Day one - Wednesday July 13, 2011

08.00 Registration and refreshments
08.50 Welcome address: Mauro Cesa, Technical Editor, RISK MAGAZINE
09.00 KEYNOTE ADDRESS: The meaning of market efficiency What is an efficient market? How does it relate to no arbitrage? Can you test market efficiency without an equilibrium model? What does it mean for asset price bubbles? What does it mean for derivative pricing? Robert Jarrow, Professor of Finance and Economics, CORNELL UNIVERSITY
09.40 PLENARY ADDRESS: Analyzing historical against implied values trade Playing historical against implied moments Trading the strategy or structuring a product Hedge efficacy: a review of popular structures Poorly conceived volatility, correlation and skew trades Common fallacies: leverage, jumps, calibration, hedgeability Bruno Dupire, Head of Quantitative Research, BLOOMBERG (Risk Awards 2008, Lifetime Achievement)
10.20 Morning break and an opportunity to network
STREAM ONE New developments in derivatives modeling, pricing and hedging	STREAM TWO Latest quantitative risk management techniques
10.50 Chairman’s opening remarks: Mauro Cesa, Technical Editor, RISK MAGAZINE	10.50 Chairman’s opening remarks: Eric Reiner, Managing Director, UBS
11.00 Dividend models for single names and equity indices Cash or yield, continuous or discrete? Implied or local volatility and dividends? Stochastic dividends in a regime switching model Dividend swaps Philippe Henrotte, Co-Founder and Head of Research, ITO33	11.00 Re-thinking portfolio risk: feedback effects, liquidity and endogenous risk Peaks in volatility and correlation: Black Swans or endogenous risk? Feedback effects of fire sales When correlation springs out of nowhere: Lehman, LTCM, August 2009 Modeling the impact of trading strategies on correlation Running for the exit: how "uncorrelated" strategies couple in loss scenarios Why liquidity risk and correlation risk are intimately linked Effective stress testing of strategies for correlation and liquidity risk Rethinking correlation risk Next generation risk management models: integrating endogenous risk Rama Cont, Director, Center for Financial Engineering COLUMBIA UNIVERSITY



11.40 Risk and CVA for exotic derivatives: the universal modeling Exposure: Scenarios vs. Modeling Future price and exposure for callable instruments in the Modeling Framework Backwards pricing using the least-squared MC Aggregation of exercises into the instrument exposure Direct approach: cumbersome tracking of exercise indicator New approach: automatic recursion CVA Risk: measure dependence and the real-world measure as fictitious currency Examples and conclusion Alexander Antonov, Senior Vice President, Quantitative Research & Development, NUMERIX	11.40 New quantitative measures of financial turbulance and systemic risk Stress-test portfolios, construct turbulence-resistant portfolios, and scale exposure to risk to improve performance Absorption ratio as a measure of systemic risk Avoid significant drawdowns through monitoring spikes in turbulence and systemic risk Mark Kritzman, President and CEO, WINDHAM CAPITAL MANAGEMENT
12.20 CALL FOR PAPERS: A market model for the VIX Futures Curve Two factor interpretation of VIX dynamics Calibrating of VIX optionsprices and the vol-of-vol surface Regimes as a natural framework for volatility VIX contango:structural or transient phenomenon? Implications for specific VIX-based strategies Toward a joint SPX-VIX modeling Christopher Nolle, Head of NY Quantitative Research, NATIXIS	12.20 Scenarios-probabilities-based risk management: theory and practice Robustness in scenario-based risk management New flexible copulas for the buy-side Factors on demand Fully flexible probabilities Distribution-based stress testing Attilio Meucci, Chief Risk Officer, KEPOS CAPITAL
13.00 Lunch and an opportunity to network
14.00 KEYNOTE ADDRESS: Systemic risk monitoring: a 10 by 10 by 10 approach A proposal to monitor flows of risk through systemically important financial institutions Measures of key bilateral exposures to stated stresses, by asset class, and to counterparty risks, will allow a mapping of sizes and directions of risk flows Summary data (only) are revealed publicly It is proposed that this monitoring be coordinated internationallyObjectives: supervisory monitoring of systemic risk, identification of systemically important entities, and a reduction of systemic risk through the precautionary reactions of investors to the information provided about concentrations of risk The proposed monitoring is complimentary to other systemic risk information collected by regulators Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, STANFORD UNIVERSITY
14.40 The cost of ISDA's additional termination events in the valuation of derivatives Additional termination events in ISDA agreements A general formula for a derivative's price Introducing ATEVA (Additional Terminatio Event Valuation Adjustment) Fundamental examples: a simple swap, a European option, a swaption Conclusions and further considerations Fabio Mercurio, Head of Quant Business Managers, BLOOMBERG	14.40 Liquidity risk under new regulatory guidelines: principles and modeling approaches The OCC, FRB, FDIC, OTS and the Basel Committee new directives on liquidity management Current implications on liquidity risk management Necessary changes in modeling and managing liquidity Rrsk Overview of critical opinion in response to the regulatory position Sinanthropus Baskan, Vice President, FSI Solutions Group, Worldwide Field Operations, SYBASE
15.20 Afternoon break and an opportunity to network
15.50 Modeling and pricing commodity derivatives What is different about commodities? Commodity models: what are we trying to capture? Modeling challenges New directions Alexander Eydeland, Managing Director, MORGAN STANLEY	15.50 Customizable risk models: the next efficient frontier Challenges faced when customizing risk models Tailoring risk models to include investment decision variables A solution to the alpha factor / risk factor alignment problem Using financial technology to efficiently apply customization Brad Thilges, FRM, CFA, Senior Director, AXIOMA
16.30 MASTER CLASS: Options market making Generating implied vol surfaces by specifying their dynamics Analogies between implied volatilities and yields Alternatives to implied volatility for generating option prices Peter Carr, Managing Director, Global Head of Market Modeling, MORGAN STANLEY; Executive Director, Masters in Math Finance Program, Courant Institute, NYU	16.30 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 UNIVERSITY BUSINESS SCHOOL
	17.10 Aspects of a firm-wide risk appetite framework Rationale for a comprehensive firm-wide approach Notions of capacity, exposure, and appetite Earnings- vs. capital- based criteria Importance of multiple views: statistical vs. scenario metrics Aggregating multiple risk types Linkage between ‘top-of-the-house’ and more granular metrics and limits Eric Reiner, Managing Director, UBS
17.50 Champagne roundtables and cocktail reception: a chance to discuss the latest issues of volatility, commodity, risk management and equities with leading experts over a glass of champagne
Champagne roundtable one: Volatility trading Led by: Peter Carr, Managing Director, Global Head of Market Modeling, MORGAN STANLEY; Executive Director, Masters in Math Finance Program, Courant Institute, NYU	Champagne roundtable two: Quantitative equity trading Led by: Petter Kolm, Director, Mathematics in Finance Masters Program, Courant Institute of Mathematical Sciences, NYU and Geoff Goodell, Director of Portfolio Management, PHASE CAPITAL Sponsored by STREAMBASE
Champagne roundtable three: Stress testing Led by: Evan Picoult, Managing Director, Risk Architecture, CITI; Adjunct Professor, COLUMBIA UNIVERSITY BUSINESS SCHOOL	Champagne roundtable four: Commodity trading Led by: Alexander Eydeland, Managing Director, MORGAN STANLEY
19.00 End of day one

