RiskMinds 2010 Brochure

Cutting Edge Methodologies In Market, Credit, Liquidity &Operational Risk Management

500+ CROs, Senior Risk

Practitioners,Regulators &Academics InAttendance

In 2009

The

17th

Ann

ual

Lead Sponsor: Co-Sponsors:Main Conference7- 9 December 2010

Hotel President Wilson, Geneva, SwitzerlandTel: +44 (0) 20 7017 7200Fax: +44 (0) 20 7017 7807Email: [email protected]

Media PartnersSupported By

Alden ToevsCRO

COMMONWEALTHBANK AUSTRALIA

Hugo BanzigerCRO & Member OfThe Management

BoardDEUTSCHE BANK

Benoit OttenwaelterGroup CRO &

Member Of TheExecutive Board

SOCIETE GENERALE

Paul SmithGroup CRO

STANDARD BANK

Claude PiretCRO & Member OfThe Management

BoardDEXIA

William Dawson ExecutiveVP, Chief Credit & Risk

Officer, Wealth, Brokerage & Retirement

WELLS FARGO & COMPANY

“This Is The Best Risk Management Conference In The World”Eduardo Canabarro, Global Head Of Quantitative Analysis, MORGAN STANLEY

The Fundamentals Of Risk Management

John HullUNIVERSITY OF TORONTO

6 December 2010

Counterparty Credit Risk Management

MORGAN STANLEY, R2 FINANCIAL TECHNOLOGIESTHE FEDERAL RESERVE BOARD

10 December 2010

Coherent Stress TestingRiccardo Rebonato, RBS

10 December 2010

Liquidity Risk ManagementOENB, COMMERZBANK &

HSH NORDBANK10 December 2010

Gain In-Depth Knowledge From Four

Technical Workshops

Jacques BeyssadeCRO

NATIXIS

Richard EvansCRO, Institutional

Clients GroupCITI

NEW TOPREGULATOR

Norah BargerDeputy Director, Division Of Banking Supervision

& RegulationTHE FEDERAL RESERVE

BOARD

Risk Modelling, Measurement & Management In The New World Order25 CROs Give You Strategic Insights Into The New Agenda For Bank RIsk Management

Peter PraetDirector

NATIONAL BANKOF BELGIUM

Julie DicksonSuperintendent

OSFI

Jose-Maria RoldanDirector General,

Banking SupervisionBANCO DE ESPANA

Sylvie MatheratDirector Of Financial

StabilityBANQUE DE FRANCE

Arnoud VossenSecretary General

CEBS

Ulrich BindseilHead Of RiskManagement

ECB

Svein AndresenSecretary General

FINANCIALSTABILITY BOARD

Patrick RaaflaubDirectorFINMA

Understanding The Practical Implementations Of The New Regulatory Paradigm On Bank Business & Risk ModelsMonday 6 December 2010 – The Global Risk Regulation Summit Day

Darryll HendricksManaging Director, GlobalHead Of Risk Methodology

UBS

Riccardo RebonatoGlobal Head Of Corporate

Markets, Head Of QuantitativeResearch, Global Banking

RBS

Andreas GottschlingGlobal Head Of Risk Analytics& Instruments, Global Head

Of Operational RiskManagement

DEUTSCHE BANK

Evan PicoultManaging Director,

Risk Architecture, CITI & Adjunct Professor

COLUMBIA BUSINESSSCHOOL

FINANCIAL ENGINEERING Paul Embrechts, Professor, Department Of Mathematics,ETH ZURICH

GEOPOLITICAL RISKPippa Malmgren, Founder,CANONBURY GROUP

RISK MANGEMENT AT NASAJeevan Perera, Risk Manager,NASA SPACE CENTRE

PUBLIC PERCEPTIONS OF RISKDavid Spiegelhalter, WintonProfessor For The PublicUnderstanding Of Risk,Department Of Mathematics,CAMBRIDGE UNIVERSITY

RECOVERING FROM DISASTERGerald Ratner, Founder,RATNER ONLINE

HISTORY OF FINANCIAL CRISESForrest Capie, Professor Of EconomicHistory, CITY UNIVERSITY

Plus

New

NEW – The Ri$kMinds 2010 Guest LecturesBroaden your understanding of risk management and the global economic cycle through

this new series of lectures from leading academics & global figureheads

Book by

10 September and

save up to £1500!

Refreshment Sponsor:

RISKMINDS 2010 COVER:Superreturn A3 07 24/11/10 11:39

1

Greetings From RiskMinds HQ!Having attracted over 500 CROs, risk practitioners andacademics in both 2008 and 2009, Ri$kMinds has provenitself once again as the largest and most prestigious riskmanagement conference.

For 2010, the agenda has changed. Basel III, post-sub-primeeconomic fallout and ‘bankers bonuses’ have combined topoliticise risk. What once were the concerns of an elite fewrisk managers are now the concerns of daily newspapers,news reels and political manifestos.

• How will risk management change as a result of thetsunami of regulatory change?

• How will CROs adapt to foster a new culture of risk withintheir firms?

• How will models change as a result of the crisis? • What tools will YOU need to ensure the stability and

prosperity of your financial institution and indeed widerglobal systemic safety?

Meet like minded risk managers, CROs, regulators, academicsand industry leaders at this year’s RiskMinds and get theanswers to all of these questions and more. RiskMinds 2010is designed to equip the modern risk manager with theknowledge & tools required to navigate banks in the post-crisis world.

See you in Geneva!

Katy McDonnell, Conference DirectorRiskMinds 2010

Raise Your Profile At

Ri$kMinds 2010A small number of speaking opportunities remain

on the agenda. Contact Rustum Bharucha [email protected] or +44 (0) 20 7017 7225

What Makes RiskMinds The World’sMost Prestigious Risk Management

Conference?

2

TWICE AS MANY CROs as 2009

Gain Cutting Edge Insights Into How Chief Risk Officers Across The Globe Are Reshaping Risk Management & Bank Business

MEET 25 GLOBAL LEADING CHIEF RISK OFFICERS:1. Benoit Ottenwaelter, Group Chief Risk Officer &

Member Of The Executive Board, SOCIETE GENERALE

2. Richard Evans, CRO, Institutional Clients Group, CITI

3. Hugo Banziger, CRO & Member Of The Management Board,DEUTSCHE BANK

4. Claude Piret, CRO & Member Of The Management Board, DEXIA

5. Dr. Sebastian Fritz-Morgenthal, Head of Group Risk ManagementHSH NORDBANK AG

6. David Li, CRO, CHINA INTERNATIONAL CAPITAL CORPORATION

7. David Watts, CRO, WESTPAC NEW ZEALAND

8. Stephen Anderson, CRO, Europe, HSBC

9. Alden Toevs, CRO, COMMONWEALTH BANK AUSTRALIA

10. Christiane Laibach, Chief Risk Officer, KFW IPEX BANK

11. William Dawson, Executive VP, Chief Credit & Risk Officer, Wealth,Brokerage & Retirement, WELLS FARGO & COMPANY

12. Beat Hodel, CRO, RAIFFEISEN

13. Holger Demuth, CRO, Member of the Executive Board,CLARIDEN LEU

14. Jacques Beyssade, CRO, NATIXIS

15. Paige Wisdom, Chief Enterprise Risk Officer, FREDDIE MAC

16. Jamal Saleh, CRO, COMMERCIAL BANK OF DUBAI

17. Jens Kaessner, CRO, DEUTSCHE POSTBANK

18. John Hollows, CRO, KBC

19. Martha Cummings, CRO, BANCO SANTANDER

20. Olivier Irisson, Deputy CRO, BPCE

21. Nasir Ahmad, CRO, BANQUE CANTONALE VAUDOISE

22. Morten Friis, CRO, RBC

23. Paul Smith, Group CRO, STANDARD BANK

24. Petri Viertio, CRO, POHJOLA

25. Stephen Allen, Head Of Risk Management Group, MACQUARIE GROUP

Have You Recently Published A Paper? Do You Have A Blog?

Do You Tweet?

If the answer to any of the above is YES then contact Jen Flynn on [email protected]

This year, we are considering launching the Ri$kMindsblog which will host a number of features including:� Links to recent papers/articles from some of our top

speakers (and delegates)� Information on our top speakers including interviews� Guest articles from leading academics, CROs and risk

practitioners

Keep an eye on www.icbi-riskminds.com for moreinformation or to submit your articles/ideas

b l o g

We’re on Twitter: Follow us @riskminds and use the #RM10 event hashtagfor up to the minute details on the industry and our event.

Join Us On Linked In: www.linkedin.com search ‘Ri$kMinds’ in the groupssection and join the online debate!

Norah Barger, THE FED – Top regulatory figurehead confirms tospeak at RiskMinds for the first time!

18 of the 25 Chief Risk Officers speaking this year have neverspoken at RiskMinds before

Hear It Straight From The CRO’s Mouth – Be it risk appetite, riskculture or risk management in the Middle East, the CRO showcaseon Wednesday 8 December promises honest and frank presentationsfrom CROs

New Liquidity Risk Management Workshop – Friday 10 December2010 – gain insights into cutting edge techniques for modelling andmitigating liquidity risk at this in full day in depth workshop

Including: Darryll Hendricks, Managing Director, Global Head Of RiskMethodology, UBS and Andreas Heise, Director, Head Of Liquidity Risk Management,DEUTSCHE BANK

With speakers ranging from Jeevan PereraRisk ManagerNASA to author Forrest Capie (famous for his writings on the history of the History Of The Bank Of England), the 2010 Guest Lectures aim to stretch minds beyond.....

NEW For 2010

NEWSpeaker

NEWCROs

NEWCROs

Showcase

NEWFocus On

Liqudity

NEW Top

Practitioners

NEWGuest

Lectures

KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 11:36 Page 1

4

Day 2 Main Conference: Wednesday 8 December 2010

RISK MODELLING, MEASUREMENT & MANAGEMENT IN THE NEW WORLD ORDER08.45 Registration & Coffee

09.00Chairman’s Opening Address

Chaired By: Thomas Kimner, Head of Americas Risk Practice, SAS

09.10

THE RI$KMINDS 2010 GUEST SUPERVISOR ADDRESS

Addressing The Key Issues In Today's Global Financial SystemJulie Dickson, Superintendent, OSFI

09.50THE RI$KMINDS 2010 NEW RESEARCH PAPER

Financial Engineering And The Financial Crisis: Warnings, Guilt And Lessons Hopefully LearnedPaul Embrechts, Professor, Department Of Mathematics, ETH ZURICH

10.45

THE RI$KMINDS 2010 GUEST CRO ADDRESS

Reshaping The New Agenda For Risk ManagementHow Have Banks Revised Strategies, Systems, Assumptions & Internal Models In Light Of The 2007-2009 Crisis?

Hugo Banziger, CRO & Member Of The Management Board, DEUTSCHE BANK

11.15 Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition

STREAM AMarket Risk Management In

The New Regulatory ParadigmChaired By

MUREX

STREAM BInnovations In Credit &

Counterparty Risk ModellingChaired By

RISK DYNAMICS

STREAM CStrategic & Regulatory Risk Management

In The New World OrderChaired By

PRICEWATERHOUSECOOPERS

STREAM DSuccessful Risk & Capital

Modelling In Volatile TimesChaired By

RBSA/CITIZENS FINANCIAL GROUP

STREAM ECutting Edge Insights From The

Ri$kMinds Thought LeadersChaired By

PRMIA

11.40

Market & Credit Risk Integration In The Trading Book vs The Banking Book:

Delivering A Holistic View Of Risk ExposuresDarryll Hendricks, UBS

PIT vs TTCDeveloping A Dual PD PIT-TTC

Ratings FrameworkScott Aguais, RBS

The RiskMinds 2010CHIEF RISK OFFICER SHOWCASE

Risk Strategy & InfrastructureAligning Business Strategy, Risk Strategy

And Risk Infrastructure Beat Hodel, RAIFFEISEN

The 2010 Citi Masterclass

Price Risk Vs Value RiskEvan Picoult, CITI &

COLUMBIA BUSINESS SCHOOL

The Ri$kMinds Thought Leadership Guest Lectures

Q and A Off The RecordJulie Dickson, OSFI

12.15

Managing Market Risk Exposures In A Changed World:

Creating An Appropriate Analytical Tool Set To Manage The New Market Risk Exposures

Kevin Oden, WACHOVIA

Incorporating Capital Costs At OriginationHow To Improve Deal Origination Through

Accounting For Portfolio EffectsMikael Nyberg

MOODY’S ANALYTICS

Risk Management Post CrisisHow Will Methods & Models Change To

Represent The New Normal?Nasir Ahmad

BANQUE CANTONALE VAUDOISE

GUEST LECTURE 1:

Financial Crises In

Long Term Perspectives

Forrest Capie, CITY UNIVERSITY12.50

Riding The Waves Of Retail Lending How Origination, Credit And Economic Cycles

Often Coincide For Disastrous EffectsJoseph Breeden, STRATEGIC ANALYTICS

Quant Heaven?The Road To Credit Risk Management

Is Quant HeavenEduardo Epperlein, NOMURA

Middle East Risk ManagementRisk Management In Dubai,

GCC, Middle East Jamal Saleh

COMMERCIAL BANK OF DUBAI

Delivering The Risk Enabled And Capital Efficient Enterprise

Laurence Trigwell, IBM

13.25 Lunch

14.30

Risk Management In

Private Equity

Ken Abbott, MORGAN STANLEY

Basel III & Credit RiskDon't Throw The Baby Out With The

BathwaterJoerg Erlebach, COMMERZBANK

The New Agenda For Risk ManagementDo We Need To Reinvent

The Entire Risk Management Process?

Petri Viertio, POHJOLA

Forward Thinking For Scenario AnalysisEffectively Embedding Plausible

Economic Scenarios Into Bank-Wide Stress Tests

Paul Shotton, UBS

Implementing Risk Appetite Overcoming The Challenges Of

Implementing A Risk Appetite FrameworkAcross Your Institution

Olivier Irisson, BPCE

15.05

CVA AnalyticsEffective Strategies For Pre And Post Trade CVA Risk Analytics

Paul JonesQuIC FINANCIAL TECHNOLOGIES

Liquidity Cycles In Risk ManagementLiquidity Cycle & The Impact On CreditDecision Making & Risk Management

Christoph Dieng, NORD LB

LIVING WILLS WORKING GROUP

Living Wills IHow Do You Address Bank Inter-Connectivity

In Recovery & Resolution Plans? Addressing The Challenges Of Unwinding

Complex Trading PortfoliosJohn Whittaker, BARCLAYS CAPITAL

Scenario ModellingThe Advantages Of Managing

Risk With Scenarios

Hubert Brogniez, FINALYSE

GUEST LECTURE 2:

Credit Ratings And

Securitization

John Hull

UNIVERSITY OF TORONTO15.40

IRCModelling Incremental Risk Charge

Christian Oehler, D-FINE

Systemic Risk, Procyclicality & TheInterconnectedness Of Financial Institutions

Successfully Managing & Mitigating Systemic Risk

Barbara FrohnGRUPO SANTANDERGonzalo de CadenasGRUPO SANTANDER

Living Wills II Whose Responsibility Is The Recovery

& Resolution Plan & What Should The Plan Entail?

Duncan McNabPRICEWATERHOUSECOOPERS

Are We At The Bottom Of The RollerCoaster Ride And The Lending Boom

Is Starting Again? Lessons Learnt And How To Set Sensible

Risk Appetite In Retail Credit Risk

Uttiyo Dasgupta, HSBC

16.15 Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition

16.45

Liquidity Risk & Balance SheetManagement Working Group

Liquidity Stress Testing For Securities Firms

Defining Liquidity Destruction Triggers,Scenario Development & Data Consistency

In Liquidity Stress TestsKenji Fujii, MIZUHO SECURITIES CO

Early Warning SystemsLeveraging Capital Market Information In

Credit Risk Management

Volker KintrupRSU RATING SERVICE UNIT

OTC DerivativesDetermining The Impact Of Derivatives

Legislation On The Cost & Efficiency Of RiskManagement & On Inter Bank Liquidity

Ahmet Yetis, BARCLAYS CAPITAL

Economic Capital Post-Crisis Evaluating The Key Issues & Challenges

Around Economic Capital & Assessing ItsRelevance In Bank Business

Jean-Bernard Caen, DEXIA

GUEST LECTURE 3:

How NASA Manages Their Risks

Jeevan Perera, NASA SPACE CENTRE

17.20

Enterprise LiquidityEssential Elements For Managing

Enterprise Liquidity

Aaron Sanders, QRM

Business Value In Risk ManagementPrerequisites For Providing Business

Value With Risk ManagementSimon Haldrup, DANSKE BANK

Impact Of Basel III

Impact Of Basel III On Banks:Understanding The Implications Of

Calibration And Interaction With RegulatorsHarry Stordel, CREDIT SUISSE

A Case Study In Risk Appetite Setting And Alignment

Shahram Elghanayan, SUNGARD

GUEST LECTURE 4:

Perceptions Of Risk

Communicating Risks And DeeperUncertainties In Words, Numbers

& Pictures

David SpiegelhalterCAMBRIDGE UNIVERSITY

17.55

Charging For Balance Sheet UsageLinking Funds Transfer Pricing And

Capital ChargingMark Johnston, MACQUARIE GROUP

New Strategies For Credit PortfolioManagement

How Should Current Models Be Revamped In Response To Basel III?

Ludger Overbeck COMMERZBANK & UNIVERSITY

OF GIESSEN

Impact Of Basel III Q And A

Harry Stordel, CREDIT SUISSEMattia Rattaggi, UBS

Christian Lajoie, BNP PARIBAS

Stress Testing Economic Capital For Risk Appetite Design & Capital

Planning Framework Broadening Stress Tests To Achieve A

Group Level Risk Appetite Validation FigureSebastian Fritz-Morgenthal,

HSH NORDBANK

18.30-

19.15

Champagne Roundtable Discussions

19.30 Cocktail Reception - End Of Day 2

The RiskMinds 2010CHIEF RISK OFFICER SHOWCASE

PIT vs TTC

Scott Aguais

Head Of Credit Portfolio AnalyticsRBS

Managing Risks In NASA

Jeevan Perera

Risk ManagerNASA SPACE CENTRE

Financial Resource Management:

Thorsten KanzlerGroup Treasurer

COMMERZBANK

Expert Judgement & Risk Models:

Klaus BoeckerSenior Risk Controller UNICREDIT GROUP

Reputational Risk -

Strategies

For Rebuilding And

Sustaining Reputation:

Leo Johnson

PartnerPRICEWATERHOUSECOOPERS

The Ri$kMinds Thought Leadership Guest Lectures

KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 14:51

Day 3 Main Conference: Thursday 9 December 2010

RISK MODELLING, MEASUREMENT & MANAGEMENT IN THE NEW WORLD ORDER

08.30 Registration & Coffee

08.45 Chairman’s Opening AddressChaired By: Charles Richard, Senior Vice President, QRM

09.00

THE RI$KMINDS 2010 ‘FINANCIAL MINDS’ THINKTANK

Determining The New Blueprint For Financial Engineering Sophisticated Complex Models Vs Crude Robust Risk Measures: Is There Room For Both Strategies In The Post-Sub-Prime World?

Greg Hopper, Managing Director, GOLDMAN SACHSPaul Shotton, Deputy Head Of Portfolio Risk Control And Head Of Group Risk Methodology, UBS

Riccardo Rebonato, Global Head Of Corporate Markets, Head Of Quantitative Research, Global Banking, RBSEvan Picoult, Managing Director, Risk Architecture, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOL

09.45

GETTING BACK ON TOP Recovering And Learning From A Reputational Disaster

Take Home Insights From The Ri$kMinds Disaster Guru: Learn How To Overcome Adversity & Rebuild Yourself & Your Business With This ‘Real Life’ Case Study From A Top Business Executive

Gerald Ratner, Founder, RATNER ONLINE


STREAM ANew Approaches To Measuring &

Managing Liquidity Risk

Chaired By QRM


Counterparty Risk ModellingChaired By Marcia A. Banks, Associate Director, IACPM

STREAM CStrategic & Regulatory Risk

Management In The

New World Order

STREAM DThe Latest Developments In

Operational Risk & ERM

STREAM EThe Ri$kMinds 2010

Guest Lectures In Finance

11.00

Liquidity Risk ManagementLiquidity Regulation 2.0 - Impact

On The Financial Industry

Andreas HeiseDEUTSCHE BANK

Wrong Way Risk, Stress Testing, Alpha & The CVA

How Can Banks Adopt CounterpartyManagement Strategies

To Successfully Incorporate Regulatory Change?

