The conference programme will be held in the EDT time-zone.
08:45 – 08:50
Opening Remarks Day 1
08:50 – 09:30
Fed moves: As the federal reserve looks to 2023 for raising rates, how are portfolios impacted now, and how do you plan for future rate movement?
09:45 – 10:30
UMR efficiency: optimizing system processes for IM compliance
· Phase differentiation, readying for Phase 6 as Phase 5 begins
· What fundamentals help determine risk-based methodology like SIMM vs. The Grid
· Streamlining connections with external partners for IM calculations and custody
Head of derivatives and FX, market structure and technology
Stephen joined Greenwich Associates to head up the Derivatives and FX practice within the Market Structure and Technology team. He brings over 25 years of experience in the financial services industry to the role.
Prior to joining Greenwich, Stephen was a Vice President and head of Derivatives Product Management at Brown Brothers Harriman. He was responsible for defining BBH’s derivatives strategy, which included product development and prioritization of capital and technology investments.
He joined BBH in 2011, prior to which he was a research director in TowerGroup’s Securities and Investment practice. He analyzed business strategy and technology trends in the securities industry, with a particular emphasis on derivatives. He has also worked at State Street and Citi in a variety of operations, project, and technology management roles.
Stephen has represented the organizations he worked for on a number of industry working groups such as the Asset Manager Forum’s Collateral Management Committee and the International Swaps and Derivatives Association (ISDA) Portfolio Reconciliation / Dispute Resolution Working Group. He has also spoken at a wide variety of industry conferences, and has been quoted in media such as Global Custodian, Securities Finance, and others.
Stephen has a bachelor’s degree from Trinity College.
Hiroshi Tanase is a senior product manager within the Pricing, Valuation and Reference Data (PVR) business unit responsible for the derivatives valuations business. He leads the development and delivery of solutions relating to OTC derivatives including strategic solutions such as IHS Markit's Initial Margin Calculation service, which helps firms achieve compliance with Uncleared Margin Rule (UMR). He speaks extensively with clients globally and various other industry experts on issues relating to derivatives.
Prior to joining IHS Markit Mr Tanase held front-office roles at Credit Suisse in New York and London for over a decade, including Exotic Interest Rate Derivatives Trading and Head of Inflation Derivatives Trading for Europe. Mr Tanase holds a Bachelor's degree in Physics from the University of Tokyo.
Senior product manager, liquidity & margin services
Mark Higgins is a Senior Product Manager based in London and has been with BNY Mellon Markets since 2008. Mark is primarily responsible for regional product management, covering the Liquidity and Margin Segregation services available at the firm.
Mark has extensive collateral management experience having previously held a product management position at Lombard Risk Systems (now Vermeg), where he created the Colline Collateral Management System. Prior to his time at Lombard, Mark represented UBS across all areas of OTC Collateral Management, including derivatives, repo and securities lending.
Mark graduated from The University of Central England in Birmingham (UK) with an Honours Degree in Business Management.
Chetan Joshi is the founding partner of Margin Reform, a boutique management and information technology consultancy that provides advice and solutions to firms who require help navigating through their challenges in the margin, collateral and legal domains. Chetan has over 20 years’ experience in the collateral domain, having held roles in Operations, Technology, Front Office and Consultancy. Chetan is a regular speaker at industry conferences and webinars and has delivered workshops and training sessions on collateral specifically focused on the Uncleared Margin Rules (UMR). Margin Reform believes that with an experienced focus on the design and structure of the approach to UMR, the chances of a positive transformation and implementation experience are multiplied.
10:45 – 11:30
China induced inflation: how are regulatory decisions in China impacting overall markets?
Head of Investment Risk - Americas
Head of DWS Investment Risk for the Americas & Asia-Pacific: New York
Joined the Company in 2006. In his current role, Ross leads a team focused on investment, counterparty credit and liquidity risk managed on behalf of DWS clients. In addition, Ross is responsible for financial risk of DWS USA Corp. Prior to his current role, Ross served in Deutsche Bank's Corporate Investment Bank, where he was responsible for overseeing counterparty credit risk to hedge fund clients. Prior to joining, he worked at Barclays Capital within the Hedge Fund Credit Group, at Risk Capital Management, at a boutique energy risk management consultancy and at Crédit Agricole Indosuez within the Financial Institutions Credit Risk Management Department
BS in Finance from Fordham University; CFA Charterholder; Financial Risk Manager (FRM); Former President of the Global Association of Risk Professionals (GARP) - Buy-side Risk Managers Forum
11:45 – 12:45
13:00 – 13:45
Emerging Risk – as most of the Western world recovers from COVID, how will emerging markets fare?
