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	Day One: Tuesday 6 June 2006 \| View Day One At-A-Glance
8.00	Registration and coffee
8.30	Welcome address: Nick Sawyer, Editor, RISK MAGAZINE
8.35	KEYNOTE Keynote address: ‘One small step for a man’ – pension funds and risk control • Low inflation and healthy living • Investing to meet liabilities • Replacing the equity risk premium Lindsay Tomlinson, Vice Chairman, Europe, BARCLAYS GLOBAL INVESTORS

9.15	Panel discussion: Identifying the winning strategies for short, medium and long term growth – the CROs’ perspective Moderator: Nick Sawyer, Editor, RISK MAGAZINE Colin Church, Chief Risk Officer, CIB Risk Management, EMEA, CITIGROUP Richard Evans, Chief Risk Officer (Market Risk), DEUTSCHE BANK PK Satish, Chief Risk Officer, DKR CAPITAL Tom Wilson, General Manager, CIRM and Chief Insurance Risk Officer, ING GROUP Kenneth Winston, Global Chief Risk Officer, MORGAN STANLEY INVESTMENT MANAGEMENT
10.05	Morning break and opportunity to visit the exhibition

Click to go directly to a stream:
Stream 1: INNOVATIONS IN DERIVATIVES DEALING: Optimising the trading process
Stream 2: THE LANDSCAPE FOR INSTITUTIONAL INVESTORS& CORPORATE RISK MANAGERS
Stream 3: BUSINESS PERFORMANCE STRATEGIC RISK MANAGEMENT
Stream 4: QUANTITATIVE ANALYSIS: THE CUTTING EDGE IN FINANCIAL ENGINEERING: Pricing, modelling and structuring techniques
Stream 5: INSURANCE RISK: SOLVENCY II IN PRACTICE

	STREAM ONE: INNOVATIONS IN DERIVATIVES DEALING: Optimising the trading process Stream Sponsored by:	STREAM TWO: THE LANDSCAPE FOR INSTITUTIONAL INVESTORS & CORPORATE RISK MANAGERS
10.30	Chairman’s opening remarks Marcello Minenna, Enforcement Officer, CONSOB	Chairman’s opening remarks Geoff Taylor, Director of Risk Management, NIKE EMEA

10.40	Masterclass: Risk management of model risk in the trading book? Kanwardeep Ahluwalia, Senior Managing Director, Global Risk Management, BEAR STEARNS	Panel discussion: The latest developments and techniques for corporate investors • Risk management in a corporate governance framework • Credit derivatives and asset based lending • Inflation pricing and hedging David Adams, Group Treasurer, ARLA FOODS UK PLC Terry Leitch, Director, BOEING CAPITAL Jarvis Seaman, Senior Consultant, PHILIPS ELECTRONICS Moderator: Matthew Crabbe, Managing Director, INCISIVE MEDIA

11.20	Masterclass: Linking the banking and trading book REUTERS	CORPORATES Masterclass: Non-financial risk assessment • How do you evaluate and respond to risks that do not have predictable patterns? • How does a corporate prioritise non- Financial risk when the risk cannot be given an absolute value? Geoff Taylor, Director of Risk Management, NIKE EMEA

12.00	Masterclass: Implementing affine jump diffusion models at the trading desk • Financial analytics • Fourier transform derivation • Empirical comparison with previous derivation • Dynamic hedging and Greeks Marcello Minenna, Enforcement Officer, CONSOB	Investment products Panel discussion: Opportunities in secondary CDOs and tips for avoiding the pitfalls in CDO dealings • How to spot and avoid mis priced products • Regulatory differences between the UK and continental Europe • What steps should you take if you have been mis sold a CDO • Structuring and substitution issues in managed synthetic CDOs • Scrutinizing the documentation Moderator: Nick Sawyer, Editor, RISK MAGAZINE TJ Lim, Founding Partner, NEWSMITH CAPITAL PARTNERS Dario Loiacono, Senior Partner, LOIACONO E ASSOCIATI Oussama Nasr, Managing Director, DNA TRAINING & CONSULTING
12.10	PLENARY Plenary address: From risk taker to risk treasurer • How to connect risk to value • The necessity of convergence Jörg Hashagen, Managing Partner, Global Head of Risk Advisory, Financial Sector, KPMG
13.10	Lunch and opportunity to visit the exhibition
14.40	Masterclass: Recent developments on pricing of swaptions • Latest theoretical innovations in swaption pricing • Some empirical results on swaption pricing • A simple replication of long-dated swaptions Ali Hirsa, Head of Analytical Trading Strategy, CASPIAN CAPITAL MANAGEMENT	Case study: Challenges in managing the risks of long-dated insurance options • Markets for long-dated options • Ways to replicate the option risks • Comparison of strategies Stephen Stone, Vice President, AIG RETIREMENT SERVICES