Greg HopperGOLDMAN SACHS

Building A Common Framework

For Credit & Market Risk

Developing A Comparable Cross-SiloComparable Measure

Pieter Klaassen

UBS

Second Generation Operational

Risk Modelling

Cutting Edge Operational Risk Management

Robin Philips

JP MORGAN

Integration Of Risk Factors In ALiquidity-At-Risk Framework

David Buckham

MONOCLE SOLUTIONS

11.35

“Water, Water Everywhere…”

A Unitary Approach To ManagingLiquidity To Generate Liquidity At Risk

Suresh Sankaran

FISERV

Calibrating Counterparty Credit Risk Models Through

Stressed PeriodsExamining The Conceptual Foundation & The Potential Impact On Minimum

Capital RequirementsMichael Pykhtin

THE FEDERAL RESERVE BOARD

Stress Testing Credit Portfolios

The Role Of Sovereign Risk For Scenario Development

Juan Licari

MOODY’S ANALYTICS

Op Risk Under Basel III

The Value Of Operational RiskManagement In The New Regulatory

Environment

Philippa Girling

MORGAN STANLEY

GUEST LECTURE 5

Stress Testing And Reverse Stress

Testing For Solvency

Alexander McNeil

Maxwell Professor Of Mathematics, Department of

Actuarial Mathematics & Statistics

HERIOT-WATT UNIV12.10

Liquidity Risk

A Balance Sheet Risk ManagementApproach

Dr. Mario Onorato

ALGORITHMICS UK &

CASS BUSINESS SCHOOL, CITY

UNIVERSITY, LONDON

CVA Risk Management

& VaR

Eduardo Canabarro

MORGAN STANLEY

Tell Me What You Know

That You Don't Know

Maximum Entropy & InformationFor Stress Testing Purposes

Riccardo Rebonato

RBS

Operational Risk ManagementIt Is Time To Build Out The ‘M’ In ORM

Jay Newberry, CITI

12.45 Lunch

14.00

Balance Sheet StructuringBalance Sheet Structuring In A

Funding Constrained World

Martyn HoccomRBS

A Practical Guide For Turning Your Pricing Infrastructure Into A CVA

InfrastructureAlexander Sokol

NUMERIX

Model Risk & Model Control:

Incorporating Liquidity Fluctuations Into Model Risk Assessments

Pierpaolo Montana

WESTLB

Post-Crisis ERM Strategies

Repositioning ERM In The Post-Crisis Environment

Nancy Loucks, STATE STREET

Capital Management Post-Crisis

How Banks Have Altered Their Capital Management Approaches,

Measures & Decision Making Processes

Fernando De La Mora


14.35

Liquidity Risk ManagementBetter Including Liquidity Risk In The

Overall Risk Management Framework

Dominique LaboureixBANQUE DE FRANCE & CEBS

Re-Thinking Valuation:

Towards A Comprehensive ScenarioFramework For Valuing CreditInstruments In Illiquid Markets

Dan Rosen

R2 FINANCIAL TECHNOLOGIES

PD Ratings Framework:Implementing A Dual PD Ratings

Framework Using Internal PD Models

Scott Aguais, RBS

Domiciling OffshoreThe Bermuda Case Study

Fawaz Elmalki

CONYERS DILL & PEARMAN

Pro-Cyclicality:

Modelling Credit Cycles, Crises And Market Uncertainty

Jorge Sobehart, CITI


15.40

Liquidity Risk Regulation &

Stress Testing

Liquidity Risk Regulation, Reporting &The Role Of Stress Testing

Stefan Schmitz

OENB

Forward Looking Capital Provisioning & Expected Loss

Provisioning: How Are New Capital Buffer Standards

Impact Availability & Use Of Tier 1Capital?

Evan SekerisFEDERAL RESERVE BOARD OF

RICHMOND

Future Of Securitisation Debate

Is This The Renaissance For StructuredCredit & Securitisation? What Is TheFuture For CLOs, CDOs & Mortgage

Backed Securities?

Alexander Batchvarov

MERRILL LYNCH

Allan Yarish

CHANNEL CAPITAL ADVISORS

Claas Becker

DEUTSCHE BANK

PANEL SESSION

Integration Of Operational Risk WithControls And Compliance

Moderator:Dr. Hans-Peter Güllich, AVANON

Panellists:Joachim Pfeifer, COMMERZBANK

Wolfgang Huetter, VOLKSBANK

Deon Tromp, STANDARD BANK

The Ri$kMinds Problem SolvingWorking Groups

Get Your Questions Answered By The Experts! Make The Most

Of Your Time At The Conference AndPost Your Related Questions To

The Expert Practitioners Running Each Table

Credit Risk Modelling & Management

Overcoming Market Risk Challenges

Stress Testing Under Basel III

Capital Management

16.15

Transfer Pricing

Integrating Liquidity Costs & SteeringBank Business & Performance

Management According To TransferPricing

Arno Kratky, COMMERZBANK

Exploring Boundaries Of

Credit Risk Models

Stress Testing & Conservatism

Christian Duesterberg, RBS

‘Expert Judgement’

& Risk Models

A Bayesian Approach To Risk Models & Input Data

Klaus Boecker

UNICREDIT GROUP

16.50 End Of Ri$kMinds 2010

5

Post Conference Technical Workshops - Friday 10 December 2010

Liquidity Risk Management WorkshopStefan Schmitz, Economist, OENBArno Kratky, Head Of Liquidity Risk, COMMERZBANKClemens Harzer, Risk Manager, Deputy Manager, Liquidity Risk Controlling, HSH NORDBANK

Coherent Stress Testing WorkshopRiccardo Rebonato, Global Head Of Corporate Markets, Head Of Quantitative Research, Global Banking, RBS

Counterparty Credit Risk Modelling WorkshopDan Rosen, CEO, R2 FINANCIAL TECHNOLOGIESMichael Pykhtin, Senior Economist, FEDERAL RESERVE BOARDEduardo Canabarro, MD, Head Of Creidt & Market QuantitativeRisk, MORGAN STANLEY

KN2255 RiskMINDS 2010:Risk Minds 07 24/11/10 14:51


RISK MODELLING, MEASUREMENT & MANAGEMENT IN THE NEW WORLD ORDER


08.45 Chairman’s Opening AddressChaired By: Charles Richard, Senior Vice President, QRM

09.00


Determining The New Blueprint For Financial Engineering Sophisticated Complex Models Vs Crude Robust Risk Measures: Is There Room For Both Strategies In The Post-Sub-Prime World?

Greg Hopper, Managing Director, GOLDMAN SACHSPaul Shotton, Deputy Head Of Portfolio Risk Control And Head Of Group Risk Methodology, UBS

Riccardo Rebonato, Global Head Of Corporate Markets, Head Of Quantitative Research, Global Banking, RBSEvan Picoult, Managing Director, Risk Architecture, CITI & Adjunct Professor, COLUMBIA BUSINESS SCHOOL

09.45

GETTING BACK ON TOP Recovering And Learning From A Reputational Disaster

Take Home Insights From The Ri$kMinds Disaster Guru: Learn How To Overcome Adversity & Rebuild Yourself & Your Business With This ‘Real Life’ Case Study From A Top Business Executive

Gerald Ratner, Founder, RATNER ONLINE


STREAM ANew Approaches To Measuring &

Managing Liquidity Risk

Chaired By QRM


Counterparty Risk ModellingChaired By Marcia A. Banks, Associate Director, IACPM

STREAM CStrategic & Regulatory Risk

Management In The

New World Order

STREAM DThe Latest Developments In

Operational Risk & ERM

STREAM EThe Ri$kMinds 2010

Guest Lectures In Finance

11.00

Liquidity Risk ManagementLiquidity Regulation 2.0 - Impact

On The Financial Industry

Andreas HeiseDEUTSCHE BANK

Wrong Way Risk, Stress Testing, Alpha & The CVA

How Can Banks Adopt CounterpartyManagement Strategies

To Successfully Incorporate Regulatory Change?

Greg HopperGOLDMAN SACHS

Building A Common Framework

For Credit & Market Risk

Developing A Comparable Cross-SiloComparable Measure

Pieter Klaassen

UBS

Second Generation Operational

Risk Modelling

Cutting Edge Operational Risk Management

Robin Philips

JP MORGAN GUEST LECTURE 5

Stress Testing And Reverse Stress

Testing For Solvency

Alexander McNeil

Maxwell Professor Of Mathematics, Department of

Actuarial Mathematics & Statistics

HERIOT-WATT UNIVERSITY

11.35

“Water, Water Everywhere…”

A Unitary Approach To ManagingLiquidity To Generate Liquidity At Risk

Suresh Sankaran

FISERV

Calibrating Counterparty Credit Risk Models Through

Stressed PeriodsExamining The Conceptual Foundation & The Potential Impact On Minimum

Capital RequirementsMichael Pykhtin

THE FEDERAL RESERVE BOARD

Stress Testing Credit Portfolios

The Role Of Sovereign Risk For Scenario Development

Juan Licari

MOODY’S ANALYTICS

Op Risk Under Basel III

The Value Of Operational RiskManagement In The New Regulatory

Environment

Philippa Girling

MORGAN STANLEY

12.10

Liquidity Risk

A Balance Sheet Risk ManagementApproach

Dr. Mario Onorato

ALGORITHMICS UK &

CASS BUSINESS SCHOOL, CITY

UNIVERSITY, LONDON

CVA Risk Management

& VaR

Eduardo Canabarro

MORGAN STANLEY

Tell Me What You Know

That You Don't Know

Maximum Entropy & InformationFor Stress Testing Purposes

Riccardo Rebonato

RBS

Post-Crisis ERM StrategiesRepositioning ERM In The Post-Crisis Environment

Nancy LoucksSTATE STREET

12.45 Lunch

14.00

Balance Sheet StructuringBalance Sheet Structuring In A

Funding Constrained World

Martyn HoccomRBS

Are We At The Bottom Of The

Roller Coaster Ride And The

Lending Boom Is Starting Again?

Lessons Learnt And How To SetSensible Risk Appetite In

Retail Credit RiskUttiyo Dasgupta

HSBC UK & EUROPE

Model Risk & Model Control:

Incorporating Liquidity Fluctuations Into Model Risk Assessments

Pierpaolo Montana

WESTLB

Topic & Speaker To Be Confirmed

For more information contact Rustum at [email protected]

Capital Management Post-Crisis

How Banks Have Altered Their Capital Management Approaches,

Measures & Decision Making Processes

Fernando De La Mora


14.35

Liquidity Risk ManagementBetter Including Liquidity Risk In The

Overall Risk Management Framework

Dominique LaboureixBANQUE DE FRANCE & CEBS

Re-Thinking Valuation:

Towards A Comprehensive ScenarioFramework For Valuing CreditInstruments In Illiquid Markets

Dan Rosen

R2 FINANCIAL TECHNOLOGIES

PD Ratings Framework:Implementing A Dual PD Ratings

Framework Using Internal PD Models

Scott Aguais, RBS

Domiciling OffshoreThe Bermuda Case Study

Fawaz Elmalki

CONYERS DILL & PEARMAN

Pro-Cyclicality:

Modelling Credit Cycles, Crises And Market Uncertainty

Jorge Sobehart, CITI


15.40

Liquidity Risk Regulation &

Stress Testing

Liquidity Risk Regulation, Reporting &The Role Of Stress Testing

Stefan Schmitz

OENB

Forward Looking Capital Provisioning & Expected Loss

Provisioning: How Are New Capital Buffer Standards

Impact Availability & Use Of Tier 1Capital?

Evan SekerisFEDERAL RESERVE BOARD OF

RICHMOND

Future Of Securitisation Debate

Is This The Renaissance For StructuredCredit & Securitisation? What Is TheFuture For CLOs, CDOs & Mortgage

Backed Securities?

Alexander Batchvarov

MERRILL LYNCH

Allan Yarish

CHANNEL CAPITAL ADVISORS

Claas Becker

DEUTSCHE BANK

‘Expert Judgement’

& Risk Models

A Bayesian Approach To Risk Models & Input Data

Klaus Boecker

UNICREDIT GROUP

The Ri$kMinds Problem SolvingWorking Groups

Get Your Questions Answered By The Experts! Make The Most

Of Your Time At The Conference AndPost Your Related Questions To

The Expert Practitioners Running Each Table

Credit Risk Modelling & Management

Overcoming Market Risk Challenges

Stress Testing Under Basel III

Capital Management

16.15

Transfer Pricing

Integrating Liquidity Costs & SteeringBank Business & Performance

Management According To TransferPricing

Arno Kratky

COMMERZBANK

Exploring Boundaries Of

Credit Risk Models

Stress Testing & Conservatism

Christian Duesterberg

RBS

Asset Allocation In

Situations Of Stress

Coherent Asset Allocation In ThePresence Of Exceptional Events

Riccardo Rebonato

RBS


5

Post Conference Technical Workshops - Friday 10 December 2010

Liquidity Risk Management WorkshopStefan Schmitz, Economist, OENBArno Kratky, Head Of Liquidity Risk, COMMERZBANKClemens Harzer, Risk Manager, Deputy Manager, Liquidity Risk Controlling, HSH NORDBANK

Coherent Stress Testing WorkshopRiccardo Rebonato, Global Head Of Corporate Markets, Head Of Quantitative Research, Global Banking, RBS

Counterparty Credit Risk Modelling WorkshopDan Rosen, CEO, R2 FINANCIAL TECHNOLOGIESMichael Pykhtin, Senior Economist, FEDERAL RESERVE BOARDEduardo Canabarro, MD, Head Of Creidt & Market QuantitativeRisk, MORGAN STANLEY


6 Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: [email protected] For latest programme or to register please visit: www.icbi-riskminds.com

The Fundamentals Of Risk Management WorkshopIncorporating The Latest Practical Requirements And

Technical Innovations Into Your Risk Management Framework:

Stress Testing, Liquidity Risk, Counterparty

SESSION 1Background• The credit crisis: how it happened• The key lessons: tail risk, incentives, the role

of models, liquidity risk transparency, etc

Market Risk• How can we improve VaR and C-VaR • Extensions of the standard historical

simulation approach• Stressed VaR

SESSION 2Counterparty Default Risk• Default probabilities: Real world vs risk-

neutral probability measures• The expected cost of counterparty defaults• Scenario analysis and the assessment of

loss probability distributions• The role of copulas

SESSION 3Stress Testing• Developing the scenarios• Evaluating the scenarios• What to do with the results

Liquidity Risk• Trading risk vs funding risk• Quantifying liquidity• Liquidity black holes

SESSION 4Model Risk• Understanding the role of models• Exploring the nature of model risk• Pricing vs hedging• Evaluating standard vs non-standard

products

Workshop Agenda

About Your Workshop Leader

John Hull, Maple Financial Professor of Derivatives & Risk ManagementUNIVERSITY OF TORONTO

John Hull is an internationally recognized authority on derivatives and hasmany publications in that area. Recently his research has been concernedwith credit risk, executive stock options, volatility surfaces, market risk, andinterest rate derivatives. He was, with Alan White, one of the winners of the

Nikko-LOR research competition for his work on the Hull- White interest rate model. He has

written three books “Risk Management and Financial Institutions” (new this year), "Options,Futures, and Other Derivatives" (now in its sixth edition) and "Fundamentals of Futures andOptions Markets" (now in its fifth edition). The books have been translated into manylanguages and are widely used in trading rooms throughout the world. He has won manyteaching awards, including University of Toronto's prestigious Northrop Frye award, and wasvoted Financial Engineer of the Year in 1999 by the International Association of FinancialEngineers.

Liquidity Risk Management WorkshopLed by: Stefan Schmitz, Economist, OENB

Arno Kratky, Head Of Liquidity Risk, COMMERZBANK

Dr Clemens Harzer, Risk Manager, Deputy Manager, Liquidity Risk Controlling, HSH NORDBANK

SESSION 1: Introduction To Liquidity Risk• What is liquidity risk?• Managing liquidity risk

SESSION 2: Transfer Pricing• General framework for banking and financial risk• Conceptional principles of fund transfer pricing

framework• Pricing component

• Pricing application and behavioural adjustments• Liquidity management and steering impact of fund

transfer prices on business• Outlook: The impact of future regulation

SESSION 3: Liquidity Value at Risk In The Spotlight• Liquidity maturity statement• Insolvency Risk• Stress Testing• Liquidity Value At Risk

SESSION 4: Liquidity Risk Management Under Basel III & Stress Testing• What does current regulation dictate?• Stress Testing for liquidity risk

Monday

6 Dec

ember

2010

9.30a

m – 5.3

0pm

Friday

10 D

ecem

ber 20

10

8.30a

m – 4.3

0pm

1

Stefan Schmitz

EconomistOENB

Stefan joined OesterreichischeNationalbank (OeNB) in 2003 where hecovers the macroprudential analysis ofliquidity risk, payment systems, and

funded pension products. Publications include: "WhyCentral Banks Should Look At Liquidity Risk", CentralBanking Vol. XVII No. 4, (with A.Ittner); InstitutionalChange in the Payments System and Monetary Policy,Routledge, London, 2006 (co-edited with Geoffrey E.Wood); Carl Menger and the Evolution of PaymentSystems: From Barter to Electronic Money, EdwardElgar, Cheltenham, 2002 (co-edited with M. Latzer).

Arno Kratky

Head Of Liquidity Risk,COMMERZBANK

Arno works in Group Treasury headingthe team Liquidity Analytics. He is dealswith conceptional enhancements of theliquidity management framework such

as fund transfer pricing systems, stress testing andliquidity contingency planning. After graduating inindustrial engineering, he joined Dresdner Bank in 1994to a trading desk for interest rate derivatives. He pursueda career in different roles in finance and riskmanagement and spent 5 years in London responsiblefor market, credit and liquidity risk. After the merger ofCommerzbank and Dresdner Bank he became a memberof the Treasury Management Team in Group Treasury ofCommerzbank.

Clemens Harzer

Risk Manager, Deputy Manager,Liquidity Risk ControllingHSH NORDBANK

Dr Harzer has worked in liquidity riskmanagement since 2007 focussing onliquidity value at risk, insolvency risk,

new products, new market and project management.Prior to 2007, Dr Harzer worked in market risk at HSHNordbank and from 2002 to 2006 at DeutscheGenossenschafts und Hypothekenbank (DG HYP)looking at market risk management and performancemeasurement. Dr Harzer’s postgraduate studies atUniversität Tübingen focussed on nuclear physics.

About Your Workshop Leaders

We’re on Twitter: Follow us @riskminds and use the #RM10 event hashtag for up to the minute details on the industry and our event.

Join Us On Linked In: www.linkedin.com search ‘Ri$kMinds’ in the groups section and join the online debate!


Coherent Stress Testing Workshop:

A Bayesian Approach To The Analysis Of Financial Risk

SESSION 1Introduction: Stress Testing In Theory &Practice• Uses and misuses of:

- VaR- Economic capital- Scenario analysis- Stress testing

• Stress testing- What is 'in the data' and what comes from

expert judgement?

SESSION 2 Stress Testing:• Bottom up versus top down

- Determining the pros and cons in differentenvironments (trading book, banking book,etc)

• The link between stress testing and riskappetite

• How to use expert judgement:- Conditional probabilities- Correlations- Causation

SESSION 3• Graphical representation of stress results• Checking for consistency with subjective

conditional probabilities: linear programming• Other intuitive and quantitative checks• How to link a bottom-up with a top down

stress test: compare and contrast witheconomic capital

• The link with regulatory requirements

SESSION 4• Real-life worked-out examples• Conclusion: The Reality Of Stress Testing• Q and A

Workshop Agenda

About Your Workshop Leader

Friday

10 D

ecem

ber 20

10

8.30a

m – 4.3

0pm

7To Promote Yourself To This Fantastic Audience Contact [email protected] +44 (0) 20 7017 7225

Innovations In Counterparty Credit Risk Management &

Modelling Workshop

Session 1: Introduction: Counterparty Credit Risk (CCR)• Credit risk in the trading book• Definition of CCR and CCR components: CP

exposures, CP credit quality, LGDs,codependence

• Credit limits, mitigation and collateral• CCR pricing and hedging• CCR risk measurement, capital and

management• CCR and the Basel regualtion

Session 2: CCR Management • How and where to manage CCR in a financial

institution – trading desk, market risk, creditportfolio management, collateralmanagement

• Risk control and risk management for CCR• Counterparty limits• Mitigating CCR - Master agreements and

collateral management• Hedging CCR

Session 3: Modelling Counterparty Credit Exposures• Counterparty exposures – PFEs and risk

measures • PFE Methodologies: MtM + add on, MC

simulation• Analytical/semi-analytical methods • Detailed modelling netting and collateral

agreements• Exposures for credit instruments: CDSs,

CDOs and structured credit

• Wrong-way exposures and market-creditcorrelations

Session 4: Pricing & Hedging CCR • Credit value Ajustment (CVA)• Unilateral and bilateral CVA• Semi-analytical methods and MC simulation• Effect of netting and collateral agreements• CVA allocation and pricing new transactions• Wrong-way exposures and CVA• Dynamic market risk hedging of CVA using

greeks• Hedging CCR using Contingent CDSs• Practical issues of hedging CVA

Session 5: Calculating Economic & Regulatory CapitalFor CCR • Economic capital and capital allocation • General modelling of credit risk capital • Credit risk capital, Basel II, and Basel III• Computing counterparty credit risk (CCR)

capital and alpha • Stress testing, wrong-way risk, and

correlations

Session 6: Challenges & New Directions For CCR

About Your Workshop Leaders

Frida

y

10 D

ecem

ber 2

010

8.30a

m – 4.3

0pm

Riccardo Rebonato, Global Head of Corporate Markets, Market Risk and Head of Quantitative Research, Global Banking & MarketsROYAL BANK OF SCOTLAND

Dr Riccardo Rebonato is Head of Front Office Risk Management and Head of theQuantitative Analytics at GBM, RBS. He is also a Visiting Lecturer at Oxford University(Mathematical Finance) and Adjunct Professor at Imperial College (Tanaka BusinessSchool). He sits on the Board of Directors of ISDA and on the Board of Trustees for

GARP and is a member of the Bloomberg Risk Council. He is an Editor for the International Journal ofTheoretical and Applied Finance, for Applied Mathematical Finance, for the Journal of Risk and for the

Journal of Risk Management in Financial Institutions. He holds Doctorates in Nuclear Engineering andin Science of Materials/Solid State Physics. He was a Research Fellow in Physics at Corpus ChristiCollege, Oxford, UK. Dr Rebonato is also the author of the books Coherent Financial Stress Testing: ABayesian Approach (2010), The LMM-SABR Model: Pricing, Calibration and Hedging (2009), Plight ofthe Fortune Tellers (2007), Volatility and Correlation in Option Pricing (2004, 1999), Modern Pricing ofInterest-Rate Derivatives (2002), Interest-Rate Option Models’ (1998, 1996). He regularly publishesacademic papers on finance in academic journals such as Quantitative Finance, Journal of InvestmentManagement, International Journal of Theoretical and Applied Finance, Applied Mathematical Finance,Journal of Risk Management in Financial Institutions and others.