Managing director, asset allocation portfolio manager
Managing director for enterprise risk management
Senior partner & portfolio manager
Pembroke Emerging Markets
Mr. Mariasch has 30 years of experience trading and investing in emerging markets equities and macro. He is currently the Co-manager of the Pembroke Emerging Markets Fund and the HI-BennBridge EM Absolute Return Fund, two equity long/short hedge funds. Previously he was a Partner and Portfolio Manager at The Rohatyn Group, where he ran the Global Equities practice, and had two stints at Goldman Sachs, one running international equity trading in New York and the second in the Investment Strategy Group running the emerging markets equity exposure for the tactical asset allocation team. Mr. Mariasch holds an MBA from the Stern School of Business (NYU) and a Masters Degree in Accounting from the University of Buenos Aires, Argentina.
14:00 – 14:30
Fault lines in the global financial system: where are the risks and how should we build resilience?
Kris Devasabai is the New York-based editor-in-chief of Risk.net. Previously, he was bureau chief and US editor of Risk magazine. He manages the editorial team. Prior to joining Risk, Kris covered hedge funds, asset management, cross-border investing and law for several publications.
Kris holds a bachelor’s degree in law and government from the University of Manchester, and he completed his legal training at the Inns of Court School of Law in London. He was called to the bar of England and Wales in 2003.
Clinical professor of finance, co-director, the Volatility and Risk Institute
NYU Stern School of Business
Professor Berner served as the first director of the Office of Financial Research (OFR) from 2013 until 2017. The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 established the OFR to support the Financial Stability Oversight Council, the Council’s member organizations and the public. The OFR’s mission is to promote financial stability by delivering high-quality financial data, standards and analysis.
He was counselor to the Secretary of the Treasury from April 2011 to 2013. His principal responsibilities included advising the Secretary on financial and regulatory issues and starting up the Office of Financial Research.
Professor Berner was a managing director, chief US economist at Morgan Stanley from 1999 to 2011 and co-head of Global Economics from 2008 to 2011.
He was executive vice president and chief economist at Mellon Bank, and a member of Mellon's Senior Management Committee (1992-99). Previously, he served as a principal and senior economist for Morgan Stanley, as a director and senior economist for Salomon Brothers (1985-91), as economist for Morgan Guaranty Trust Company (1982-85) and as director of the Washington, DC, office of Wharton Econometrics (1980-82).
Professor Berner served on the research staff of the Federal Reserve in Washington, where he co-directed the Fed’s model-based forecast and was a member of the team that developed the Fed’s first multi-country model used for international policy analysis (1972-80). He has been an adjunct professor of economics at Carnegie-Mellon University and at George Washington University.
He is an advisor to FinRegLab, an innovation center that tests new technologies and data to inform public policy and promote a responsible and inclusive financial marketplace. He is a member of the Milken Fintech initiative, led by former OCC head Tom Curry and former Treasury official Melissa Koide. He is a senior advisor to MacroPolicy Perspectives, an economic consulting firm. He is a member of the Board of Advisors of HData, which helps data companies involved in RegTech and Legal Tech solutions. He is a member of the IMF panel of experts for financial stability.
Professor Berner has been a member of the Economic Advisory Panel of the Federal Reserve Bank of New York, a member of the Panel of Economic Advisers of the Congressional Budget Office, a member of the Executive Committee of the Board of Directors of the National Bureau of Economic Research, a member of the Advisory Committee of the Bureau of Economic Analysis, Department of Commerce, a member of the Board of Directors of the Penn Institute for Economic Research and a member of the Board of Advisors of Macroeconomic Advisers, LLC. He served as an associate for the Counterparty Risk Management Policy Group II. He is a Past President and Fellow of the National Association for Business Economics and is the past chair of the Economic Advisory Panel of the Bond Market Association. He is the winner of forecasting awards from Market News and the National Association for Business Economics, the 2007 recipient of the William Butler Award for Excellence in Business Economics and has been a member of Time’s Board of Economists.
He received his bachelor’s degree magna cum laude in Economics from Harvard College in 1968, and his PhD in Economics from the University of Pennsylvania in 1976. He researched his dissertation under the supervision of Professor Lawrence Klein, and was funded by SSRC-Ford Foundation grants at both the University of Louvain, Belgium, and at the University of Bologna, Italy, from 1971-72.
