Agenda

Agenda

Day 1

08:00

REGISTRATION AND BREAKFAST

08:55

RISK WELCOME ADDRESS

Tom Osborn, Risk Management Desk Editor, RISK.NET

09:00

KEYNOTE ADDRESS:  Macroeconomic perspective and political analysis

  • Has South Africa’s political inflection point proven stillborn?
  • Will the economy remain locked in malaise?

Goolam Ballim, Chief Economist and Head of Research, STANDARD BANK GROUP

09:40

PANEL DISCUSSION: Navigating the regulatory environment: how banks and financial firms are coping with major market regulatory changes?

  • Key regulatory updates, trends and main priorities for financial institutions
  • South Africa vs.  Europe vs. US: exploring the market impact of regulation 
  • Addressing regulation on clearing, trade reporting and post-Mifid implementations
  • Examining changing global regulation in relation to capital and what impact it will have on SA
  • Consultation on Market Data and its future impact on banks and fund managers 

Moderator: Tom Osborn, Risk Management Desk Editor, RISK.NET  
Robert Coombe, Chief Operating Officer, MATRIX FUND MANAGERS
Lushendren Pather, Divisional Head: Bank Supervision, Banking, Insurance and FMI Supervision, SOUTH AFRICAN RESERVE BANK 
Garth Klintworth, Head of Markets, BARCLAYS AFRICA GROUP

10:20

PANEL DISCUSSION: Clearing  and risk management in the post-trade environment 

  • Current state-of- play of the clearing landscape in South Africa
  • Overcoming regulatory issue of clearing. Ways to clear in SA? 
  • The implications of local exchanges creating local CCPs for banks and international counterparts 

Moderator: Tom Osborn, Risk Management Desk Editor, RISK.NET  
Garth Klintworth, Head of Markets, BARCLAYS AFRICA GROUP
Sean Quinlan, Head of Clearing Broker Relationship Management, EMEA and APAC, LCH  
Paul du Preez, Senior Risk Manager, JSE

11:00

NETWORKING BREAK

Regulation and Risk Management

Chairperson: Bianca Ruddy, Head of Market Risk: Analysis, Nedbank CIB

11:30

PANEL DISCUSSION: Rise of FinTech: how financial market participants are capitalising on opportunities in the world of digital disruption 

  • Digital drive and digital disruption - what it means for banks, fund managers and institutional investors?
  • FinTech companies disrupting banks vs. banks accumulating and partnering with FinTech: local and international perspectives
  • Risk and FinTech companies (valuation risk -are valuations disconnected with the usefulness of the technologies)
  • Major technology challenges: big data, machine learning, AI and Blockchain

Moderator: Tim Hutchinson, Head of Digital for Financial Markets, STANDARD BANK  
Mike Wright, Chief Digital Officer,  Ashburton Investments Soumendra K. Dash, Principal Credit Risk Officer, AFRICAN DEVELOPMENT BANK
Leo Armer, Head of Financial Risk Tech Sales, IBM WATSON FINANCIAL SERVICES

12:10

PANEL DISCUSSION: Fundamental review of the Trading Book:  how banks are getting to grips with FRTB in South Africa?

  • Is it worth going onto complexity of internal model or standardised model?
  • The P&L attribution test in NMRF aspects
  • Data pooling issues
  • What measure needs to be in place now in order for the derivatives market to improve liquidity and how it can benefit companies in the long run?
  • How FRTB is changing the nature of business - how FRTB is likely to impact business lines and changing structure in banks

Moderator: Ahimsa Gounden, Head of Market Risk, Capital and Regulatory, ABSA
Alain Tallier, Head Asset Class, Market & Valuation Risk, BARCLAYS AFRICA CIB
Rishaan Ramnarain, Head of Market Risk, Investec Bank Ashlin Poonan, Head of Banking Book Market Risk, FCC Risk Management, FIRSTRAND  

12:50

PRESENTATION: Counterparty risk for cleared and non –cleared derivatives

  • Latest status on bilateral margin requirements and regime for  initial and variation margin 
  • Implementation challenges:  Dealing with market infrastructure and how it supports non-cash collateral management
  • SIMM  –difficulties in development and regulatory validation