Dan Rosen, Visiting Fellow,THE FIELDS INSTITUTE FOR RESEARCH INMATHEMATICAL SCIENCES, & President,R2 FINANCIAL TECHNOLOGIESDr. Dan Rosen is a Visiting fellow at The Fields Institute for Researchin Mathematical Sciences and an Adjunct Professor at the Universityof Toronto's Masters program in Mathematical Finance. In addition,he is the President and Co-Founder of R2 Financial Technologies and

acts as an advisor to institutions in Europe, North America, and Latin America onderivatives valuation, risk management, economic and regulatory capital.

Michael PykhtinSenior EconomistFEDERAL RESERVE BOARDMichael Pykhtin is a Senior Economist in the Quantitative RiskManagement Section at the Federal Reserve Board. He isresponsible for carrying out policy analysis and independentresearch related to financial markets, risk management andregulation of financial institutions. Prior to joining the FRB in 2009,

Michael had had a successful nine year career as a quantitative researcher at Bank ofAmerica and KeyCorp. Michael has edited “Counterparty Credit Risk Modelling”, publishedby Risk Books in 2005. He is also a contributing author to several recent editedcollections. Michael has extensively published in the leading industry journals. He is anAssociate Editor of the Journal of Credit Risk. Michael holds a Ph.D. degree in Physicsfrom the University of Pennsylvania.

Eduardo Canabarro, Managing Director, Head Of Credit & Market Quantitative RiskMORGAN STANLEYEduardo is responsible for the development of the methods andmodels used to measure market and credit risks as well as for theindependent review and validation of pricing and risk models usedby the bank. Prior to his current position, Eduardo was with LehmanBrothers for three years as Managing Director and Global Head of

Quantitative Risk Management. He was responsible for all quantitative risk functions inthe Risk Management organization including market, credit and operational risk analytics,model validation, risk technology and regulatory interface related to the implementation ofthe quantitative frameworks. Eduardo has also worked for Goldman Sachs and SalomonBrothers in Quantitative Research, Modelling and Risk Management.

Review Of ‘Coherent Stress Testing’:“Rebonato’s refreshingly original book is the most significantadvance in financial risk management in many years. It isrigorous yet thoroughly practical, proposing an operationalBayesian framework that complements purely statisticalapproaches with the causal/economic structure needed forcoherent stress testing. Prominently displayed and mixedbeautifully throughout are both the expansive wisdom of aserious scholar, and the pragmatic applied sense of aseasoned industry veteran. Rebonato has defined the newfrontier of best-practice financial risk management. I amopen-mouthed with admiration.”Francis X. Diebold, Paul F. and Warren S. Miller Professorof Economics, Co-Director, WHARTON FINANCIALINSTITUTIONS CENTER, Professor of Finance andStatistics, UNIVERSITY OF PENNSYLVANIA

We’re on Twitter: Follow us @riskminds and use the #RM10 event hashtag for up to the minute details on the industry and our event.

Join Us On Linked In: www.linkedin.com search ‘Ri$kMinds’ in the groups section and join the online debate!

The recent financial crisis has highlighted the need for the industry to understand the complexity and interconnectedness of the web of financial transactions that constitutes the over-the-counter (OTC)markets, and to develop better approaches for accurately measuring, managing and mitigating Counterparty Credit Risk (CCR). In particular, the Basel Committee identified several areas where capital for CCRproved to be inadequate. For instance, wrong-way risk was evident through the crisis and was not adequately incorporated into the framework. Second, mark-to-market losses due to credit valuationadjustments (CVA) were not directly capitalised, with roughly two-thirds of CCR losses due to CVA. Also, large financial institutions were more interconnected than previously modelled. Finally, CentralCounterparties (CCPs) were not widely used to clear trades. This workshop discusses the evolution of CCR measurement, the latest techniques available to practitioners, as well as some of the key issue andchallenges to implement an effective CCR program in the aftermath of the crisis and in the context of new derivatives regulation.


8


07.45

Chairman’s Opening WelcomeDavid SchraaDirector, Regulatory AffairsIIFDavid Schraa is Director of the Regulatory Affairs Department of the Institute of InternationalFinance. The Department supports the IIF's representation of internationally active financialinstitutions to the Basel Committee on Banking Supervision, IOSCO, IAIS, the Financial StabilityBoard, Joint Forum, IASB and other international regulatory groups.

08.00

OPENING KEYNOTE ADDRESSStrengthening The Resilience Of The Banking SectorBasel III & Financial StabilityStefan WalterSecretary GeneralBASEL COMMITTEE ON BANKING SUPERVISIONStefan Walter assumed the position of Secretary General of the Basel Committee on BankingSupervision as of September 2006. Previously, Mr. Walter was a senior vice president in theBank Supervision Group of the Federal Reserve Bank of New York, where he headed theFinancial Sector Policy and Analysis Function. He was responsible for assessing financial sectordevelopments and risks and for developing bank supervisory policies on issues related to riskmanagement and capital adequacy. Mr. Walter holds a B.A. in Political Economy from theUniversity of California at Berkeley and a Masters in International Affairs from ColumbiaUniversity.

08.30

Creating An Integrated Global Regulatory Framework For SystemicRisk Mitigation: How Desirable And Achievable Is An InternationallyIntegrated Approach To Regulation?

Svein AndresenSecretary General FINANCIAL STABILITY BOARDSvein has held his current position since the FSF’s initiation in 1999. Priorto this he held various positions at the Bank for International Settlements(BIS). He was Advisor to the General Manager of the BIS from 1997 to2000. From 1995 through to 1997, he led the Secretariat to G10 centralbank Governors on financial issues. He was Secretary to the Committee

on the Global Financial System from 1992 till 1997 and to the Markets Committee from 1995 till1997. He joined the BIS Monetary and Economic Department in 1989. Prior to joining the BIS,Mr. Andresen was an Assistant Professor of Economics at the University of North Carolina atChapel Hill.

09.00

Macro-Prudential Regulatory Challenges: Understanding Markets,Policy, Tools & Financial Institutions: What Does Macro PrudentialPolicy Mean For Risk Managers?

Jose-Maria RoldanDirector General, Banking SupervisionBANCO DE ESPANAMr. José María Roldán has been in his current role since October 2000.He is currently a member of the Basel Committee on BankingSupervision (BCBS), and the Committee of European BankingSupervisors (CEBS). In January 2009 he became the Chairman of theStandards Implementation Group (SIG, formerly the Accord

Implementation Group). Between January 2007 to January 2009, he was the Chairman of theAccord Implementation Group (AIG). Between 2005 and January 2009, he was a member ofthe Advisory Board of XBRL International. During 2004 and 2005, Mr. Roldán was also theChairman of the Committee of European Banking Supervisors (CEBS).

09.30

Capital Provisioning, Procyclicality & Accounting In The NewParadigm: How Can We Avoid The Mistakes Of The Past?

Sylvie MatheratDirector Of Financial Stability BANQUE DE FRANCESylive Matherat joined Société Générale as an inspector before moving tothe Banque de France in 1986. In October 2007, she took on the role ashead of the Directorate of Financial Stability. She is a member of theBasel Committee and the chair of its Accounting Task Force, andrepresents the Basel Committee on the IASB’s Standards Advisory

Council, Financial Instruments Working Group and Financial Crisis Advisory Group. She is also amember of the Banking Supervisory Committee of the European Central Bank and the chair ofone of its two main groups.

10.00

THE PRACTITIONER COMMENT & CHALLENGE SESSION

The below two leading regulatory liaisons will offer comment on theprior presentations and challenge the presenters on their comments.Audience members will also have the chance to pose their questionsanonymously and in real time through emailing [email protected] Commentators:• Barbara Frohn, Managing Director, GRUPO SANTANDERIn her role, Barbara Frohn assumes responsibility for the internal validation of Risk Models andEconomic Capital at a corporate level. The Model Validation group consists of four hubs, Madrid,London, Brazil and Boston each with responsibility over their respective regions and not onlyperforms quantitative, but also qualitative and IT/data quality related reviews of the various riskquantification tools used within the group. In addition, as part of Santander´s Public Policy groupBarbara Frohn represents Grupo Santander in various international forums. Preceding her moveto Madrid, Barbara fulfilled during 15 years of employment at ABN AMRO various roles in a.o.Global Relationship Management, Energy Finance and Asset Securitisation. Lastly, she headedthe Basel II Requirements & Strategic Advisory department within Group Risk Management.

• Adam Gilbert, Managing Director, JP MORGANAdam is currently Head of Regulatory Policy in the Corporate Risk Management Group wherehe is responsible for analyzing the impact of regulatory proposals, developing the firm'sstrategic responses and working with lines of business and corporate functions on theimplementation of final rules. In addition, Adam is a leader in the firm's capital managementprocess through his co-chairmanship of the Economic Capital Working Group, chairmanship ofthe Regulatory Capital Policy Committee, and oversight of the firm's Basel II implementation.Adam also is a member of the North America Reputation Risk Committee and advises lines ofbusiness on supervisory and regulatory matters. Previously, Adam has held roles as Head ofRisk Policy, Chief Operating Officer of the Credit Portfolio Group and Head of CorporateRegulatory Reporting. Adam is active in numerous industry groups related to capital, riskmanagement and regulatory reform. He joined JPMorgan Chase in 1997 after having spent 10years in various positions at the Federal Reserve Bank of New York, including as a secondedmember of the Secretariat of the Basel Committee on Banking Supervision.

Panellists:• Svein Andresen, Secretary General, FINANCIAL STABILITY BOARD • Jose-Maria Roldan, Director General, Banking Supervision

BANCO DE ESPANA• Sylvie Matherat, Director Of Financial Stability

BANQUE DE FRANCE

10.30 Morning Coffee

10.55

THE CENTRAL BANK PERSPECTIVELong Term Debt, Retail Deposits & Collateral RequirementsUnderstanding Central Bank Expectations & The Future Landscape ForFunding Liquidity • The role of the central bank collateral framework for banks'

funding liquidity in normal and stressed times• The role of non-conventional measures• The interaction of the collateral framework and monetary policy

implementation technique with liquidity regulation• Short term and long term incentives and market effects

Ulrich Bindseil, Head Of Risk Management, ECBUlrich studied Economics and joined the Deutsche Bundesbankeconomics department in 1994. In 1997 he went to the EuropeanMonetary Institute and in 1999 to the ECB. He has been Head of theLiquidity Management Section, Head of the Risk Management Division,and is currently Deputy Director General of Market Operations of theECB. He has published papers and books on monetary policyimplementation and central bank risk management.

11.20

The Role Of Capital For Systematically Relevant Financial InstitutionsPatrick Raaflaub, Director, FINMA After starting his career at Credit Suisse and EBDI Consulting AG, PatrickRaaflaub joined Swiss Re in 1994, where he worked in a number of differentcompany divisions in Germany, Italy, the United States and Switzerland. Heheld the position of CFO of Swiss Re Italia, Divisional Controller for America inthe United States and Head of Finance in Zurich. In the latter function he wasthe local CFO for Swiss Re Zurich and responsible for IT. In 2005 PatrickRaaflaub was appointed CFO for continental Europe and Asia. From 2006 to

2008, he was responsible for Group Capital Management. His position involved the capi-talisation ofthe group, legal entity structure of the group, relationships with the rating agencies and dealing withRegulatory Affairs. On 8 May 2008 Patrick Raaflaub was elected CEO of the Swiss Financial MarketSupervisory Authority FINMA which was founded by merging the formerly separated Swiss FederalBanking Commission, the Federal Office of Private Insurance and the Anti Money Laundering ControlAuthority. Patrick Raaflaub took up operations on 1 January 2009.

11.45

Inside The New Provisions For Liquidity Management & RegulationHow Will The New Liquidity Package Impact Bank Business & WhatWill The Regulators Require?Marc Saidenberg, Senior Vice President, Financial Sector Policy andAnalysis, Bank Supervision Group FEDERAL RESERVE BANK OF NEW YORKMarc R. Saidenberg heads the financial sector policy & analysis function, having worked for MerrillLynch and Company where he served as a managing director. He was previously employed at theFederal Reserve Bank of New York beginning his career in the Research and Statistics Group inSeptember 1995 as an economist. In December 2000, he was appointed an officer of the NewYork Fed and assigned to the economic capital competency center and in December 2001 waspromoted to assistant vice president. He was assigned to credit risk in the risk managementfunction in December 2003. In January 2004, Mr. Saidenberg was assigned to the large complexbanking organizations relationship management department and was promoted to vice presidentin July 2004. Mr. Saidenberg left the Bank to work for Merrill Lynch in November 2005.

12.10

Inside The New Provisions For Liquidity Management & RegulationHow Will The New Liquidity Package Impact Bank Business & WhatWill The Regulators Require?• Linking the dimensions of liquidity risk (intraday, tactical,

structural)• Impact assessment liquidity coverage ratio• Operationalising liquidity buffers• Quo vadis NSFR• Monitoring tools - The case for international harmonisation• Getting disclosure right - Trade-off between transparency and self-

fulfilling prophecyThierry Lopez, Director, PRICEWATERHOUSECOOPERSThierry has 15 years of banking experience. He is the Basel II Leader, the Risk ManagementServices Leader, the Governance, Risk and Compliance Leader and the Banking Industry ServicesDriver at PricewaterhouseCoopers Luxembourg. Thierry is coordinating a global offer to banks,insurance undertakings, investment funds, operational companies and the public sector, amongstnumerous other European institutions. Thierry is a member of various consultative committees onliquidity risk management, including the Institute of International Finance. Thierry is involved in theacademic circle and research as Risk Management Professor at the HEC-Business School of theUniversity of Liège. He has written articles and well-known books in English with John Wiley & Sonsand in French with De Boeck Université.

12.35


The below two leading regulatory liaisons will offer comment on theprior presentations and challenge the presenters on their comments.Audience members will also have the chance to pose their questionsanonymously and in real time through emailing [email protected] Commentators:• Mattia Rattaggi, Managing Director,

Head Of Group Supervisory Relations, UBSPrior to his current role, Mattia occupied senior positions in Group Compliance and Group RiskControl. Before joining UBS in 1999, Mattia worked in the Treasury of ZKB heading Asset andLiability Management and as a Senior Economist at the Swiss Bankers Association. Mattiaholds a Ph.D from the University of Fribourg, and pursued post doctoral research at theUniversity of Cambridge (UK).

• Andrew Cross, Managing Director, CREDIT SUISSEAndrew Cross is a Managing Director in the Risk Measurement & Management department ofCredit Suisse, based in London. He has responsibility for measuring and reporting all credit risk,country risk, market risk and economic risk capital for Credit Suisse and for managing credit risksystems and information management requirements. In addition, Mr Cross acts as CreditSuisse's global Basel II Programme Director managing both the internal preparation project aswell as Credit Suisse's external response.

Panellists:

• Ulrich Bindseil, Head Of Risk Management, ECB

• Patrick Raaflaub, Director, FINMA

• Thierry Lopez, Director, PRICEWATERHOUSECOOPERS

• Marc Saidenberg, Senior Vice President, Financial Sector Policy and Analysis, Bank Supervision GroupFEDERAL RESERVE BANK OF NEW YORK

13.00 Lunch For All Speakers & Delegates

14.00

A Post-Crisis Lesson In Risk Appetite: The Importance Of RiskAppetite, Risk Governance And Risk Culture• What does risk appetite mean? What are the key dimensions to

be looked at?• How can we reconcile top down and bottom up approaches?• Which level of involvement is expected from the executive

management and board of directors?• What kind of risk statement should be delivered and to what

audience?• How can we formalize risk culture? What are the key success

factors for its effective deployment?Dominique BourratManaging DirectorRISK DYNAMICS Dr. Dominique Bourrat has a PhD in Mathematical Sciences – Nuclear Physics from ULG Belgiumand University of Montreal Canada. She has over 20 years of extensive experience in the field ofrisk management applied to the financial world. After having developed mathematical models forthe CERN in Geneva, giving rise to international publications, she joined the dealing room ofParibas to develop risk management and hedging models in the derivatives market. She thenenriched her skills at INSEAD before joining MasterCard to set up and manage its European RiskManagement centre. Later, she led Fortis’ cross-risk modelling department towards Basel IIcompliance. As a founder of Risk Dynamics and industry expert, she now focuses on supportingmajor financial institutions in leveraging their Pillar II and economic capital strategy, interfacingwith regulators and facilitating roundtables around the globe.

14.25

Defining Risk Appetite In The New Regulatory Environment• Risk appetite - its heightened importance in the new environment • Designing and implementing a robust risk appetite framework -

what does "good" look like? • New regulatory developments and how they may shape risk

appetite • Economic, industry and risk developments and how they are

likely to shape risk appetite Alan SmithGlobal Head of Risk StrategyHSBC Alan Smith is responsible for the Risk Appetite, ICAAP, Economic Capital,Scenario Stress Testing, and Risk Methodology infrastructures for theGroup. Alan's unit also oversees Pension Risk across HSBC. He is amember of the Global Risk Management Board, the Capital Demand andBasel 2 Oversight Committees and chairs the Group Economic Capitaland Scenario Stress Testing Committees. Alan has worked with HSBC for15 years in a variety of senior finance, risk and capital management roles.

Prior to HSBC, Alan worked with KPMG London, latterly within its Financial Sector Advisorypractice.

14.50

Crisis Management & Resolution Developing An Integrated CrisisManagement & Resolution Framework: Creating A Single & SoundMarket For The Financial Services Industry• The reforms of crisis management and resolution frameworks,

within and across borders, triggered as a result of the crisis• The need for the EU to go well beyond the global cross-border

arrangements, and establish a truly integrated crisis managementand resolution framework for its single market

• The debate on this, our specific proposal, and its merits relativeto other proposals that are on the table

Wim FonteyneSenior Economist INTERNATIONAL MONETARY FUND Wim Fonteyne is a Senior Economist in the IMF’s European Department.For the past five years, he has been closely involved in the dialoguebetween the IMF and the EU on financial sector policies. He is co-authorof the IMF book “Integrating Europe’s Financial Markets” (second editionforthcoming) and lead author of a recently published paper on bankresolution in the EU.

15.15

Portfolio Optimisation Under Basel III: Effectively Positioning TheBalance Sheet In The Face Of Basel III Using Advanced PortfolioOptimization Techniques• Portfolio optimization fundamentals• Defining the objective function: Liquidity constraints & capital

constraints• Analyzing Alternative Structures: Single period solutions & multi-

period solutions• Conclusion

Miguel NathwaniPractice Leader, Credit Risk & CapitalQRMMr. Nathwani manages the Credit Risk & Capital Management PracticeArea at QRM. Prior to joining QRM in 2002, Mr. Nathwani managedEconomic Capital & Funds Transfer Pricing Methodology at Bank One. Mr.Nathwani holds an MBA in Quantitative Finance and Competitive Strategyfrom the University of Chicago, an MS in Physics from the University ofWashington and a BS in Physics from the University of California,Berkeley.

Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: [email protected] For latest programme or to register please visit: www.icbi-riskminds.com

Monday 6 December 2010

THE RI$KMINDS GLOBAL RISK REGULATION SUMMIT Overcoming The Practical & Implementation Challenges Of Basel III

& Evaluating The Impact Of The New Regulatory Package



15.45


The below two leading regulatory liaisons will offer comment on theprior presentations and challenge the presenters on their comments.Audience members will also have the chance to pose their questionsanonymously and in real time through emailing [email protected] Commentators:• Christian Lajoie, Head Of Group Supervision Issues

BNP PARIBASMr. Christian Lajoie has been working for BNP Paribas since 1973. Throughout hiscareer, he has held various executive positions both in businesses and centralfunctions. He currently reports to the Group Executive Committee.

• Andrew Jennings, Managing Director, Risk, CITIResponsible for oversight of all risks in Citi’s UK legal entities. Policy advisor for Pillar 2and ICAAPs and regulatory capital developments. Initially responsible forimplementation of Basel II across Citigroup, although subsequently the role was splitinto two parts, and I assume responsibility for the policy of implementing Basel IIacross the group. Previously, the Business Credit Risk manager for Citigroup’sEuropean Leasing business and Head of Operational Risk in Europe. Chief Risk Officerfor the Investment banking division of Schroders plc prior to it being acquired by Citi in2000. Formerly a banking regulator with the Bank of England, Head of Surveillance forUK securities institutions and Head of Supervision of primary dealers, market makersand other participants in the UK Government Bond Market.While at the Bank ofEngland had specific responsibility for the approval of UK banks’ market risk modelsand was the Bank of England’s representative on the Basel Risk Committee and on theBasel Market Risk Working Group. He was originally an accountant with KMPG.

Panellists:• Dominique Bourrat, Managing Director, RISK DYNAMICS • Alan Smith, Global Head Of Risk Strategy, HSBC• Wim Fonteyne, Senior Economist

INTERNATIONAL MONETARY FUND• Miguel Nathwani, Practice Leader, Credit Risk & Capital, QRM

16.10 Afternoon Tea

16.30

Regulation And Optimal Financial Structure & GrowthRichard Reid, Director Of ResearchINTERNATIONAL CENTRE FOR FINANCIAL REGULATIONBefore his current appointment Richard was a Managing Director of Citigroup's EconomicsDepartment in London. Previously Richard was Chief International Economist for Donaldson Lufkin& Jenrette, where he developed thematic issues such as the impact of the “New Economy” onequity markets and the changing structure of Europe’s financial systems. Richard spent fourteenyears as Chief European Economist for UBS, five of which were spent in the company's Frankfurtoffice. In addition to his private sector experience Richard has also advised HM Treasury and theCivil Service committee on international monetary affairs and is a noted commentator onBundesbank and the ECB.

17.00

THE RI$KMINDS REGULATORY THINKTANKDetermining The Cumulative Impact Of Basel III: Assessing TheAggregate Impact Of The New Capital & LiquidityRequirements: How Will Basel III Impact Bank Business,Economic Output & The Global Trajectory For EconomicGrowth & Recovery?

17.00 - 17.10

The Economist Perspective Jose Brandao De Brito, Head Of Financial Markets ResearchMILLENIUM BCPJosé joined Millennium BCP in 2009 as Head Of Financial Markets Research, a unit that covers themajor global economies, policy issues, and developments in financial markets. He has writtenseveral op-eds for both the Portuguese and the international press including the Financial Times.

