Forrest Capie, Professor Of Economic History is now a part of PricewaterhouseCoopers. On behalf of Sustainable Finance, Leo has
CITY UNIVERSITY worked since 2003 on the rollout of the Equator Principles, an industry standard for
After working as an accountant for Ford Motor Company and as a civil servant in the environmental and social due diligence, that has grown from an initial four to sixty banks,
Department of Trade and Industry in New Zealand, Professor Capie read economics and representing over 90% of cross-border project finance. In 2004, Leo was awarded the
economic history at the University of Auckland and the London School of Economics. IFC Corporate Award for his work in this area. In 2006, Leo worked with the Financial
Amongst many books, he has written 'Depression and Protectionism' and was co-author Times and IFC to establish the Financial Times Sustainable Banking Awards, an industry
of 'The Inter-War British Economy'. He has also written papers on monetary and trade for international banks, asset managers, and private equity groups. He served as a
history and was editor of The Economic History Review from 1992-1999. Judge for the inaugural awards and has acted on behalf of Sustainable Finance as
Technical Advisor to the FT for the Awards since their inception.
13.25 Lunch
18.30 – 19.30
14.30
Cocktail Reception
Implementing Risk Appetite: Overcoming The Challenges Of Kindly Sponsored By
Implementing A Risk Appetite Framework Across Your Institution
Olivier Irisson, Deputy CRO
BPCE
Olivier joined BPCE in June 2010. Prior to his new role, he was the head of the 'Global Risk
Measurement' department in charge of transversal risk analytics and portfolio analysis, stress
testings and capital measures at group level for credit, market and operational risks. Olivier
joined SG in 2002 and held several positions in quantitative risk modeling before leading the
global Rating and Capital modeling unit from 2006 to 2009. Before this, Olivier was a 19.30 End Of Day 2 Main Conference
manager in the Financial Risk Management practice of PricewaterhouseCoopers and worked
for BNPP personal finance. Olivier holds a Doctorate from the University of Paris Dauphine
and has taught finance and risk management at HEC and Ecole Centrale.
15.05
GUEST LECTURE 2: Day 3 Main Conference:
Credit Ratings And Securitization Thursday 9 December 2010
John Hull
Maple Financial Professor Of Derivatives & Risk Management
UNIVERSITY OF TORONTO
(see biographical details previously) 08.45
Chairman’s Opening Address
16.15 Chaired By: Charles Richard
Senior Vice President, QRM
Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition
Mr. Richard is a Senior Vice President of Quantitative Risk
Management. Mr. Richard has over 25 years of experience in the field
16.45 of enterprise risk management, balance sheet management, credit
risk management and regulatory capital management. During his
GUEST LECTURE 3: tenure at QRM, Mr. Richard has consulted with hundreds of financial
How NASA Manages Their Risks institutions worldwide and helped QRM build an international client
base that now lists over 250 long term engagements.
Jeevan Perera
Risk Manager
09.00
NASA SPACE CENTRE
Dr. Jeevan Perera works at NASA, Johnson Space Center in Houston,
Texas. He has been the risk manager for several key manned space THE RI$KMINDS 2010
programs including the International Space Station, Orion Spacecraft and
others. Orion was NASA's proposed new spacecraft to replace the Space
‘FINANCIAL MINDS’ THINKTANK
Determining The New Blueprint For Financial Engineering:
Shuttle service to the International Space Station, then return astronauts to
the moon and eventually mount expeditions to Mars. In his technical capacity within Orion, he Sophisticated Complex Models Vs Crude Robust Risk Measures:
shared associated responsibility for the day-to-day management of the Orion Project's business Is There Room For Both Strategies In The Post-Sub-Prime World?
and project planning roles including overall management and assessment of project budgets,
procurement, contracts and assessment functions (including risk management), configuration Greg Hopper, Managing Director, GOLDMAN SACHS
management, information technology, schedules, and the development of management plans and Greg Hopper is a Managing Director at Goldman Sachs, responsible for the quantitative analytics
processes. Formerly as the Risk Manager, International Space Station, Johnson Space Center, and group within the Credit Department. Greg Hopper's responsibilities include quantitative credit risk
then Orion Project Risk Manager, he designed, developed, implemented and improved the methodology and strategy, quantitative hedge fund risk management, and regulatory policy. Greg
agency's risk management processes through a phased, systematic approach setting the standard holds a Ph.D. in Economics from the University of Virginia. Greg has been with Goldman Sachs since
for NASA’s risk practice. Prior to his work in risk management, he has worked in different technical 2004. Before coming to Goldman he was an executive director at Morgan Stanley and a senior
fields in support of many NASA programs and projects. economist with the Federal Reserve Bank of Philadelphia.
17.20
Paul Shotton
Deputy Head of Portfolio Risk Control and
GUEST LECTURE 4: Head of Group Risk Methodology
Perceptions Of Risk: Communicating Risks And Deeper UBS
Uncertainties In Words, Numbers & Pictures (see biographical details previously)
• Perception of risk can be influenced in predictable directions
by the choice of words, form of numbers, and choice of Riccardo Rebonato
pictures
Global Head Of Corporate Markets,
• Multiple presentations can be used, including comparators Head Of Quantitative Research, Global Banking,
and interactive animations, to encourage realistic RBS
understanding (see biographical details previously)
• 'Deeper' uncertainties, in the face of explicit and implicit
ignorance, can be acknowledged Evan Picoult, Managing Director,
• New examples of being 'upfront about uncertainty' will be Risk Architecture, CITI & Adjunct Professor,
discussed, from statins to swine flu, climate change to COLUMBIA BUSINESS SCHOOL
volcanic ash (see biographical details previously)
David Spiegelhalter
Winton Professor For The Public Understanding
Of Risk, Department Of Mathematics 09.45
CAMBRIDGE UNIVERSITY
David Spiegelhalter’s background is in medical statistics, particularly Getting Back On Top
the use of Bayesian methods in clinical trials, health technology Recovering And Learning From A Reputational Disaster
assessment and drug safety. He led the statistical team in the • If I can come back then anyone can
Bristol Royal Infirmary Inquiry and also gave evidence to the
Shipman Inquiry. In his new post he leads a team which is attempting to improve the way • You can never predict the future
in which the quantitative aspects of risk and uncertainty are discussed in society. He was Take Home Insights From The Ri$kMinds Disaster Guru: Learn
awarded an OBE in 2006 for services to medical statistics. How To Overcome Adversity & Rebuild Yourself & Your Business
With This ‘Real Life’ Case Study From A Top Business Executive
18.30 – 19.15
Gerald Ratner
Champagne Roundtable Discussions Founder
RATNER ONLINE
Network with other like-minded professionals & join one of the
Gerald had transformed his family business into the world’s largest
below champagne roundtables. Pre-registration is advised – sign jewellery retailer with 2500 shops, when a casual joke he had told
up at the conference registration desk on the day many times before hit the papers. He became a laughing stock and
• PIT vs TTC: was forced to step down. Now back on top with a thriving online
operation, he talks candidly about the rollercoaster journey and the
Scott Aguais, Head Of Credit Portfolio Analytics, RBS
• Managing Risks In NASA:
valuable lessons learned.

