Registration and Coffee

Welcome Address: Nick Sawyer, Editor, RISK MAGAZINE

Chairman’s opening remarks Charles Richard, Co-Founder and Senior Vice President, QUANTITATIVE RISK MANAGMENT

Keynote address: a supervisor’s perspective on ALM strategy for a liquidity crisis

Maarten Gelderman, Chairman of the Accord Implementation Validation Group (AIGV), BASEL COMMITTEE, and Head of Quantitative Risk Management, NETHERLANDS BANK

Panel discussion: how to update ALM strategies for an illiquid landscape?

• Assessing liquidity challenges for banking and insurance
• Using a risk sharing/partnership approach
• Managing short term funding for long term assets
• Keeping sight of economics
• Gauging current market value and liquidity for assets
• Focusing on the big wins

Paolo Comboni, Head of Finance and Treasury, BANCA INTESA SPA
Martyn Hoccom, Head of Treasury Risk, LLOYDS TSB
Hans Sattler, Head of ALM, HYPOVEREINSBANK
Etienne Comon, Managing Director and Head of Europe ALM Advisory, LEHMAN BROTHERS

Morning break and an opportunity to network

Interest rate risk limits and stress tests for the balance sheet

• Current market stresses and interest rate risk
• Taking a closer look at Libor, base rate spreads, and funding
• Examining interest rate sensitive assets and liabilities and their effects on Net Interest Income NII
• Investing in the short term and in the long term during volatility
• Maximizing measurement tools: liquidity, interest rate and GAP analysis

Michelle McCarthy, Senior Vice President, Enterprise Market and Operational Risk Management, WASHINGTON MUTUAL

Credit risk and liquidity risk dynamics

• Identifying the link: credit risk’s impact on liquidity profile
• Actively managing your credit portfolio
• Using credit default swaps and managing counterparty risk
• Avoiding default correlation
• Calculating risk for loan/bond portfolios versus securitizations
• Credit risk and liquidity from a mortgage perspective

Paul Sharma, Director of Wholesale and Prudential Policy, FINANCIAL SERVICES AUTHORITY

Lunch and an opportunity to network

Panel discussion: model validation and moving models forward with lessons from the subprime crisis

• Evaluating models and liquidity risk management
• Models and global interest rate management
• Testing assumptions underlying scenario analysis for interest rate risk
• Combined or separate replicating portfolio model for liquidity and interest rate risk?
• Evaluating models for counterparty credit risk
• Customer behaviour, model implementation and validation

Alexandre Adam, Head of Financial Modelling, BNP PARIBAS
Paul Sharma, Director of Wholesale and Prudential Policy, FINANCIAL SERVICES AUTHORITY
Markus Streck, Head of Risk Methodology, Markets and Trading, DRESDNER BANK

Utilizing ERM to build a precise understanding of risks on the balance sheet

• Utilizing ERM to identify and integrate total risk
• Coordinating models across all spectrums of the enterprise
• Highlighting diversification benefits and understanding capital needs
• Improving strategic decision making through a consistent risk framework

Andrew Lakin, Senior Client Relationship Manager, Europe, QUANTITATIVE RISK MANAGEMENT
Brian Rhoads, Insurance Practice Leader, QUANTITATIVE RISK MANAGMENT

Afternoon break and an opportunity to network

Aligning economic capital metrics and ALM goals

• Making the link between total risk and investment risk
• Effective measures to reduce risk and optimize capital
• Hedging versus diversification between assets and liabilities
• Optimizing risk adjusted returns for investment decisions (RAROC)

Josef Seigner, ALM Manager, ALLIANZ

Strategic ALM hedging: managing a surplus of assets beyond liabilities

• How to hedge for mortgage portfolios?
• Techniques for hedging interest rate risk
• Examining hedging approaches using financial instruments
• Comparing the cost of hedging to ALM mismatching

Stéphanie Authier, ALM Modelling Specialist, FORTIS
Jean Miguel Saintraint, Global Head of Balance Sheet Management, FORTIS

Closing Remarks

Drinks Reception