Bianca Ruddy, Head of Market Risk: Analysis, NEDBANK CIB

12:10

LUNCH AND NETWORKING

14:30

PANEL DISCUSSION: Moving model risk up the agenda: best practices in managing risk

  • What makes a good model? Understanding models and how to manage model risk as a separate discipline 
  • How to get the visibility of models interconnected? The same model can be used for different things.
  • Best practice in managing models?
  • Model governance: Do we need models to monitor models? How to get the process policy governance right? What processes do you put in place in order to understand model dynamics and avoid model risk?
  • AI models and validation

Moderator: Victor Mofokeng, Head of Counterparty Risk Trading, ABSA CAPITAL
Celia van Niekerk, Head of Portfolio Risk Management, FNB
Michael Perrie, Head of Risk Model Validation, INVESTEC 
Bianca Ruddy, Head of Market Risk: Analysis, NEDBANKCIB 

15:10

PRESENTATION: Managing XVA and KVA 

  • The role of XVA desk- transformational or utility function?
    - Challenges and possible solutions
  • XVA: have we solved fundamental challenges from first family of XVAs?
    - Consistency on standardisation of CVA calculations
    - How latest family of XVAs making likes of CVA and FVA less relevant
  • Have we reached a consensus approach for MVA ad KVA?
    - Have regulators and accounts caught up?

Victor Mofokeng, Head of Counterparty Risk Trading, ABSA CAPITAL

Portfolio Management and Investment Strategies

Chairperson: Clayton Stewart, Chief Investment Officer, Caleo Capital 

11:30

PRESENTATION:  The cost of poor corporate governance for South African investors

Terence Craig, Director and Chief Investment Manager, ELEMENT INVESTMENT MANAGERS 

12:10

PRESENTATION:  Exploring the innovations in Financial Risk technology

  • Addressing the innovations in Financial Risk technology that are helping global institutions to comply with these regulations, reduce total cost of ownership whilst providing a platform to increase value to the business.
  • Application of Big data, Advanced analytics, Micro-services, AI, Adjoint differentiation and Quantum computing to improve risk management within financial institutions 

Leo Armer, Head of Financial Risk Tech Sales, IBM WATSON FINANCIAL SERVICES

12:50

CIO PANEL DISCUSSION: Asset allocation in today’s environment –the search for new opportunities and investment pockets of value

  • How to invest in order to generate returns going forward when all asset classes appear to be expensive?
  • How to construct a meaningful portfolio in a crowded market whilst dealing with clustering of portfolio positions and asset selection amongst smaller managers?
  • What are the prospects and investable options out there today?
  • Best ways to allocate capital – where are we in the investment cycle?
  • Is risk priced correctly in the various asset classes?
  • Active vs. passive asset allocation 
  • Structured products

Moderator: Arno Lawrenz, Global Investment Strategist, ASHBURTON INVESTMENTS 
George Herman, Director and Chief Investment Officer, CITADEL
Eugene Botha, Deputy CIO, MMI HOLDINGS
Clayton Stewart, Chief Investment Officer, CALEO CaAPITAL
Vladimir Nedeljkovic, Chief Investment Strategist, ALEXANDER FORBES INVESTMENTS 

13:30

LUNCH AND NETWORKING

14:30

PRESENTATION: The hidden risks in the Bond market

  • Corporate bond holders have limited rights and protections: why do bank loans always get paid back before bond holders?
  • Shooting in the dark: why is reporting so weak in the bond market? 
  • Bond market legal agreements are prejudicial to investors: how did we get here? 
  • The JSE: it’s time to raise the bar 
  • Recommended changes to the JSE’s listing requirements

Olga Constantatos, Head of Credit and Equity, FUTUREGROWTH ASSET MANAGEMENT

15:10

PRESENTATION: Enhancements in portfolio measurement, attribution and investment manager appraisal

  • A full suite of appraisal ratios – How sharp is the Sharpe Ratio?
  • Multifactor models in performance appraisal
  • Measuring dynamic asset allocation skill
  • Fixed income performance attribution
  • Peer group perils

Rowan Williams-Short, Head of Fixed Interest, VUNANI FUND MANAGER 

15:00

AFTERNOON BREAK AND NETWORKING

16:20

LIVE INTERVIEW ON STAGE: Corporate governance, personal accountability  and conduct risk -  building resilience in your organisation

  • Best practice of embedding a risk culture in a bank and an investment company 
  • Latest developments and processes  to manage conduct risk
  • Accounting and financial statements: what have we learnt from the Steinhoff and VBS bank cases? Structural issues with auditing companies  
  • With a lack of trust in auditing firms and rating agencies: what alternatives are out there today?