Conference In The World" Jeevan Perera, Risk Manager, NASA SPACE CENTRE 10.30 Morning Coffee
• Financial Resource Management:
Eduardo Canabarro, Global Head Of Quantitative Analysis Thorsten Kanzler, Group Treasurer
Morgan Stanley COMMERZBANK

To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225 13
KN2255 RiskMINDS 2010:Risk Minds 07
Day 3 Main Conference: Thursday 9 December 2010
DAY
3 Risk Modelling, Measurement & Management In The New World Order
STREAM A
New Approaches To Measuring & Managing Liquidity Risk
Chaired By:
Gilles Demeulenaere
Vice President
QRM
Mr. Demeulenaere is a Vice President of QRM and has been responsible for QRM's
European Marketing since 1998. Prior to joining QRM, Mr. Demeulenaere served Marine
Midland Bank and Société Générale in New York, for 16 years, in various capacities with a
focus on structured finance. Mr. Demeulenaere holds an MA degree in Economics from
Dauphine University, Paris and a BA degree in Economics from Assas University, Paris.
11.00
Liquidity Risk Management:
Liquidity Regulation 2.0 - Impact On The Financial Industry
• Change of regulatory environment during the crisis
• Impact of the new regulation on the financial industry
Andreas Heise
Director, Head Of Liquidity Risk Management
DEUTSCHE BANK
Andreas C. Heise joined Deutsche Bank in 1994. After several assignments in Private
Banking and Global Markets, he transferred into Treasury in 2001. Since then he has covered
several areas in Liquidity Risk Management with regional and global responsibilities. At the
moment Andreas C. Heise is the Head of Liquidity Risk Management focusing on
regulation and regulatory interaction. Andreas holds a degree in business administration
from the Business School of Finance and Management in Frankfurt.
11.35
“Water, Water Everywhere…”
A Unitary Approach To Managing Liquidity To Generate Liquidity
At Risk
Samuel Taylor Coleridge was spot on with his assessment in “The
Rime of the Ancient Mariner.” Just because it is all around you
does not necessarily imply that it is fit for consumption; liquidity
too, whilst seemingly all around us, may not be readily available.
This presentation seeks to highlight an approach that:
• Uses both contractual and behavioural cash flows to assess
the amount of liquidity at risk, taking into consideration the
impact of counterparty creditworthiness
• Showcases computations relating to the pricing of such
liquidity, and the incorporation of counterbalancing in a
dynamic framework for assessing forecast liquidity
• Seeks to use a VAR-like framework so that for any date in
the future (tn), a liquidity at risk value for a given confidence
level can be obtained
Suresh Sankaran
Vice President & Director Of Strategic Consulting
FISERV
Suresh Sankaran is Vice President and Director of Strategic Consulting within the Risk &
Compliance division of Fiserv. He develops and provides enterprise risk management and
Basel II advisory consulting services to Fiserv clients worldwide. A former banker with
ABN AMRO and Hong Kong & Shanghai Banking Corporation, Sankaran also is a featured
speaker for the Financial Stability Institute of the Bank for International Settlements and a
prolific global presenter and published author.
12.10
Liquidity Risk:
A Balance Sheet Risk Management Approach
• Enterprise vs Balance Sheet Risk Management
• Integrating ALM, Market, Liquidity and Credit risk – A
pragmatic approach
• Exploring the interdependency among sustainable growth,
risk, returns and value creation in financial institutions
• Integrated Management Reporting: top down vs bottom up
approach
Dr. Mario Onorato, Senior Director, Balance Sheet Risk
Management Solutions, ALGORITHMICS UK
& Honorary Senior Lecturer, Faculty of Management
CASS BUSINESS SCHOOL, CITY UNIVERSITY, LONDON
Mario Onorato is the Senior Director of Balance Sheet Risk Management Solutions at
Algorithmics. He is charged with the development of ALM, Liquidity Risk, IAS, FTP, and
shareholder value creation solutions for financial institutions and corporates. Prior to joining
Algorithmics, Mario was Head of Strategic Consulting at Misys Banking Systems, Scientific
Consultant at KPMG, and Corporate Finance Senior Consultant at Sanwa Bank. Mario has
held a number of academic positions in The Netherlands and UK, is author of several books
and research papers, and is Honorary Senior Lecturer, Faculty of Management, Cass
Business School, City University, London. He holds a PhD in Finance.
12.45 Lunch
14.00
Balance Sheet Structuring:
Balance Sheet Structuring In A Funding Constrained World
• The funding crunch-where is the market now?
• Balance sheet structure - the last two years
• Regulatory reform and impact on industry and economy
• Prospects and outlook
Martyn Hoccom, Head of Strategy, Group Treasury
RBS
Martyn Hoccom has held his current position since September 2008. He was previously
at Lloyds TSB working in the wholesale division with a focus on funding, liquidity and
product pricing. Martyn has worked in a number of Asset Liability Management roles in
major UK banks covering interest rate, liquidity and treasury management issues.
"A Great Conference: Top Speakers,
New Insights & A Full House - Even In
The Midst Of These Turbulent Times!"
Andreas Gottschling, Global Head Of Risk Analytics & Instruments
And Operational Risk Management, Deutsche Bank
Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
14 For latest programme or to register please visit: www.icbi-riskminds.com
24/11/10 11:36 Page 13
RI$KMINDS
14.35 12.45 Lunch
Liquidity Risk Management 14.00
Better Including Liquidity Risk In The Overall Risk Management
Framework A Practical Guide For Turning Your Pricing Infrastructure Into A
CVA Infrastructure
• Lessons from the crisis: liquidity risk has to be tackled for
itself and also in relation to other risks Alexander Sokol
NUMERIX
• Risk management and appropriate internal governance are
key for an efficient liquidity risk mitigation
14.35
• Knowledge of liquidity risk profile and use of stress tests for
a tailored approach rather than standardised tools
Re-Thinking Valuation: Towards A Comprehensive Scenario
• Liquidity risk awareness and internal pricing: for a liquidity Framework For Valuing Credit Instruments In Illiquid Markets
risk culture within an institution Dan Rosen
Dominique Laboureix, Director Of Policy & Research, Visiting Fellow
Prudential Control Authority, BANQUE DE FRANCE & Chairman, THE FIELDS INSTITUTE$ FOR
Liquidity Working Group, CEBS RESEARCH IN MATHEMATICAL SCIENCES
Mr Dominique Laboureix, 46, is currently Director of the Policy and Research department
& President,
of the Prudential Control Authority (Autorité de Contrôle Prudentiel – ACP). He is deeply
involved in the evolution of the prudential framework through his participation in a number R2 FINANCIAL TECHNOLOGIES
of working groups at the European level or at the Basel Committee level. He chairs the (see biographical details previously)
CEBS Liquidity Task Force, which issued several reports in 2008 and 2009 about liquidity
risk management and supervision.
15.10
15.10 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition
Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition 15.40
15.40
Forward Looking Capital Provisioning & Expected Loss
Liquidity Risk Regulation & Stress Testing: Liquidity Risk Provisioning:
Regulation, Reporting & The Role Of Stress Testing How Are New Capital Buffer Standards Impact Availability & Use
Of Tier 1 Capital?
Stefan Schmitz, Economist, OENB
Stefan joined Oesterreichische Nationalbank (OeNB) in 2003 where he covers the Evan Sekeris, Assistant Vice President,
macroprudential analysis of liquidity risk, payment systems, and funded pension products. Bank Supervision and Regulation Department
Publications include: "Why Central Banks Should Look At Liquidity Risk", Central Banking
Vol. XVII No. 4, (with A.Ittner); Institutional Change in the Payments System and Monetary FEDERAL RESERVE BOARD OF RICHMOND
Evan Sekeris is a member of the Supervision and Regulation Department focusing on the
Policy, Routledge, London, 2006 (co-edited with Geoffrey E. Wood); Carl Menger and the
internal risk modeling and capital allocation at large banking organizations. His current
Evolution of Payment Systems: From Barter to Electronic Money, Edward Elgar,
Cheltenham, 2002 (co-edited with M. Latzer). research interests are in asset pricing with particular emphasis on the role of information