15.20	FX Masterclass: Active FX hedging • Introduction to FX modelling • FX models – some examples - high frequency trading - trend - option selling - the art of model combination Jessica James, Director, CITIGROUP	Panel discussion: Inflation-linked bonds– Investing in inflation as an LDI strategy • UK DMO’s 50yr inflation linked gilts • Is there sufficient demand from pension funds for 50yr inflation linked bonds? • Indexation Moderator: Nick Sawyer, Editor, RISK MAGAZINE Con Keating, Principal, FINANCE DEVELOPMENT CENTRE Arnaud Mares, Head of Policy, UK DMO André Sanchez, Head of Inflation Trading, IXIS CORPORATE AND INVESTMENT BANK
16.00	Afternoon break and opportunity to visit the exhibition
16.30	Masterclass: A new approach to the data management of complex derivatives • How the complexity of derivatives data and calculators can lead to extensive data management issues • How, if not addressed, these issues can limit competitiveness, increase costs and damage reputation • Why a truly flexible architecture for derivatives data management is required, and how Xenomorph and DSTi have addressed this need Brian Sentance, XENOMORPH Speaker Sponsor:	Masterclass: Bad risks and good risks – the use of a managed account platform Alain Dubois, Chairman of the Board, LYXOR AM
17.10	PLENARY Plenary address: Investing in mortgages for the long run • Investing with a vision - the GSE mission, the homeowner and the housing market • A fresh look at mortgage risk - unifying credit and interest rate risk • Risk managing Freddie Mac's mortgage portfolio exposure • Mortgage portfolios and systemic risk Patricia Cook, Executive Vice President, Investments and Capital Markets, FREDDIE MAC

17.50	GUEST SPEAKER Special guest speaker: Betting on the future: Online gambling goes mainstream financial • You call it a derivative, they call it insurance, I call it a bet • How financial institutions could make more use of betting markets • Can you really make money betting on sports? Sam Dibb, Director, CERTAIN RISK MANAGEMENT
18.20	Cocktail reception sponsored by:
19.30	End of day one
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	STREAM THREE: BUSINESS PERFORMANCE STRATEGIC RISK MANAGEMENT	STREAM FOUR: QUANTITATIVE ANALYSIS: THE CUTTING EDGE IN FINANCIAL ENGINEERING: Pricing, modelling and structuring techniques
10.30	Chairman’s opening remarks Dr Stephen Christie, Global Managing Director, Financial Services, Finance and Performance Management, ACCENTURE	Chairman’s opening remarks Daniel Sommer, Partner, KPMG

10.40	MIFID Masterclass and panel discussion: Untangling the MiFID knot: What do you need to know? What are the strategies that the CROs and Senior Risk Managers need to employ? • Best execution • Conduct of business changes • Systematic internationalism PJ Di Giammarino, Co-Chair, THE EUROPEAN MIFID JOINT WORKING GROUP Simon Morris, Partner, CMS CAMERON MCKENNA Lindsay Tomlinson, Vice Chairman, Europe, BARCLAYS GLOBAL INVETSORS Robert Nieves, KPMG Further panellists to be confirmed	Masterclass: Developments in the synthetic CDO market – pricing and structuring • Arbitrage-free parametrisation of the loss surface with forward transition rates • Making forward transition rates dynamic • Forward starting CDOs • Super senior leveraged CDOs • Short buckets in CDOs • Synthetic loans securitisation Philipp Schönbucher, Assistant Professor for Quantitative Methods of Risk Management, Department of Mathematics, ETH ZÜRICH

11.20	EXTENDED SESSION	CORRELATION Masterclass: Matching the correlation skew for tranche pricing • Gaussian copula and base correlation • Implying the perfect copula • Valuing CDOs and CDO squared • Bespoke tranching • Calculating Greeks John Hull, Professor of Finance, Director, Faculty of Management, UNIVERSITY OF TORONTO
12.00	Masterclass: Economic overview of risks that could impact the global markets • After solid economic growth in the last few years, what are the current, key characteristics of the global economy? • A look into the major risks, facing the economy and risks associated with reliance on the fast growing emerging market economies led by China • What industry sectors are likely to be hardest hit from any global economic dislocation? Trevor Williams, Chief Economist, LLOYDS TSB FINANCIAL MARKETS	EXTENDED SESSION
12.40	PLENARY Plenary address: From risk taker to risk treasurer • How to connect risk to value • The necessity of convergence Jörg Hashagen, Managing Partner, Global Head of Risk Advisory, Financial Sector, KPMG
13.10	Lunch and opportunity to visit the exhibition
14.40	Masterclass: Shareholder value and growth • Establishing a holistic view of the risks taken • Determining your risk attribution • Benefits of a governance system • Linking strategy to execution • Aligning shareholder objectives with operating plans • Lessons from other industries Herman Heyns, European Lead, Enterprise Performance Management, Finance and Performance Management, ACCENTURE	Masterclass: Gaussian-copula consistent modelling of forward starting CDOs • Modelling term structure of correlation versus modelling correlation skew • The investment rationale for forward starting CDOs • Extending the Gaussian copula Peter Jaeckel, Global Head of Credit, Hybrid, Commodity and Inflation Derivative Analytics, ABN AMRO

