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Pre-Summit | Post-Conf Seminar 1 | Post-Conf Seminar 2

	ALM and Pension Fund Deficits Pre-Summit: 5 June 2006
8.30	Registration and coffee
9.10	Keynote Speaker: Reviewing strategy in the face of defi cits – an LPFA case study Peter Scales, Chief Executive Officer, LONDON PENSION FUND AUTHORITY
9.50	Panel discussion: Revamping your investment strategy to make up for deficits • Derivative portfolios • Gilts, corporate bonds, credit default swaps, interest rate swaps, inflation swaps Peter Scales, Chief Executive Officer, LONDON PENSION FUND AUTHORITY Søren Dahlgaard, Head of Investment and Risk Management, NORDEA LIFE AND PENSIONS Further panelists to be confirmed
10.30	Morning break
11.00	Masterclass: Consolidating the pension fund black hole – strategies of the PPF Alan Duncan, Director of Operations, PENSION PROTECTION FUND
11.40	Case study: The practical impact of applying risk management at Shell Pension Funds • What risks does a pension fund face and which have the highest impact? • How to monitor risk from strategic level to portfolio level • Issues concerning the application of investment guidelines Jolanda van der Vliet, Head of Performance Measurement & Risk Management, SHELL ASSET MANAGEMENT COMPANY
12.20	Masterclass: Dynamic ALM strategies – identifying strategic asset allocations in a m-t-m environment • The role of the Board • Implications of a m-t-m environment on strategic asset allocation • Differentiating and implementing both tactical and strategic asset allocations Søren Daghlaard, Head of Investment and Risk Management, NORDEA LIFE AND PENSIONS
13.00	Lunch
14.00	Masterclass: Balance sheet optimization in a multi-period framework • Developing a hedging strategy for the balance sheet combining income and value • Implementing multi-period optimization techniques in ALM • Performance measuring of the approach in a backtesting environment Walter Neuenschwander, Head of Financial Engineering Treasury, ZÜRCHER KANTONALBANK
14.40	Masterclass: Interest rate risk in the banking book • Completing a ‘gap analysis’ of the 15 principles • Developing a stress test capability • Building the links to ICAAP Ernst Eichenseher, Head of Market Risk Control, HVB
15.20	Afternoon Break
15.50	Masterclass: Managing non trading FX risk exposures • Structural exposures to hedge capital ratios • Hedging profit streams • Complexities of hedge accounting in an IFRS world Ian Tyler, Senior Manager, Group Treasurer, ROYAL BANK OF SCOTLAND
16.30	Panel discussion: The implications of IAS 39 on ALM practices and pension funds Iain Coke, Head of Financial Services, INSTITUTE OF CHARTERED ACCOUNTANTS IN ENGLAND AND WALES Ian Tyler, Senior Manager, Group Treasurer, ROYAL BANK OF SCOTLAND Further panelists to be confirmed
17.10	End of pre-summit
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	Schönbucher on the latest developments in CDO pricing and hedging Post-Conference 1: 8 June 2006
	Philipp Schönbucher Assistant Professor for Quantitative Methods of Risk Management, Department of Mathematics, ETH ZÜRICH
8.30	Registration and coffee
9.00	Introduction • CDS index swaps: iTraxx and CDX, and single-tranche CDOs • Leveraged super-senior tranches and other options on tranches • CPPI: Constant-proportion portfolio insurance • Model-independent arbitrage and pricing relationships
10.00	The market standard Gauss copula model and its extensions • Compound correlation, base correlation and the standard Gauss Copula model - applications of base correlations: Price interpolation, hedging and sensitivities - problems with base correlations: Existence and absence of arbitrage • Modifications of the Gauss Copula Model and their ability to fit the correlation smile: - factor-dependent and stochastic factor loadings and recovery rates - other Copulas: Multi-factor Gauss, Student-t, double-t, Archimedean • Numerical implementation of conditional independence models Case studies: Single-tranche CDOs and the correlation smile. What happened with GM and Ford in June 2005? Comparing the different Modifications of the Gauss copula Including a 30 minute break at 11.00
12.30	Lunch
13.30	Spread- and intensity-based alternatives to the Gauss Copula Model • Multi-obligor intensity models - setup and fundamental assumptions - one-factor specifications: Why we need jumpy spreads • Frailty models - assumptions about the spread dynamics in frailty models - pricing STCDOs by calculating the loss distribution • Hedging and risk management with intensity models
14.30	Loss surfaces vs. base correlations • What is a loss surface? - vinterpretation of loss transition rates as next-to-default rates - pricing of STCDOs and index swaps with forward transition rates - case study: Calibration of a loss surface to a given set of tranche prices • A simple tree-based discretisation of the loss surface • Comparing loss surfaces to base correlations - fitting ability - stability over time and interpretation of changes in parameter values
15.30	Afternoon Break
16.00	Dynamic loss surface models for hybrid instruments • Specifying dynamics for the loss surface - the impact of the principal driving factors on index spreads and correlation smile - more complicated dynamics: Jumps at defaults - possible strategies for model parametrisation • Applying the model to price exotic credit portfolio derivatives • Incorporating other stochastic variables for FX/Credit and Equity / Credit hybrid instruments
16.40	Chairman’s closing remarks
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	Risk Magazine's Derivatives and Risk Management Summit Europe 5-8 June 2006, Monte Carlo Risk Managing a Basel II compliant institution 8 June, 2006 With the Basel II deadline approaching the techniques and systems used to risk manage a Basel compliant organization are getting more and more complex. This one day seminar will serve to highlight and explain some of the key processes that the major organizations are using.
8.30	Registration and coffee
9.00	Opening Remarks
9.10	Basel 2: A Swiss case study • Introduction • Basel 2 framework • Basel 2 timetable • Swiss case study • Impact assessment • Basel 3? • Conclusions John Ryan, Professor, EUROPEAN BUSINESS SCHOOL
10.30	Morning break
11.00	Implementation and management of an efficient economic capital approach • Differences and similarities between economic capital and regulatory capital • Economic capital under Basel II Pillar II • Components/quantification of economic capital • Building the economic capital model into the management decision making process • Economic capital in performance measurement and product pricing • Key benefits and challenges of implementing an economic capital approach William Perraudin, Professor, IMPERIAL COLLEGE
12.30	Lunch
13.30	The effect of Basel II on retail portfolios • Review of the capital adequacy curves • Portfolio implications of applying the new framework - Will segmentation effect my capital requirement? - What is the impact of refreshed credit scores and migration? - Insights from a multivariate regression analysis into the drivers of capital - The debate over portfolio seasoning • Modelling retail portfolio risk - Challenges of calculating EAD - What is the appropriate AVC? - The rational for including future margin income • Managing the portfolio when internal calculations are different than Basel II Bill Nayda, Senior Director of Strategic Finance, CAPITAL ONE
15.00	Afternoon break
15.30	Masterclass: Banks' minimum rating targeting: A VaR on VaR approach • Why do many banks hold so much economic capital? • Relationship between economic capital and the bank's own rating • How to measure sufficiency of economic capital over the cycle to maintain a desired minimum rating? • A two-stage value-at-risk approach to solving the problem by making use of Monte Carlo simulation and the IRBA function • Calibration results of AA banks' implicit confidence levels for maintaining their rating • Relation to Pillar 2 stress tests and buffers Esa Jokivuolle, Project Supervisor, BANK OF FINLAND
16.30	Chairman’s closing remarks
16.40	End of seminar
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