on the cross section of assets and in operational risk.
16.15
16.15
Transfer Pricing: Integrating Liquidity Costs & Steering Bank Exploring Boundaries Of Credit Risk Models:
Business & Performance Management According To Transfer Pricing Stress Testing & Conservatism
• Conceptional principles of fund transfer pricing framework Christian Duesterberg
• Pricing components & pricing applications Head Of Internal Model Validation
• Liquidity management and steering impact of fund transfer RBS
prices on business Christian heads the independent model validation function for credit risk models in RBS,
• Outlook: Impact of future regulations with emphasis on Basel II IRB and provisioning models. Prior to joining RBS in 2009, he
Arno Kratky, Head Of Liquidity Risk, COMMERZBANK worked in several roles at Deutsche Bank with emphasis on credit risk model
development in wholesale credit portfolios, including structured finance, and on Basel II
Arno works in Group Treasury heading the team Liquidity Analytics. He is deals with
conceptional enhancements of the liquidity management framework such as fund transfer compliance.
pricing systems, stress testing and liquidity contingency planning. After he graduating in
industrial engineering, he joined Dresdner Bank in 1994 on the trading desk for interest rate
derivatives. He pursued a career in different roles in finance and risk management and spent 5 STREAM C
years in London responsible for market, credit and liquidity risk. After the merger of Strategic & Regulatory Risk Management In
Commerzbank and Dresdner Bank he became a member of the Treasury Management Team
in Group Treasury of Commerzbank.
The New World Order
STREAM B 11.00
Innovations In Credit & Counterparty Risk Modelling
Building A Common Framework For Credit & Market Risk:
Developing A Comparable Cross-Silo Comparable Measure
11.00 Pieter Klaassen
Managing Director & Head Of Firm-Wide Risk Aggregation
Wrong Way Risk, Stress Testing, Alpha & The CVA UBS
How Can Banks Adopt Counterparty Management Strategies To Before joining UBS, Peter worked at ABN AMRO N.V. as Head of Enterprise Risk
Successfully Incorporate Regulatory Change? Modelling, and at Rabobank International as Head of Exotic Options. He also held a part-
Greg Hopper, Managing Director, GOLDMAN SACHS time appointment at Vrije Universiteit in Amsterdam, and has (co-) authored various
articles on asset-liability management, option valuation, and credit risk modeling. Pieter
(see biographical details previously) holds a Ph.D. degree in Operations Research from the MIT Sloan School of Management,
and a Masters degree in Econometrics from Erasmus University. He is co-author of the
11.35 book: "Economic Capital: How it works, and what every manager needs to know”.
Calibrating Counterparty Credit Exposure Models Through 11.35
Stressed Periods
Examining The Conceptual Foundation And Potential Impact On Stress Testing Credit Portfolios:
The Role Of Sovereign Risk For Scenario Development
Minimum Capital Requirements
• Motivation for stressed calibration put forward by the Basel • How to translate some risk events into stressed scenarios
Committee • From scenario development to credit and portfolio risk
• Case Study: Implementing a macro scenario in line with a
• Asymptotic single risk factor framework and general wrong-
way risk sovereign event
• Does stressed calibration capture general wrong-way risk? Juan Licari
Director
• Is stressed calibration an adequate tool to reduce
procyclicality? MOODY’S ANALYTICS
Juan M. Licari is a Director at Moody’s Analytics Head of the Credit Analytics team for
• Does exposure with stressed parameters reflect exposure Europe, the Middle East, and Africa. Dr. Licari’s team provides consulting support to major
during a crisis? industry players, builds econometric tools to model credit phenomena, and implements
• Potential impact of stressed calibration on minimum capital several stress-testing platforms to quantify portfolio risk exposure. His team is an industry
leader in developing and implementing credit solutions that explicitly connect credit data to
requirements the underlying economic cycle, allowing portfolio managers to plan for alternative
Michael Pykhtin, Senior Economist macroeconomic scenarios. Juan is actively involved in communicating the team’s research
THE FEDERAL RESERVE BOARD and methodologies to the market. He often speaks at credit events and economic
Michael Pykhtin is a Senior Economist in the Quantitative Risk Management Section at conferences worldwide. Dr. Licari holds a PhD and an MA in economics from the University
the Federal Reserve Board. He is responsible for carrying out policy analysis and of Pennsylvania and graduated summa cum laude from the National University of Cordoba
in Argentina.
independent research related to financial markets, risk management and regulation of
financial institutions. Prior to joining the FRB in 2009, Michael had had a successful nine-
year career as a quantitative researcher at Bank of America and KeyCorp. Michael has 12.10
edited “Counterparty Credit Risk Modelling”, published by Risk Books in 2005. He is also
a contributing author to several recent edited collections. Michael has extensively Tell Me What You Know That You Don't Know:
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. Maximum Entropy & Information For Stress Testing Purposes
• The need for approximate probabilistic statements in stress
12.10 testing
• How to move from easy to difficult probabilities
CVA Risk Management & VaR • What cognitive psychology can teach us: elicitation of expert
Eduardo Canabarro, Managing Director, advice
Head Of Credit & Market Quantitative Risk, MORGAN STANLEY • The most honest way to assign probabilities: maximum
Eduardo is responsible for the development of the methods and models used to measure
market and credit risks as well as for the independent review and validation of pricing and entropy
• Self-correcting properties of maximum entropy
risk models used by the bank. Prior to his current position, Eduardo was with Lehman
Brothers for three years as Managing Director and Global Head of Quantitative Risk Riccardo Rebonato
Management. He was responsible for all quantitative risk functions in the Risk Management
organization including market, credit and operational risk analytics, model validation, risk Global Head Of Corporate Markets,
technology and regulatory interface related to the implementation of the quantitative Head Of Quantitative Research, Global Banking
frameworks. Eduardo has also worked for Goldman Sachs and Salomon Brothers in RBS
Quantitative Research, Modelling and Risk Management.
(see biographical details previously)
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 14:56 Page 14
Day 3 Main Conference: Thursday 9 December 2010
DAY
RI$KMINDS
3 Risk Modelling, Measurement & Management In The New World Order
12.45 Lunch 12.10
14.00 Operational Risk Management: Is It Time To Build Out
The ‘M’ In ORM?
Model Risk & Model Control: • What can (must) ORM learn from other risk disciplines?
Incorporating Liquidity Fluctuations Into Model Risk Assessments • Is it measurement vs. management, or measurement for
Pierpaolo Montana management?
Director, Head Of Model Validation • Who are the operational risk managers?
WESTLB • What is the return on ORM?
Pierpaolo has been in his current role since July 2008. He has a proven track record in
change management and the introduction of new function within organisations with Jay Newberry, Managing Director,
extensive experience in both the world of academia and banking. Previous positions held Operational Risk Management, CITI
include those at Banca d’Italia and The University Of The Sorbonne. Jay Newberry is a Managing Director in Global Operational Risk Management with
responsibility across Citi for Operational Risk Policy, Framework, and Core Processes. The
framework supports objectives to manage the operational risks and ongoing exposures
14.35 that arise from the development and delivery of products and services to clients. Jay’s
prior experience at Citi includes leadership positions in developing and executing credit
PD Ratings Framework risk analytics and loan portfolio management tools.
Implementing A Dual PD Ratings Framework Using
Internal PD Models 14.00
Scott Aguais
Head Of Credit Portfolio Analytics Post-Crisis ERM Strategies: Repositioning ERM In The Post-Crisis