08.00 Registration and refreshments

08.50 Welcome address: Mauro Cesa, Technical Editor, RISK MAGAZINE

09.00 KEYNOTE ADDRESS: The meaning of market efficiency

What is an efficient market?
How does it relate to no arbitrage?
Can you test market efficiency without an equilibrium model?
What does it mean for asset price bubbles?
What does it mean for derivative pricing?

Robert Jarrow, Professor of Finance and Economics, CORNELL UNIVERSITY

09.40 PLENARY ADDRESS: Analyzing historical against implied values trade

Playing historical against implied moments
Trading the strategy or structuring a product
Hedge efficacy: a review of popular structures
Poorly conceived volatility, correlation and skew trades
Common fallacies: leverage, jumps, calibration, hedgeability

Bruno Dupire, Head of Quantitative Research, BLOOMBERG (Risk Awards 2008, Lifetime Achievement)

10.20 Morning break and an opportunity to network

STREAM ONE

New developments in derivatives modeling, pricing and hedging

STREAM TWO

Latest quantitative risk management techniques

10.50 Chairman’s opening remarks: Mauro Cesa, Technical Editor, RISK MAGAZINE

10.50 Chairman’s opening remarks: Eric Reiner, Managing Director, UBS

11.00 Dividend models for single names and equity indices

Cash or yield, continuous or discrete?
Implied or local volatility and dividends?
Stochastic dividends in a regime switching model
Dividend swaps

Philippe Henrotte, Co-Founder and Head of Research, ITO33

11.00 Re-thinking portfolio risk: feedback effects, liquidity and endogenous risk

Peaks in volatility and correlation: Black Swans or endogenous risk?
Feedback effects of fire sales
When correlation springs out of nowhere: Lehman, LTCM, August 2009
Modeling the impact of trading strategies on correlation
Running for the exit: how "uncorrelated" strategies couple in loss scenarios
Why liquidity risk and correlation risk are intimately linked
Effective stress testing of strategies for correlation and liquidity risk
Rethinking correlation risk
Next generation risk management models: integrating endogenous risk

Rama Cont, Director, Center for Financial Engineering COLUMBIA UNIVERSITY

11.40 Risk and CVA for exotic derivatives: the universal modeling

Exposure: Scenarios vs. Modeling
Future price and exposure for callable instruments in the Modeling Framework
Backwards pricing using the least-squared MC
Aggregation of exercises into the instrument exposure
Direct approach: cumbersome tracking of exercise indicator
New approach: automatic recursion
CVA
Risk: measure dependence and the real-world measure as fictitious currency
Examples and conclusion

