Registration and Coffee

Keynote Address: New perspectives on ALM in a post credit crunch world
John Cummins, Group Treasurer, RBS GROUP

Panel discussion: comparing the key challenges and outcomes from Basel II and Solvency II

• Comparing capital requirements:commonalities and differences
  
• A qualitative approach to risk management requirements: experiences and expectations
  
• Examining effects of credit and portfolio strategy
  
• Lessons bankers and insurers should learn from each other
  

Thaddeus Nyahasha, Director of Group Solvency, AVIVA
Bruce Porteous, Head of UK Risk Capital Development, STANDARD LIFE
Carlos Montalvo Rebuelta, Secretary General, COMMITTEE OF EUROPEAN INSURANCE AND OCCUPATIONAL PENSIONS
Eugen Buck, Managing Director, RABOBANK

Morning Break with networking opportunities

STREAM ONE
Regulation and risk management for banks

STREAM TWO
Solvency II, Infrastructure and modelling for insurance

Chairman’s Opening Remarks

Chairman’s Opening Remarks

Juliana Kim, BANK OF AMERICA

Basel II and the impact on capital management

• Looking at the impact of transition
• Main rule changes
• Credit risk: the elephant in the cupboard
• Procyclicality, capital requirements and lending
• Assessing ICAAP and stress testing requirements

Ian Tyler, Group Head of Capital, RBS GROUP

Updating infrastructure and ALM processes for Solvency II

• Addressing the benefits of buy versus build choice
• Evaluating proposed solutions
• Integrating existing MCEV methods and infrastructure
• Solvency II compliance support

John Brunello, Head of Models and Technologies Development, EURIZONVITA

Liquidity focus: developing a robust risk management framework

• Market developments following credit crunch
• Governance and liquidity objectives
• Contingency funding for the long and short term
• Quantification of liquidity risk and stress testing
• Pricing for liquidity

Martyn Hoccom, Head of Treasury Risk, LLOYDS TSB

Maximizing ALM strategy with market consistent embedded value

• Creating a true understanding of risks on the balance sheet
• Examining effect of MCEV developments on asset allocation
• Utilizing MCEV within Solvency II framework
• Capturing the liquidity premium from MCEV optimization

Dr. Lars Oswald Dahl, Head of Risk Management, STOREBRAND

Lunch and an opportunity to network

Masterclass: quantifying liquidity risk with advanced modeling techniques

• Best liquidity practices based on market and credit risk analysis
• Calculating credit risk exposure and ratings for liquidity
• Understanding the importance of forecasting and expected cashflow
• Static and dynamic liquidity GAP analysis
• Liquidity risk, Pillar II and the FSA

Ioannis Akkizidis, Senior Consultant Financial Risk, IRIS

Masterclass: innovating ALM with replicating portfolios

• Using replicating portfolios to measure VaR
• Utilizing replicating portfolios for life insurance products
• Assuming tactical ALM positioning from replicating model integration

Juliana Kim, Head of ALM and Interest Rate Structuring, BANK OF AMERICA
Rahul Karkun, Vice President, ALM and Interest Rate Structuring, BANK OF AMERICA

Masterclass: validating credit risk models for Pillar I

• Introduction to developments in credit risk models
• Credit portfolios and types of Probability of Default (PD) rating models
• Regulatory requirements and credit risk models
• Validation techniques and approaches

Peter Whitehead, Senior Vice President Quantitative Risk Management, LEHMAN BROTHERS

Masterclass: hedging for the future with variable annuities

• Actuarial risks versus explicit financial risks
• VAs as highly complex exotic options
• Embedded financial risks: a case study
• Modelling, pricing and hedging techniques

Dr. Frank Hovermann, Senior Portfolio Manager, ERGO

Afternoon break and an opportunity to network

Panel discussion: developments in strategic portfolio management and the future of complex payouts

• Evaluating asset quality post liquidity crisis
• Exploiting illiquid liabilities
• Adding inflation to your portfolio
• Identifying the new asset classes
• Utilizing choices for diversifying risk

Dr. Lars Oswald Dahl, Head of Risk Management, STOREBRAND
Soren Dahlgaard, Chief Financial Officer, NORDEA LIFE & PENSIONS
Paul Fulcher, Managing Director, Risk Advisory, UBS INVESTMENT BANK

End of Conference