17.10 - 17.20

The Supervisor PerspectivePeter Praet, DirectorNATIONAL BANK OF BELGIUMPeter Praet was appointed Executive Director of the National Bank ofBelgium in 2000 and is responsible for financial stability. Mr. Praet serves onseveral high-level international committees, including the Basel Committeeon Banking Supervision. He is an Alternate Director of the Committee ofG10 Governors. He is also Co-Chair of the Research Task Force of the BaselCommittee on Banking Supervision.

17.20 - 17.30

The CEBS Perspective Arnoud VossenSecretary GeneralCEBSArnoud Vossen was departmental director at De Nederlandsche Bank beforejoining CEBS as Deputy Secretary General in 2008. More specifically, hewas responsible for cross-sectoral policy issues like financial crime,corporate governance, supervisory reporting and accounting. Before that, heset up the oversight department at De Nederlandsche Bank and was heavily

involved in the merger of Euronext.

17.30 -17.40

The CRO Perspective Morten Friis, CRO, RBCAs Chief Risk Officer, Mr. Friis oversees the strategic management of risk on an enterprise-widebasis. He is a member of RBC’s Group Executive, which sets the overall strategic direction of RBC.Mr. Friis joined RBC in 1979 and was appointed chief risk officer in 2004. Prior to this position, Mr.Friis was Executive Vice-President and Chief Credit Officer for RBC.

17.40 - 17.50

The Practitioner PerspectiveAndreas GottschlingGlobal Head Of Risk Analytics & Instruments, GlobalHead Of Operational Risk ManagementDEUTSCHE BANK Dr. Andreas Gottschling assumed the role of Global Head of RiskAnalytics and Instruments at Deutsche Bank in 2005 and is responsiblefor all Credit, Counterparty, Operational and VaR Analytics for the Group.

Prior to this he was Head of Quantitative Analysis at Deutsche Bank Research responsible forall internal econometric and mathematical modeling activities as well as external modelassessment.

17.50 -18.10 Structured Q And A

18.10

The Ri$kMinds Regulatory Working GroupCreating A Blueprint For The Future Of Regulatory Risk Management• Barbara Frohn, Managing Director, GRUPO SANTANDER

• Alan Smith, Global Head Of Risk Strategy, HSBC

• Christian Lajoie, Head Of Group Supervision IssuesBNP PARIBAS

• Mattia Rattaggi, Managing Director, Head Of GroupSupervisory Relations, UBS

• Andrew Cross, Managing Director, CREDIT SUISSE

• Andrew Jennings, Chief Regulatory Liaison Officer, CITI

• Adam Gilbert, Managing Director, JP MORGAN

• Andreas Gottschling, Global Head Of Risk Analytics &Instruments, Global Head Of Operational Risk Management,DEUTSCHE BANK

18.45 - 19.15

Champagne Roundtable Discussions• Jose Brandao De Brito, Head Of Financial Markets Research

MILLENIUM BCP

• Morten Friis, CRO, RBC

• Dominique Bourrat, Managing Director, RISK DYNAMICS

• Richard Reid, Director Of Research, INTERNATIONAL CENTRE

FOR FINANCIAL REGULATION

19.15 - 20.00 Welcome Drinks Reception

Sponsored By

The Ri$kMinds CRO ForumTuesday 7 December 2010


08.00

Chairman’s Opening AddressRobert SullivanFinancial Services Assurance & Advisory Partner,Global Banking & Capital Markets LeaderPRICEWATERHOUSECOOPERSBob is the lead engagement partner for one of PwC’s largest GlobalFinancial Institution clients and the Global Banking and Capital MarketsLeader. Prior to his current roles, he was the leader of PwC’s US Financial

Services Advisory business, which comprises over 500 professionals and the Financial RiskManagement Advisory and Assurance Practice. The Advisory business provides processimprovement, transaction and crisis management advisory services to major financial institutions.Bob has managed risk management advisory and assurance engagements for a broad range ofcompanies including large financial services firms, energy and other commodity trading firms, andlarge corporations. He also provides technical advisory services on accounting for financialinstruments and related risk management issues to major derivative dealers as well as to majorfinancial institutions and corporations.

08.15

WHERE’S THE NEXT ICEBERG?Geopolitical Risk, Macro Economic Policy & Scenario Management:Understanding What Risks Lie In Wait On The Horizon & How ShouldBanks Prepare For The Next Crisis?

Pippa MalmgrenFounderTHE CANONBURY GROUPDr Malmgren served as financial market advisor to President GW Bush onthe National Economic Council in The White House from 2001-2002 whereshe was responsible for financial market issues. Before joining theadministration, she served as the Deputy Head of Global Strategy at UBSWarburg and as the Chief Currency Strategist for Bankers Trust. She headed

the Global Investment Management business for Bankers Trust in Asia out of Hong Kong. She is afrequent guest on the BBC and a guest presenter on CNBC’s Squawk Box (UK). She is also a SeniorAdvisor to Deustche Bank in Australia and the Middle East, Prudential Real Estate Investmentsworldwide and Amwal in Qatar. She is a Governor of the Ditchley Foundation in the UK.

08.45

GUEST SUPERVISOR ADDRESSThe New Risk Paradigm For Banks: How Can The Next GenerationOf Banks Avoid The Mistakes Of The Past?

Norah BargerDeputy Director, Division Of Banking Supervision &Regulation THE FEDERAL RESERVE BOARDNorah is the Deputy Director for the Division Of Banking Superivison &Regulation at the Federal Reserve Board in Washington DC. She is alsothe co-chair of the Trading Book Group in Basel where she works onaddressing issues relating to the application of Basel II to certain

exposures arising from trading activities. A current focus of this group is the appropriatecapital treatment of event risk in the trading book.

09.15

From Ubiquity To Precision: A Future For Global Banking: HowRegulation Could Fundamentally Change Banking As We Know It

Richard KibblePartner, Financial Services Strategy TeamPRICEWATERHOUSECOOPERSRichard joined PwC in 2008 to help build the firm’s corporate strategy andcapability business. He has 20 years’ experience advising financial institutionsin the UK and Europe, on the full range of strategic, operational, andorganisational issues. His focus covers retail financial services, wholesale, andasset management. Prior to joining PricewaterhouseCoopers, Richard was

the UK Managing Partner at Marakon (1990-2007). His particular areas of expertise include corporatestrategy, strategic management, large-scale change management and linking people development toperformance. More recently Richard worked with 6 major UK banks on the impact of proposedregulations on the UK economy and advised the UK’s largest mutual on strategic direction and keyissues. Richard also co-authored the PricewaterhouseCoopers publication on the financial crisisentitled ‘The Day After Tomorrow’.

09.45

Balancing Risk & Opportunity In The Search For Growth: How CanRisk Management & Measurement Frameworks Both Support TheFinancial System & Foster An Environment For Growth?

Benoît Ottenwaelter, Group Chief Risk Officer &Member Of The Executive BoardSOCIETE GENERALEBenoît Ottenwaelter began his career with the Société Générale Group in1988 as Head of Back Office Capital Markets in Paris. In 1990, he movedto Société Générale Strauss Turnbull in London as Head of EquityDerivatives. In 1994, Benoît returned to the Paris office as Head ofTreasury and Foreign Exchange and then became SG CIB’s Global Head of

Debt, Currencies and Commodities. In 2004, Benoît was appointed Deputy Head of Corporatesand Institutions and became a member of the Executive Committee of SG CIB and of the GroupManagement Committee. Since January 2007 he has been Head of Corporates, Institutions andthe Advisory Division.

10.15

THE CRO COMMENT & CHALLENGE SESSIONLeading industry figurehead Stephan Schoess will offer comment onthe prior presentations and challenge the presenters on theircomments. Audience members will also have the chance to posetheir questions anonymously and in real time through [email protected] Commentator:• Stephan Schoess, Chief Economist

THE OPTIONS CLEARING CORPORATION (OCC)Prior to his current position, Mr. Schoess managed OCC’s risk-management departmentwith responsibilities for formulating, devising, and controlling OCC’s risk-managementprocedures. Before joining OCC in 1998, Mr. Schoess held positions as Principal ofHedge, Inc., Managing Director of the Chicago Board Options Exchange, SeniorStrategic Planner at Continental Illinois National Bank of Chicago, and AssociateProfessor of Finance at Northeastern Illinois University.

Panellists:

• Pippa Malmgren, Founder, THE CANONBURY GROUP

• Norah Barger, Deputy Director, Division Of Banking Supervision& Regulation, THE FEDERAL RESERVE BOARD

• Richard Kibble, Partner, Financial Services Strategy Team,PRICEWATERHOUSECOOPERS

• Benoît Ottenwaelter, Group Chief Risk Officer & Member OfThe Executive Board, SOCIETE GENERALE


11.15

THE CRO THINKTANK IRisk Culture & Ethics: What Systems & Processes Can Enhance TheRisk Culture In Every Financial Institution To Make Sure Things AreDifferent This Time?

THE IFRI CRO DISCUSSIONThe Mission of the International Financial Risk Institute (IFRI) is toprovide opportunities for senior risk practitioners, especially the ChiefRisk Officers of the world's major financial institutions, to discuss andexchange ideas on both the principles and the practical application offinancial risk management. The Institute thereby seeks to developthought leadership and provide learning opportunities by and for seniorrisk professionals, with a view to enhance risk management bestpractice in the financial industry as a whole. www.ifri.ch

Chaired By: Richard EvansCRO, Institutional Clients GroupCITIRichard joined Citibank in June 2008 as Chief Risk Officer for theInstitutional Clients Group (which covers Markets, Securities and Bankingand Alternative Assets). He is based in London and runs a global team of1250 risk personnel. Prior to joining Citi, Richard was the Deputy and Co-

Chief Risk Officer of Deutsche Bank AG for eight years. Prior to that, Richard spent over eighteenyears with JP Morgan, working in London, Sydney, Brussels and New York. After trading forthirteen years, he moved into Risk Management from 1993 onwards. In 1995, Richard wasseconded to the Bank of England to investigate the collapse of Barings Bank and was one of theprimary authors of the official report presented to Parliament. In January 2004 Richard was named‘Risk Manager of the Year’ by RISK Magazine. Richard was a Director of Euroclear SA and PLC andChairman of the Board’s Risk Policy Committee from 2005-2008. He is also a member of theExecutive Committee of the International Financial Risk Institute (IFRI) and was President of IFRIfrom 2003 to 2005.

Morten Friis, CRO, RBC(see biographical details previously)

Stephen AllenHead Of Risk Management GroupMACQUARIE GROUPStephen is the Head of Risk Management for the Macquarie Groupglobally. Stephen joined Macquarie in 1993 and has undertaken a broadrange of roles within the organisation, predominantly in the investmentbanking area. He began his career with Macquarie in the infrastructure andutilities advisory business in Australia and later established the European

infrastructure business for Macquarie. Stephen’s roles at Macquarie have included Head of Creditfor Macquarie Group, Global Head of Macquarie’s Infrastructure and Utilities Advisory practice,CEO of the independently listed toll road investor the Macquarie Infrastructure Group and Head ofthe London office of the Macquarie Group.

Tuesday 7 December 2010

THE RI$KMINDS CRO FORUMDAY1


10

Day 1 CRO Forum & Day 2 Main Conference: 7 & 8 December 2010

RI$KMINDSRisk Modelling, Measurement & Management In The New World Order

DAY1&2


12.00

Determining Risk Appetite In A Post-Crisis Environment:Understanding The Links Amongst Risk Appetite, Strategy, Capital Allocation, And Other Important Actions/Allocations

Alden ToevsCROCOMMONWEALTH BANK AUSTRALIAAlden joined the Commonwealth Bank of Australia on 23 June2008 as Group Chief Risk Officer. Alden provides leadership inensuring effective risk management and risk governance across theBank and also acts as an advisor to the Bank’s Board and Executive

Management on risk management. Prior to commencing with the Commonwealth Bank,Alden led First Manhattan Consulting Group’s (FMCG) risk management, MIS andmortgage banking practice areas for 15 years, and was lead consulting partner between2000 and 2008.

12.25

Post Crisis CROs Identifying The New Challenges For A CRO In APost Crisis World

Martha CummingsCROBANCO SANTANDERMartha Cummings is Chief Risk Officer for Banco Santander in NewYork. She is responsible for the risk management of all credit andtrading operations booked in New York, including Loans, ProjectFinance, Structured Finance, Debt and Equity Capital Markets

transactions as well as all trading portfolios for Latin American Equities, Fixed Income andDerivative Products. Previously, Ms. Cummings was a consultant; her engagements includedworking as Program Advisor for the Wharton Executive Educationand assisting in business development for a private equity fund. Ms. Cummings is anexperienced investment banker specializing in international finance and has extensiveexpertise in Latin American clients and markets.

12.50

THE CRO COMMENT & CHALLENGE SESSIONLeading industry figurehead Ruth Whaleywill offer comment onthe prior presentations and challenge the presenters on theircomments. Audience members will also have the chance to posetheir questions anonymously and in real time through [email protected] Commentator:• Ruth Whaley

Director Of Corporate Relations, Judge Business SchoolCAMBRIDGE UNIVERSITYRuth is responsible for the corporate relationships of Cambridge Judge BusinessSchool with a focus on recruitment across all programs, shared research, internshipsand even sponsorship. Prior to her role at Cambridge University, Ruth held the positionof CRO at MBIA from 1999 to 2009. She also holds board positions at Nuclear ElectricInsurance, Cambridge In America and the Eisenhower Fellowships and has previouslyheld positions at Citi, CapMAC Holdings and the Union Bank Of Switzerland.

Panellists:

• Richard Evans

CRO, Institutional Clients GroupCITI

• Alden Toevs

CROCOMMONWEALTH BANK AUSTRALIA

• Martha Cummings

CROBANCO SANTANDER

13.20 Lunch For All Delegates

Plus “Meet The VIP” Lunch Tables & Private Dining With GuestSpeakers (pre-registration required – please sign up at theconference registration desk)

Table Hosts:• Richard Evans

CRO, Institutional Clients GroupCITI (see biographical details previously)

• Norah Barger, Deputy Director, Division Of Banking Supervision & RegulationTHE FEDERAL RESERVE BOARD(see biographical details previously)

• Pippa Malmgren

FounderTHE CANONBURY GROUP(see biographical details previously)

• Claude Piret

CRO & Member Of The Management BoardDEXIA

14.30

The New Financial Zeitgeist And Bank Risk Management: How Can CROs Add Value In The New Risk-Averse Environment?

David WattsCROWESTPAC NEW ZEALANDDavid Watts was appointed Chief Risk Officer of Westpac NewZealand Ltd in October 2009. David is based in Auckland and isresponsible for all aspects of risk management including credit risk &restructuring, operational risk, market risk, compliance and security.He is a member of the Executive Management Team, Chairman of

the Executive Risk & Audit Committee and a Director of 9 subsidiary boards. Before joiningWestpac David had a 17 year career at National Australia Bank where he was Chief RiskOfficer for Australia. Prior to entering banking David enjoyed 10 years as a CertifiedPractising Accountant.

15.00

Global Banks In The Emerging MarketsThe Challenges And Opportunities Facing Global Banks OperatingIn Emerging Markets• How do you balance the requirements of global standards

with the practical challenges of banking in the emergingmarkets?

• How do we define emerging markets?• The role of emerging market banks beyond pure banking

Paul SmithGroup CROSTANDARD BANKPaul Smith was appointed Chief Risk Officer for the Standard BankGroup on 1 November 1999. He reports to Jacko Maree, the GroupChief Executive and is a member of the Group Executive Committeeand Group Credit Committee. He was previously the Head of Riskwithin the Corporate and Investment Banking Division of Standard

Bank, a position he held from 1 June 1997. Paul Smith was previously a partner in theFinancial Services Group of KPMG – he was a partner with the firm for 13 years out of atotal period of service of 21 years.

15.30

THE CRO THINKTANK IIRisk Governance, Non-Executive Oversight & The RelationshipBetween The Board Of Directors & The CRO:How Can We Create A More Effective & Accountable RiskManagement Function?

Stephen AndersonCRO, EuropeHSBCStephen joined HSBC as an International Manager in 1983 and hasworked in eight countries, covering almost all business lines. Morerecently he has specialised in risk management and COO roles.Stephen established the Credit Risk function in Thailand in 1998during the Asian crisis, and spent the next two years working outHSBC’s non-performing loan portfolio in Thailand. As COO, first for

HSBC Singapore and more recently for HSBC Turkey, he has successfully implementedmajor strategic cost reduction programmes. He is currently the Chief Risk Officer for HSBCin Europe based in London.

Christiane LaibachCROKFW IPEX BANKMs Laibach was appointed Chief Risk Officer in 2009. She hasbeen a member of the Board of Managing Directors of KFW IPEX-Bank since 2008 and has previously held positions in theinfrastructure finance team within the bank.

Dr. Sebastian Fritz-MorgenthalHead of Group Risk ManagementHSH Nordbank AG

David LiCROCHINA INTERNATIONAL CAPITALCORPORATIONDavid Li’s financial career began in 1997 at the Canadian ImperialBank of Commerce, and by 2003 he was director and global headof credit derivatives research at Citi. In 2004 he moved to BarclaysCapital where he headed up the credit quantitative analytics team.

In 2008 Li moved to Beijing where he works for China International Capital Corporationas Head of the Risk Management department.

Lesley JonesGroup Chief Credit OfficerRBSSee www.icbi-riskminds.com for biographical details

John HollowsCROKBCSee www.icbi-riskminds.com for biographical details)

16.15

THE CRO COMMENT & CHALLENGE SESSIONLeading industry figurehead Maureen Miskovic will offercomment on the prior presentations and challenge the presenterson their comments. Audience members will also have the chanceto pose their questions anonymously and in real time throughemailing [email protected]

Commentator:• Maureen Miskovic

Former CROSTATE STREETMost recently, Maureen J. Miskovic was Executive Vice President and CRO at StateStreet, responsible for leading the company’s risk management function globally. Shewas also a member of the company’s Operating Group, State Street’s most seniorstrategy and policy-making team. Before being appointed to this role, Ms. Miskovicserved on State Street’s Board of Directors and was Chairman at Eurasia Group, aglobal political risk advisory and consulting firm based in New York. Previously, Ms.Miskovic spent six years as chief risk officer for Lehman Brothers and prior to thisappointment she was Treasurer at Morgan Stanley in London responsible for capitalplanning, bank relations and cash management for its European and Indian businesses.She has also held senior management roles at S.G. Warburg in London.

Panellists:

• David Watts

CROWESTPAC NEW ZEALAND

• Paul Smith

Group CROSTANDARD BANK

• Stephen Anderson

CRO, EuropeHSBC


17.15

Remuneration & Risk-Taking Incentives: Practice & RegulationMark CareyAdviser, Division of International FinanceTHE FEDERAL RESERVE BOARDMark Carey is Adviser in the Division of International Finance at theFederal Reserve Board in Washington, DC. He is also co-director ofthe National Bureau of Economic Research’s Risks of FinancialInstitutions Working Group, which is a mixed group of academics andfinancial professionals that focuses on risk management at financial

firms. He was a founding-father of Basel 2, and though he is a research economist, he hasfrequently worked closely with bank examiners. He has written a lot of technical papersabout credit risk and also about corporate debt and corporate finance. His Ph.D in economicsis from Berkeley and his undergraduate degree in economics is from Oberlin College.

17.45

THE CRO THINKTANK IlI What Keeps The CRO Awake At Night?This CRO panel discussion will give insight into the key concernstop of the list for leading global Chief Risk Officers

William DawsonExecutive VP, Chief Credit & Risk Officer, Wealth,Brokerage & RetirementWELLS FARGO & COMPANYWilliam L. Dawson assumed his role in 2009. Bill providesmanagement oversight and is responsible for credit, market andoperational risk, including compliance for the following businesslines within this division: Wealth, Family Office Services, Brokerage

(Wells Fargo Advisors) and Retirement. Bill has over 35 years’ experience in the financialservices industry. Prior to joining Wells Fargo, Bill, an 8-year veteran of WachoviaCorporation, most recently held the position of Chief Risk Officer, Capital and WealthManagement, for Wachovia.

Jacques BeyssadeCRONATIXISJacques Beyssade began his career in 1984 at Crédit Lyonnais inLondon as a financial analyst. He headed up the Champs ElyséesCorporate Banking Branch (1994-1997) before being appointedCountry Manager for Korea (1997-2001). He later became Head ofDebt Markets in New York (2001-2005). In 2006, he took up the

position of Head of Calyon’s Capital Markets division for the Asia-Pacific region. He joinedNatixis in 2008 as Head of Risk Supervision for the Corporate and Investment Bankingdivision. Since July 2009, he as been the Chief Risk Officer of the bank and a member ofits Executive Committee.

Holger DemuthCRO, Member Of The Executive BoardCLARIDEN LEUHolger G. Demuth has been Chief Risk Officer at Clariden Leu sinceNovember 17, 2008. Previously, he built up and led the RiskManagement unit in the Asset Management Division of CreditSuisse in the position of Global Head of Risk. In 2005 he was GlobalHead of Project Office & a Member of the "One Bank" Working

Group at Credit Suisse. Prior to this he held various management positions at Credit Suissein Chicago, London and Zurich. In 1986 Holger G. Demuth studied at the InternationalBanking School of Credit Suisse in New York followed by studies at the Business School ofZurich where he graduated with a federal diploma in banking. He subsequently completedthe Master of Business Administration at the University of Rochester NY and attended theAdvanced Management Program at the Harvard Business School in Boston.

