Risk Australia - August 25

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Tuesday 25 August 2009

Stream 1 | Stream 2

08:00 Coffee and registration

08:30 Welcome remarks: Ben Marquand, ASIA RISK MAGAZINE

08:40 *KEYNOTE ADDRESS*: The road to recovery - the changes and the development of regulations in responding to the crisis

What have regulators done so far in responding to the crisis and in leading to the economic recovery?
The latest development in regulations and its impact on the Australian economy
The role of national governments in supporting the finance industry
Looking ahead – what needs to be done?

Jim Murphy, Executive Director, Markets Group, THE TREASURY

09:10 *KEYNOTE ADDRESS*: New approaches to liquidity and counterparty risk management

Troy Rieck, Managing Director, Capital Markets, QIC

09:40 *EXECUTIVE ADDRESS*: Lessons learnt from the financial crisis and the indications on the road to recovery

Warren Hogan, Acting Chief Economist, ANZ

10:10 Morning break and opportunity to visit the exhibition

10:30 *CHIEF ECONOMIST ROUNDTABLE*: Global economic and investment outlook

Review of the macro economic trends
The interaction of the global economy and its impact on Australia
The US new economic policy and its implications to the Australian market
Global outlook on the trends of equities, currencies, bonds, interest rates and commodities
Crystal ball – where is the Australian economy heading to in 2010?

Moderator: Jonathan Pain, Executive Director & Chief Investment Strategist, HFA ASSET MANAGEMENT
Bill Evans, Chief Economist, WESTPAC
Warren Hogan, Acting Chief Economist, ANZ
Richard Grace, Chief Currency Strategist, COMMONWEALTH BANK OF AUSTRALIA
Peter Jolly, Head of Research, Global Markets, NATIONAL AUSTRALIA BANK

11.15 Advances in credit risk modeling and corporate bankruptcy prediction

*Development of risk and bankruptcy models
*Advanced probability models
*Distance to default and reduced form models
*Other methodologies for predicting corporate distress
*How well do credit risk and bankruptcy models really perform in practice?
*Modelling the failure of private companies
*Modelling challenges we face in the global meltdown

Stewart Jones, Professor and Chair of Discipline, Faculty of Economics and Business, UNIVERSITY OF SYDNEY

11.45 *ACADEMIC ADDRESS*: Can risk modeling work?

Risk modeling has become a pejorative term in some quarters. Is that reputation deserved?
Black swans – is Nassim Taleb right? Can our risk models catch extreme events?
Why did (some) risk models fail in 2007?
To what extent are risk models fixable? If so, should we bother? If not, what’s the alternative?
What is the correct role for models in financial risk management?

Elizabeth Sheedy, Associate Professor, MACQUARIE UNIVERSITY

12:15 Lunch and opportunity to visit the exhibition

Stream 1 - Advanced approach to liquidity and counterparty credit risk management

13:15 Chairman’s opening remarks: Elizabeth Sheedy, Associate Professor, MACQUARIE UNIVERSITY

13:20 New thoughts on liquidity risk management in today’s market conditions

How has liquidity risk management changed with recent events?
Understanding the importance of transparency in reporting and disclosing
The pros and cons of static and predictive liquidity measures
Mismatch based capital measures vs simple market yardsticks
Illiquidity, deleveraging and asset quality
The role of contingency and crises planning
The role of supervisors in managing and enhancing liquidity risk

Michael Malone, Head of Funding & Liquidity, BANK OF SCOTLAND

13:50 Measuring and managing counterparty credit risk

Counterparty credit exposure measurement
Challenges in counterparty credit exposure measurement
Collateral as a credit mitigant
Counterparty credit risk post crisis

Boris Poliak, Head of Counterparty Credit Analytics, Quantitative Research, Markets, Wholesale Banking, NATIONAL AUSTRALIA BANK