RBS Environment
(see biographical details previously) Nancy Loucks, EVP, Enterprise Risk Management
STATE STREET
State Street’s Enterprise Risk Management’s programs are designed to identify, assess,
15.10 measure, manage, control, and report on State Street’s risk exposures globally. Ms. Loucks’
recent activities have focused on risk management governance and program evolution in the
Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition wake of recent market events. Ms. Loucks serves on a number of corporate risk management
committees at State Street as well as a number of affiliate bank boards.
15.40
14.35
Future Of Securitisation Debate
Is This The Renaissance For Structured Credit & Securitisation? Domiciling Offshore: The Bermuda Case Study
What Is The Future For CLOs, CDOs & Mortgage Backed Fawaz Elmalki, Associate, CONYERS DILL & PEARMAN
Fawaz Elmalki is an Associate in the Dubai office of Conyers Dill & Pearman who specialises
Securities? in investment funds, in particular private equity funds, real estate funds, infrastructure funds
Alexander Batchvarov and hedge funds including Shari’a compliant funds. Fawaz represents funds and their
sponsors in connection with their formation and also represents institutional investors in such
MD, International Structured Credit Research funds. He also has broad experience in corporate finance and corporate law matters including
MERRILL LYNCH offshore structuring of Islamic finance products such as sukuk. Fawaz previously worked as in-
Dr. Alexander Batchvarov is the Co-Head of Global Structured Finance Research at Merrill house counsel for a large Canadian pension fund manager and for Clifford Chance in London.
Lynch and also has served as Merrill Lynch’s Head of International Structured Finance He also spent four years in the Bermuda office of Conyers Dill & Pearman.
Research since 1998. Based in London, New York, Tokyo and Hong Kong, the research
team provides research on residential and commercial mortgages and consumer credit,
securitization and structured finance, portfolio credit derivatives, cash and synthetic 15.10 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition
collateralized structures, Islamic Finance, property derivatives in both the developed and
emerging markets of Asia, Europe, North and South America, Middle East and Africa. Dr. 15.40
Batchvarov’s team has been consistently highly ranked in all major investor surveys in the
top three categories of investor surveys since 1998. PANEL SESSION
Integration Of Operational Risk With Controls And Compliance
Allan Yarish Moderator: Dr. Hans-Peter Güllich, CEO
Partner AVANON
CHANNEL CAPITAL ADVISORS Dr. Güllich holds a Masters Degree in Computer Science Management
from the European Business School, Östrich-Winkel, Germany. His
Allan Yarish joined London-based Channel Capital Advisors or “Channel” as a partner in late
2008 to head up its fund management activities relating to investments in bank loan doctoral thesis assessed the use of fuzzy-logic decision systems to
evaluate and manage credit risk. Dr. Güllich has 16+ years of experience
regulatory capital transactions. Mr Yarish previously served as Managing Director and Head
of Credit Portfolio Management at Societe Generale in Paris and New York from 2002 to with consultancies and financial institutions, making significant
contributions to the development of multiple credit and operational risk
2008. In this role, he contributed substantially to development of strategy and the
management systems. He is closely involved with the acquisition of strategic projects and
execution of credit portfolio management solutions, managing over €50 billion in hedging management of partnerships. Project Experience includes building a commodity futures
positions. Before SG, Mr Yarish worked at the Royal Bank of Canada “RBC” and RBC exchange for Swiss commodity trading firm; industry insurance risk assessment system for
Capital Markets from 1984 to 2002. Swiss insurance firm; integrated Credit Risk Management and Control System; an Early
Warning System; a behavioural scoring solution to reduce customer risk.
Claas Becker
Panellists:
Director, Loan Exposure Management Group
Joachim Pfeifer, Divisional Head-Operational Risk
DEUTSCHE BANK
Claas Becker works as a Director for the Loan Exposure Management Group of Deutsche COMMERZBANK
Bank AG in Frankfurt. The Loan Exposure Management Group actively manages the Joachim Pfeifer joined Commerzbank in 1989. Since 2002 he has been
bank’s credit risk. He started his professional career in the risk controlling department of named as Divisional Head - Operational Risk, a division of Group Risk
Controlling & Capital Management. Prior to that, he had various market-
Commerzbank. Since 1998, he has been working for Deutsche Bank AG in the areas of
credit risk modelling, loan pricing, and securitization.
and credit-risk-related functions in the financial industry. In his current
role he is responsible for the controlling of OpRisk on group-level and
embedding OpRisk in the ICAAP as well as maintaining the Group’s
OpRisk framework. Joachim is member of the respective internal committees on group and
divisional level and represents the bank in national and international OpRisk working groups. He
STREAM D
holds a diploma from the faculty of business administration at the University of Mannheim.
The Latest Developments In Operational Risk & ERM
Wolfgang Huetter, Head of OpRisk Control
VOLKSBANK
11.00 Wolfgang Huetter started his career in the IT-Business in 1990
where he worked several years as a System Operator as well as a
Second Generation Operational Risk Modelling: Hard- and Software technician. He has a good experience in
Business Process Optimization and Quality Management and
Cutting Edge Operational Risk Management managed several International Projects and –programs in the
• Tackling LDA limitations Volksbank Group. He is holding an Executive MBA Degree in
• Improving risk capital estimation Information and Telecommunication Management from Alaska Pacific University as well
as an MSc Degree in Information Security Management from Danube University Krems.
• Providing greater transparency of risk drivers He is the Head of Group OpRisk Control in Volksbank AG and is responsible for overall
Robin Philips coordination of Business Continuity and Crisis Management activities.
Managing Director, Corporate Operational Risk
JP MORGAN Deon Tromp, Head of Global Risk Strategy
Robin is responsible for the firm’s operational risk framework, including compliance with STANDARD BANK
Basel II regulation. Mr. Phillips is Vice-Chair of the ORX Association.
Deon Tromp is responsible for ensuring the integration of risk
management in Standard Bank’s strategic management process. His
11.35 role involves the integration of risk assessment into management
decision-making through the development of risk management
frameworks and the identification, analysis, prioritisation and reporting
Op Risk Under Basel III: of emerging risks. This supports the identification and analysis of
The Value Of Operational Risk Management In the New significant threats and opportunities which could impact the delivery of the Bank’s financial
Regulatory Environment and strategic objectives. He is also the lead in respect of capital model development in
Standard Bank’s AMA Operational Risk project with specific involvement in the development
• Summary recent regulatory changes in the US and Europe of capital modelling, capital allocation, scenario analysis, RCSA quantification and risk appetite
• Basel III related to operational risk, methodologies. Deon joined Standard Bank two years ago as Head
• The G20 agenda of Portfolio Risk Methods and Quantitative Analytics, focusing on risk management processes
and quantification methodologies. He is a CFA Charterholder and a Certified Financial Risk
• The value of the operational risk framework in Manager (FRM), and holds degrees in commerce and law from the University of Pretoria. His
- Managing regulatory risks: old, new and evolving most recent previous experience includes working for Nedbank Ltd as Chief Auditor of risk
- Managing legal risk management and capital markets.
Philippa Girling
Chief Of Staff Of Operational Risk 16.15
MORGAN STANLEY ‘Expert Judgement’ & Risk Models:
Philippa has 15 years’ experience in the global securities industry, working in the fields of
operational risk, change management and project management. Ms. Girling has also A Bayesian Approach To Risk Models & Input Data
designed and led many training programs, including an Operational Risk Executive Klaus Boecker, Senior Risk Controller
Education program for Columbia University, NYC. She was selected as one of the top UNICREDIT GROUP
fifty faces of operational risk by Operational Risk and Compliance magazine. Previously, Klaus is Senior Risk Controller in UniCredit Group and team head of “Risk Analytics and
she headed the Banking and Financial Services practice at the law firm Garrity, Graham, Methods”. In this capacity, one of his primary responsibilities is overseeing the
Murphy, Garofalo and Flinn, P.C. Prior to that she was Global Co-Head of Operational Risk quantitative aspects of UniCredit Group’s economic capital model. He is doing research
Management at Nomura. Before joining Nomura, Ms. Girling spent nearly 10 years at in various fields of finance and has authored and co-authored several articles that have
Morgan Stanley in several roles including program director of the Operational Risk been published in recognized finance and mathematical journals. In 2007 and 2008 he
function and COO of the Global Financial Control Group. won the PRMIA Institute’s Award for New Frontiers in Risk Management related to his
research in multivariate operational risk and the interaction of market and credit risk.
Klaus holds a degree in Theoretical Physics and a PhD in Mathematics from the Munich
University of Technology. In August 2007, Mr. Böcker was inducted as a charter member
of the Risk Who’s Who.
To Promote Yourself To This Fantastic Audience Contact rbharucha@icbi.co.uk +44 (0) 20 7017 7225
STREAM E
The Ri$kMinds 2010 Guest Lectures In Finance
11.00
Integration Of Risk Factors In A Liquidity-At-Risk Framework
The challenge faced by banks worldwide to meet the new proposed
liquidity risk requirements under the forthcoming Basel III regime as
well as evidence in the FSA requirements is significant. Whereas
previously it was considered sufficiently robust for banks to determine
contractual and behavioural liquidity gap profiles at a product level, and
on a point estimate basis, that is no longer the case. Specifically
banks needs to take into account the impact of potential credit
downgrades on both collateral and on counterparties, as well as
taking into account the impact on behavior of different customer
segments. Furthermore, regulators and enhanced risk management
practice will demand the assessment by banks of the impact on their
liquidity gap profiles of a range of market stress scenarios. In this 25-
minute talk David Buckham, CEO of Monocle Solutions, will outline a
liquidity risk measurement framework, based on the liquidity-at-risk
principle, that will allow banks to measure the impact of a set of
continuous integrated risk factor values, on their liquidity gap profiles.
Furthermore, this framework will produce, as a natural adjunct to its
results, the value responses required as part and parcel of the
recommended stress scenarios. Additionally, this framework will have
the ability to delineate the contribution made to the liquidity gap
profile of a variety of customer types or segments, as well as to
delineate the contribution made to the liquidity gap profile of a variety
of different underlying risk types, including for example prepayment
risk and credit risk. Finally, it is worth noting that each of the liquidity
gap results, for each of the tenors, will produce a distribution of
values rather than a single point estimate.
David Buckham, Founder and
Chief Executive Officer, MONOCLE SOLUTIONS
David Buckham is the founder and President of Monocle Solutions, an
international risk assessment and optimisation company, which
provides various products and consulting services by way of intellectual
property. Since the creation of Monocle Solutions, David has worked on
numerous corporate and institutional risk management and
performance management projects, from both a strategic and
quantitative perspective. He has delivered lectures and seminars on credit and market risk
principles, and delivers training and consulting in areas ranging from credit scoring to structured
financial modelling.
GUEST LECTURE 5
11.35
Stress Testing And Reverse Stress Testing For Solvency
Alexander McNeil, Maxwell Professor Of Mathematics,
Department of Actuarial Mathematics & Statistics
HERIOT-WATT UNIVERSITY
Alexander McNeil is Maxwell Professor of Mathematics in the Department of Actuarial
Mathematics and Statistics at Heriot-Watt University. He was formerly Assistant Professor in
the Department of Mathematics at ETH Zurich and has a BSc in mathematics from Imperial
College, London and a PhD in mathematical statistics from Cambridge University. His
interests lie in the development of mathematical and statistical methodology for integrated
financial risk management and include extreme value theory (EVT), risk theory, financial time
series analysis and the modelling of correlated risks. He has published papers in leading
statistics, econometrics, finance and insurance mathematics journals and is a regular speaker
at international risk management conferences. He is joint author, together with Rüdiger Frey
and Paul Embrechts, of the book "Quantitative Risk Management: Concepts, Techniques and
Tools", published by Princeton University Press in 2005.
12.45 Lunch
14.00
Capital Management Post-Crisis
Fernando De La Mora, Principal, PRICEWATERHOUSECOOPERS
Fernando is an advisory principal working in PricewaterhouseCoopers financial services practice
in New York. He has over 15 years of experience conducting enterprise risk management,
performance management, strategic planning & analysis, and capital management projects at
North American and European financial institutions. He leads services in the areas of enterprise
risk management, economic capital, and performance management. He is extremely well-
versed in financial services sector trends and key performance and risk drivers underlying the
industry. Most recently, Fernando has served as an advisor to the Board of several major banks
and insurance companies with respect to risk governance and capital management matters
related to the credit crisis. He has also helped numerous clients in the areas of stress testing,
ICAAP and economic capital design, implementation, and validation.
14.35
Pro-Cyclicality:
Modelling Credit Cycles, Crises And Market Uncertainty
• An alternative framework for modelling credit cycles, crises
and market dynamics
• Analyzing the impact of market feedback, credit cycles,
crises and uncertainty on asset values and portfolio losses
• Scenario selection for high confidence level losses, stress
testing and what-if analysis
• Quantifying the risk of extreme events. From theory to
practice
Jorge Sobehart, Managing Director,
Credit & Operational Risk Analytics, CITI
Jorge Sobehart leads the probabilistic assessment of credit risk capital for portfolio risk
management, and the development of advanced correlation default risk models. He also
developed the analytical methodology for calculating the institution's loan loss reserves.
Previously, he was a member of Moody's Senior Standing Committee on Quantitative Tools
and Vice President/Senior Analyst in Moody's Risk Management Services, where he developed
and validated RiskCalc for public firms and Winfast-RiskScore.
15.10 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition
15.40
The Ri$kMinds Problem Solving Working Groups
Get Your Questions Answered By The Experts! Make The Most Of
Your Time At The conference & Post Your Related Questions To
The Expert Practitioner Running Each Table:
• Credit risk modelling & management
• Overcoming Market Risk Challenges
• Stress testing under basel III
• Capital management
16.50 End Of Ri$kMinds 2010
15
KN2255 RiskMINDS 2010:Risk Minds 07
ABOUT YOUR SPONSORS & EXHIBITORS
Lead Sponsor
individual requirements of our clients. Our focus encompasses the strategic to operational continuum of risk management including business
risk solutions, risk and finance integration, risk function effectiveness, technical risk solutions and regulation, and assurance.
PricewaterhouseCoopers provides industry-focused assurance, tax, and advisory services to build public trust and enhance value for our