14:30 – 14:35
Closing Remarks Day 1
07:50 – 08:00
Opening Remarks Day 2
08:00 – 08:30
08:45 – 09:15
Climate Transition and Bonds: Risk or Opportunity?
Managing Director, Head of Portfolio Management Research,
Andy Sparks is Managing Director and Head of Portfolio Management Research. Previously, he was responsible for Fixed income Research Strategies. Andy and his group show how MSCI’s analytical models can be used to offer investment insights on topical market issues. In this role, he is able to leverage his extensive knowledge of valuation models, indexes and portfolio risk methodologies. Previously, Mr. Sparks had been Head of Technical Product Management, with responsibility for product vision and leadership in the buildout of MSCI’s multi-asset portfolio analytic products.
Prior to joining MSCI in 2011, Mr. Sparks had been Head of Product Management for the POINT business at Barclays Capital, where he had responsibility for product strategy and product execution for the POINT portfolio analytics platform. Mr. Sparks was named the Head of the POINT marketing group at Lehman Brothers in 2004. He also had managerial responsibility for Lehman’s index business between 2006-2008.
Mr. Sparks joined Lehman Brothers in 1995. Other senior level positions he held within the bank include Head of Mortgage Strategies and Head of U.S. Rate Strategies. In this role, Mr. Sparks and his group were repeatedly named to Institutional Investor’s All-America Fixed Income Research Team. Before joining Lehman, Mr. Sparks had been Head of Mortgage and Rates Research at Citicorp Securities.
Mr. Sparks has an M.A. in Economics from the University of Chicago and a B.A. in Economics from UCLA.
09:30 – 10:15
ESG: understanding the metrics
- Internal vs external data
- Evaluating ESG ratings, their purpose, and using them to maximise fund inflows
- Setting an internal standard of climate risk tolerance
Will Hadfield runs the investing team for Risk.net, overseeing coverage of hedge funds, conventional asset managers and insurance companies. He previously covered market structure for Bloomberg News in London, both as a reporter and an editor. He studied History at the University of Durham and is a French speaker.
Global head of sustainable investing and ESG research
Dr Todd Arthur Bridges joins Arabesque S-Ray GmbH from State Street Global Advisors, where he was Head of ESG Research and Development. Dr Bridges previously worked as Head of ESG Research at Ethic, and held the position of Research Managing Director at Cornell University. He is a member of the Sustainable Finance Advisory Committee of the UN-backed Principles for Responsible Investment (PRI), and holds a PhD in Socioeconomics, Organizational Behaviour and Research Methods from Brown University.
Neuberger Berman Breton Hill
10:30 – 11:00
Trending Assets: Market analysis of cryptocurrencies
President of 3iQ digital assets (US)
Co-head of trading
Jason Urban is the Global Co-Head of Trading at Galaxy Digital. Prior to joining the firm, he was CEO of DrawBridge Lending. He also founded and ran the equity index derivative business at DRW in 2009 and was previously at Goldman Sachs where he ran its equity volatility business. He holds an MBA from the University of Chicago Booth School of Business and a BS / BA in Finance and Marketing from Georgetown University.
11:15 – 11:45
12:00 – 12:45
12:45 – 13:45
Simulation & Debrief Day 2
This session will begin with a scenario prompt. The participants will then be split into smaller groups to discuss the situation and begin a task assigned to them by the moderator.
You’re a Portfolio Manager in charge of several large Fixed Income Portfolios at a leading investment manager. An institutional client calls you and asks:
• How would my Managed Account be impacted by a 1.5° Climate Transition Scenario? What investments would be most severely impacted?
You acknowledge the request and promise to call back with more information...
Juan Sampieri conducts fixed-income and multi-asset-class applied research. He previously worked in MSCI's client-service team for analytics. Juan also served in market risk management at HSBC Mexico. He earned a doctorate in financial sciences at EGADE Business School at the Monterrey Institute of Technology.
Executive director, analytics product management
Thomas Moser is an Executive Director on MSCI’s Analytics Product Management team and Head of Fixed Income.
Thomas’ focus is to ensure that our product roadmap is aligned with current and future market needs, delivered on time, with the quality expected by our clients.
