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Risk Agenda
Presentations from this day's talks are available. Click Download this Presentation under the title of the presentation you'd like to download.
| 8:15 - 8:45 |
Registration and Coffee |
| 8:45 - 9:10 |
Welcoming Remarks
Pradeep Menon, RiskMetrics Group |
| 9:10 - 9:40 |
More Ways to View the Risk Spectrum
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Lawrence Dunn, RiskMetrics Group |
| 9:40 - 10:30 |
Questions About Risk in a Turbulent Market
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At the beginning of 2007, two potential issues loomed as potential catalysts for market turbulence: the yen carry trade and securities backed by subprime mortgages. We discuss risk management issues in light of recent turbulence in these areas.
Christopher C. Finger, RiskMetrics Group |
| 10:30 - 10:50 |
Morning Coffee |
| 10:50 - 11:45 |
Session One
Stream I: Risk and Valuation for Structured Investment Products
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Structured products now constitute an important part of most institutional and retail investment portfolios. We discuss valuation and risk management of
these products, including market data, pricing models, and payoff descriptions.
Tarik Garidi, RiskMetrics Group
Stream II: CFRA Accounting Lens: Seeking Out Early WarningSigns of Risk
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Now more than ever, understanding risk exposure is paramount to making informed investment decisions. We discuss our methodology of identifying early
signs of business deterioration through forensic financial accounting.
Marc Siegel, RiskMetrics Group
Stream III: Assessing and Implementing a New Risk Methodology
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We present a new risk methodology designed to improve forecasting at horizons from one day to one year. We then discuss a framework for assessing the
overall model performance and impacts of individual modeling choices for a specific portfolio.
Gilles Zumbach, RiskMetrics Group |
| 11:45 - 12:35 |
Session Two
Stream I: Capturing Risk of Hedge Funds
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How to model risk when hedge funds only disclose monthly performances. By only using these returns, we are able to build a dynamic process that captures
all the characteristics of hedge funds, and that may be integrated with a position-based risk management framework.
Stéphane Daul, RiskMetrics Group
Stream II: Risk Management in a Quant Fund
Effective risk management is usually seen as a control function. We explore how a large multi-billion dollar fund deploys effective risk management in its
investment process.
Anna Chefter, Chief Risk Officer, First Quadrant
Stream III: A New Simulation-Based Model for Mortgage-Backed Securities
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A discussion of our model for pricing US securitized mortgage backed securities - agency fixed rate and ARM pass throughs and agency CMO tranches -
including a description of the simulation framework and an overview of the model parameters available for stress testing. We then present a comparison of
sensitivities from our model to those produced by other major vendors.
Philip Jacob, RiskMetrics Group |
| 12:35 - 13:45 |
Lunch |
| 13:45 - 14:40 |
Session Three
Stream I: Capturing Inflation Risk
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Inflation products are now relevant to both end-users hedging inflation-linked liabilities and to traders seeking profits from a variety of inflation risk factors.
We present a framework to quantify inflation risk in exposures to bonds, swaps, and derivatives.
Fabien Couderc, RiskMetrics Group
Stream II: Governance and Equity Factors
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The integration of governance and equity risk. We overview our equity factor model, then present a method to quantify governance risk, demonstrating that
a governance factor adds to our ability to describe both equity risk and performance.
Christopher C. Finger, RiskMetrics Group
Stream III: Context Sensitive Risk Measurement and Stress Testing
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We investigate the application of non-contiguous data returns to standard VaR and Stress Test analysis. The choice of returns could be market driven -
extreme down-days or spread moves of economics - such as central bank actions or labor report releases. We utilize these non-contiguous returns to establish
limits and measure how badly a portfolio can perform.
Gavin W. Watson, RiskMetrics Group |
| 14:40 - 15:30 |
Session Four
Stream I: Managing Synthetic CDO Tranches Using Base Correlations
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We present a risk management framework for synthetic CDOs using base correlations as risk factors. Under this framework, the market observables for the
entire set of index tranches can be stressed. In addition, we discuss techniques to price bespoke CDOs based on a mapping from liquid index tranche base
correlations and examine the impact of these techniques on risk.
Robert Stamicar, RiskMetrics Group
Stream II: Stochastic Volatility and Risk
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An increasing number of products are sensitive to the future behaviour of volatility. We discuss the application of stochastic volatility models to pricing and
risk management.
Luis O'Shea, RiskMetrics Group
Stream III: New Regulatory Frameworks in the Insurance Market
New regulatory regimes are being introduced in the European insurance market. These new frameworks coexist for the time being with existing regimes,
meaning that different views must be applied at the same time, and asset and risk management must be able to monitor at times conflicting signals. We will
show how this is handled at Helvetia Insurance.
John Noorlander, Head of Portfolio Strategy & Risk Management, Helvetia Insurance
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| 15:30 - 15:50 |
Afternoon Coffee |
| 15:50 - 16:40 |
Session Five
Stream I: A Model for Merger Arbitrage Portfolios
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The risk in merger arbitrage strategies is different from what can be inferred from simple historical time series. We present a model for merger arbitrage portfolios
that captures the actual dynamics and that is calibrated to historical merger performance.
Stéphane Daul, RiskMetrics Group
Stream II: Volatility (and More) of Volatility
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A discussion of a risk model for volatility trading strategies. We cover how to model the dynamics of a rich, observable volatility surface, as well as how to
apply models for the underlying process when good implied volatility data is unavailable.
Gilles Zumbach, RiskMetrics Group
Stream III: Validating Market Risk Models
Central Bank validation is a substantial exercise. It takes up the time of your most senior personnel and lasts from start to finish in excess of six months. For
those institutions whose primary provider of risk management solutions is RiskMetrics, the technical parts of the validation procedure can be concisely and
quickly dealt with. This presentation concerns a brief summary of the validation procedure and how RiskMetrics makes a big difference.
Panayotis Triantafyllides, Assistant General
Manager, Risk Management, EFG Eurobank Ergasias |
| 16:40 - 17:05 |
Computing Demands of Risk Management: More Processing, Less Power
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The processing power required to model the risk of financial products continues to increase at a time when companies are starting to come under pressure
on sustainability issues. During this presentation, aimed at a business audience, we will examine the range of solutions being considered by RiskMetrics
Research and Development for use in demanding risk applications, including a look at some innovative technologies.
Rob Fraser, RiskMetrics Group |
| 17:05 - 17:15 |
Closing Remarks
Ethan Berman, RiskMetrics Group |
| 17:15 - 19:30 |
Reception |
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