clients and their stakeholders. More than 163,000 people in 151 countries across our network share their thinking, experience, and solutions
to develop fresh perspectives and practical advice.
“PricewaterhouseCoopers” refers to the network of member firms of PricewaterhouseCoopers International Limited, each of which is a
separate and independent legal entity.
Co-Sponsors
Algorithmics is the world's leading provider of enterprise risk
management solutions. Algorithmics’ software, analytics, and
advisory services enable financial institutions to make risk-
aware business decisions, maximize shareholder value, and
meet regulatory requirements. Supported by a global team of
risk experts based in all major financial centers, Algorithmics
offers proven, award-winning solutions for market, credit,
liquidity, and operational risk, as well as collateral and capital
management. Algorithmics is a member of the Fitch Group.
Over the past 10 years
Avanon AG (Switzerland)
built an excellent
reputation for its
functionally and
technically complete, standard product for extended
Operational Risk Management and Measurement. This is
evidenced by long-standing banking and insurance
customers such as Commerzbank Group, AXA worldwide
and many private and retail institutions. The same platform
has also won rapid acceptance in the energy and industry
sectors for governance, compliance and ERM tasks. The
versatile, non-prescriptive, multi-lingual, open J2EE solution
and delivery framework enables customers to rapidly
implement their solutions and see tangible benefit. Our
regional partners deliver specific and pragmatic capability to
accelerate the roll-out of global implementations
The Bermuda
International Business
Association is a
membership organization
of leading firms serving
and working in the
international business
community, in one of the world’s preeminent financial
centers. It provides access to world leading fund
administrators, legal and accounting firms, and investment
banking, insurance and trust service providers.
Harland Financial
Solutions
(www.hfsworldwide.com), supplies software and services to
thousands of financial institutions of all sizes, providing
credit risk management solutions and related services to
banks and financial services providers around the world.
Thousands of financial institutions trust Harland Financial
Solutions for quality solutions and customer-focused service
that is dedicated to their needs.
Our flagship solution, CreditQuest®, is an end-to-end credit
management system that brings origination, analysis,
underwriting, portfolio management and executive reporting
together in a collaborative, streamlined solution. The system
addresses workflow management needs for all lines of
business, from high-end corporate borrowers to small
businesses to retail. It combines a unified, relationship-
centric view of customers’ financial data and supporting
documents with portfolio management capability.
Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: info@icbi.co.uk
16 For latest programme or to register please visit: www.icbi-riskminds.com
24/11/10 11:36 Page 15
With our global network of risk management specialists we work
with our clients to provide innovative solutions aimed at helping to
embed risk management disciplines into their organisations. Our
business oriented risk advisory approach ensures that we deliver
sustainable solutions that balance industry best practices with the
Kinsey Allen
International is a
global executive
search firm
specialising in the
financial and professional services markets. We provide a
full range of executive search and interim solutions from
our offices in the UK, continental Europe, the US, Middle
East and Asia.
The Risk team focus on senior global mandates from Chief
Risk Officer to Vice President across banking, asset
management, insurance, alternative investments and
professional services. Recent assignments include the
Head of Risk for a boutique asset manager and Head of
Stress Testing for a major investment bank.
Each Consultant covers a specific silo of the Risk market
leading to a deeper level of market knowledge than our
competitors.
Kinsey Allen International is currently ranked 8th in
Executive Grapevine’s ‘UK Retained Executive Search Firms
Top 40’.
MEGA is a worldwide leader in
comprehensive governance, risk,
and compliance solutions, and
dedicated to helping companies
understand and reduce business
complexity, establish successful governance, and effectively
manage global risks.
MEGA’s software solutions, complemented by expert
consultants, provide firms with the most important
competitive advantages … cost reduction, increased capital
savings, improved performance, and brand reputation. In
the GRC industry, only MEGA has nearly 20 years of
expertise in business process improvement. This provides
the soundest foundation for highly efficient and effective
GRC solutions for operational and enterprise risk
management, internal audit, and compliance management.
Used by more than 75,000 people worldwide, the MEGA
Suite is modular, providing dedicated tools to help
coordinate risk, control, compliance, and audit activities and
meet all stakeholders’ needs. The MEGA Suite provides
essential insight into a company’s risk profile, and
generates valuable reports to aid executives in making well-
informed and strategic business decisions.
Moody’s Analytics helps
capital markets and credit
risk management
professionals worldwide
respond to an evolving marketplace with confidence. The
company offers unique tools and best practices for
measuring and managing risk through expertise and
experience in credit analysis, economic research and
financial risk management. By providing leading-edge
software, advisory services, and research, including the
proprietary analysis of Moody’s Investors Service, Moody’s
Analytics integrates and customizes its offerings to address
specific business challenges. Moody's Analytics is a
subsidiary of Moody's Corporation (NYSE: MCO), which
reported revenue of $1.8 billion in 2009, employs
approximately 4,000 people worldwide and maintains a
presence in 26 countries.
Additional information about the company is available at
www.moodys.com.
MORS Software LLC offers Uniquely Easy, Cost Reducing
Risk Management Solutions
MORS provides
• Separately available modules for market, credit and
operational risk
• Dynamic reporting (“live” figures, full drill down)
• Consolidated reporting for the whole bank (both trading
and banking book)
MORS solves regulatory and management requirements
(CEBS, Basel, FSA)
• Capital Coverage, Stress testing
• Risk measurement, monitoring and mitigation
• Control and Governance procedures
MORS reduces costs (minimising TCO of risk management
solutions)
• IT costs (easy implementation, usage and maintenance)
• Processing costs (releasing user intelligence from data
gathering)
• Capital cost (optimised usage and allocation)
The latest reasons why banks have chosen MORS
• “MORS offered the most cost efficient tool for the Basel
Liquidity rules (LCR, NSFR)”
• “MORS risk and treasury solution offered immediate and
continuous payback”
• “MORS dynamic functionality for group level risk
monitoring was offered at incomparable cost”
www.morssoftware.com
Rich of its 24-year experience in
capital markets, Murex has
developed an unmatched
competence in the design and
implementation of integrated
and cost effective solutions
offering best-in-class features
horizontally – across asset
classes - and vertically, from the front office to the back
office. Murex offers a suite of risk management solutions
for banks, hedge funds, asset managers, prime brokers,
exchanges, corporate treasuries, utilities, oil groups, trading
organisations and other institutions.
The MX.3 platform features:
● An enterprise-wide risk management solution, called MX
Risk Manager, providing cutting edge risk management
tools for the management and control of Credit Risk,
Market Risk and Liquidity Risk. MX Risk Manager can be
deployed as a standalone risk platform.
● A Compliance & Constraints Server for pre-trade and
post-trade compliance on a wide variety of rule types.
● A Margining & Collateral Management solution, called
MX Collateral Manager providing an enterprise-grade
cross-product collateral management and margin trading
system.
KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 16

