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	Day Two: Wednesday 7June 2006 \| View Day Two At-A-Glance
8.00	Registration and coffee
9.00	Chairman’s opening remarks: Nick Sawyer, Editor, RISK MAGAZINE Presentation of Risk Award for Quant of the Year 2006 to Vladimir Piterbarg, BARCLAYS CAPITAL
9.10	KEYNOTE Keynote address: Managing pension funds in the 21st Century • Fair value accounting and adverse market conditions have changed the ball game • ATP’s transformation since 2001 • What will it take to succeed in the coming years? • ”Pension fund separation theorem”: pursue liability hedging, alpha and beta independently; dynamic risk budgeting • Role of ALM and derivatives • Success will require more than liability driven investments Lars Rohde, Chief Executive officer, ATP

9.50	PANEL Plenary address: What the high performance institutions do differently! • Based on studies completed by Accenture research and our experience in working with leading institutions, Accenture has identified the common characteristics shared by leading organizations • These characteristics include their approach to risk management in their organization, their focus on performance management, shareholder value, and asset optimization • Market leading institutions have shown a remarkable ability to adapt to complex changes in business cycles, operating conditions and strategies • This talk outlines the detail associated with these observations, and provides a number of case studies, which illustrate how institutions can achieve enhanced shareholder value returns Dr Stephen Christie, Global Managing Director, Financial Services, Finance and Performance Management, ACCENTURE
10.30	Morning break and opportunity to visit the exhibition

Click to go directly to a stream:
Stream 1: INNOVATIONS IN DERIVATIVES DEALING:The latest frontiers in derivatives trading for the credit and equity markets
Stream 2: THE LANDSCAPE FOR INSTITUTIONAL INVESTORS & CORPORATE RISK MANAGERS
Stream 3: MANAGING RETAIL RISK
Stream 4: QUANTITATIVE ANALYSIS: THE CUTTING EDGE IN FINANCIAL ENGINEERING: Advanced modelling analysis

	STREAM ONE: INNOVATIONS IN DERIVATIVES DEALING: The latest frontiers in derivatives trading for the credit and equity markets	STREAM TWO: THE LANDSCAPE FOR INSTITUTIONAL INVESTORS & CORPORATE RISK MANAGERS
11.00	Chairman’s opening remarks Maurizio Ferconi, Managing Director, Head of FInancial Engineering, PUTNAM INVESTMENTS	Chairman’s opening remarks Drago Indjic, Project Manager, BNP Paribase Hedge Fund Center, LONDON BUSINESS SCHOOL

11.10	Masterclass: Structured equity products on alpha strategies and thematic indices • Alpha strategies as a new underlying - identifying trading strategies that generate alpha - examples: seasonality, large v. small cap, HOLT - backtesting and statistical significance - structuring, trading, and hedging products based on alpha strategies • Thematic indices as a new underlying - identifying macro and micro trends - structuring and trading challenges Kevin Chang, Director and International Head of Derivatives Solutions, CREDIT SUISSE Lionel Fournier, Director and Head of Equity and Hybrid Structuring Europe, CREDIT SUISSE Speaker Sponsor:	HEDGE FUNDS Panel discussion: Can hedge funds retain their superior returns if the industry keeps getting larger? • Is there a natural saturation point? • Are the regulations posing a threat to returns? • What does the rest of 2006 hold for the hedge fund industry? Moderator: Christopher Jeffery, Deputy Editor, RISK MAGAZINE Georg Grodzki, Global Head of Investment Grade Credit, RBC PK Satish, Chief Risk Officer, DKR CAPITAL Florian Stärk, Head of Risk Management, MEAG, MUNICH ERGO ASSET MANAGEMENT

11.50	Masterclass: Arbitraging equity baskets and credit baskets • Trading strategies • CDS products • Short equity Ben Wilkinson, Managing Director, Global Head of Structured Credit and Equity Financial Products Trading, BANK OF AMERICA	Masterclass: How to mitigate hedge fund risk in a global asset portfolio: The structuring route • The nature of hedge fund risk • Risk monitoring, transparency and diversification • Optionality vs CPPI Christophe Baurand, Global Head of Sales-Structured Alternative Investments, SG CORPORATE AND INVESTMENT BANKING
12.30	Lunch and opportunity to visit the exhibition
14.00	Masterclass: Innovations in using credit derivatives • Models of default events: The good, the bad and the ugly • Spread movements near default • Beyond the “insurance policy” and “market hedge” paradigms • Systematic market versus systematic credit versus true idiosyncratic risk • Expected surprises and unexpected lack of surprise • The unbearable lightness of recovery rate theory • Credit derivative liquidity around default events Aaron Brown, Executive Director and Head of Credit Risk Architecture, MORGAN STANLEY	Panel discussion: Diversification or specialisation? • Portfolio optimisation: qualitative vs. quantitative? • How to choose between fund of funds, multi strategy funds and investable indexes Drago Indjic, Project Manager, BNP Paribas Hedge Fund Center, LONDON BUSINESS SCHOOL Malcolm Kemp, Executive Director, Quantitative Research, THREADNEEDLE ASSET MANAGEMENT Michel Girardin, Member of Senior Management, UBP AM Moderator: Christopher Jeffery, Deputy Editor, RISK MAGAZINE