Jens Kaessner, CRODEUTSCHE POSTBANKIn April 2010 Jens was appointed Chief RIsk Officer of DeutschePostbank Group. He is responsible for the risk methodology(ratings, VaR models), Basel 2 compliant implementation ofPostbank’s risk infrastructure, risk reporting and initiatingappropriate risk management action. As CRO he is a member of allrisk committees of the Group. Jens joined Postbank Group in 2002

and his previous responsibilities include Head of Credit Risk Management, Head ofStructured Credit Products and General Manager of Postbank's US subsidiary, where hewas responsible for all US capital markets activities. He is experienced in implementingportfolio models to calculate credit risk and market risk models, trading credit derivativesand overseeing other trading activities. Before Postbank Jens was with HypoVereinsbank,Group Risk Control, where he worked on allocation of risk capital.

Paige WisdomChief Enterprise Risk OfficerFREDDIE MACPaige Wisdom was appointed Freddie Mac’s chief enterprise riskofficer on April 1, 2010, and is a member of the company's seniorleadership team, reporting directly to the CEO. In this role,Wisdom is responsible for providing the overall leadership, visionand direction for enterprise risk management and leads an

integrated risk management framework for all aspects of risk across the company.Previously, Wisdom served as Freddie Mac's Business Unit CFO, and earlier in her careerheld senior finance and risk-management positions with Bank of America, Bank OneCorporation/J P Morgan, UBS/Warburg Dillon Read, Citibank Salomon Smith Barney, andSwiss Bank Corporation. She holds a Master of Business Administration from TheUniversity of Chicago's Graduate School of Business and a Bachelor of Science in mathand computer science from the University of Illinois, Chicago.

18.15

SUMMARY OF THOUGHTSToday’s leading industry commentators will meet to deliver theirthoughts on the shape of risk management from the CRO’sperspective. Comments will be available in note form on theRIskMinds website after the event www.icbi-riskminds.com Commentators:• Stephan Schoess, Chief Economist

THE OPTIONS CLEARING CORPORATION (OCC)• Maureen Miskovic, Former CRO, STATE STREET• Ruth Whaley, Director Of Corporate Relations, Judge

Business School, CAMBRIDGE UNIVERSITY

18.30 - 19.30

Main Conference Cocktail Party

Sponsored By


Day 2 Main ConferenceWednesday 8 December 2010


09.00

Chairman’s Opening AddressChaired By:

Thomas KimnerHead of Americas Risk PracticeSASMr. Kimner is Head of the Americas Risk Practice at SAS where heleads a team of experts in shaping risk solutions by applying best-of-breed data, modeling, and decision optimization methodologies.Mr. Kimner joined SAS in 2009 bringing nearly 20 years ofexperience in credit risk analytics, information management, and systems architectures—the last 10 years in various senior level

positions at Fannie Mae, where he spearheaded initiatives to more effectively managecredit risk and financial reporting.

09.10

The Ri$kMinds 2010 Guest Supervisor Address

Addressing The Key Issues In Today's Global Financial SystemJulie DicksonSuperintendentOSFIJulie Dickson was appointed Superintendent of FinancialInstitutions in July 2007, for a seven-year term. Ms. Dickson joinedthe Office of the Superintendent of Financial Institutions (OSFI) inApril 1999, and was Assistant Superintendent, Regulation Sector,from January 2000 to June 2006, when she was appointed Deputy

Superintendent. In October 2006, she was appointed Acting Superintendent. Prior tojoining OSFI, Ms. Dickson served in both the public and private sectors. In the federalgovernment, she served for 15 years with the Department of Finance, primarily in areasrelated to financial institution policy. In the private sector, she served as Group Leader ofthe Financial Institutions Practice for a national consulting firm from 1995 to 1998. She isa member of the Accounting Standards Oversight Council of Canada, and was a memberof the Basel Committee on Banking Supervision from 2002 to 2006. She also representsOSFI on the Financial Stability Board and the Integrated Supervisors group. AsSuperintendent, Ms. Dickson serves on the Council of Governors of the Canadian PublicAccountability Board, the board of directors of the Canada Deposit Insurance Corporation,and the board of directors of the Toronto Leadership Centre.

09.50

The Ri$kMinds 2010 New Research PaperFinancial Engineering And The Financial Crisis: Warnings, GuiltAnd Lessons Hopefully Learned• Mathematics and QRM: examples and an assessment based

on the financial crisis• Model uncertainty and the road to Basel III• The real culprits• Risk management lessons to be learned from the crisis

Paul EmbrechtsProfessor, Department Of MathematicsETH ZURICHPaul Embrechts is Professor of Mathematics and Director ofRiskLab at the ETH Zurich specializing in actuarial mathematics andquantitative risk management. He co-authored the influential books"Modelling of Extremal Events for Insurance and Finance", Springer,1997 and "Quantitative Risk Management: Concepts, Techniques

and Tools", Princeton UP, 2005. Dr. Embrechts consults on issues in quantitative riskmanagement for financial institutions, insurance companies and international regulatoryauthorities.

10.45

The Ri$kMinds 2010 Guest CRO Address

Reshaping The New Agenda For Risk Management:How Have Banks Revised Strategies, Systems, Assumptions &Internal Models In Light Of The 2007-2009 Crisis?

Hugo BanzigerCRO & Member Of The Management BoardDEUTSCHE BANKHugo was appointed to the Deutsche Bank Management Board inMay 2006 as the Chief Risk Officer. He is responsible for Credit,Market and Operational Risk, as well as Corporate Security &Business Continuity, and Treasury. In May 2007 he also assumedresponsibility for Legal and Compliance. In 2000 he became DB's

Chief Credit Officer and assumed responsibility for Operational Risk Management in 2004.From 1985 to 1996 Hugo worked at Credit Suisse Group. In 1990, Hugo was appointedGlobal Head of Credit for Credit Suisse Financial Products, the derivatives house of CreditSuisse Group, based in London. In 1983 he started his career at the Swiss Federal BankingCommission, the Supervisory Agency of Swiss Banks. Hugo has a Doctorate in EconomicHistory from the University of Berne, Switzerland.

11.15

Morning Coffee & Opportunity To Visit The Ri$kMinds Exhibition

Chaired By MUREXsee www.icbi-riskminds.com for further details

11.40

Market & Credit Risk Integration In The Trading Bookvs The Banking Book: Delivering A Holistic View Of Risk ExposuresDarryll Hendricks

Managing Director, Global Head Of Risk MethodologyUBSDarryll Hendricks is Managing Director and Global Head of RiskMethodology for UBS Investment Bank, where he has primaryresponsibility for leading the strategic remediation and enhancementof market and credit risk methodologies as well as the independentreview of valuation models. Since Autumn 2009, he has also servedas the chair of the US industry task force on tri-party repoinfrastructure. Before joining UBS, Darryll worked at the FederalReserve Bank of New York for 13 years where he focused on capitalregulation and on the risk assessment of clearing and settlementinfrastructure. Darryll has a PhD from Harvard University.

12.15

Managing Market Risk Exposures In A Changed World:Creating An Appropriate Analytical Tool Set To Manage The NewMarket Risk ExposuresKevin OdenManaging Director, Head Of Market Risk For Global RatesWACHOVIAKevin Oden is a Managing Director and Market Risk Officer for the Securities InvestmentGroup of Wells Fargo. In this position, he leads a team responsible for commodity,interest rate, municipal, foreign exchange and counterparty credit risk management.Before moving to finance, Kevin was the Benjamin Pierce Assistant Professor ofMathematics at Harvard University, where he specialised in differential geometry andpublished in the areas of geometry, statistics and graph theory.

12.50

Riding The Waves Of Retail Lending: Origination, Credit And Economic Cycles Often Coincide ForDisastrous Effects• How to identify these cycles• How to ride the waveJoseph BreedenCEOSTRATEGIC ANALYTICSDr. Breeden, Chief Executive Officer of Strategic Analytics Inc., leads the design ofadvanced analytic solutions including the invention of Dual-time Dynamics that comprisethe firm's market offerings for forecasting, stress testing, and economic capital modellingfor retail portfolios. He recently published Reinventing Retail Lending Analytics and haspublished papers and given lectures on retail lending analytics and economic capitalaround the world. Strategic Analytics, founded in 1999, has successfully grown tobecome an industry power and its software and services are used to analyze over $2trillion in credit cards, auto, home equity, mortgage and other consumer credit portfolios.

13.25 Lunch

14.30

Risk Management In Private EquityKen AbbottManaging Director & Chief Operating Officer, Market RiskMORGAN STANLEYKen Abbott is a Managing Director at Morgan Stanley in New York, where he is ChiefOperating Officer for the Market Risk Department. In addition, he also supervises thereporting, capital, and scenario processes and is responsible for the legal entity riskmanagement for Morgan Stanley's US broker dealer and national bank. Previously, he ranmarket risk management for Bank of America’s Investment Bank. He has over 25 years’banking experience, including 14 years at Bankers Trust as an analyst, trader, and risk manager.

15.05

CVA Analytics:Effective Strategies For Pre And Post Trade CVA Risk AnalyticsPaul JonesVice President, Product ManagementQuIC FINANCIAL TECHNOLOGIESPaul is responsible for defining and executing QuIC’s overall product go-to-marketstrategy and technology roadmap. He holds more than 14 years’ experience in financialengineering and risk, including roles at Lehman Brothers and Algorithmics. Paul holds aBA Hons Physics from Oxford University.

15.40

IRC:Modelling Incremental Risk Charge• Insight into the IRC market• Modelling approaches, parameterisation and calculation

processes• Selected topics from a practitioner’s point of viewChristian OehlerSenior ManagerD-FINEChristian works as Senior Manager within d-fine GmbH. His main responsibilities are strategicdevelopments and projects in the framework of credit portfolio modelling and all aspects ofprofitability oriented risk & capital management concepts including risk based pricing and limitsetting frameworks. Furthermore, he is a specialist in ICAAP and incremental risk chargemodelling and measurement in the trading book. Before joining d-fine he worked for DeutscheBank in the Application and Implementation team within Risk & Capital Management wherehe was responsible for the credit portfolio model. Prior to Deutsche Bank he worked for ArthurAndersen as a specialist for Basel II relevant topics with a focus on rating development andvalidation methods. He earned a PhD in experimental particle physics from University ofKarlsruhe and holds a MSc. in financial mathematics from the University of Oxford.

16.15

Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition

Liquidity Risk & Balance Sheet Management Working Group

16.45

Liquidity Stress Testing For Security Firms:Defining Liquidity Destruction Triggers, Scenario Development &Data Consistency In Liquidity Stress Tests• New Basel liquidity proposal and liquidity stress testing• Developing global liquidity stress testing for security firms• Challenges for designing and developing global liquidity

stress testingKenji FujiiJoint Head, Global Risk Management GroupMIZUHO SECURITIES COIn his current role, Kenji Fujii is in charge of market risk, enterprisewide risk managementand risk capital framework. Prior to his current role, he was Senior Managing ExecutiveOfficer, Chief Market Risk Officer at Aozora Bank, and General Manager, Basel 2Implementation Office, Corporate Risk Management Division at Mitsubishi UFJ FinancialGroup. Mr. Fujii has participated in numerous industry initiatives in risk management area,including those related to the Basle II. He also acts as Principal of Tokyo the RiskManagers Association (TRMA).

17.20

Enterprise Liquidity Management: Essential Elements For Managing Enterprise Liquidity• The regulatory challenge, just the baseline • Extending traditional ALM to meet the challenge• Applying deterministic and stochastic stress tests• Defining the optimal liquidity funding structure using

advanced portfolio optimization techniques Aaron Sanders, Market Risk Practice LeaderQRMMr. Sanders is the Market Risk Practice Leader at Quantitative Risk Management (QRM).His current duties focus on ensuring QRM's models and clients use best practices forMarket Risk and Liquidity Risk. Since joining QRM in 2000, he has consulted and led theimplementation of Market, Credit and Liquidity Risk practices at many leading banks andother financial institutions. Aaron has his BA in Economics from The University of Chicago.

17.55

Charging For Balance Sheet Usage: Linking Funds Transfer PricingAnd Capital Charging• Should we charge for use of regulatory capital or economic

capital or both?• Is charging for economic capital use the same as charging for

risk?• Are real or notional charges best?• How does tax enter the picture?Mark Johnston, Division Director, Balance Sheet StrategyMACQUARIE GROUPMark Johnston heads the Balance Sheet Analysis & Strategy team at Macquarie Group,responsible for projecting and managing capital adequacy, designing incentive schemessuch as funds transfer pricing and capital charging, ensuring efficient use of capital andmanaging macro risks. Prior to taking on this role Mark worked in Macquarie's RiskManagement Group, with responsibility for economic capital, risk appetite and risk-adjusted performance measurement.

Chaired By Dominique Bourrat, Managing DirectorRISK DYNAMICS(see biographical details previously)

11.40

PIT vs TTC: Developing A Dual PD PIT-TTC Ratings Framework• The importance of systematic credit cycles in developing

internal ratings• Managing real risk vs capital stability• Industry vs regional systematic factors• Using Agency Ratings in a Dual PD Ratings FrameworkScott Aguais, Head Of Credit Portfolio Analytics, RBSIn his current role, Scott’s responsibilities include developing, implementing and managing asuite of credit risk models and methodologies end-to-end in support of active credit risk andcapital management. Additional responsibilities include developing and implementing keycredit methodologies for stress testing, Point-in-Time and Through-the-Cycle ratings andportfolio management and working to enhance the overall credit risk systems architecture.Prior to joining RBS in March 2009, Dr. Aguais was Global Head of Credit Risk Methodology atBarclays Capital where he led the Barclays Capital credit risk modelling effort in support of thesuccessful attainment of their Basel II AIRB waiver. This work included developing a suite of40 credit models and an industry-leading solution for PIT and TTC ratings that utilisedsystematic credit risk cycles. In this role he also led the design, development andimplementation of Barclays Capital’s Phoenix solution, which is the firm’s Basel II system andarchitectural solution.

12.15

Incorporating Capital Costs At Origination: How To Improve Deal Origination Through Accounting For PortfolioEffects• Improving credit portfolio characteristics starting at

origination• Deal pricing implications of credit concentrations • Dynamically linking the deal structuring process to credit

portfolio managementMikael Nyberg, Managing Director, Advisory ServicesMOODY’S ANALYTICSMikael Nyberg leads Moody's Analytics Advisory Services as a Managing Director. TheAdvisory Services group provides consulting, product training and implementationservices for Moody's Analytics portfolio, credit risk measurement and valuation products.The team lead by Mikael is responsible for the implementation and introduction ofRiskFrontier™, Moody's Analytics' latest portfolio and CDO technology. His backgroundincludes having worked since 1998 on the global implementation and productmanagement of KMV EDF™ and Portfolio Manager™ products. In these roles he wasresponsible for the research and new development of models, software and dataproducts. His educational background includes B.Sc.(ECON) in Finance and Accountingfrom the London School of Economics and an M.B.A. from IESE in Barcelona. Histhought leadership focus provides clients with frameworks and insights for addressingtheir most pressing portfolio strategy issues.

STREAM B:Innovations In Credit & Counterparty Risk Modelling

STREAM A:Market Risk Management In The New Regulatory Paradigm




DAY2


12



DAY2


12.50

Quant Heaven? The Road To Credit Risk Management Is QuantHeavenEduardo Epperlein, Managing Director, Global Head of Risk Methodology, NOMURAEduardo Epperlein is a Managing Director at Nomura International, responsible for GlobalRisk Methodology. His responsibilities include market and counterparty risk and theirimplications for regulatory and economic capital. Eduardo has 16 years’ experience in thefinancial industry, is a regular contributor to regulatory meetings and has chaired severalindustry groups on Basel rules. He holds a PhD in Plasma Physics from Imperial Collegeand spent ten years as a research scientist prior to joining Citigroup in 1994.

13.25 Lunch

14.30

Basel III & Credit Risk: Don't Throw The Baby Out With TheBathwater• A critical view on the successes and shortcomings of Basel II• "Positive" lessons for lending from the financial crisis• The potential costs of indiscriminate capital buffersJoerg Erlebach, Head Of Group Risk Controlling & Capital Management, COMMERZBANKJoerg Erlebach’s responsibilities cover topics spanning credit and operational risk controllingand reporting, risk measurement methodologies, risk portfolio management by means oflimit systems, allocation and management of internal and external capital requirements andgroup risk communication. In the past, he has been responsible for the group’s Basel II andIFRS LLP projects. Before joining Commerzbank, he has filled various leading managementpositions within the risk functions of Deutsche Bank AG and Eurohypo AG.

15.05

Liquidity Cycles In Risk Management: Liquidity Cycles & TheImpact On Credit Decision Making & Risk Management• Excess liquidity and its impact on asset prices, risk appetite &

standards• Will liquidity shocks drive the "new" business cycle?Christoph Dieng, Chief Credit Risk OfficerNORD LBChristoph Dieng was appointed Chief Credit Risk Officer in September 2007. Prior tojoining NORD/LB he worked at Deutsche Bank for over 10 years in various functions. In hislast assignment he served as Co-Head Credit Risk Management for Global Corporates andInstitutions in Europe.

15.40

Systemic Risk, Procyclicality & The Interconnectedness OfFinancial Institutions: Successfully Managing & MitigatingSystemic RiskBarbara FrohnManaging DirectorGRUPO SANTANDER(see biographical details previously)

Gonzalo de Cadenas

Senior Analyst, Public Policy DepartmentGRUPO SANTANDER

16.15


16.45

Early Warning SystemsLeveraging Capital Market Information In Credit Risk Management• Capital markets process information both real-time and

forward-looking • Sophisticated econometric models based on market

information can help forecast solvency risk with a lead time ofmore than half a year

• Market based early warning systems can considerablystrengthen credit risk management - in particular in times ofmarket crises

Volker Kintrup, Managing DirectorRSU RATING SERVICE UNITBefore joining RSU, Mr. Kintrup was employed with Oliver Wyman and Mitchell MadisonFinancial Services Consulting for seven years. During this time, he advised banks andinsurance companies on issues regarding strategy, risk management and IT solutions. Mr.Kintrup studied at the London School of Economics where he obtained a Master ofScience in Management of Information Systems.

17.20

Business Value In Risk ManagementPrerequisites For Providing Business Value With Risk ManagementSimon Haldrup, VP for Economic & Regulatory CapitalDANSKE BANKAfter graduation, Haldrup was engaged by Danske Bank as project manager for severalmajor development projects within risk management, and he was in charge ofimplementing a strategic data warehouse project. Haldrup moved on with his career ashead of the department of Credit Risk Modeling at Danske Bank. His primary objectivewas to manage Danske Bank’s regulatory and economic capital, covering areas likesolvency, risk-weighted assets, economic credit capital and stress testing. Currently,Haldrup is Vice President for Economic and Regulatory Capital at Danske Bank, where hisarea of responsibility covers risk-weighted assets, economic capital, implementation of riskand capital in the bank's business model. Other areas within Haldrup’s domain areimplementation of risk and Basel II and addressing the new regulation of Basel III.

17.55

New Strategies For Credit Portfolio ManagementHow Should Current Models Be Revamped In Response To Basel III?Ludger Overbeck, Head Of Quantitative Credit PortfolioManagement, COMMERZBANK & Professor Of MathematicsUNIVERSITY OF GIESSENSince June 2003, Ludger Overbeck has held a Professorship of Mathematics and itsApplication at the University of Giessen in Germany. His main academic interests areQuantitative Methods in Finance and Risk Management and Stochastic Analysis. As ofJanuary 2007 he also began consulting for Commerzbank as the Head Of QuantitativeCredit Portfolio Management. In this role, he is responsible for all quantitative aspects,

including integrated portfolio modelling (Market and Credit Risk), formulation of the riskaversion and tolerance, riskreturn based performance management, optimization, hedgedecisions (micro- and macro hedges) and transaction and loan pricing. In his professionalcareer before 2003 he held many positions mainly in the area of Risk at DZ Bank,HypoVereinsbank and Deutsche Bank.

Chaired ByRichard Barfield, DirectorPRICEWATERHOUSECOOPERSRichard is a Director in the Risk and Capital Advisory team of PwC’s UK Financial Servicespractice. He has broad-ranging consulting experience gained in 20 years with PwC. During2010, he has been a key member of the PwC team that has been working with a group ofUK banks to assess the implications of Basel III and the wider reform agenda. He oftenleads teams consulting at board level and advises financial services clients on how todevelop and strengthen risk management. His recent advisory work includes advice on riskgovernance, risk appetite, stress testing, policy development, and Arrow preparation.Previously he led the design and delivery of training to FSA banking supervisors on Pillar 2SREP, and has advised financial institutions and other supervisors on SREP and ICAAP.Richard has held senior line management positions for example through secondment asFinance Director to Barclaycard, while at Coopers & Lybrand.

The Ri$kMinds 2010 Chief Risk Officer Showcase

11.40

Risk Strategy & Infrastructure: Aligning Business Strategy, RiskStrategy And Risk Infrastructure Beat Hodel, CRORAIFFEISENDr Hodel has been in his current role as Chief Risk Officer and member of the expandedmanagement board of the Raiffeisen Group since June 2005. Prior to this, Dr Hodel was aPartner and Member of the Management Board of COMIT Group (2004-2005), ManagingPartner of ABOVO Management Consulting & Services (2002 – 2004) and Senior Partner atErnst & Young (1999 – 2002).

12.15

Risk Management Post Crisis: How Will Methods & ModelsChange To Represent The New Normal?Nasir Ahmad, CRO, BANQUE CANTONALE VAUDOISEPrior to his current role, Nasir was the lead partner for Quantitative Advisory Services forEMEIA and Head of Financial Services Risk Management for the Middle East at Ernst &Young based in Dubai. He has 15 years of risk management experience including 5 yearsas a quant at a large Canadian bank in Toronto. Nasir has a PhD in Mathematics and aMasters degree in Theoretical Physics from the Swiss Federal Institute of Technology inLausanne Switzerland.

