Agenda

Agenda

Buy-Side Risk Europe 2019

08:20

Registration and refreshments

08:50

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

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/GLG/MSL


Interviewer: Rob Mannix, Asset Management Editor RISK.NET

09.25

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

Moderator: Helen Thomas, CEO BLONDE MONEY

9:55

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?

Alberto Desirelli, Chief Risk Officer, CERN PENSION FUND

Nasreen Kasenally, Chief Risk Officer, UBS ASSET MANAGEMENT

Natasha Naidoo, Chief Risk Officer, GENERALI

Esperanza Cerdan, Chief Risk Officer UK & Head of Enterprise Risk Management, DWS GROUP

Moderator:  Phil Harding, Commercial Editor RISK.NET

10:30

Executive Summary:

State of regulation 2019

A review of the changing regulatory environment from the buy-side perspective and how to prepare for 2019

•    New European uncertainties (Brexit; new European Parliament and Commission) might lead to significant regulatory changes
•    The growing influence of macro-regulatory bodies (FSB, ESRB) on buy-side sectoral provisions
•    The growing regulatory role of market data for the buy-side and the critical access to them
 

Stéphane Janin, Head of Global Regulatory Development AXA INVESTMENT MANAGERS  

10.50

 

Coffee break & Networking

 

Portfolio Analytics, Trade Execution & Investment Strategy

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

CHAIR: Ashley sheen, Principal Consultant, CATALYST

11:20

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, LATEEN

Gavin Counsell, Multi-Asset Fund Manager  ALLIANZ GI

Eugene Dimitriou Head of Insurance Solutions  COLUMBIA THREADNEEDLE


Moderator:  Prasun Marthur, Head of Private Assets AVIVA UK

11.50

Managing the risks of Exchange Traded Funds

  • Traditional investment risk management approach, what makes ETFs unique?
  • The mechanisms behind the subscriptions and redemptions 
  • The difference between physical and synthetic ETFs 

Antonello Russo, Direct Risk Management, BLACKROCK

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

Moderator:  Bernardo Barreto, Global Mutli-Asset Portfolio Manager, LATEEN

12:20

WAR GAMES: Market shock

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: 

Ten years of economic and stock market recovery have elapsed after a devastating war. Technology progress has transformed industry and society while computing power and fintech have created new ways of financing economic growth.

International monetary arrangements were put in place a decade ago forcing central banks to settle most of trade imbalances in an international asset of reserve, the WDR – World Drawing Right -, issued and cleared by a World Monetary Fund. 

Due to its stability and international acceptance, the WDR has been a major success and is being used extensively by the banking system and international debt markets in their lending operations. 

Now, after a brief but intense banking panic, stock markets have fallen around 30% during last three months. The market mood is gloomy. What should we do?

Miquel Burguet Managing Director MARLOWE CAPITAL

Summary and report back

13:00

Lunch

13:40

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

14.10

Beat the market: Leveraging new sources of data and trading technology to optimise investments and generate alpha

  • 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

James Munro, Chief Technology Officer, MAN GROUP AHL Technology

Francois Oustry, MD & Head of Quantitative Investment and Innovation MILLENNIUM GLOBAL INVESTMENTS 

Moderator:  Piotr Chmielowski, Chief Risk Officer Fulcrum Asset Management

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

CHAIR:  Phil Harding, Commercial Editor, RISK.NET

11:20

Managing 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

  • What are the signs of liquidity deterioration and how are the buy-side firms adapting to be ready for the next big market turn? 

Marcin Andrzej Borratynski Head of Quant IT, CERN PENSION FUND

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

Chrystelle Charles-Barral Head of NBEL Portfolio Analysis & Risk NEUBERGER BERMAN


Moderator: Richard Brownlees Independent consultant & Managing Director SENSIBLE MARKET COMMENTARY

11.50

Think Tank

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, Head of Private Assets AVIVA INVESTORS

ModeratorChaipetch Phrompechrut, Investment Solutions Manager SCHRODERS

12:20

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

13:00

Lunch

13:40

Stress testing: Understanding how to measure investment and enterprise risk

  • 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

Stéphane Janin, Head of Global Regulatory Development AXA INVESTMENT MANAGERS  

Lindsey Matthews, Head of Investment Risk & UK CRO UBS ASSET MANAGEMENT

Esperanza Cerdan, Chief Risk Officer UK & Head of Enterprise Risk Management, DWS GROUP

Moderator: Christoph Schon, Executive Director of Applied Research, AXIOMA

14:10

Presentation: The role of new generation flexible optimisation approaches in executing efficient long-term term strategies and investment mandates

  • Next frontiers in optimisation – scenario-based multi-period MAC problems
  • Managing short-term turbulence while preserving long-term goals
  • Incorporating stress-tests and views
  • Incorporating sentiment-based factors – a bridge between behavioural and rational finance

Russell Smith Vice President, Senior Sales Specialist FACTSET

14:40

Afternoon tea & coffee break

KNOWLEDGE CAFE: Grab a coffee and join a table of your choice to share ideas and network with fellow industry professionals

  • Data management: The importance of data in risk management 

Piotr Chmielowski, Chief Risk Officer Fulcrum Asset Management

  • The risk of disintermediation and systematic risk

Alberto Desirelli Chief Risk Officer CERN  Pension Fund

  • Worldwide and EU forthcoming regulation: fund liquidity and fund leverage

Stefane Janin, Head of Global Regulatory Development AXA Investment Managers

15:20

Goodbye IBOR: What are the implications for buy-side firms?

  • How are you determining your exposure to the reform of reference rates/IBOR?

  • 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

Nabil Owadally, LDI Portfolio Manager EMEA BMO GLOBAL ASSET MANAGEMENT 

Henrik Wijkander, Head of Investment Risk, PHOENIX GROUP 

Holger Neuhaus, Head of Money Market, ECB

Moderator: Helen Bartholomew, Editor-at-large, Risk.net

16:00

Technologies transforming buyside analytics

Sidhartha Dash, Research Director, CHARTIS

16:15

Spotlight on 2019

Forward thinking risk management: the pension perspective 

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

Guy Coughlan, Chief Risk Officer UNIVERSITIES SUPERANNUATION PENSION SCHEME

Interviewer: Sidhartha Dash, Research Director, CHARTIS

Discussion and review of survey with live polling

16:45

Chair's closing remarks

 

16:55

 

 

Conference end