15.20	Case study: Strategic risk management at ENEL Cesare Chiabrera, Head Financial Planning and Risk Management, ENEL SPA Alessandro Canta, Head of Treasury and Capital Markets, ENEL SPA	Masterclass: Risk managing a synthetic CDO • Looking at all the greeks for CDOs • Extreme risk measures David Le Page, Senior Quantitative Analyst, BARCLAYS CAPITAL Co-presenter: Jon Gregory, Global Head of Credit Derivatives Research, BARCLAYS CAPITAL
16.00	Afternoon break and opportunity to visit the exhibition
16.30	Operational risk beyond Basel: In search for organisational resilience and value add Daniel Gordon, Manager, Risk & Regulatory Management, ACCENTURE	Masterclass: Pricing exotic energy and commodity options in a multi-factor jump-diffusion model • Introduction to the model and its rationale • A class of exotic options with semianalytical solutions • Crack spread options • Options on futures curve spreads John Crosby, Global Head of Quantitative Analytics and Research, LLOYDS TSB FINANCIAL MARKETS
17.10	PLENARY Plenary address: Investing in mortgages for the long run • Investing with a vision - the GSE mission, the homeowner and the housing market • A fresh look at mortgage risk - unifying credit and interest rate risk • Risk managing Freddie Mac's mortgage portfolio exposure • Mortgage portfolios and systemic risk Patricia Cook, Executive Vice President, Investments and Capital Markets, FREDDIE MAC

17.50	GUEST SPEAKER Special guest speaker: Betting on the future: Online gambling goes mainstream financial • You call it a derivative, they call it insurance, I call it a bet • How financial institutions could make more use of betting markets • Can you really make money betting on sports? Sam Dibb, Director, CERTAIN RISK MANAGEMENT
18.20	Cocktail reception sponsored by:
19.30	End of day one
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	STREAM FIVE: INSURANCE RISK: SOLVENCY II IN PRACTICE Stream Sponsored by:
10.30	Chairman’s opening remarks Jane Leach, Partner, KPMG
10.40	KEYNOTE Keynote address: Challenges of embedding risk management into an insurance organisation John Hele, Deputy CFO, ING GROUP
11.20	Internal models Panel discussion: Effect of Solvency II on modelling and risk management approaches • Will regulation or industry drive modelling approaches? David Hare, Senior Actuarial Manager, STANDARD LIFE, UK Patrick Peugeot, Chairman, AISAM, Chairman, LA MONDIALE PARTENAIRE Rob Curtis, Head of Prudential Standards, FINANCIAL SERVICES AUTHORITY Moderator: Giovanni Gentile, Head of Solvency Projects, SWISS RE - session at 15.20 remove the 'further panellists' bit and insert

12.00	Masterclass: Extracting practical value from stochastic models • Goals and objectives of an internal model • Extracting strategic value from internal models • Case study: Merits of a well-tested economic capital model • Case study: The role of CDOs in a portfolio context Halvor Hoddevik, Head of Risk Advisory DANSKE BANK
12.40	PLENARY Plenary address: From risk taker to risk treasurer • How to connect risk to value • The necessity of convergence Jörg Hashagen, Managing Partner, Global Head of Risk Advisory, Financial Sector, KPMG
13.10	Lunch and opportunity to visit the exhibition
14.40	Solvency II challenges Masterclass: Insurance group structures and its effects on diversification • Group issues and diversification • Solo and group solvency tests • Swiss solvency test Giovanni Gentile, Head of Solvency Projects, SWISS RE

15.20	Panel discussion: Solvency II - implications for the industry and market place • Strategic impact • Enhancing harmonisation and dialogue Moderator: Nick Dunbar, Editor, LIFE AND PENSIONS MAGAZINE Halvor Hoddevik, Head of Risk Advisory, DANSKE BANK Thomas Schubert, Head of Business Administration Institute, GERMAN INSURANCE ASSOCIATION Martin Kinzelback, KMPG
16.00	Afternoon break and opportunity to visit the exhibition
16.30	Masterclass: Capital requirements • Required capital vs. available capital • Capital requirements and risk margins in technical provisions • Standard approaches vs. internal models Clemens Frey, Consultant, Group Controlling, MUNICH RE
17.10	PLENARY Plenary address: Investing in mortgages for the long run • Investing with a vision - the GSE mission, the homeowner and the housing market • A fresh look at mortgage risk - unifying credit and interest rate risk • Risk managing Freddie Mac's mortgage portfolio exposure • Mortgage portfolios and systemic risk Patricia Cook, Executive Vice President, Investments and Capital Markets, FREDDIE MAC

17.50	GUEST SPEAKER Special guest speaker: Betting on the future: Online gambling goes mainstream financial • You call it a derivative, they call it insurance, I call it a bet • How financial institutions could make more use of betting markets • Can you really make money betting on sports? Sam Dibb, Director, CERTAIN RISK MANAGEMENT
18.20	Cocktail reception sponsored by:
19.30	End of day one
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