12.50

Middle East Risk Management: Risk Management In Dubai, GCC,Middle East• Our key challenges • The differences … our risk management approach• Going forward … back to the futureJamal Saleh, CRO, COMMERCIAL BANK OF DUBAIJamal Saleh is PRMIA's Regional Director for the United Arab Emirates Chapter. He is anArab-American banker with 21 years of banking experience (10 in New York and 11 in theUAE) in Risk Management, Credit, Corporate Banking, Private Banking, and AssetManagement. Jamal is presently heads Risk Management at Commercial Bank of Dubai(UAE) where he is responsible for Credit Risk (Wholesale and Retail), Market Risk, andOperational Risk, as well as IT-Governance, Risk, and Compliance (GRC), overall CorporateGovernance, and Implementation of Basel II.

13.25 Lunch

14.30

The New Agenda For Risk Management: Do We Need To ReinventThe Entire Risk Management Process?Petri Viertio, CROPOHJOLAPetri is Chief Risk Officer at Pohjola Bank Plc which is a leading financial services group inFinland and Baltics focusing in corporate banking, treasury and trading operations, assetmanagement and P&C insurance activities. His main reponsibility is to lead the riskmanagement activities at the group, but as a member of the executive management teamhe also participates to all strategic activities of the group.

Living Wills Working Group15.05

Living Wills I: How Do You Address Bank Inter-Connectivity InRecovery & Resolution Plans? Addressing The Challenges OfUnwinding Complex Trading PortfoliosJohn Whittaker, Group Head Of Operational RiskBARCLAYS CAPITALJohn Whittaker has been in his current role for the past six years. In total he has been withthe Barclays group for 22 years. His original background is in finance, where he has heldnumerous positions covering both financial and product control. His experience includesfour years working in each of Japan and Hong Kong. He acted as the country chiefoperations officer in Hong Kong and ran operational risk at Barclays Capital before movinginto his group role.

15.40

Living Wills II: Whose Responsibility Is The Recovery & ResolutionPlan & What Should The Plan Entail?Duncan McNab, PartnerPRICEWATERHOUSECOOPERSAs Partner in the Banking and Capital Markets division of PricewaterhouseCoopers Duncanhas over 20 years’ experience of proving audit and advisory services to banks. Duncan hasprincipally worked with their wholesale and investment banking clients including; JPMorgan, Barclays Capital, Commerzbank/Dresdner, ABN Amro and BNP Paribas Fortis.Duncan is now focussing a substantial amount of time on Recovery and ResolutionPlanning. He is assisting a large US bank in drafting its recovery plan and has a developingnetwork of contacts within the banks and regulators who are grappling with this issue.Duncan was a member of the PwC management team at Lehman (LBIE) for 14 monthswith visibility of all the different aspects of the administration. At Lehman he has liveexperience of the most complex bank resolution that has been undertaken.

16.15


16.45

OTC Derivatives: Determining The Impact Of DerivativesLegislation On The Cost & Efficiency Of Risk Management & OnInter Bank LiquidityAhmet Yetis, Director, BARCLAYS CAPITALAhmet is the regulatory and Basel II strategist at Barclays Capital in New York. He advisesclients on regulatory developments and capital management. Prior to joining Barclays,Ahmet spent three years in Japan advising Asian banks on capital management. Ahmet isan engineer and holds an MBA degree from Carnegie Mellon University.

17.20

Impact Of Basel III On Banks: Understanding The Implications OfCalibration And Interaction With RegulatorsHarry Stordel, Head Of Regulatory Coordination, Policies and Controls, CREDIT SUISSEHarry heads the Regulatory Coordination, Policies and Controls team in the CRODepartment of Credit Suisse AG. Prior to this role he was responsible for the credit riskmodel validation and risk reporting team, and held various other positions in riskmanagement, controlling and economic research at Credit Suisse. Harry holds a PhD ininternational economics from the University of Geneva.

17.55

Impact Of Basel III Q And A• Harry Stordel, Head Of Regulatory Coordination,

Policies & Controls, CREDIT SUISSE(see biographical details previously)

• Mattia Rattaggi, Managing Director, Head Of GroupSupervisory Relations, UBS(see biographical details previously)

• Christian Lajoie, Co-Head Of Group Prudential & Public Affairs, BNP PARIBAS (see biographical details previously)

The 2010 Citi Masterclass11.40 - 12.15

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 perspectivesEvan Picoult, Managing Director, Risk Architecture, CITI & Adjunct ProfessorCOLUMBIA BUSINESS SCHOOLEvan Picoult is a Managing Director within Citi’s Risk Architecture Department as well as anAdjunct Professor in the Decision, Risk and Operations Department of Columbia University’sBusiness School. Over the last few years he has focused on firm-wide projects regardingBasel II, stress testing and the enhancement of the measurement, implementation and use ofEconomic Capital. Evan joined Citibank in 1980 in systems development, transferred to atrading desk in 1986 and has worked in internal risk management since 1988. He has led thedevelopment of the methods used at Citi for measuring market risk and counterparty creditrisk. He is a frequent lecturer on risk topics at professional conferences, regulatoryconferences and at universities and has published a number of articles on risk topics.

12.50

Delivering The Risk Enabled And Capital Efficient EnterpriseBanks have long desired, and regulators encouraged, an optimal endstate in which financial and operational decisions are risk informed,capital optimized and aligned with organizational risk appetite. Thechallenge has been how to justify and quantify the value of thisutopian finance integrated, risk enabled enterprise. In this sessionIBM will present best practices and approaches for measuring returnon investment gained from a case-based study of major banksworldwide and analysis of academic/industry research.Laurence Trigwell, Worldwide FSS Executive & Euroepan Industry Leader, Business Analytics, IBMLaurence Trigwell is the worldwide Financial Services Executive in the newly created BusinessAnalytics division, incorporating Business Intelligence, Information Applications, FinancialPerformance Management and Advanced Analytics. In this capacity he is responsible fordeveloping and executing IBM Business Analytics Financial Services solution strategy andheavily engaged in IBM's broader Financial Services solution, development and sales execution.Accordingly Laurence works with financial services customers, industry bodies, thought leadersand partners worldwide to understand their insight, analytics and performance objectives,challenges and approaches. As a result he has written and contributed to research articles,whitepapers and books in the areas of improved risk decisioning; sustainable profitabilitystrategies; and increased operational efficiency. He has worked with banks worldwide helpingto determine how risk insight can be exploited to drive increased alignment, agility and capitalefficiency. Laurence has more than 25 years financial services experience determining howtechnology capability can be exploited for business benefit working in all major FS sectors inboth client and supplier organizations.

12.50 – 13.25

Closing Remarks & Structured Q And A

13.25 Lunch

14.30

Forward Thinking For Scenario Analysis Effectively EmbeddingPlausible Economic Scenarios Into Bank-Wide Stress TestsPaul Shotton, Deputy Head Of Portfolio Risk Control And Head Of Group Risk Methodology, UBSIn his current role, Paul is responsible for oversight of all risk taken in UBS's InvestmentBank, Wealth Management and Asset Management businesses, and the Corporate Center.Prior to joining UBS, Paul was Global Head of Market Risk Management at LehmanBrothers in New York, and before that he was Head of Market Risk for Europe, Africa &Middle East at JP Morgan, Chase & Co. in London. Before becoming a risk manager, Paulwas a trader, principally in fixed income products, for nine years, beginning his tradingcareer at Goldman Sachs in London. Before turning his attention to financial markets, Paulwas a physicist at the European Centre for Nuclear Physics Research (CERN), in Geneva,Switzerland, having completed his Bachelor's, Master's and PhD in physics at BalliolCollege, University of Oxford.

STREAM D:Successful Risk & Capital Modelling In Volatile Times

Stream C:Strategic & Regulatory Risk Management In

The New World Order



DAY 2&315.05

Scenario Modelling: The Advantages Of Managing Risk WithScenariosHubert BrogniezManaging DirectorFINALYSEHubert is in charge of strategy and international development of the group Finalyse, aEuropean leader consultancy specialized in implementing valuation, risk and performancesolutions for the financial community. Hubert has a proven experience in designing riskmanagement systems for banks and asset managers. He particularly focuses hisattention on data and process management related to all kind of risks: Market, ALM,Liquidity, Credit, Operational. Hubert has frequent contacts with risk managers atdifferent levels in the organisation and in different countries. Hubert brings a transversalapproach of an experienced generalist. He is convinced that managing risks throughscenarios is a major help to creating a risk culture inside a company.

15.40

Are We At The Bottom Of The Roller Coaster Ride And TheLending Boom Is Starting Again? Lessons Learnt And How ToSet Sensible Risk Appetite In Retail Credit RiskUttiyo Dasgupta

Head Of AnalyticsHSBC UK & EUROPEUttiyo joined HSBC Group in May 2004 to set up the Group’s Corporate Analyticsfunction, thereafter he has worked in the UK & European Region in retail risk. Uttiyospent 18 years with Standard Chartered prior to joining HSBC. His last role was headingStandard Chartered’s Economic Capital and Portfolio Management modelling functionbased in London. Uttiyo has worked in a wide range of roles, which includes setting up aJapanese Yen swap desk in Dubai, new Consumer Finance businesses in Thailand, Taiwanand the Philippines. He was the Regional Head of the Retail business in India, GroupHead of Retail Credit Audit, Manager Corporate Banking and Trade Finance.

16.15


16.45

Economic Capital Post-Crisis: Evaluating The Key Issues &Challenges Around Economic Capital & Assessing Its RelevanceIn Bank Business• How did the Economic Capital metrics perform throughout

the crisis? • Is it still a relevant risk metric to manage banking

businesses? • What risks are not captured by the Economic Capital

metrics? • How to complement it in order to have a safe and sound

Risk Management frameworkJean-Bernard CaenRisk Analytics Senior AdviserDEXIASince September 2002, Jean-Bernard Caen has conceived and implemented theEconomic Capital framework at DEXIA Group. Before joining DEXIA, Jean-Bernard wasCEO of the consulting firm Finance & Technology Management (FTM), which he foundedin 1990 with 5 partners. FTM was active in the areas of Risk Management, CapitalAllocation and ALM. In this role, Jean-Bernard Caen directed numerous assignments forbanks and financial institutions, notably in France.

17.20

Topic to be confirmedShahram ElghanayanManaging DirectorSUNGARD

17.55

Stress Testing Economic Capital For Risk Appetite Design &Capital Planning Framework: Broadening Stress Tests To AchieveA Group Level Risk Appetite Validation FigureSebastian Fritz-MorgenthalGlobal Head Of Group Risk ManagementHSH NORDBANKSebastan Fritz joined HSH Nordbank as Global Head Of Group Risk Management in May2010. Prior to this, he worked at the Frankfurt School of Finance & Management workingon topics such as Risk Management, Renewable Energy Finance and Institution Building.From January 2006 until December 2007, Sebastian was Global Head of Operational RiskManagement at Deutsche Bank. Prior to that, he worked as Head of Market RiskManagement and was adivisional risk board member at WestLB. From 1997 to 2004,Sebastian worked in various areas of Deutsche Bank’s Risk organisation, where he builtthe Risk Analytics & Instruments group and was an integral part of the Economic Capitaland Basel 2 programme.

Chaired ByDavid Stréliski, Regional Director, Member of the Global Board of DirectorsPRMIADavid Stréliski has been involved with PRMIA (Professional RiskManagers' International Association) since July 2002 as member ofthe Global Board of Directors (ongoing) and Regional Director ofMontreal chapter (until summer of 2010). He is now also part of

PRMIA Geneva Steering Committee. Mr. Stréliski is Partner in charge of the FinancialRisk Management practice of Deloitte in Geneva, where he manages a team ofquantitative finance and risk management experts to provide advisory services tofinancial institutions, corporations and commodity and energy traders. He has more than15 years of experience in the development of risk management and reporting systems, inpromulgation of sound treasury and risk management practices and in quantitativemodeling.

11.40

Q & A Off The RecordJulie Dickson, Superintendent, OSFI(see biographical details previously)

12.15

GUEST LECTURE 1:Financial Crises In Long Term PerspectivesForrest Capie, Professor Of Economic HistoryCITY UNIVERSITYAfter working as an accountant for Ford Motor Company and as a civil servant in theDepartment of Trade and Industry in New Zealand, Professor Capie read economics andeconomic history at the University of Auckland and the London School of Economics.Amongst many books, he has written 'Depression and Protectionism' and was co-authorof 'The Inter-War British Economy'. He has also written papers on monetary and tradehistory and was editor of The Economic History Review from 1992-1999.

13.25 Lunch

14.30

Implementing Risk Appetite: Overcoming The Challenges OfImplementing A Risk Appetite Framework Across Your InstitutionOlivier Irisson, Deputy CROBPCEOlivier joined BPCE in June 2010. Prior to his new role, he was the head of the 'Global RiskMeasurement' department in charge of transversal risk analytics and portfolio analysis, stresstestings and capital measures at group level for credit, market and operational risks. Olivierjoined SG in 2002 and held several positions in quantitative risk modeling before leading theglobal Rating and Capital modeling unit from 2006 to 2009. Before this, Olivier was amanager in the Financial Risk Management practice of PricewaterhouseCoopers and workedfor BNPP personal finance. Olivier holds a Doctorate from the University of Paris Dauphineand has taught finance and risk management at HEC and Ecole Centrale.

15.05

GUEST LECTURE 2:Credit Ratings And SecuritizationJohn HullMaple Financial Professor Of Derivatives & Risk ManagementUNIVERSITY OF TORONTO(see biographical details previously)

16.15


16.45

GUEST LECTURE 3:How NASA Manages Their Risks

Jeevan PereraRisk ManagerNASA SPACE CENTREDr. Jeevan Perera works at NASA, Johnson Space Center in Houston,Texas. He has been the risk manager for several key manned spaceprograms including the International Space Station, Orion Spacecraft andothers. Orion was NASA's proposed new spacecraft to replace the SpaceShuttle service to the International Space Station, then return astronauts to

the moon and eventually mount expeditions to Mars. In his technical capacity within Orion, heshared associated responsibility for the day-to-day management of the Orion Project's businessand project planning roles including overall management and assessment of project budgets,procurement, contracts and assessment functions (including risk management), configurationmanagement, information technology, schedules, and the development of management plans andprocesses. Formerly as the Risk Manager, International Space Station, Johnson Space Center, andthen Orion Project Risk Manager, he designed, developed, implemented and improved theagency's risk management processes through a phased, systematic approach setting the standardfor NASA’s risk practice. Prior to his work in risk management, he has worked in different technicalfields in support of many NASA programs and projects.

17.20

GUEST LECTURE 4:Perceptions Of Risk: Communicating Risks And DeeperUncertainties In Words, Numbers & Pictures• Perception of risk can be influenced in predictable directions

by the choice of words, form of numbers, and choice ofpictures

• Multiple presentations can be used, including comparatorsand interactive animations, to encourage realisticunderstanding

• 'Deeper' uncertainties, in the face of explicit and implicitignorance, can be acknowledged

• New examples of being 'upfront about uncertainty' will bediscussed, from statins to swine flu, climate change tovolcanic ash

David SpiegelhalterWinton Professor For The Public UnderstandingOf Risk, Department Of MathematicsCAMBRIDGE UNIVERSITYDavid Spiegelhalter’s background is in medical statistics, particularlythe use of Bayesian methods in clinical trials, health technologyassessment and drug safety. He led the statistical team in theBristol Royal Infirmary Inquiry and also gave evidence to the

Shipman Inquiry. In his new post he leads a team which is attempting to improve the wayin which the quantitative aspects of risk and uncertainty are discussed in society. He wasawarded an OBE in 2006 for services to medical statistics.

18.30 – 19.15

Champagne Roundtable DiscussionsNetwork with other like-minded professionals & join one of thebelow champagne roundtables. Pre-registration is advised – signup at the conference registration desk on the day• PIT vs TTC:

Scott Aguais, Head Of Credit Portfolio Analytics, RBS• Managing Risks In NASA:

Jeevan Perera, Risk Manager, NASA SPACE CENTRE• Financial Resource Management:

Thorsten Kanzler, Group TreasurerCOMMERZBANK

• Expert Judgement & Models: Klaus Boecker, Senior Risk Controller, UNICREDIT GROUP

• Reputational Risk - Strategies For Rebuilding AndSustaining Reputation: Leo JohnsonPartnerPRICEWATERHOUSECOOPERSLeo Johnson is a Partner of PricewaterhouseCoopers' Sustainability and Climate Changeteam, and Co-Founder of Sustainable Finance Ltd., advisors since 2004 to over 50international financial institutions around the risks and opportunities of sustainability, andis now a part of PricewaterhouseCoopers. On behalf of Sustainable Finance, Leo hasworked since 2003 on the rollout of the Equator Principles, an industry standard forenvironmental and social due diligence, that has grown from an initial four to sixty banks,representing over 90% of cross-border project finance. In 2004, Leo was awarded theIFC Corporate Award for his work in this area. In 2006, Leo worked with the FinancialTimes and IFC to establish the Financial Times Sustainable Banking Awards, an industryfor international banks, asset managers, and private equity groups. He served as aJudge for the inaugural awards and has acted on behalf of Sustainable Finance asTechnical Advisor to the FT for the Awards since their inception.

18.30 – 19.30

Cocktail Reception Kindly Sponsored By

19.30 End Of Day 2 Main Conference


08.45

Chairman’s Opening AddressChaired By: Charles RichardSenior Vice President, QRMMr. Richard is a Senior Vice President of Quantitative RiskManagement. Mr. Richard has over 25 years of experience in the fieldof enterprise risk management, balance sheet management, creditrisk management and regulatory capital management. During histenure at QRM, Mr. Richard has consulted with hundreds of financialinstitutions worldwide and helped QRM build an international client

base that now lists over 250 long term engagements.

09.00


Determining The New Blueprint For Financial Engineering:Sophisticated Complex Models Vs Crude Robust Risk Measures:Is There Room For Both Strategies In The Post-Sub-Prime World?Greg Hopper, Managing Director, GOLDMAN SACHSGreg Hopper is a Managing Director at Goldman Sachs, responsible for the quantitative analyticsgroup within the Credit Department. Greg Hopper's responsibilities include quantitative credit riskmethodology and strategy, quantitative hedge fund risk management, and regulatory policy. Gregholds a Ph.D. in Economics from the University of Virginia. Greg has been with Goldman Sachs since2004. Before coming to Goldman he was an executive director at Morgan Stanley and a senioreconomist with the Federal Reserve Bank of Philadelphia.

Paul ShottonDeputy Head of Portfolio Risk Control and Head of Group Risk MethodologyUBS(see biographical details previously)

Riccardo RebonatoGlobal Head Of Corporate Markets, Head Of Quantitative Research, Global Banking,RBS(see biographical details previously)

Evan Picoult, Managing Director, Risk Architecture, CITI & Adjunct Professor,COLUMBIA BUSINESS SCHOOL(see biographical details previously)

09.45

Getting Back On Top Recovering And Learning From A Reputational Disaster• If I can come back then anyone can• You can never predict the futureTake Home Insights From The Ri$kMinds Disaster Guru: LearnHow To Overcome Adversity & Rebuild Yourself & Your BusinessWith This ‘Real Life’ Case Study From A Top Business Executive

Gerald RatnerFounderRATNER ONLINEGerald had transformed his family business into the world’s largestjewellery retailer with 2500 shops, when a casual joke he had toldmany times before hit the papers. He became a laughing stock andwas forced to step down. Now back on top with a thriving onlineoperation, he talks candidly about the rollercoaster journey and thevaluable lessons learned.

10.30 Morning Coffee

STREAM E:Cutting Edge Insights From The Ri$kMinds Thought Leaders

Day 2&3 Main Conference: Wednesday 8 Thursday 9 December 2010


"This Is The Best Risk ManagementConference In The World"

Eduardo Canabarro, Global Head Of Quantitative AnalysisMorgan Stanley


DAY3



Chaired By: Gilles DemeulenaereVice PresidentQRMMr. Demeulenaere is a Vice President of QRM and has been responsible for QRM'sEuropean Marketing since 1998. Prior to joining QRM, Mr. Demeulenaere served MarineMidland Bank and Société Générale in New York, for 16 years, in various capacities with afocus on structured finance. Mr. Demeulenaere holds an MA degree in Economics fromDauphine University, Paris and a BA degree in Economics from Assas University, Paris.

11.00

Liquidity Risk Management:Liquidity Regulation 2.0 - Impact On The Financial Industry• Change of regulatory environment during the crisis • Impact of the new regulation on the financial industry Andreas HeiseDirector, Head Of Liquidity Risk ManagementDEUTSCHE BANKAndreas C. Heise joined Deutsche Bank in 1994. After several assignments in PrivateBanking and Global Markets, he transferred into Treasury in 2001. Since then he has coveredseveral areas in Liquidity Risk Management with regional and global responsibilities. At themoment Andreas C. Heise is the Head of Liquidity Risk Management focusing onregulation and regulatory interaction. Andreas holds a degree in business administrationfrom the Business School of Finance and Management in Frankfurt.

11.35

“Water, Water Everywhere…”A Unitary Approach To Managing Liquidity To Generate LiquidityAt RiskSamuel Taylor Coleridge was spot on with his assessment in “TheRime of the Ancient Mariner.” Just because it is all around youdoes not necessarily imply that it is fit for consumption; liquiditytoo, whilst seemingly all around us, may not be readily available.

This presentation seeks to highlight an approach that:• Uses both contractual and behavioural cash flows to assess

the amount of liquidity at risk, taking into consideration theimpact of counterparty creditworthiness

• Showcases computations relating to the pricing of suchliquidity, and the incorporation of counterbalancing in adynamic framework for assessing forecast liquidity

• Seeks to use a VAR-like framework so that for any date inthe future (tn), a liquidity at risk value for a given confidencelevel can be obtained

Suresh SankaranVice President & Director Of Strategic ConsultingFISERVSuresh Sankaran is Vice President and Director of Strategic Consulting within the Risk &Compliance division of Fiserv. He develops and provides enterprise risk management andBasel II advisory consulting services to Fiserv clients worldwide. A former banker withABN AMRO and Hong Kong & Shanghai Banking Corporation, Sankaran also is a featuredspeaker for the Financial Stability Institute of the Bank for International Settlements and aprolific global presenter and published author.