Co-Sponsors
Quantitative Risk
Management, with offices
in Chicago, London, and
Singapore, is the world's
the market. We offer a broad range of solutions including SAS is the leader in business
Market Risk, Counterparty Credit Risk, CVA, IRC and analytics software and services,
Stress Testing. and the largest independent
vendor in the business

ABOUT YOUR SPONSORS & EXHIBITORS

leading enterprise risk
management consulting firm. Since our founding in 1987,
QRM's vision has been to consistently provide expert
analytics and risk management advice to financial
institutions across the globe. Today, we are the trusted
financial risk consultancy of industry-leading organizations,
with a track record of success under any economic
circumstance or event. We have extended our proven
methods to an international base, including clients on 6
continents and in over 30 countries. QRM's client list
numbers over 150 financial institutions worldwide,
including 9 of the top 10 US banking companies.
QRM’s Risk Framework™ combines the advice of a
consulting firm, knowledge of a financial research firm,
and models developed with the expertise of an
information technology company, to create a
comprehensive foundation upon which a financial
institution can build an enterprise risk management
practice that includes market and credit risk as well as
economic and regulatory capital.
QuIC provides the
world’s leading
financial
organisations with
enterprise risk
management solutions that are fast, flexible and more
easily implemented. QuIC operates at the highest
standards of the most challenging financial markets in
the world and designs solutions for calculating,
analysing and minimising risk. We understand that risk
management teams and processes are being pushed
to their limits. Our clients are demanding more of our
solutions, and in return we demand more of our teams,
ourselves and our performance – this is the essence of
DEMAND MORE.
With the advanced vectorised technology of the QuIC
Engine™, our solutions perform highly complex, large-
scale calculations at unparalleled speed with unmatched
accuracy. From intraday portfolio analysis to rapid
implementation of new models and financial
instruments, our technology allows you to stay ahead of
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.
www.riskdynamicsglobal.com
intelligence market. Through
innovative solutions delivered within an integrated
framework, SAS helps customers at more than 45,000
sites improve performance and deliver value by making
better decisions faster.
SAS approaches governance, risk, compliance and
performance management by providing a powerful
blend of data integration, analytics and reporting
capabilities (Business Analytics Framework) for
analyzing and managing risks in the context of
corporate strategy and performance. Since 1976 SAS
has been giving customers around the world THE
POWER TO KNOW®.
2009 SAS Institute Inc. All rights reserved.
Refreshment Sponsor
Monocle Solutions is a risk assessment and
optimisation company that assists financial institutions
in strategically transforming their organisations towards
a risk sensitive culture, and provides consulting
services internationally by way of intellectual property.
Monocle Solutions provides unique services by
combining its quantitative expertise with strategic
insight, and detailed knowledge of data systems.
Monocle is an established provider of services related
to the risk management process as it pertains to
capital measurement and management, encompassing
broader strategic processes such as data governance
and data management, as well the development of
underlying risk module models. Monocle assists
financial institutions with capital adequacy, regulatory
reporting, and compliance.