14.20 Credit risk stress testing

• Stress testing all credit risk dimensions
• New models for stress testing scholastic
• How to identify the counterparty risk using stress testing
• Running a scenario – how do you translate that into a credit outcome

Christian Klettner, Head of Capital and Provisioning, Institutional Risk, ANZ

14.50 VaR and stress test based economic capital for traded markets

Determination of the liquidity adjusted perturbations
Scaling of the liquidity adjusted VaR
Combining stress test and LVaR and stop loss limit
Optimisation of limit utilisation

Dr Volf Frishling, Head of Market Risk Quantitative Support, Wholesale Banking, NATIONAL AUSTRALIA BANK

Stream 2: Innovations in derivatives trading and asset allocation

13.15 Chairman’s opening remarks: W. Pike Talbert, Senior Investment Management Specialist, ANZ PRIVATE BANK

13.20 Dynamic portfolio risk management

Constructing portfolios that are resilient to periods of market turbulence
Identifying pockets of risk
Dealing with “fat tail” risk
Measuring risk throughout the investment horizon
Developing more robust models of risk management

Laurence Irlicht, Investment Director, INDUSTRY FUNDS MANAGEMENT

13:50 Global inflation linked strategies: Market evolution post crisis and beyond

• Impact of the financial crisis on global inflation expectations

• Considerations for market liquidity

• Cross-market correlations

• Solutions for non-fixed income clients

Ralph Segreti, Managing Director, Inflation-linked and Fixed Income Index Derivatives Product Manager, BARCLAYS CAPITAL

14:20 Alternative asset allocation strategies

What are alternative assets and their role in a diversified portfolio?
Identifying alternatives that deliver a competitive performance edge
What are the risk and return dynamics over the short and long term?
Putting it all together: how to risk manage alternative and traditional beta and alpha?

Sidney Chong, Head of Research, BT FINANCIAL GROUP

14.50 Optimal asset allocation solutions for pension funds management

Customising investment and asset allocation strategies
Assessing the trade-off between interest rates, inflation and longevity risks
What are investors looking for in the portfolio?
Risk appetite for new products

Dennis Sams, Head of Public Markets, UNISUPER

15.20 Coffee break and networking opportunity

15.40 Plenary: *PANEL DISCUSSION* Outlook and opportunities for distressed debt market

Analysing the opportunities and challenges in the current and future global marketplace
Strategies for investing in distressed debt market
Identifying emerging opportunities in the various industry sectors
Positioning the portfolio across industries to minimise exposure to risky loans

Moderator: W. Pike Talbert, Senior Investment Management Specialist, ANZ PRIVATE BANK
Yao-Chye Chiang, Chief Operating Officer, CLEARWATER CAPITAL
Sidney Chong, Head of Research, BT FINANCIAL GROUP
Robert DaSilva, Managing Director, PRINCIPAL GLOBAL
INVESTORS
Jonathan Ramsay, Director Head of Research, DAWNAY DAY WALDEN

16:20 CRO roundtable: Navigating the storm – a new paradigm for risk management

What can a CRO do to live up to industry expectations and how can these expectations be managed more effectively?
Examining the ways to enhance risk literacy and understanding of uncertainties
Communicating the right messages to the right people in time and ensuring messages are listened to
Creating a cohesive risk culture to avoid future crisis and taking the business performance to the next level

Modeartor: Rachael Phelan, Partner, Risk Advisory Services, KPMG
Andrew Carriline, Chief Risk Officer, WESTPAC
Mark Johnston, Director of Risk Management, MACQUARIE BANK
Rob Goudswaard, Chief Risk Officer, Institutional, ANZ
Andrew Bissett, Head of Risk and Reporting, QANTAS AIRWAYS

17.00 Chairman’s closing remarks: Ben Marquand, ASIA RISK MAGAZINE

17:30 Awards and Cocktail reception

18.40 End of Conference

View the programme in PDF format View the programme in PDF format (108 KB)

The Programme brochure is in Adobe Acrobat format.
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