12.10

Liquidity Risk: A Balance Sheet Risk Management Approach• Enterprise vs Balance Sheet Risk Management• Integrating ALM, Market, Liquidity and Credit risk – A

pragmatic approach• Exploring the interdependency among sustainable growth,

risk, returns and value creation in financial institutions• Integrated Management Reporting: top down vs bottom up

approachDr. Mario Onorato, Senior Director, Balance Sheet RiskManagement Solutions, ALGORITHMICS UK & Honorary Senior Lecturer, Faculty of ManagementCASS BUSINESS SCHOOL, CITY UNIVERSITY, LONDONMario Onorato is the Senior Director of Balance Sheet Risk Management Solutions atAlgorithmics. He is charged with the development of ALM, Liquidity Risk, IAS, FTP, andshareholder value creation solutions for financial institutions and corporates. Prior to joiningAlgorithmics, Mario was Head of Strategic Consulting at Misys Banking Systems, ScientificConsultant at KPMG, and Corporate Finance Senior Consultant at Sanwa Bank. Mario hasheld a number of academic positions in The Netherlands and UK, is author of several booksand research papers, and is Honorary Senior Lecturer, Faculty of Management, CassBusiness School, City University, London. He holds a PhD in Finance.

12.45 Lunch

14.00

Balance Sheet Structuring: Balance Sheet Structuring In A Funding Constrained World• The funding crunch-where is the market now?• Balance sheet structure - the last two years• Regulatory reform and impact on industry and economy• Prospects and outlookMartyn Hoccom, Head of Strategy, Group TreasuryRBSMartyn Hoccom has held his current position since September 2008. He was previouslyat Lloyds TSB working in the wholesale division with a focus on funding, liquidity andproduct pricing. Martyn has worked in a number of Asset Liability Management roles inmajor UK banks covering interest rate, liquidity and treasury management issues.

14.35

Liquidity Risk ManagementBetter Including Liquidity Risk In The Overall Risk ManagementFramework• Lessons from the crisis: liquidity risk has to be tackled for

itself and also in relation to other risks• Risk management and appropriate internal governance are

key for an efficient liquidity risk mitigation• Knowledge of liquidity risk profile and use of stress tests for

a tailored approach rather than standardised tools • Liquidity risk awareness and internal pricing: for a liquidity

risk culture within an institutionDominique Laboureix, Director Of Policy & Research, Prudential Control Authority, BANQUE DE FRANCE & Chairman,Liquidity Working Group, CEBSMr Dominique Laboureix, 46, is currently Director of the Policy and Research departmentof the Prudential Control Authority (Autorité de Contrôle Prudentiel – ACP). He is deeplyinvolved in the evolution of the prudential framework through his participation in a numberof working groups at the European level or at the Basel Committee level. He chairs theCEBS Liquidity Task Force, which issued several reports in 2008 and 2009 about liquidityrisk management and supervision.

15.10

Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition15.40

Liquidity Risk Regulation & Stress Testing: Liquidity RiskRegulation, Reporting & The Role Of Stress TestingStefan Schmitz, Economist, OENBStefan joined Oesterreichische Nationalbank (OeNB) in 2003 where he covers themacroprudential analysis of liquidity risk, payment systems, and funded pension products.Publications include: "Why Central Banks Should Look At Liquidity Risk", Central BankingVol. XVII No. 4, (with A.Ittner); Institutional Change in the Payments System and MonetaryPolicy, Routledge, London, 2006 (co-edited with Geoffrey E. Wood); Carl Menger and theEvolution of Payment Systems: From Barter to Electronic Money, Edward Elgar,Cheltenham, 2002 (co-edited with M. Latzer).

16.15

Transfer Pricing: Integrating Liquidity Costs & Steering BankBusiness & Performance Management According To Transfer Pricing• Conceptional principles of fund transfer pricing framework• Pricing components & pricing applications• Liquidity management and steering impact of fund transfer

prices on business • Outlook: Impact of future regulationsArno Kratky, Head Of Liquidity Risk, COMMERZBANKArno works in Group Treasury heading the team Liquidity Analytics. He is deals withconceptional enhancements of the liquidity management framework such as fund transferpricing systems, stress testing and liquidity contingency planning. After he graduating inindustrial engineering, he joined Dresdner Bank in 1994 on the trading desk for interest ratederivatives. He pursued a career in different roles in finance and risk management and spent 5years in London responsible for market, credit and liquidity risk. After the merger ofCommerzbank and Dresdner Bank he became a member of the Treasury Management Teamin Group Treasury of Commerzbank.

11.00

Wrong Way Risk, Stress Testing, Alpha & The CVA How Can Banks Adopt Counterparty Management Strategies ToSuccessfully Incorporate Regulatory Change?Greg Hopper, Managing Director, GOLDMAN SACHS(see biographical details previously)

11.35

Calibrating Counterparty Credit Exposure Models ThroughStressed Periods Examining The Conceptual Foundation And Potential Impact OnMinimum Capital Requirements • Motivation for stressed calibration put forward by the Basel

Committee• Asymptotic single risk factor framework and general wrong-

way risk• Does stressed calibration capture general wrong-way risk? • Is stressed calibration an adequate tool to reduce

procyclicality?• Does exposure with stressed parameters reflect exposure

during a crisis?• Potential impact of stressed calibration on minimum capital

requirementsMichael Pykhtin, Senior EconomistTHE FEDERAL RESERVE BOARDMichael Pykhtin is a Senior Economist in the Quantitative Risk Management Section atthe Federal Reserve Board. He is responsible for carrying out policy analysis andindependent research related to financial markets, risk management and regulation offinancial institutions. Prior to joining the FRB in 2009, Michael had had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael hasedited “Counterparty Credit Risk Modelling”, published by Risk Books in 2005. He is alsoa contributing author to several recent edited collections. Michael has extensivelypublished in the leading industry journals. He is an Associate Editor of the Journal ofCredit Risk. Michael holds a Ph.D. degree in Physics from the University of Pennsylvania.

12.10

CVA Risk Management & VaREduardo Canabarro, Managing Director, Head Of Credit & Market Quantitative Risk, MORGAN STANLEYEduardo is responsible for the development of the methods and models used to measuremarket and credit risks as well as for the independent review and validation of pricing andrisk models used by the bank. Prior to his current position, Eduardo was with LehmanBrothers for three years as Managing Director and Global Head of Quantitative RiskManagement. He was responsible for all quantitative risk functions in the Risk Managementorganization including market, credit and operational risk analytics, model validation, risktechnology and regulatory interface related to the implementation of the quantitativeframeworks. Eduardo has also worked for Goldman Sachs and Salomon Brothers inQuantitative Research, Modelling and Risk Management.

12.45 Lunch

14.00

A Practical Guide For Turning Your Pricing Infrastructure Into ACVA InfrastructureAlexander Sokol

NUMERIX

14.35

Re-Thinking Valuation: Towards A Comprehensive ScenarioFramework For Valuing Credit Instruments In Illiquid MarketsDan RosenVisiting FellowTHE FIELDS INSTITUTE$ FORRESEARCH IN MATHEMATICAL SCIENCES & President,R2 FINANCIAL TECHNOLOGIES(see biographical details previously)

15.10

Afternoon Tea & Opportunity To Visit The Ri$kMinds Exhibition15.40

Forward Looking Capital Provisioning & Expected LossProvisioning: How Are New Capital Buffer Standards Impact Availability & UseOf Tier 1 Capital?Evan Sekeris, Assistant Vice President, Bank Supervision and Regulation DepartmentFEDERAL RESERVE BOARD OF RICHMONDEvan Sekeris is a member of the Supervision and Regulation Department focusing on theinternal risk modeling and capital allocation at large banking organizations. His currentresearch interests are in asset pricing with particular emphasis on the role of informationon the cross section of assets and in operational risk.

16.15

Exploring Boundaries Of Credit Risk Models:Stress Testing & ConservatismChristian DuesterbergHead Of Internal Model ValidationRBSChristian heads the independent model validation function for credit risk models in RBS,with emphasis on Basel II IRB and provisioning models. Prior to joining RBS in 2009, heworked in several roles at Deutsche Bank with emphasis on credit risk modeldevelopment in wholesale credit portfolios, including structured finance, and on Basel IIcompliance.

11.00

Building A Common Framework For Credit & Market Risk:Developing A Comparable Cross-Silo Comparable MeasurePieter KlaassenManaging Director & Head Of Firm-Wide Risk AggregationUBSBefore joining UBS, Peter worked at ABN AMRO N.V. as Head of Enterprise RiskModelling, and at Rabobank International as Head of Exotic Options. He also held a part-time appointment at Vrije Universiteit in Amsterdam, and has (co-) authored variousarticles on asset-liability management, option valuation, and credit risk modeling. Pieterholds a Ph.D. degree in Operations Research from the MIT Sloan School of Management,and a Masters degree in Econometrics from Erasmus University. He is co-author of thebook: "Economic Capital: How it works, and what every manager needs to know”.

11.35

Stress Testing Credit Portfolios: The Role Of Sovereign Risk For Scenario Development• How to translate some risk events into stressed scenarios• From scenario development to credit and portfolio risk• Case Study: Implementing a macro scenario in line with a

sovereign eventJuan LicariDirectorMOODY’S ANALYTICSJuan M. Licari is a Director at Moody’s Analytics Head of the Credit Analytics team forEurope, the Middle East, and Africa. Dr. Licari’s team provides consulting support to majorindustry players, builds econometric tools to model credit phenomena, and implementsseveral stress-testing platforms to quantify portfolio risk exposure. His team is an industryleader in developing and implementing credit solutions that explicitly connect credit data tothe underlying economic cycle, allowing portfolio managers to plan for alternativemacroeconomic scenarios. Juan is actively involved in communicating the team’s researchand methodologies to the market. He often speaks at credit events and economicconferences worldwide. Dr. Licari holds a PhD and an MA in economics from the Universityof Pennsylvania and graduated summa cum laude from the National University of Cordobain Argentina.

12.10

Tell Me What You Know That You Don't Know: Maximum Entropy & Information For Stress Testing Purposes• The need for approximate probabilistic statements in stress

testing• How to move from easy to difficult probabilities• What cognitive psychology can teach us: elicitation of expert

advice• The most honest way to assign probabilities: maximum

entropy• Self-correcting properties of maximum entropyRiccardo RebonatoGlobal Head Of Corporate Markets, Head Of Quantitative Research, Global BankingRBS(see biographical details previously)

STREAM CStrategic & Regulatory Risk Management In

The New World Order

STREAM ANew Approaches To Measuring & Managing Liquidity Risk

STREAM BInnovations In Credit & Counterparty Risk Modelling

14Tel: +44 (0)20 7017 7200 Fax:+44(0)20 7017 7807 Email: [email protected]

For latest programme or to register please visit: www.icbi-riskminds.com

"A Great Conference: Top Speakers, New Insights & A Full House - Even In The Midst Of These Turbulent Times!"Andreas Gottschling, Global Head Of Risk Analytics & Instruments

And Operational Risk Management, Deutsche Bank


12.45 Lunch

14.00

Model Risk & Model Control:Incorporating Liquidity Fluctuations Into Model Risk AssessmentsPierpaolo MontanaDirector, Head Of Model ValidationWESTLBPierpaolo has been in his current role since July 2008. He has a proven track record inchange management and the introduction of new function within organisations withextensive experience in both the world of academia and banking. Previous positions heldinclude those at Banca d’Italia and The University Of The Sorbonne.

14.35

PD Ratings FrameworkImplementing A Dual PD Ratings Framework Using Internal PD ModelsScott AguaisHead Of Credit Portfolio AnalyticsRBS(see biographical details previously)

15.10


15.40

Future Of Securitisation DebateIs This The Renaissance For Structured Credit & Securitisation?What Is The Future For CLOs, CDOs & Mortgage BackedSecurities?Alexander BatchvarovMD, International Structured Credit ResearchMERRILL LYNCHDr. Alexander Batchvarov is the Co-Head of Global Structured Finance Research at MerrillLynch and also has served as Merrill Lynch’s Head of International Structured FinanceResearch since 1998. Based in London, New York, Tokyo and Hong Kong, the researchteam provides research on residential and commercial mortgages and consumer credit,securitization and structured finance, portfolio credit derivatives, cash and syntheticcollateralized structures, Islamic Finance, property derivatives in both the developed andemerging markets of Asia, Europe, North and South America, Middle East and Africa. Dr.Batchvarov’s team has been consistently highly ranked in all major investor surveys in thetop three categories of investor surveys since 1998.

Allan YarishPartnerCHANNEL CAPITAL ADVISORSAllan Yarish joined London-based Channel Capital Advisors or “Channel” as a partner in late2008 to head up its fund management activities relating to investments in bank loanregulatory capital transactions. Mr Yarish previously served as Managing Director and Headof Credit Portfolio Management at Societe Generale in Paris and New York from 2002 to2008. In this role, he contributed substantially to development of strategy and theexecution of credit portfolio management solutions, managing over €50 billion in hedgingpositions. Before SG, Mr Yarish worked at the Royal Bank of Canada “RBC” and RBCCapital Markets from 1984 to 2002.

Claas BeckerDirector, Loan Exposure Management GroupDEUTSCHE BANKClaas Becker works as a Director for the Loan Exposure Management Group of DeutscheBank AG in Frankfurt. The Loan Exposure Management Group actively manages thebank’s credit risk. He started his professional career in the risk controlling department ofCommerzbank. Since 1998, he has been working for Deutsche Bank AG in the areas ofcredit risk modelling, loan pricing, and securitization.

11.00

Second Generation Operational Risk Modelling:Cutting Edge Operational Risk Management• Tackling LDA limitations• Improving risk capital estimation• Providing greater transparency of risk driversRobin PhilipsManaging Director, Corporate Operational RiskJP MORGANRobin is responsible for the firm’s operational risk framework, including compliance withBasel II regulation. Mr. Phillips is Vice-Chair of the ORX Association.

11.35

Op Risk Under Basel III: The Value Of Operational Risk Management In the NewRegulatory Environment• Summary recent regulatory changes in the US and Europe• Basel III• The G20 agenda• The value of the operational risk framework in

- Managing regulatory risks: old, new and evolving- Managing legal risk

Philippa GirlingChief Of Staff Of Operational RiskMORGAN STANLEYPhilippa has 15 years’ experience in the global securities industry, working in the fields ofoperational risk, change management and project management. Ms. Girling has alsodesigned and led many training programs, including an Operational Risk ExecutiveEducation program for Columbia University, NYC. She was selected as one of the topfifty faces of operational risk by Operational Risk and Compliance magazine. Previously,she headed the Banking and Financial Services practice at the law firm Garrity, Graham,Murphy, Garofalo and Flinn, P.C. Prior to that she was Global Co-Head of Operational RiskManagement at Nomura. Before joining Nomura, Ms. Girling spent nearly 10 years atMorgan Stanley in several roles including program director of the Operational Riskfunction and COO of the Global Financial Control Group.

12.10

Operational Risk Management: Is It Time To Build Out The ‘M’ In ORM?• What can (must) ORM learn from other risk disciplines?• Is it measurement vs. management, or measurement for

management?• Who are the operational risk managers?• What is the return on ORM?Jay Newberry, Managing Director, Operational Risk Management, CITIJay Newberry is a Managing Director in Global Operational Risk Management withresponsibility across Citi for Operational Risk Policy, Framework, and Core Processes. Theframework supports objectives to manage the operational risks and ongoing exposuresthat arise from the development and delivery of products and services to clients. Jay’sprior experience at Citi includes leadership positions in developing and executing creditrisk analytics and loan portfolio management tools.

14.00

Post-Crisis ERM Strategies: Repositioning ERM In The Post-CrisisEnvironmentNancy Loucks, EVP, Enterprise Risk ManagementSTATE STREETState Street’s Enterprise Risk Management’s programs are designed to identify, assess,measure, manage, control, and report on State Street’s risk exposures globally. Ms. Loucks’recent activities have focused on risk management governance and program evolution in thewake of recent market events. Ms. Loucks serves on a number of corporate risk managementcommittees at State Street as well as a number of affiliate bank boards.

14.35

Domiciling Offshore: The Bermuda Case StudyFawaz Elmalki, Associate, CONYERS DILL & PEARMANFawaz Elmalki is an Associate in the Dubai office of Conyers Dill & Pearman who specialisesin investment funds, in particular private equity funds, real estate funds, infrastructure fundsand hedge funds including Shari’a compliant funds. Fawaz represents funds and theirsponsors in connection with their formation and also represents institutional investors in suchfunds. He also has broad experience in corporate finance and corporate law matters includingoffshore structuring of Islamic finance products such as sukuk. Fawaz previously worked as in-house counsel for a large Canadian pension fund manager and for Clifford Chance in London.He also spent four years in the Bermuda office of Conyers Dill & Pearman.


15.40

PANEL SESSIONIntegration Of Operational Risk With Controls And Compliance

Moderator: Dr. Hans-Peter Güllich, CEOAVANONDr. Güllich holds a Masters Degree in Computer Science Managementfrom the European Business School, Östrich-Winkel, Germany. Hisdoctoral thesis assessed the use of fuzzy-logic decision systems toevaluate and manage credit risk. Dr. Güllich has 16+ years of experiencewith consultancies and financial institutions, making significantcontributions to the development of multiple credit and operational risk

management systems. He is closely involved with the acquisition of strategic projects andmanagement of partnerships. Project Experience includes building a commodity futuresexchange for Swiss commodity trading firm; industry insurance risk assessment system forSwiss insurance firm; integrated Credit Risk Management and Control System; an EarlyWarning System; a behavioural scoring solution to reduce customer risk.

Panellists:Joachim Pfeifer, Divisional Head-Operational RiskCOMMERZBANKJoachim Pfeifer joined Commerzbank in 1989. Since 2002 he has beennamed as Divisional Head - Operational Risk, a division of Group RiskControlling & Capital Management. Prior to that, he had various market-and credit-risk-related functions in the financial industry. In his currentrole he is responsible for the controlling of OpRisk on group-level andembedding OpRisk in the ICAAP as well as maintaining the Group’s

OpRisk framework. Joachim is member of the respective internal committees on group anddivisional level and represents the bank in national and international OpRisk working groups. Heholds a diploma from the faculty of business administration at the University of Mannheim.

Wolfgang Huetter, Head of OpRisk ControlVOLKSBANKWolfgang Huetter started his career in the IT-Business in 1990where he worked several years as a System Operator as well as aHard- and Software technician. He has a good experience inBusiness Process Optimization and Quality Management andmanaged several International Projects and –programs in theVolksbank Group. He is holding an Executive MBA Degree in

Information and Telecommunication Management from Alaska Pacific University as wellas an MSc Degree in Information Security Management from Danube University Krems.He is the Head of Group OpRisk Control in Volksbank AG and is responsible for overallcoordination of Business Continuity and Crisis Management activities.

Deon Tromp, Head of Global Risk StrategySTANDARD BANK Deon Tromp is responsible for ensuring the integration of riskmanagement in Standard Bank’s strategic management process. Hisrole involves the integration of risk assessment into managementdecision-making through the development of risk managementframeworks and the identification, analysis, prioritisation and reportingof emerging risks. This supports the identification and analysis of

significant threats and opportunities which could impact the delivery of the Bank’s financialand strategic objectives. He is also the lead in respect of capital model development inStandard Bank’s AMA Operational Risk project with specific involvement in the developmentof capital modelling, capital allocation, scenario analysis, RCSA quantification and risk appetiterelated to operational risk, methodologies. Deon joined Standard Bank two years ago as Headof Portfolio Risk Methods and Quantitative Analytics, focusing on risk management processesand quantification methodologies. He is a CFA Charterholder and a Certified Financial RiskManager (FRM), and holds degrees in commerce and law from the University of Pretoria. Hismost recent previous experience includes working for Nedbank Ltd as Chief Auditor of riskmanagement and capital markets.

16.15

‘Expert Judgement’ & Risk Models:A Bayesian Approach To Risk Models & Input DataKlaus Boecker, Senior Risk ControllerUNICREDIT GROUPKlaus is Senior Risk Controller in UniCredit Group and team head of “Risk Analytics andMethods”. In this capacity, one of his primary responsibilities is overseeing thequantitative aspects of UniCredit Group’s economic capital model. He is doing researchin various fields of finance and has authored and co-authored several articles that havebeen published in recognized finance and mathematical journals. In 2007 and 2008 hewon the PRMIA Institute’s Award for New Frontiers in Risk Management related to hisresearch in multivariate operational risk and the interaction of market and credit risk.Klaus holds a degree in Theoretical Physics and a PhD in Mathematics from the MunichUniversity of Technology. In August 2007, Mr. Böcker was inducted as a charter memberof the Risk Who’s Who.

11.00

Integration Of Risk Factors In A Liquidity-At-Risk FrameworkThe challenge faced by banks worldwide to meet the new proposedliquidity risk requirements under the forthcoming Basel III regime aswell as evidence in the FSA requirements is significant. Whereaspreviously it was considered sufficiently robust for banks to determinecontractual and behavioural liquidity gap profiles at a product level, andon a point estimate basis, that is no longer the case. Specificallybanks needs to take into account the impact of potential creditdowngrades on both collateral and on counterparties, as well astaking into account the impact on behavior of different customersegments. Furthermore, regulators and enhanced risk managementpractice will demand the assessment by banks of the impact on theirliquidity gap profiles of a range of market stress scenarios. In this 25-minute talk David Buckham, CEO of Monocle Solutions, will outline aliquidity risk measurement framework, based on the liquidity-at-riskprinciple, that will allow banks to measure the impact of a set ofcontinuous integrated risk factor values, on their liquidity gap profiles.Furthermore, this framework will produce, as a natural adjunct to itsresults, the value responses required as part and parcel of therecommended stress scenarios. Additionally, this framework will havethe ability to delineate the contribution made to the liquidity gapprofile of a variety of customer types or segments, as well as todelineate the contribution made to the liquidity gap profile of a varietyof different underlying risk types, including for example prepaymentrisk and credit risk. Finally, it is worth noting that each of the liquiditygap results, for each of the tenors, will produce a distribution ofvalues rather than a single point estimate.

