Programme

Programme

 

08:00

Registration and refreshments

08:40

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

08:50

Chair's opening remarks

09:00

Keynote: Regime Adaptation: Man + Machine, Data-Driven Risk and Behavioral Alpha

•    2018 was an inflection point for markets and led to a difficult year for asset managers but in particular for the risk mitigation bucket for allocators
•    Globalization is unwinding and with it  historical correlations are breaking down leading to increased volatility 
•    As the relationship between China and the US evolves, we expect to see shorter and sharper cycles
•    This environment will lead to more and more funds moving to a man plus machine approach as behavioral alpha will become more important
 

Jordi Visser, President and CIO, WEISS MULTI-STRATEGY ADVISERS

09.20

Presentation: 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
  • Critical deadlock & central bank policy
  • Expecting the unexpected: preparing risk and portfolio managers to adapt to sudden market turns
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?

Kathleen Houssels, Global Chief Investment Officer AXA INVESTMENT MANAGEMENT 
Andrew Chin, Chief Risk Officer and Head of Quantitative Research, ALLIANCEBERNSTEIN 
Frank Nielsen CFA, Managing Director of Quantitative Research and Risk Management FIDELITY INVESTMENTS
Julie Sherratt, MD, Risk Management, TD ASSET MANAGEMENT
Moderator:  Paul Diouri, Head of Risk, SCHRODERS

10:30

Coffee break & Networking

Portfolio Analytics, Trade Execution & Investment Strategy

11:00

Discussion: Dynamic portfolio construction: gaining a competitive edge

•    As we enter a period of quantitative tightening with higher volatility and less liquidity, how can portfolio managers ensure enough liquidity to gain a competitive edge? 
•    Moving towards higher concentration or more diversification?
•    “Quantamental”: Quantification of diversified institutional asset management. How do fundamental and quant factors interact in the portfolio? 
•    Searching for high yields - real asset classes opportunities and their pitfalls for investors 

Mike Huff, Director, Portfolio Management and Asset Allocation, TIAA
Anjun Zhou, Ph.D. Managing Director, Head of Multi-Asset and Factor Research  BNY MELLON ASSET MANAGEMENT
Dmitry Green, Managing Director, Chief Risk Officer MARINER INVESTMENT GROUP 

 

11.30


Investment opportunities at the top of the credit cycle
•    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
 

12:00

WAR GAMES

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 1: Market shock/interruption

 

Summary

12:40

 

Lunch

 

13:40

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

  • How new tools and technique can optimise every stage of the investment process
  • How data sets are evolving
  • Multi-period portfolio optimisation and alpha decay
  • How to ensure NLP and other analytics tools complement and augment the work of portfolio managers 

Jordi Visser, President and CIO, WEISS MULTI-STRATEGY ADVISERS

Mike Chen, Director Dynamic Equity, PANAGORA ASSET MANAGMENT 

14.10

 

The Future of Fixed Income & ETFs
•    The future of portfolio trading: how using ETFs can harness liquidity?
•    Traditional investment risk management approach, what makes ETFs unique? 
•    Portfolio construction: interaction with bond market liquidity
•    ETFs as a fixed income tool: what are the current trends and structural risks?
•    Derivatives and hedging tools
Steve Laipply, MD Fixed Income Strategist BLACKROCK

Risk Management & Modelling

 

11:00

 

Market liquidity for the buy-side in a post quantitative easing era
•    Managing liquidity risk with rising interest rates and market volatility
•    The importance of measuring liquidation costs
•    What are the signs of liquidity deterioration and how are the buy-side firms adapting to be ready for the next big market turn?
•    SEC rule review: do firms see this initiative as a purely regulatory or integrated part of risk management? New data techniques and can firms leverage these metrics across the portfolio

Kristen Walters, MD Risk and Quantitative analysis BLACKROCK
Yury Dubrovsky, MD Head of Global Risk Management, LAZARD ASSET MANAGEMENT
Ross Cuddeback, Head of Risk Americas & Asia-Pacific, DWS GROUP 
Moderator: Andrew Auslander, Head of Risk Governance and Disclosure AIG
 

 
11.30 

 

Application of AI and Machine Learning in buy-side risk management


Elliot Noma, MD GARRETT ASSET MANAGEMENT
Max Giolitti Chief Risk Officer VERUS INVESTMENTS 
Moderate: Andrew Chin, Chief Risk Officer and Head of Quantitative Research, ALLIANCEBERNSTEIN 
 

12:00

WAR GAMES

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


Quantifying the risk: Cybersecurity 


•    Disruption through security breach 
•    Theft
•    Data protection/breach 

Hannah Derry, Managing Director - Risk & Quantitative Analysis at BLACKROCK

Summary and report back 
 

12:40

Lunch

13:40

Stress testing: understanding how to measure investment and enterprise risk in an environment of political and regulatory uncertainty 
•    How to define and create effective stress tests and scenario analysis?
•    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?
•    Augmenting intelligence: integrating data to understand and predict emerging risk


Kristen Walters, MD Risk and Quantitative analysis BLACKROCK
 

14:10

Active risk management: addressing model risk management for the buy-side  
Recently, the SEC has recently taken action against investment managers because of model failures as they found that certain models misled investors. This discussion will discuss actions to mitigate that risk


•    Review: what is model risk management?
•    Takeaways for investment managers based on MRM experiences in investment banking.
•    Increased fragmentation: MRM for multiple asset types 
•    Action steps to minimize model and regulatory risk

Davis Edwards, Director Model Risk Management, TIAA
 

 
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

  • Cyber Risk
    Hannah Derry, Managing Director - Risk & Quantitative Analysis at BLACKROCK

  • The role of ESG in risk management
    Kathleen Houssels, Global Chief Investment Officer AXA INVESTMENT MANAGEMENT 

  • IBOR to SOFR
    David Bowman, Assistant Director, FEDERAL RESERVE BOARD

  • Model risk – liquidity 
    Davis Edwards, Director Model Risk Management, TIAA

 

15:20

Keynote Live interview:


Goodbye LIBOR: what are the implications for buy-side firms?
•    What do we know: the transition’s implications for derivatives and cash products. 
•    Where are we now: alternative risk-free rates and future plans
•    Trading risk free rates, what are the options?
•    What should the buy-side industry do to prepare for the shift? 


David Bowman, Assistant Director, FEDERAL RESERVE BOARD
Interviewer: Charles Schwartz CRO VENERABLE HOLDINGS

16:00

Polling panel with CROs

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
  • Active vs passive asset management: the wrong debate?

Discussion and review of survey with live polling

16:45

Chair's closing remarks

17:00

Champagne networking