Programme - Day 1

Day One: Tuesday 29 September 2009

08:30 Registration and coffee
08:55 Chairman's opening remarks
09:00 KEYNOTE
Risk management of financial risk: failures and remedies
  • What risk managers did wrong
  • What risk mangers can do better
  • Requirements for better management of financial risk
  • Is the search for the "right" model in vain?
Riccardo Rebonato, Global Head of Market Risk, Global Banking & Markets, RBS
09:50 Integrating an Enterprise Risk Management focus into strategic decision making
  • The view from the top
  • Risk identification and measurement as key inputs: where are we now?
  • Modelling the enterprise: where are we heading?
  • Building contingencies: what can we do?
  • Optimising Risk Adjusted Value: what should we do?
Andrew Lakin, Senior Client Relationship Manager, Europe, Quantitative Risk Management
10:30 Morning break
11:00 Dealing with the crisis of funding
  • What funding strategies are available to European banks in the current environment?
  • Managing liquidity gaps
  • Setting the level of disclosure of liquidity risks
  • What are the relevant stress scenarios for testing liquidity and funding risks?
  • The impact on internal transfer pricing
Claude Grandfils, Deputy Head of Financial Management Division, Credit Agricole SA
11:40 Integrating capital and liquidity management for effective ALM
  • What liquidity risk management should focus on
  • ALM and liquidity management
  • How capital management and liquidity management interact
  • Capital cost and liquidity pricing
  • Meeting increased regulatory requirements
Guido Schaetti, Head of Corporate Risks and Governance, Swiss Reinsurance Company
12:20 Assessing the validity of quantitative risk models
  • Fundamentals of quantitative risk models: assumptions and shortcomings
  • Validation of quantitative risk models
  • Value at Risk models and the credit crises
    - Aspects of market, credit and liquidity risk
    - Does stress testing provide the answer?
  • Taking a holistic view: integrating different risk types and balance sheet aspects
  • Allowing for uncertainty in quantitative risk models
Peter Quell, Head of Portfolio Modelling, DZ Bank AG
13:00 Lunch
14:00 Managing interest rate risk in a very low rate environment
  • Hedging interest rate risk
  • Integrating non linear risk in product pricing
  • Keeping Earnings Risks under control
  • Managing margins in a low rate environment
Jean Miguel Saintraint, Head of Balance Sheet Management, Fortis Bank
Werner Huysmans, Head Interest Rate Risk Management, Fortis Bank
14:40 Replicating portfolio techniques as a risk and investment management tool

• Framework description
• Concrete case study
• Most important explanatory variables
• Replicating portfolios as an investment decision support tool

Filippo Della Casa, Global ALM & Strategic Asset Allocation Team, Allianz Investment Management
15:20 Afternoon break
15:50 Quantifying the added value of ALM using Funds Transfer Pricing

• The “what?” and “how?” of Funds Transfer Pricing
• The importance of including option cost and liquidity premium in the Funds Transfer Price
• Using Funds Transfer Prices to allocate the Net Interest Income between Business Units and ALM
• A closer look at the ALM interest income
• A look into the future: forecasting the ALM income

Theo Mandos, Head of ALM Quantitative Analyses, ABN Amro
16:30 The impact of amendments to IAS 39

• Reclassification
• Fair Value Estimation
• Challenges for Risk Assessment
• Practical Implications

Dr. Bernhard Wondrak, Head of Treasury Control, Commerzbank AG
17:10 Chairman’s closing remarks
17:20 Drinks reception