David Buckham, Founder and Chief Executive Officer, MONOCLE SOLUTIONSDavid Buckham is the founder and President of Monocle Solutions, aninternational risk assessment and optimisation company, whichprovides various products and consulting services by way of intellectualproperty. Since the creation of Monocle Solutions, David has worked onnumerous corporate and institutional risk management andperformance management projects, from both a strategic and

quantitative perspective. He has delivered lectures and seminars on credit and market riskprinciples, and delivers training and consulting in areas ranging from credit scoring to structuredfinancial modelling.

GUEST LECTURE 511.35

Stress Testing And Reverse Stress Testing For SolvencyAlexander McNeil, Maxwell Professor Of Mathematics,Department of Actuarial Mathematics & StatisticsHERIOT-WATT UNIVERSITYAlexander McNeil is Maxwell Professor of Mathematics in the Department of ActuarialMathematics and Statistics at Heriot-Watt University. He was formerly Assistant Professor inthe Department of Mathematics at ETH Zurich and has a BSc in mathematics from ImperialCollege, London and a PhD in mathematical statistics from Cambridge University. Hisinterests lie in the development of mathematical and statistical methodology for integratedfinancial risk management and include extreme value theory (EVT), risk theory, financial timeseries analysis and the modelling of correlated risks. He has published papers in leadingstatistics, econometrics, finance and insurance mathematics journals and is a regular speakerat international risk management conferences. He is joint author, together with Rüdiger Freyand Paul Embrechts, of the book "Quantitative Risk Management: Concepts, Techniques andTools", published by Princeton University Press in 2005.

12.45 Lunch

14.00

Capital Management Post-CrisisFernando De La Mora, Principal, PRICEWATERHOUSECOOPERSFernando is an advisory principal working in PricewaterhouseCoopers financial services practicein New York. He has over 15 years of experience conducting enterprise risk management,performance management, strategic planning & analysis, and capital management projects atNorth American and European financial institutions. He leads services in the areas of enterpriserisk management, economic capital, and performance management. He is extremely well-versed in financial services sector trends and key performance and risk drivers underlying theindustry. Most recently, Fernando has served as an advisor to the Board of several major banksand insurance companies with respect to risk governance and capital management mattersrelated to the credit crisis. He has also helped numerous clients in the areas of stress testing,ICAAP and economic capital design, implementation, and validation.

14.35

Pro-Cyclicality: Modelling Credit Cycles, Crises And Market Uncertainty• An alternative framework for modelling credit cycles, crises

and market dynamics • Analyzing the impact of market feedback, credit cycles,

crises and uncertainty on asset values and portfolio losses • Scenario selection for high confidence level losses, stress

testing and what-if analysis • Quantifying the risk of extreme events. From theory to

practice Jorge Sobehart, Managing Director, Credit & Operational Risk Analytics, CITIJorge Sobehart leads the probabilistic assessment of credit risk capital for portfolio riskmanagement, and the development of advanced correlation default risk models. He alsodeveloped the analytical methodology for calculating the institution's loan loss reserves.Previously, he was a member of Moody's Senior Standing Committee on Quantitative Toolsand Vice President/Senior Analyst in Moody's Risk Management Services, where he developedand validated RiskCalc for public firms and Winfast-RiskScore.


15.40

The Ri$kMinds Problem Solving Working GroupsGet Your Questions Answered By The Experts! Make The Most OfYour Time At The conference & Post Your Related Questions ToThe Expert Practitioner Running Each Table:• Credit risk modelling & management• Overcoming Market Risk Challenges• Stress testing under basel III• Capital management


STREAM EThe Ri$kMinds 2010 Guest Lectures In Finance

STREAM DThe Latest Developments In Operational Risk & ERM

DAY3





16


Algorithmics is the world's leading provider of enterprise riskmanagement solutions. Algorithmics’ software, analytics, andadvisory services enable financial institutions to make risk-aware business decisions, maximize shareholder value, andmeet regulatory requirements. Supported by a global team ofrisk experts based in all major financial centers, Algorithmicsoffers proven, award-winning solutions for market, credit,liquidity, and operational risk, as well as collateral and capitalmanagement. Algorithmics is a member of the Fitch Group.

Over the past 10 yearsAvanon AG (Switzerland)built an excellentreputation for itsfunctionally and

technically complete, standard product for extendedOperational Risk Management and Measurement. This isevidenced by long-standing banking and insurancecustomers such as Commerzbank Group, AXA worldwideand many private and retail institutions. The same platformhas also won rapid acceptance in the energy and industrysectors for governance, compliance and ERM tasks. Theversatile, non-prescriptive, multi-lingual, open J2EE solutionand delivery framework enables customers to rapidlyimplement their solutions and see tangible benefit. Ourregional partners deliver specific and pragmatic capability toaccelerate the roll-out of global implementations

The BermudaInternational BusinessAssociation is amembership organization of leading firms servingand working in the international business

community, in one of the world’s preeminent financialcenters. It provides access to world leading fundadministrators, legal and accounting firms, and investmentbanking, insurance and trust service providers.

Harland FinancialSolutions

(www.hfsworldwide.com), supplies software and services tothousands of financial institutions of all sizes, providingcredit risk management solutions and related services tobanks and financial services providers around the world.Thousands of financial institutions trust Harland FinancialSolutions for quality solutions and customer-focused servicethat is dedicated to their needs.

Our flagship solution, CreditQuest®, is an end-to-end creditmanagement system that brings origination, analysis,underwriting, portfolio management and executive reportingtogether in a collaborative, streamlined solution. The systemaddresses workflow management needs for all lines ofbusiness, from high-end corporate borrowers to smallbusinesses to retail. It combines a unified, relationship-centric view of customers’ financial data and supportingdocuments with portfolio management capability.

Kinsey AllenInternational is aglobal executivesearch firmspecialising in the

financial and professional services markets. We provide afull range of executive search and interim solutions fromour offices in the UK, continental Europe, the US, MiddleEast and Asia.

The Risk team focus on senior global mandates from ChiefRisk Officer to Vice President across banking, assetmanagement, insurance, alternative investments andprofessional services. Recent assignments include theHead of Risk for a boutique asset manager and Head ofStress Testing for a major investment bank. Each Consultant covers a specific silo of the Risk marketleading to a deeper level of market knowledge than ourcompetitors.

Kinsey Allen International is currently ranked 8th inExecutive Grapevine’s ‘UK Retained Executive Search FirmsTop 40’.

MEGA is a worldwide leader incomprehensive governance, risk,and compliance solutions, anddedicated to helping companiesunderstand and reduce business

complexity, establish successful governance, and effectivelymanage global risks.

MEGA’s software solutions, complemented by expertconsultants, provide firms with the most importantcompetitive advantages … cost reduction, increased capitalsavings, improved performance, and brand reputation. Inthe GRC industry, only MEGA has nearly 20 years ofexpertise in business process improvement. This providesthe soundest foundation for highly efficient and effectiveGRC solutions for operational and enterprise riskmanagement, internal audit, and compliance management.

Used by more than 75,000 people worldwide, the MEGASuite is modular, providing dedicated tools to helpcoordinate risk, control, compliance, and audit activities andmeet all stakeholders’ needs. The MEGA Suite providesessential insight into a company’s risk profile, andgenerates valuable reports to aid executives in making well-informed and strategic business decisions.

Moody’s Analytics helpscapital markets and creditrisk managementprofessionals worldwide

respond to an evolving marketplace with confidence. Thecompany offers unique tools and best practices formeasuring and managing risk through expertise andexperience in credit analysis, economic research andfinancial risk management. By providing leading-edgesoftware, advisory services, and research, including theproprietary analysis of Moody’s Investors Service, Moody’sAnalytics integrates and customizes its offerings to addressspecific business challenges. Moody's Analytics is a

subsidiary of Moody's Corporation (NYSE: MCO), whichreported revenue of $1.8 billion in 2009, employsapproximately 4,000 people worldwide and maintains apresence in 26 countries.

Additional information about the company is available atwww.moodys.com.

MORS Software LLC offers Uniquely Easy, Cost ReducingRisk Management Solutions

MORS provides• Separately available modules for market, credit and

operational risk• Dynamic reporting (“live” figures, full drill down)• Consolidated reporting for the whole bank (both trading

and banking book)

MORS solves regulatory and management requirements(CEBS, Basel, FSA)• Capital Coverage, Stress testing• Risk measurement, monitoring and mitigation• Control and Governance procedures

MORS reduces costs (minimising TCO of risk managementsolutions)• IT costs (easy implementation, usage and maintenance)• Processing costs (releasing user intelligence from data

gathering)• Capital cost (optimised usage and allocation)

The latest reasons why banks have chosen MORS• “MORS offered the most cost efficient tool for the Basel

Liquidity rules (LCR, NSFR)”• “MORS risk and treasury solution offered immediate and

continuous payback”• “MORS dynamic functionality for group level risk

monitoring was offered at incomparable cost”

www.morssoftware.com

Rich of its 24-year experience incapital markets, Murex hasdeveloped an unmatchedcompetence in the design andimplementation of integratedand cost effective solutionsoffering best-in-class featureshorizontally – across asset

classes - and vertically, from the front office to the backoffice. Murex offers a suite of risk management solutionsfor banks, hedge funds, asset managers, prime brokers,exchanges, corporate treasuries, utilities, oil groups, tradingorganisations and other institutions. The MX.3 platform features:● An enterprise-wide risk management solution, called MX

Risk Manager, providing cutting edge risk managementtools for the management and control of Credit Risk,Market Risk and Liquidity Risk. MX Risk Manager can bedeployed as a standalone risk platform.

● A Compliance & Constraints Server for pre-trade andpost-trade compliance on a wide variety of rule types.

● A Margining & Collateral Management solution, calledMX Collateral Manager providing an enterprise-gradecross-product collateral management and margin tradingsystem.

Co-Sponsors

ABOUT YOUR SPONSORS & EXHIBITORS

Lead SponsorWith our global network of risk management specialists we workwith our clients to provide innovative solutions aimed at helping toembed risk management disciplines into their organisations. Ourbusiness oriented risk advisory approach ensures that we deliversustainable solutions that balance industry best practices with the

individual requirements of our clients. Our focus encompasses the strategic to operational continuum of risk management including businessrisk solutions, risk and finance integration, risk function effectiveness, technical risk solutions and regulation, and assurance.

PricewaterhouseCoopers provides industry-focused assurance, tax, and advisory services to build public trust and enhance value for ourclients and their stakeholders. More than 163,000 people in 151 countries across our network share their thinking, experience, and solutionsto develop fresh perspectives and practical advice.

“PricewaterhouseCoopers” refers to the network of member firms of PricewaterhouseCoopers International Limited, each of which is aseparate and independent legal entity.


16

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RS

Ri$kMinds2010

Exchange

The EssentialMarketplace for

Products and Serviceswithin the Risk

Management Sector.

AN ABSOLUTESELL OUT

ONCE AGAIN IN 2009

70% ALREADY

SOLD FOR 2010!

The Ri$kMinds Exchangeis an unrivalled opportunityto access our large andsenior audience in apractical and productiveway over the course of thethree days of mainconference. By booking abooth you will have theopportunity to access ahighly targetedinternational audience fullof key decision makerswho will use theconference to source newservice providers.

We have a strictly limitednumber of stand spacesand this number isdecreasing daily. You haveno time to lose if you wishto profit from this fantasticaudience.

Co-Sponsors

Exhibitors & Other Supporting Companies

17

Quantitative RiskManagement, with officesin Chicago, London, andSingapore, is the world'sleading enterprise risk

management consulting firm. Since our founding in 1987,QRM's vision has been to consistently provide expertanalytics and risk management advice to financialinstitutions across the globe. Today, we are the trustedfinancial risk consultancy of industry-leading organizations,with a track record of success under any economiccircumstance or event. We have extended our provenmethods to an international base, including clients on 6continents and in over 30 countries. QRM's client listnumbers over 150 financial institutions worldwide,including 9 of the top 10 US banking companies.

QRM’s Risk Framework™ combines the advice of aconsulting firm, knowledge of a financial research firm,and models developed with the expertise of aninformation technology company, to create acomprehensive foundation upon which a financialinstitution can build an enterprise risk managementpractice that includes market and credit risk as well aseconomic and regulatory capital.

QuIC provides theworld’s leadingfinancialorganisations withenterprise risk

management solutions that are fast, flexible and moreeasily implemented. QuIC operates at the higheststandards of the most challenging financial markets inthe world and designs solutions for calculating,analysing and minimising risk. We understand that riskmanagement teams and processes are being pushedto their limits. Our clients are demanding more of oursolutions, and in return we demand more of our teams,ourselves and our performance – this is the essence ofDEMAND MORE.

With the advanced vectorised technology of the QuICEngine™, our solutions perform highly complex, large-scale calculations at unparalleled speed with unmatchedaccuracy. From intraday portfolio analysis to rapidimplementation of new models and financialinstruments, our technology allows you to stay ahead of

the market. We offer a broad range of solutions includingMarket Risk, Counterparty Credit Risk, CVA, IRC andStress Testing.

Risk Dynamics’mission is to deliverrisk managementconsulting to theglobal financial

services industry through expertise, excellence andinnovation.

Our market leadership lies in assessing the adequacy,reliability, consistency and transparency of riskmanagement practices.

Specifically, we perform audits of risk managementframeworks, ICAAP and ORSA as to ensureconsistency around key domains such as risk appetite,risk profile, risk control & environment and stresstesting. We validate models in banking, insurance andasset management industries. We also offer bespoketraining and coaching to regulators, seniormanagement and firms requiring global deployment ofrisk policies and strategies.Our engagements cover the whole spectrum of risks(credit, market, underwriting, operational, ALM but alsostrategic, reputational and liquidity risks).

• We work in small teams of highly skilled expertsoperating with a time-boxing and value-add approach.

• Our methodologies are continuously updated throughsustained dialogue with regulators, permanentexamination of market best practices, and dedicatedresearch.

• Our practices and services are customized accordingto the uniqueness of each client's environment andstrategy.

Risk Dynamics caters to its customers whatever thesize, geographical location or regulatory environment.

www.riskdynamicsglobal.com

SAS is the leader in businessanalytics software and services,and the largest independentvendor in the businessintelligence market. Through

innovative solutions delivered within an integratedframework, SAS helps customers at more than 45,000sites improve performance and deliver value by makingbetter decisions faster.

SAS approaches governance, risk, compliance andperformance management by providing a powerfulblend of data integration, analytics and reportingcapabilities (Business Analytics Framework) foranalyzing and managing risks in the context ofcorporate strategy and performance. Since 1976 SAShas been giving customers around the world THEPOWER TO KNOW®.

2009 SAS Institute Inc. All rights reserved.

Refreshment Sponsor

Monocle Solutions is a risk assessment andoptimisation company that assists financial institutionsin strategically transforming their organisations towardsa risk sensitive culture, and provides consultingservices internationally by way of intellectual property.Monocle Solutions provides unique services bycombining its quantitative expertise with strategicinsight, and detailed knowledge of data systems.

Monocle is an established provider of services relatedto the risk management process as it pertains tocapital measurement and management, encompassingbroader strategic processes such as data governanceand data management, as well the development ofunderlying risk module models. Monocle assistsfinancial institutions with capital adequacy, regulatoryreporting, and compliance.

Contact Rustum Bharuchaon +44-20-7017-7225 [email protected]

for more details of the opportunities available or to

reserve your space now!

www.openpages.com www.rsu-rating.com

www.d-fine.co.uk


£200 Discount

DATES

1st Delegate: Name

Job title Department

Direct Tel Mobile Tel

Email Address Direct FaxI would like to receive information on future events & services via email. By giving you my email address I am giving ONLY IIR companiesthe permission to contact me by email.

❑ Yes! I would like to receive info on future events & services via fax

SignatureHd of Dept: Name



Email Address Direct Fax

Booking Contact: Name




Person who will attend if I have to cancel: Name




2nd Delegate: Name




I would like to receive information on future events & services via email. By giving you my emailaddress I am giving ONLY IIR companies the permission to contact me by email.


Signature

3rd Delegate: Name




I would like to receive information on future events & services via email. By giving you my emailaddress I am giving ONLY IIR companies the permission to contact me by email.


Signature

YOUR COMPANY DETAILS

Company Name: Nature of Company’s business:

Address:

Postcode:

VENUE DETAILSHotel President Wilson47 Quai WilsonCH-1211 Geneva 21SwitzerlandTel: +41 22 906 66 66Fax: +41 22 906 66 [email protected]

Download hotel booking form at www.icbi-riskminds.com

Please do not cover VIP code

Conference Code: KN2255 • Main Conference 7-9 December 2010

• Global Risk Regulation Summit 6 December 2010

• John Hull Risk Workshop 6 December 2010

• Credit Risk & Counterparty RiskManagement Workshop 10 December 2010

• Riccardo Rebonato Coherent Stress Testing Workshop 10 December 2010

• Liquidity Risk Management Workshop 10 December 2010

All discounts are subject to approval. Discounts cannot be combined. The discounts apply to the price at the date of registration. Discounts can only be claimed at the time of registration.* Savings include Multiple Booking and Early Booking discounts * Please note the conference fee does not include travel or hotel accommodation costs

I will pay by:� Cheque/bankers draft made payable to ICBI for £...............................................� Invoice to be sent to my company� Bank transfer - full details of bank transfer options will be given with your invoice on registration.

Please use this form as our request for payment. Fax and phone bookings should be made with a credit card number, or followed up by a posted registration form. Places are only guaranteed by full payment, which must be received before the conference.

Please debit my Mastercard Visa Eurocard American Express

Card Number

Expiry Date / with the sum of £

Signature

3 digit security code on thereverse of card, 4 digits forAMEX card

CVV Number

CANCELLATION POLICYCANCELLATION POLICY: Should you be unable to attend, a substitute delegate is always welcome at no extra charge.Alternatively, we will make a prompt refund less a service charge of 10% of the fee for cancellations received in writing(letter or facsimile) no later than 5 November 2010. Where notice is given between this date and 19 November 2010,refunds will be 50% of the fee, thereafter we regret that no refunds can be made.

PERSONAL DATAThe personal information shown on this form, and/or provided by you, will be held on a database and may be shared with other companies in the InformaGroup in the UK and internationally. If you do not wish your details to be available to other companies in the Informa Group please contact the DatabaseManager at the above address, Tel +44 (0)20 7017 7077, Fax +44 (0)20 7017 7828 or email: [email protected]. Occasionally your details may beobtained from, or made available to, external companies who wish to communicate with you offers related to your business activities. If you do not wish to receive these offers, please tick the boxIncorrect Mailing: If you are receiving multiple mailings or you would like us to change any details or remove your name from our database, please contactthe Database Manager at the above address, Tel +44 (0)20 7017 7077, Fax +44 (0)20 7017 7828 or email: [email protected] - quoting the referencenumber printed on the mailing label.

Additional Requirements. Please notify ICBI at least one month before the conference date if you have anyadditional requirements e.g. wheelchair access, large print etc.

Please Select Your Early Bird Package DATESRegister By10 Sept 2010 SAVE Register By

1 October 2010 SAVE Register By5 Nov 2010 SAVE Register After

5 Nov 2010 SAVE5-DAY PACKAGE Main Conference + Global RiskRegulation Summit + Post-Conference Workshop*

6-10 Dec 2010 £4,097 £1,500 £4,597 £1,000 £4,797 £800 £4,897 £700

5-DAY PACKAGE Main Conference + John Hull RiskWorkshop + Post-Conference Workshop*

6-10 Dec 2010 £3,897 £1,100 £4,397 £600 £4,597 £400 £4,697 £300

4-DAY PACKAGE Main Conference + Global RiskRegulation Summit

6-9 Dec 2010 £3,398 £1,200 £3,798 £800 £3,998 £600 £4,098 £5004-DAY PACKAGE Main Conference + John Hull Risk Workshop

6-9 Dec 2010 £3,198 £800 £3,598 £400 £3,798 £200 £3,898 £100

4-DAY PACKAGE: Main Conference + Post-Conference Workshop*

7-10 Dec 2010 £3,198 £800 £3,598 £400 £3,798 £200 £3,898 £100

3-DAY PACKAGE Main Conference Only 7-9 Dec 2010 £2,399 £600 £2,699 £300 £2,899 £100 £2,999 -1-DAY PACKAGE Global Risk Regulation Summit Only 6 Dec 2010 £1,499 £100 £1,599 - £1,599 - £1,599 -1-DAY PACKAGE John Hull Risk Workshop 6 Dec 2010 £899 £100 £999 - £999 - £999 -

1-DAY PACKAGE Post-Conference Workshop Only* 10 Dec 2010 £899 £100 £999 - £999 - £999 -

* Please select one of the following post-conference workshops: 10 Dec 2010 � Credit Risk & Counterparty Risk Management � Riccardo Rebonato Coherent Stress Testing Workshop � Liquidity Risk Management Workshop

Register Now – Five Easy Ways!1. Fax this form on +44 (0) 20 7017 7807 2. Post this form to: RiskMinds 2010 Conference Administrator,ICBI, 8th Floor, 29 Bressenden Place London SW1E 5DR, UK 3. Telephone us on +44 (0) 20 7017 7200 4. Email: [email protected] 5. Via the website: www.icbi-riskminds.com Always quote your VIP CODE when registering.

“The Risk Minds Conference Is Far & Away The Best

Risk Conference Around”Scott Aguais, RBS

Multi-booking Discount: If you register more than 2 delegates, the 3rd and each subsequently registered delegate will receive £200 the fee for any packages that include the main conference.*

RiskMINDS REG 2010:Risk Minds 07 24/11/10 11:38 Page 1

RiskMinds 2010 Brochure

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