Agenda

Agenda

 

08:00

Registration and refreshments

08:40

Welcome remarks: Phil Harding, Commercial Editor, RISK.NET

08:50

Chair's opening remarks

09:00

Keynote live interview

The role of emerging technology on risk management

Reducing uncertainty in an age of digital transformation and technological disruption

Darrel Yawtich, Chief Risk Officer MAN AHL 

09.20

Fireside Chat

Preparing for risk and responding to change: geopolitical and macroeconomic outlook in an uncertain and highly volatile market

  • Trade wars: incorporating political risk into the investment process on global and local scale
  • Global investment outlook on emerging markets
  • Brexit: where is the market heading?
  • Expecting the unexpected: preparing risk and portfolio managers to adapt to sudden market turns

Isabelle Mateos y Lago, MD and Global Macro Investment Strategist, BLACKROCK

Guy Miller, Chief Market Strategist & Head of Macroeconomics ZURICH INSURANCE 

9:50

C-Level panel

 Striking the perfect balance between risk teams and portfolio managers

  • Market risk oversight vs portfolio construction resource: how do risk and portfolio managers work together?
  • How far down the value chain should risk management be?
  • How to preserve independence of the market risk team while increasing its efficiency?
  • Talent: what skills make up successful buy-side risk teams?

Elena Maola-Bonthon, Chief Investment Officer CERN PENSION FUND

Nasreen Kasenall,  Chief Risk Officer EMEA, UBS ASSET MANAGEMENT 

Natasha Naidoo, Deputy Chief Risk Officer, OLD MUTUAL

 

10:30

Coffee break & Networking

Portfolio Analytics, Trade Execution & Investment Strategy

Tackling investment risk and trading challenges for the buy-side in a post QR era

11:00

Discussion: Dynamic portfolio construction: gaining a competitive edge

  • How much should allocations be allowed to differ from their default positions?
  • Should dynamic allocation focus on changing the risk level of the portfolios or on changing intra-asset allocations (e.g regional, factor)? 
  • Generating alpha with a "quantamental" portfolio: how are fundamental and quant factors joined in the portfolio?
  • Moving towards higher concentration or more diversification?
Bernardo Barreto, Global Mutli-Asset Portfolio Manager LANTEEN
 
Brian Tomlinson, Director, Senior Fixed Income Portfolio Manager ALLIANZ GI
 

11.30

Managing the risks of Exchange Traded Funds

Details TBC 

Antonello Russo, Direct Risk Management, BLACKROCK

12:00

WAR GAMES: Market shock/interruption

During this session, delegates are presented with an investment risk scenario and tasked to review the immediate steps they would advise their firm to take. 

Scenario: Details to be confirmed, subject to speaker approval 

Summary and report back 

12:40

 

Lunch

 

13:40

Beat the market: Optimising investments with new sources of data and trading technology

  • What new tools and technique can optimise the investment process?
  • Alternative data, unstructured data, big data: how data sets are evolving and what does this mean? 
  • Multi-period portfolio optimisation and alpha decay
  • How to ensure NLP and other analytics tools complement and augment the work of portfolio managers 

Berkan Sesen Quantitative Researchers & Senior Portfolio Manager JP MORGAN ASSET MANAGEMENT 

14.10

 

Presentation

Systematic investing in fixed income

  • Just like equities? Unfortunately not, but there are parallels
  • Creating factors and modelling securities
  • Using factors to understand credit portfolios
     

Alan Langworthy, Executive Director, Multi-Asset Research AXIOMA

Risk Management & Modelling

Addressing liquidity challenges that face buy side risk managers and the role that big data and machine learning can play in measuring and managing risk

11:00

Discussion 

Measuring the risk of illiquid assets

  • Investment risk for alternative private assets
  • Integrating private asset risk into the portfolio
  • Benchmarking private assets and setting illiquidity hurdle rates
  • Managing illiquidity, market-to-market and other risks for long term investors
  • Emerging and strategic risks for asset owners/asset managers
  • Alternative asset classes and the risk of illiquidity
Henrik Wijkander, Head of Investment Risk PHOENIX
 
Remi Kamiya, Risk Director M&G INVESTMENTS
 
Prasun Marthur, Group Head of Investments AVIVA INVESTORS
11.30 

Market liquidity for the buy-side in a post quantitative easing era

  • Managing liquidity risk with rising interest rates and market volatility 
  • Measuring liquidation costs
  • Adapting and preparing for the next big market turn 
  • Signposting liquidity deterioration

Elena Manola-Baonthond, Chief Investment Officer CERN PENSION FUND

Sebastjan Smodis, Global Head of Liquidity and ETF Risk Management STATE STREET GLOBAL

Ashan Ramakrishan, Head of Investment Risk & SIRO BNY MELLON INVESTMENT

12:00

WAR GAMES: Cyber Risk

During this session, delegates are presented with a risk scenario and tasked to review the immediate steps they would advise their firm to take

Scenario: A ransomware attack has locked down the firms critical systems and made a ransom demand to open up the systems.  You cannot conduct business for your customers. How is your firm prepared to tackle the operational and reputational implications? This “war games” scenario will discuss:

  • Do you assemble your crisis management team?
  • How and what do you communicate to customers, employees, the board, the regulators?

Michael Calamito, Head of Global Business Continuity Management FIDELITY INTERNATIONAL

Summary and report back

12:40

Lunch

13:40

Stress testing: understanding how to measure stress liquidity

  • How to define and create effective stress tests and scenario analysis relative to key benchmarks 
  • How to implement scenario analysis for each type of portfolio (multi-asset, equity, fixed income, alternative assets)
  • Regulatory threats for changes to stress testing 
  • Going beyond the stress test - how to quantify tail risks and create contingency plans with liquidity management tools, including gating funds?

Remi Kamiya, Risk Director M&G INVESTMENTS

Stefane Janin, Head of Global Regulatory Development AXA IM

14:10

Application of AI and machine learning in buy-side risk management 

  • Augmenting intelligence and integrating AI to understand and predict emerging risk
  • Best practices for designing a successful predictive risk model
 
14:40

Afternoon tea & coffee break with knowledge cafe

Addressing the event's most contentious issues at table discussion groups to drill down into topics

  • Data science
  • Tech: Blockchain and DLT, will they ever really be of practical benefit?
  • ESG integration and challenges for alternative asset classes
  • The risk of disintermediation
  • Worldwide and EU forthcoming regulation: fund liquidity and fund leverage

 

15:20

Case Study Interview

Goodbye LIBOR: What are the implications for buy-side firms?
  • How are you determining your exposure to Libor?
  • What do we know: the transition's implications on futures and derivatives contracts (including hedges and collateral)?
  • Where are we now: alternative risk-free rates and future plans?
  • What are the trading risk free options?
  • What has the buy-side industry done so far to prepare for the shift?

Richard Fox, Head of Department Cross Sectoral & Funds Policy FINANCIAL CONDUCT AUTHORITY

Henrik Wijkander, Head of Investment Risk PHOENIX

16:00

Polling panel

Spotlight on 2019: Where is the market heading?

Scale vs specialisation: in the face of shrinking margins, increasing costs and tighter regulation, what does this mean for the future of buy-side firms?

  • Strategic risk review
  • Risks of disintermediation
  • Racing for scale & consolidation or specialisation & niche investment propositions 
  • Getting ready for higher interest rates: investment opportunities and risks to consider

Discussion and review of survey with live polling

16:45

Chair's closing remarks

17:00

Champagne networking