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NEW
LAUNCH
EVENT
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BOOK BY
20 FEBRUARY
AND SAVE UP
TO £250!
15-16 April,
London
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New for 2015: Risk
management challenges and
tools for the buy-side community
High profile speaker line-up includes:
Elena Ambrosiadou,
CEO, IKOS
Ben Tibbalds, Head of Financial
Risk, MAN GROUP
Henrik Westergård,
CRO, AP2
Mark Versey, Director of Client
Solutions, AVIVA INVESTORS
Marwan Moubachir, CRO,
COMAC Capital
Antonello Russo, Director – Risk
Management, BLACKROCK
Christopher Gibson, CRO,
RBR CAPITAL
Jan De Spiegeleer, Head of
Risk Management, JABRE
CAPITAL PARTNERS
Paolo Zaffaroni, Professor
of Econometrics, Head of
Finance Department, IMPERIAL
COLLEGE
Aurèle Storno, Head of Asset
Allocation, LOMBARD ODIER
INVESTMENT MANAGERS
Registration
E: [email protected]
T: 0207 316 9176
W: buysiderisk.com
Follow us: @ RiskConfs
Wyn Francis, Deputy CIO,
BT PENSION SCHEME
MANAGEMENT
Ragveer Brar, Manager
- Valuation & Controls,
PRUDENTIAL REGULATION
AUTHORITY
Sponsorship
Ewa Rosol
T: 0207 316 9681
E: [email protected]
POST
CONFERENCE
WORKSHOP:
MULTI-ASSET
RISK BASED
PORTFOLIOS
15-16 April, London
buysiderisk.com
A SEPARATELY BOOKABLE
WORKSHOP LED BY
INDUSTRY EXPERTS:
Welcome
MULTI-ASSET RISK
BASED PORTFOLIOS
AM, 16 April
Managing risk exposure continues to be crucial for the
buy-side community. Risk has developed Buy-side Risk
with this in mind – designed with industry professionals,
the conference will cover the most pertinent risk issues
the industry currently faces.
Elena Ambrosiadou, chief executive officer and founding
partner of IKOS, will open the conference with her
candid views on global risk management. Ambrosiadou
will discuss geo-political issues and market risk, tail risk
and volatility, as well as risk modelling. The Prudential
Regulation Authority will present its view on valuation
risk and illiquid assets, while leading European pension
funds consider interest and inflation risk within assetliability management. In addition, chief risk officers from
leading European asset managers and pension funds
address their key concerns in a roundtable discussion.
Finally, the post-conference workshop will examine the
complexities of multi-asset risk.
With much to discuss during this pivotal time for the
buy-side industry, I look forward to welcoming you to the
conference in April.
Yours faithfully,
Duncan Wood
Editor
Risk
Led by: LOMBARD ODIER
INVESTMENT MANAGERS
Registration
Natasha Witter
E: [email protected]
T: 0207 316 9176
W: buysiderisk.com
BOOK BY
20 FEBRUARY
AND SAVE UP
TO £250!
15-16 April, London
buysiderisk.com
Why attend?
Hear speakers from leading asset
managers, hedge funds, pension and
insurance companies including AP2, Aviva
Investors, Man Group and RBR Capital
Hear from Ragveer Brar of the PRA
address the risks of valuing illiquid assets
The keynote speaker Elena Ambrosiadou
will discuss key global risk issues
including; the world economic
environment, geo-political risk and US
policy changes and the implications for
Europe
Who should attend?
This event will be of value to any
practitioner wishing to stay at the cutting
edge of financial risk management and
robust portfolio management. It will be
of particular relevance to those business
leaders working in the following business
areas:
Asset & Investment Management
Hedge Fund Management
Life & Pension Provision
Institutional Investment
Leading pension funds from across
Europe, including BT Pension Fund will
debate managing interest rate and inflation
risk within ALM
The post conference workshop, hosted
by Lombard Odier Investment Managers,
will equip you with best practices and
expertise in managing multi-asset
investment risk
The two streams allow you to tailor the
conference to your specific learning needs
Ample opportunities to network
throughout the day’s networking breaks
and post conference drinks reception
Registration
Sponsorship
Natasha Witter
E: [email protected]
T: 0207 316 9176
W: buysiderisk.com
Ewa Rosol
E: [email protected]
T: +44 (0)20 7316 9681
15-16 April, London
buysiderisk.com
08:00
Registration and refreshments
08:50
Welcoming remarks from Risk
09:00
Chair’s opening address
09:10
KEYNOTE ADDRESS: GLOBAL RISK MANAGEMENT: THE VIEW OF THE
HEDGE FUND CEO
The hedge fund perspective – what does the hedge fund CEO think about risk
How buy-side risk management has evolved after the crisis and where it is now
Market regime risk
– geo-political issues and market risk
– the economic environment including the European recession and China’s hard landing
– the outlook and the associated risks and impact on current and future investments
US policy reversal and what it means for the European industry
What and where is the next crisis?
Elena Ambrosiadou, CEO, IKOS
09:50
CRO ROUNDTABLE: LESSONS FROM THE BOARD: MARKET
CHALLENGES AND MANAGING THEM FROM WITHIN
The risks associated with consolidation in the hedge fund markets – a risk on innovation and
performance?
Assessing and managing the new risk profile of the banking sector and its consequential impact
on returns for the industry
Managing multi asset risk - the CROs perspective
Which risk indicators are the most relevant for you
Establishing the risk culture in your firm
How to engage portfolio managers in the risk management programme
Moderator: Laurence Wormald, COO and Head of Research, APT, SUNGARD
Marwan Moubachir, CRO, COMAC Capital
Christopher Gibson, CRO, RBR CAPITAL
Henrik Westergård, CRO, AP2
10.30
Morning refreshment break
BOOK BY
20 FEBRUARY
AND SAVE UP
TO £250!