Moderator: Tom Osborn, Risk Management Desk Editor, RISK.NET
Warren Young, Chief Risk Officer and Compliance Officer, SANLAM INVESTMENTS 
Asief Mohamed, Chief Investment Officer, AEON INVESTMENT MANAGEMENT

16:50

KEYNOTE ADDRESS: Transitioning to new interest rate benchmarks: Why is this important for financial policy? 

Daniel Mminele, Deputy Governor, SOUTH AFRICAN RESERVE BANK

17:30

CLOSING REMARKS

17:40

DRINKS RECEPTION

Day 2

08:30

REGISTRATION AND BREAKFAST

08:45

RISK WELCOME ADDRESS 

Tom Osborn, Risk Management Desk Editor, RISK.NET

08.55

CHAIRMAN'S OPENING REMARKS

09:00

REGULATORY ADDRESS: Deposit insurance and bank resolution

Roy Havemann, Chief Director Financial Markets and Stability, NATIONAL TREASURY

09:40

PANEL DISCUSSION: Implementing Basel III and  IV in South Africa  

  • How far are banks in SA and the rest of the world with the implementation of Basel III?
  • Main challenges and concerns
  • Basel IV and how to prepare for a significant overhaul of the bank capital standards

Moderator: Gareth Buchner, Head of Central Financial Resource Management, RAND MERCHANT BANK
Ahimsa Gounden, Head of Market Risk, Capital and Regulatory, ABSA
Albertus Bekker, Executive Head , Group Market Risk Monitoring, NEDBANK  
Jan Brits, Head: Group Capital Management, STANDARD BANK GROUP 

10:20

Morning break and networking

10:50

PRESENTATION: SIMM - Challenges facing buy and sell side institutions in 2019/2020

  • Latest status on bilateral margin requirements
  • Introduction to SIMM methodology 
  • Margin Requirements: CCPs versus Bilateral OTC
  • Technology challenges given the increase in newly in scope Initial Margin counter parties during Sept 2019 and 2020 implementation phases
  • Key technical challenges Initial Margin market players want to see addressed both at Front as well at Back office level
  • Impact of Initial Margin consumption on XVA framework: MVA (Margin Valuation Adjustment)

Eduardo Pereira, Product Manager for SIMM, BLOOMBERG 

11:30

PANEL DISCUSSION: Investing in South Africa: challenges and implications on investment strategy and sovereign risk assessment

  • Is South Africa still a favourite investment destination? SA vs. the rest of Africa vs. other emerging markets : through the eyes of investors
  • Why are other countries growing faster and SA lagging behind? What makes other countries more attractive to investors? Has South Africa been treading water whilst other competitors actually steamed ahead? 
  • What needs be done to get the prominence back?
  • “Land expropriation without compensation”- Political implications and ramifications of this policy. What direction is the government taking overall? What are the implications for nationalisation of banks?
  • Mechanics and experiences in the rest of the world. Implications for investment and impact on bond, property and equity markets in South Africa.
  • How can international investors translate this policy into investment strategy?

Moderator: Pieter van der Merwe, Head of Credit Portfolio Management,  ABSA ALTERNATIVE ASSET MANAGEMENT 
Melville du Plessis, Portfolio Manager, SANLAM INVESTMENTS 
Chris Hart, CEO, IMPACT INVESTMENT AFRICA
Kubeshan Padayachy, Portfolio Manager, STANLIB ASSET MANAGEMENT

12:10

CHAIRMAN'S CLOSING REMARKS

12:20

LUNCH AND NETWORKING