14.40	CMS SPREAD OPTIONS Masterclass: New angles on trading CMS spread options Guillaume Conzineau, Global Head of Fixed Income Derivatives Trading, IXIS CORPORATE & INVESTMENT Speaker Sponsor:	Masterclass: Risk management in a multi strategy hedge fund • Capital budgeting • Stress loss and VAR • Scenario analysis • Optimal capital allocation Malcolm Kemp, Executive Director, Quantitative Research, THREADNEEDLE ASSET MANAGEMENT
15.20	Afternoon break and opportunity to visit the exhibition
15.40	Panel discussion: Derivatives processing: Solving the credit derivatives backlog – have the recent measures helped? • Problems with trading con? rmations and notification • Creation of standards • Back office advances Moderator: Nick Sawyer, Editor, RISK MAGAZINE Julian Day, Policy Director, ISDA Maurizio Ferconi, Managing Director, Head of Financial Engineering, PUTNAM INVESTMENTS Further panellists to be confirmed	Masterclass: A joint analysis of market and credit risk; a simulation based approach for the long-term investor • A simulation methodology • Time varying migration matrices • Time varying credit spreads • Optimal Diversification Ken Nyholm, Economist, Risk Management Division, EUROPEAN CENTRAL BANK

16.20	ASSET ALLOCATION Masterclass: Dynamic asset allocation strategies and non-linear payoffs in ALM • From surplus optimization to liability driven investment • Extended CPPI and OBPI strategies in ALM • The role of hedge funds and structured products in ALM Lionel Martellini, Professor of Finance, EDHEC and Director, EDHEC RISK AND ASSET MANAGEMENT RESEARCH CENTRE
17.00	Chairman’s closing remarks
17.10	End of summit
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	STREAM THREE: MANAGING RETAIL RISK	STREAM FOUR: QUANTITATIVE ANALYSIS: THE CUTTING EDGE IN FINANCIAL ENGINEERING: Advanced modelling analysis
11.00	Chairman’s opening remarks Geoff Rubin, Vice President, Economic Capital Group, CAPITAL ONE	Chairman’s opening remarks Daniel Sommer, Partner, KPMG

11.10	PROSPECTUS DIRECTIVE Masterclass: The implementation of the prospectus directive– a regulator’s view • Overview of the products in question • How did the French regulator deal with these products before the implementation of the directive? • Changes brought on by the directive • Regulator approach regarding the content of advertising material Patrice Aguesse, Director, AMF	Masterclass: The latest developments in term structure stochastic volatility models • Efficient calibration techniques • Low-dimensional Markovian and LMM-type models with stochastic volatility • Extensions for callable CMS spreads • Extensions to interest-rate/FX hybrids Vladimir Piterbarg, Head of Fixed Income Quantitative Research, BARCLAYS CAPITAL

11.50	BASEL II Masterclass: How will Basel II impact retail banking portfolios? • Retail lending and credit scoring • Treatment of revolving credit card balances • Incorporating additional drawings on credit card accounts • Aligning internal capital changes to the regulatory requirements Geoff Rubin, Director, Economic Capital Group, CAPITAL ONE	VOLATILITY Masterclass: The use of mean-variance optimisation for currency portfolio construction • Refining currency forecasts to make them useable in a mean-variance optimiser • Discriminating between model signals • Creating portfolios that make sense • Risk control ex-ante versus ex-post Kenrick Ramlochan, Director FX Analysis, ABN AMRO
12.30	Lunch and opportunity to visit the exhibition
14.00	Masterclass: Credit default forecasting of retail portfolios • Common forecasting methodologies success and failures • Advanced modelling approach for scenario-based forecasting • Compliance with Basel II requirements for retail portfolio stress testing Robert Sanders, Global Solutions Leader, MASTERCARD	Masterclass: Long/short portfolios and barrier options • Inadequacy of lognormal distributions for long/short portfolios • Maximum drawdowns (absorbing barriers) • Analytic approximations • Effects of jump diffusion processes • Effective risk management of long/short portfolios Kenneth Winston, Global Chief Risk Officer, MORGAN STANLEY INVESTMENT MANAGEMENT

14.40	Masterclass: Updating yield curve trades for better relative value • Butterfly trades with principal components • Updating principal components with new information • Estimation of time varying principal components on the yield curve • Improving butterfly trades with time varying weights Devajyoti Ghose, Vice President, Asset Liability Management, FREDDIE MAC	Masterclass: Spectral methods for path-dependents and applications to equity, FX and fixed income derivatives • Functional lattices • Semi analytical methods for path dependants • Options on realised variance and the • VIX • Cliquets • Callable CMS • Range accruals • Target redemption notes Claudio Albanese, Professor, IMPERIAL COLLEGE LONDON
15.20	Afternoon break and opportunity to visit the exhibition
15.40	MORTGAGES Panel discussion: Is the next mis-pricing scandal in mortgages? • Floating rate mortgages • Prepayment modelling • Credit worthiness criteria • Using the right models Dong Qu, Head of Quantitative Product Group, ABBEY FINANCIAL MARKETS Bruce Porteous, Head of Financial Risk, STANDARD LIFE BANK Devajyoti Ghose, Vice President, Asset Liability Management, FREDDIE MAC Moderator: Geoff Rubin, Director, Economic Capital Group, CAPITAL ONE	Masterclass: Swaption smile and CMS adjustment • The swaption smile quoted by market • Calibration with the SABR functional form • Introducing the CMS convexity adjustments • Valuing CMS convexity adjustments with the SABR functional form • A joint calibration to swaptions and CMS swap spreads Fabio Mercurio, Head of Financial Models, BANCA IMI

16.20	ASSET ALLOCATION Masterclass: Dynamic asset allocation strategies and non-linear payoffs in ALM • From surplus optimization to liability driven investment • Extended CPPI and OBPI strategies in ALM • The role of hedge funds and structured products in ALM Lionel Martellini, Professor of Finance, EDHEC and Director, EDHEC RISK AND ASSET MANAGEMENT RESEARCH CENTRE
17.00	Chairman’s closing remarks
17.10	End of summit
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