15-16 April, London
buysiderisk.com
11:00
HEDGING AGAINST TAIL RISK BEFORE VOLATILITY RETURNS
How do you measure tail risk and how to protect portfolios?
– do you prefer CVAR, TE, Maximum Drawdown, Omega or other parameters?
Tail risk and tail risk hedging
– how does your investment strategy look in a deep recession?
– remaining capitalised
Paolo Zaffaroni, Professor of Econometrics, Head of Finance Department, IMPERIAL
COLLEGE
11:40
HOW REGULATION IS AFFECTING BUY-SIDE RISK MANAGEMENT: AIFMD
The risk in distribution - what is going to be allowed and what is not?
The new requirements, hedge fund marketing in Europe and the risks and consequences for
investors
Speaker to be confirmed please visit buysiderisk.com for further updates
12.20
RISK MODELS AND ECONOMIC CAPITAL CALCULATION
Operational risk capital calculation model and where to get the input parameters from
Other risk models: Counterparty, fund performance, defined benefit pension liability and market
risk
Aggregation of risks: in theory and in practice
Ben Tibbalds, Head of Financial Risk, MAN GROUP
13:00
Lunch and opportunity to network
14:00
STREAM 1
STREAM 2
14:00
HEDGE FUNDS RISK:
TRANSPARENCY, CORRELATION
AND AGGREGATION
PANEL DISCUSSION: INVESTING
IN NEW ASSET CLASSES AND
ADAPTING TO A NEW EXPOSURE
TO RISK
The risk of mitigating transparency
Risk aggregation and how it works in an
overall portfolio
The equity markets and current hedge fund
correlation risk
Francois-Régis Bocqueraz, Global Head
of Manager Selection and Due Diligence,
AMUNDI ASSET MANAGEMENT
Pricing and liquidity risk associated with
investing in infrastructure
Assessing the main risks in investing in small
and mid-cap sized companies
Direct real estate lending – establishing and
mitigating the risks
Mark Versey, Director of Client Solutions,
AVIVA INVESTORS
Erik Vynckier, CIO, ALLIANCE
BERNSTEIN
Further panellists to be confirmed please visit
buysiderisk.com for further updates
15-16 April, London
buysiderisk.com
14:40
INDEX PRODUCTS RISK
IDIOSYNCRASIES
Investment, counterparty, operational risk
considerations
Risk and performance analysis: Stochastic
and non-stochastic factors
Replication vs optimisation/sampling
Risk “health-check”: liquidity, capacity and
transaction costs and their trade off with the
1Tracking Error
Recent evolutions: Increased sophistication
and its unintended consequences: “thematic”
products and “hard” markets
FIXED INCOME, CONTINGENT
CONVERTIBLES (COCOS) AND
BASEL III
CoCos and Basel capital requirements and
impact on the institutional investor community
With an increase of issuance from banks,
what are the true risks associated with these
instruments?
Jan De Spiegeleer, Head of Risk
Management, JABRE CAPITAL PARTNERS
Antonello Russo, Director – Risk
Management, BLACKROCK
15:20
Afternoon refreshment break
15:50
VALUATION RISK AND REGULATORY PRUDENT VALUATION
Valuation controls
The risks of valuing illiquid assets – valuation risk
The impact on capital resources of a misstated valuation
Ragveer Brar, Manager - Valuation & Controls, PRUDENTIAL REGULATION
AUTHORITY
16:30
PANEL DISCUSSION: MANAGING INTEREST RATE RISK AND INFLATION
RISK WITHIN ALM
Pension funds from across Europe will highlight their different approaches to ALM and these specific
risks
Wyn Francis, Deputy CIO, BT PENSION SCHEME MANAGEMENT
Sumit Mehta, Senior Investment Manager, LEGAL AND GENERAL
Further panellists to be confirmed please visit buysiderisk.com for further updates
17:10
Chair’s closing remarks
17:20
Close of conference and drinks reception
15-16 April, London
buysiderisk.com
Post-conference workshop:
MULTI-ASSET RISK BASED PORTFOLIOS
16 April 2015
Workshop Leaders:
REMEMBER:
THE WORKSHOP
IS SEPARATELY
BOOKABLE!
Aurele Storno, Head of Asset Allocation, Portfolio Manager,
LOMBARD ODIER INVESTMENT MANAGERS
Thierry Michel, Portfolio Manager, LOMBARD ODIER INVESTMENT MANAGERS
Sui Kai Wong, Portfolio Manager, LOMBARD ODIER INVESTMENT MANAGERS
Workshop Introduction:
The workshop will cover several aspects of Multi-asset risk based portfolios, including
generalities and some specific topics such as “correlations under stress” and the choice
of “new risk factors”. Three representatives of LOIM will share their expertise in this field,
applied to their Pension Fund since 2009 and then deployed across several strategies. The
workshop is intended to cover this broad topic by highlighting key principles and major
challenges in the definition of risk model components, the choice of risk factors and the
monitoring of such portfolios.
Workshop Agenda:
General principles and literature review
Comparison of characteristics and risks of various strategies
Focus on correlation risk
Focus on the choice of risk factors
Areas of research and future challenges
08.30
Registration and refreshments
09:00
Welcome and start of workshop
11:00
Refreshment break
12.30
Close of workshop
BOOK BY
20 FEBRUARY
AND SAVE UP
TO £250!
15-16 April, London
buysiderisk.com
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