Exhibitors & Other Supporting Companies

Ri$kMinds
2010
Exchange
The Essential
Marketplace for
Products and Services
within the Risk
Management Sector.

www.d-fine.co.uk
AN ABSOLUTE
SELL OUT
ONCE AGAIN
IN 2009

70% ALREADY
SOLD FOR 2010!
The Ri$kMinds Exchange
is an unrivalled opportunity
to access our large and
senior audience in a
practical and productive
www.openpages.com www.rsu-rating.com way over the course of the
three days of main
conference. By booking a
booth you will have the
opportunity to access a
highly targeted
Contact Rustum Bharucha international audience full
of key decision makers
on +44-20-7017-7225 or who will use the
conference to source new
rbharucha@icbi.co.uk service providers.

We have a strictly limited

for more details of the number of stand spaces
and this number is
opportunities available or to decreasing daily. You have
reserve your space now! no time to lose if you wish
to profit from this fantastic
audience.
17
16
RiskMINDS REG 2010:Risk Minds 07 24/11/10 11:38 Page 1

Register Now – Five Easy Ways! “The Risk Minds Conference

1. Fax this form on +44 (0) 20 7017 7807 2. Post this form to: RiskMinds 2010 Conference Administrator,
ICBI, 8th Floor, 29 Bressenden Place London SW1E 5DR, UK Is Far & Away The Best
3. Telephone us on +44 (0) 20 7017 7200 4. Email: info@icbi.co.uk Risk Conference Around”
5. Via the website: www.icbi-riskminds.com Always quote your VIP CODE when registering. Scott Aguais, RBS

Please do not cover VIP code DATES VENUE DETAILS

Conference Code: KN2255
• Main Conference Hotel President Wilson
7-9 December 2010 47 Quai Wilson
• Global Risk Regulation Summit
6 December 2010 CH-1211 Geneva 21
• John Hull Risk Workshop Switzerland
6 December 2010 Tel: +41 22 906 66 66
• Credit Risk & Counterparty Risk Fax: +41 22 906 66 67
Management Workshop
10 December 2010 resa@hotelpwilson.com
• Riccardo Rebonato Coherent Stress
Testing Workshop Download hotel booking form at
10 December 2010 www.icbi-riskminds.com
• Liquidity Risk Management Workshop
10 December 2010

YOUR COMPANY DETAILS

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Multi-booking Discount: If you register more than 2 delegates, the 3rd and each subsequently registered delegate will receive £200 the fee for any packages that include the main conference.*
Register By Register By Register By Register After
Please Select Your Early Bird Package DATES
10 Sept 2010 SAVE 1 October 2010 SAVE 5 Nov 2010 SAVE 5 Nov 2010 SAVE
5-DAY PACKAGE Main Conference + Global Risk
Regulation Summit + Post-Conference Workshop*
6-10 Dec 2010 £4,097 £1,500 £4,597 £1,000 £4,797 £800 £4,897 £700
5-DAY PACKAGE Main Conference + John Hull Risk
Workshop + Post-Conference Workshop*
6-10 Dec 2010 £3,897 £1,100 £4,397 £600 £4,597 £400 £4,697 £300
4-DAY PACKAGE Main Conference + Global Risk
Regulation Summit
6-9 Dec 2010 £3,398 £1,200 £3,798 £800 £3,998 £600 £4,098 £500
4-DAY PACKAGE Main Conference +
John Hull Risk Workshop
6-9 Dec 2010 £3,198 £800 £3,598 £400 £3,798 £200 £3,898 £100
4-DAY PACKAGE: Main Conference
+ Post-Conference Workshop*
7-10 Dec 2010 £3,198 £800 £3,598 £400 £3,798 £200 £3,898 £100
3-DAY PACKAGE Main Conference Only 7-9 Dec 2010 £2,399 £600 £2,699 £300 £2,899 £100 £2,999 -
1-DAY PACKAGE Global Risk Regulation Summit Only 6 Dec 2010 £1,499 £100 £1,599 - £1,599 - £1,599 -
1-DAY PACKAGE John Hull Risk Workshop 6 Dec 2010 £899 £100 £999 - £999 - £999 -
1-DAY PACKAGE Post-Conference Workshop Only* 10 Dec 2010 £899 £100 £999 - £999 - £999 -
* Please select one of the following post-conference workshops: 10 Dec 2010  Credit Risk & Counterparty Risk Management  Riccardo Rebonato Coherent Stress Testing Workshop  Liquidity Risk Management Workshop
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
Please use this form as our request for payment. Fax and phone bookings should be made with a credit card number, or Please debit my Mastercard Visa Eurocard American Express
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CANCELLATION POLICY PERSONAL DATA

CANCELLATION POLICY: Should you be unable to attend, a substitute delegate is always welcome at no extra charge.
Alternatively, we will make a prompt refund less a service charge of 10% of the fee for cancellations received in writing
(letter or facsimile) no later than 5 November 2010. Where notice is given between this date and 19 November 2010,
refunds will be 50% of the fee, thereafter we regret that no refunds can be made.
Additional Requirements. Please notify ICBI at least one month before the conference date if you have any
additional requirements e.g. wheelchair access, large print etc.
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 Group please contact the Database
Manager at the above address, Tel +44 (0)20 7017 7077, Fax +44 (0)20 7017 7828 or email: integrity@iirltd.co.uk. Occasionally your details may be
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