Alexander Antonov, Senior Vice President, Quantitative Research & Development, NUMERIX

11.40 New quantitative measures of financial turbulance and systemic risk

Stress-test portfolios, construct turbulence-resistant portfolios, and scale exposure to risk to improve performance
Absorption ratio as a measure of systemic risk
Avoid significant drawdowns through monitoring spikes in turbulence and systemic risk

Mark Kritzman, President and CEO, WINDHAM CAPITAL MANAGEMENT

12.20 CALL FOR PAPERS: A market model for the VIX Futures Curve

Two factor interpretation of VIX dynamics
Calibrating of VIX optionsprices and the vol-of-vol surface
Regimes as a natural framework for volatility
VIX contango:structural or transient phenomenon?
Implications for specific VIX-based strategies
Toward a joint SPX-VIX modeling

Christopher Nolle, Head of NY Quantitative Research, NATIXIS

12.20 Scenarios-probabilities-based risk management: theory and practice

Robustness in scenario-based risk management
New flexible copulas for the buy-side
Factors on demand
Fully flexible probabilities
Distribution-based stress testing

Attilio Meucci, Chief Risk Officer, KEPOS CAPITAL

13.00 Lunch and an opportunity to network

14.00 KEYNOTE ADDRESS: Systemic risk monitoring: a 10 by 10 by 10 approach

A proposal to monitor flows of risk through systemically important financial institutions
Measures of key bilateral exposures to stated stresses, by asset class, and to counterparty risks, will allow a mapping of sizes and directions of risk flows
Summary data (only) are revealed publicly
It is proposed that this monitoring be coordinated internationallyObjectives: supervisory monitoring of systemic risk, identification of systemically important entities, and a reduction of systemic risk through the precautionary reactions of investors to the information provided about concentrations of risk
The proposed monitoring is complimentary to other systemic risk information collected by regulators

Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, STANFORD UNIVERSITY

14.40 The cost of ISDA's additional termination events in the valuation of derivatives

Additional termination events in ISDA agreements
A general formula for a derivative's price
Introducing ATEVA (Additional Terminatio Event Valuation Adjustment)
Fundamental examples: a simple swap, a European option, a swaption
Conclusions and further considerations

Fabio Mercurio, Head of Quant Business Managers, BLOOMBERG

14.40 Liquidity risk under new regulatory guidelines: principles and modeling approaches

The OCC, FRB, FDIC, OTS and the Basel Committee new directives on liquidity management
Current implications on liquidity risk management
Necessary changes in modeling and managing liquidity Rrsk
Overview of critical opinion in response to the regulatory position

Sinanthropus Baskan, Vice President, FSI Solutions Group, Worldwide Field Operations, SYBASE

15.20 Afternoon break and an opportunity to network

15.50 Modeling and pricing commodity derivatives

What is different about commodities?
Commodity models: what are we trying to capture?
Modeling challenges
New directions

Alexander Eydeland, Managing Director, MORGAN STANLEY

15.50 Customizable risk models: the next efficient frontier

Challenges faced when customizing risk models
Tailoring risk models to include investment decision variables
A solution to the alpha factor / risk factor alignment problem
Using financial technology to efficiently apply customization

Brad Thilges, FRM, CFA, Senior Director, AXIOMA

16.30 MASTER CLASS: Options market making

Generating implied vol surfaces by specifying their dynamics
Analogies between implied volatilities and yields
Alternatives to implied volatility for generating option prices

Peter Carr, Managing Director, Global Head of Market Modeling, MORGAN STANLEY; Executive Director, Masters in Math Finance Program, Courant Institute, NYU

16.30 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 UNIVERSITY BUSINESS SCHOOL

17.10 Aspects of a firm-wide risk appetite framework

Rationale for a comprehensive firm-wide approach
Notions of capacity, exposure, and appetite
Earnings- vs. capital- based criteria
Importance of multiple views: statistical vs. scenario metrics
Aggregating multiple risk types
Linkage between ‘top-of-the-house’ and more granular metrics and limits

Eric Reiner, Managing Director, UBS

17.50 Champagne roundtables and cocktail reception: a chance to discuss the latest issues of volatility, commodity, risk management and equities with leading experts over a glass of champagne

Champagne roundtable one: Volatility trading

Led by: Peter Carr, Managing Director, Global Head of Market Modeling, MORGAN STANLEY; Executive Director, Masters in Math Finance Program, Courant Institute, NYU

Champagne roundtable two: Quantitative equity trading

Led by: Petter Kolm, Director, Mathematics in Finance Masters Program, Courant Institute of Mathematical Sciences, NYU and Geoff Goodell, Director of Portfolio Management, PHASE CAPITAL

Sponsored by STREAMBASE

Champagne roundtable three: Stress testing

Led by: Evan Picoult, Managing Director, Risk Architecture, CITI; Adjunct Professor, COLUMBIA UNIVERSITY BUSINESS SCHOOL

Champagne roundtable four: Commodity trading

Led by: Alexander Eydeland, Managing Director, MORGAN STANLEY