Day two - Thursday July 14, 2011

08.30 Registration and refreshments

08.50 Welcome address: Laurie Carver, Deputy Technical Editor, RISK MAGAZINE

09.00 JOINT ADDRESS: Analytical challenges in the US mortgage markets and a generalized approach for calibrating mortgage cashflow models

Overview of the current US mortgage market and associated analytical challenges
Mortgage cashflow projection model calibration for ascertaining portfolio risk and returns
Overview of existing mortgage models and approaches for model calibration
Framework for calibration for achieving tractable cashflow projectionsTopic to be confirmed

Sanjay Sharma, Chief Risk Officer, Global Arbitrage and Trading, RBC CAPITAL MARKETS
Charles He, Director, Mortgage Analytics, Global Arbitrage and Trading, RBC CAPITAL MARKETS

09.40 PLENARY ADDRESS: From multiple yield curves to tenor specific pricing in general

Conic finance or the theory of two price markets
Tenor specific pricing as nonlinear expectations
Risk charges based on concave distortions
Academic arbitrage examples in two price markets
Tenor specific discount curves, forward stock and option prices

Dilip Madan, Professor of Mathematical Finance, Robert H.Smith School of Business, UNIVERSITY OF MARYLAND (Risk Awards 2008, Quant of the Year)

10.20 CRO ROUNDTABLE: Evaluating the future of risk management for the financial industry

Analysis of Basel lll: implications of liquidity and capital requirements for risk managers, quants and investors
What has changed in the derivatives space: examining the new central clearing policies
The importance of systemic risk modeling and management of external exposures
Policy risk: implications of quantitative easing

Moderator: Dilip Madan, Professor of Mathematical Finance, Robert H.Smith School of Business, UNIVERSITY OF MARYLAND (Risk Awards 2008, Quant of the Year)
Cory Gunderson, Managing Director, US Financial Services Practice Leader, PROTIVITI
Dan Rodriguez, Chief Risk Officer, Global Arbitrage Trading Group and Equity Americas, CREDIT SUISSE
Sanjay Sharma, Chief Risk Officer, Global Arbitrage and Trading, RBC CAPITAL MARKETS
Tim Wilson, Chief Risk Officer, CAXTON ASSOCIATES

11.00 Morning break and opportunity to network

STREAM THREE

Advances in algorithmic trading

STREAM FOUR

Asset allocation and portfolio management strategies

11.30 Chairman’s opening remarks: Laurie Carver, Deputy Technical Editor, RISK MAGAZINE

11.30 Chairman’s opening remarks: Elliot Noma, Managing Partner, GARRETT ASSET MANAGEMENT

11.40 GUEST ADDRESS: Measuring flow toxicity in the high frequency domain

The ‘spill-over’ of high frequency risks into the low frequency domain
Asymmetric information and liquidity provision
The dynamics of VPIN and volatility
Preventing the next ‘flash crash’

Marcos Lopez de Prado, Head of High Frequency Futures Trading, TUDOR INVESTMENT CORPORATION

11.40 Financial firm alphas across economic cycles

Comparison of performance of financial institutions as investments
Bank equity alphas and betas
Alphas and betas of other financial equities
Hedge fund alphas and betas: aggregate
Hedge fund alphas and betas: by type

Tim Wilson, Chief Risk Officer, CAXTON ASSOCIATES

12.20 CASE STUDY: Equity market impact: temporary impact and the speed of price reversion

Temporary impact on average comprises 1/3 of the total price impact
Post trade reversion time is a concave function of trade duration
In the absence of information shocks, permanent impact decays to shortfall costs
As a sideline, we will discuss our methodology of algo performance evaluation

Dmitry Rakhlin, SVP, Head of Quantitative Trading, ALLIANCE BERNSTEIN

12.20 CALL FOR PAPERS: Hedging equity and credit portfolios with VIX based instruments

Liquidity in VIX products (futures, ETNs and Options)
Examining the efficacy of a host of strategies to hedge equity and credit portfolios using these products
Vanilla SPX options for equity portfolios and CDS indices for credit portfolios
Benefits of constructing robust proxies
Alternative methodologies of calculating hedge ratios using these instruments

Maneesh Deshpande, Managing Director, Americas Equity Derivatives Strategy BARCLAYS CAPITAL

13.00 Lunch and an opportunity to network

14.00 Commodity trading strategies and risk management models

Trend following and CTA’s
Convergence strategies and fundamentals
Structured exposures and derivative tradin
Conclusions

Krzysztof Wolyniec, Managing Partner, MILLWRIGHT CAPITAL MANAGEMENT

14.00 Systematic trading v high speed trading methods for profitable returns

Trading strategies for alpha generation
Capital allocation and risk management
Market impact of different trading methods

Elliot Noma, Managing Partner, GARRETT ASSET MANAGEMENT

STREAM FIVE

Best practice in credit risk modeling and management

14.40 Modeling and managing counterparty risk for CDS’s

Counterparty risk for CDS's
Wrong- and right-way risks
Calculating CVA and DVA
New regulations and clearinghouse trading

Dmitry Pugachevsky, Former Head of Counterparty Credit Modeling, JP MORGAN

14.40 Examining long term equity models: factor-based investing with transaction costs

Important practical developments in this area
Measuring transaction costs
The cost of trading standard equity factor
Minimizing the impact of transaction costs of multi-factor portfolios
Performance and diversification benefits

Petter Kolm, Director, Mathematics in Finance Masters program Courant Institute of Mathematical Sciences, NYU

15.20 Afternoon break and an opportunity to network

15.50 Counterparty risk capital and CVA

Counterparty credit exposure and CVA
Trading book loss under counterparty risk
Counterparty risk as market risk
Counterparty risk as credit risk
Counterparty risk capital under Basel II & III

Michael Pykhtin, Senior Economist, FEDERAL RESERVE BOARD

15.50 The quest for dependable diversification

Diversification is an important concept, but is poorly defined
Uncertainty about true distribution of returns complicates matters
Uncertainty-adjusted diversification: a more educated guess
Measuring and managing diversification under uncertainty

Marc Groz, Managing Director, SPM

16.30 CVA marking, hedging and risk management

Definition
Marking
Hedging
Risk management
Economic capital
Regulatory capital

Eduardo Canabarro, Managing Director, MORGAN STANLEY

16.30 Tail risks and dynamic portfolio allocation

Fluctuations and clustering of risks, and persistent tail risks
Post-mortem of diversify-buy-hold strategy and "modern-portfolio-theory"
Can portfolio allocation hasten the decay of return fat-tails?
Diversified target volatility exposure to global market trends

Vivek Kapoor, Director, CITI