Prior to joining MSCI, Thomas was a Senior Product Manager at Misys for their market risk and counterparty credit risk offering. In this role he enabled banks worldwide to comply with regulatory requirements and to improve their internal risk management by providing software solutions with advanced methodologies. He also worked as Financial Engineer and Senior Consultant for Thomson Reuters in the market risk space.
Thomas is a Chartered Financial Analyst and holds a Master in Telematics from Graz University of Technology.
14:00 – 14:45
Default Risk: a look back at credit counterparty risk over the past year and its standing today
15:00 – 15:45
Asset Allocation: constructing bespoke portfolios with a variety of asset classes
- How do alternatives mix with traditional equities?
- How do you think about risk?
- What technology is helping to build customized solutions?
Head of Risk, North America and Senior Data Scientist
Head of global asset allocation
Janus Henderson Investors
Ashwin Alankar is Head of Global Asset Allocation at Janus Henderson Investors. In this role, he is responsible for defining short- and long-term approaches to asset allocation. He also manages the Adaptive Allocation strategy and co-managed the Diversified Alternatives strategy from 2016 until 2019. Prior to joining Janus in 2014, Dr. Alankar served from 2010 to 2014 as co-chief investment officer of quantitative investment strategies at AllianceBernstein. From 2003 to 2010, he was a partner and capital allocation committee member for Platinum Grove Asset Management. Dr. Alankar’s experience also includes serving as a consultant in the financial litigation division of the Law and Economics Consulting Group from 2001 to 2002.
Dr. Alankar earned a bachelor of science degree in chemical engineering and mathematics and a master of science degree in chemical engineering, all from the Massachusetts Institute of Technology. He also holds a Ph.D. in finance from the University of California – Berkeley, Haas School of Business. He has 20 years of financial industry experience.
15:45 – 15:50
Closing Remarks Day 2
07:50 – 08:00
Opening Remarks Day 3
08:00 – 08:30
08:45 – 09:30
Dealing with Retail: how do you use rational analytics for an irrational group of traders?
- Analysis of the meme stock phenomenon
- Retail order flow
- Web-scraping for directional prediction
Head of adaptive investing
NN Investment Partners
Hull Tactical Asset Allocation
Euan Sinclair is an option trader with over 25 years of professional trading experience. He has traded options on indices, stocks, commodities and interest rate products. He currently works on strategy design at Hull Tactical Asset Allocation. He holds a PhD in theoretical physics from the University of Bristol and has written three books, "Volatility Trading”, “Option Trading" all published by Wiley.
09:45 – 10:15
Stress Testing: succeeding where others have failed
Vijay Sundaram is a Financial Services leader with >25 years experience as a practitioner, pioneer and thought-leader in Risk Management, Treasury, Liquidity and Funding with senior level relationships within Banks and Asset Managers. He has built multiple practical and commercial cross-asset Risk and Funding frameworks from scratch. He has a deep knowledge of financial markets and extensive experience in steering businesses through financial crises/events
Most recently, Vijay worked at Jefferies as Head of Front Office Risk for the Global Equities division where he developed the business's Risk and Margin platform for hedge fund financing and trading. mitigation of trading and financing risks
Prior to that, Vijay was at UBS for 18 years as a Managing Director, Chief Risk Officer of the Prime Services business and Treasurer of the Equities business. He was also a key member of the leadership team of the Prime Services business. Vijay designed and implemented the business's Risk, Funding, Liquidity and Treasury models and frameworks.
Vijay holds a BA, MA and First Class Honours in Electrical Engineering from the University of Cambridge (UK) and an MBA (with Distinction) for the Wharton School of the University of Pennsylvania.
10:45 – 11:30
Computing power: how can new developments in technology enhance risk management techniques?
Head of market risk
Ji Qin is a CFA (Chartered Financial Analyst) charter holder. She is the head of market risk for MUFG America and responsible for market risk management covering all trading room risks in MUFG America. Prior to this role, she had been a fixed income trader and also an investment manager for Commerzbank NY branch. She has a master of Computer Science degree from University of Cincinnati and a bachelor of computer science degree from Beijing Polytechnic University.
11:30 – 12:15
Liquidity risk management post-March 2020 and fund liquidity crises
Dynamic Beta Investments
Chief quant officer
Black Alpha Capital
Global head of equity, ETF and liquidity risk management
State Street Global Advisors
Sebastjan is a Managing Director and Global Head of Equity, ETF and Liquidity Risk Management as well as a member of the firm's Senior Leadership Team. He is responsible for implementing and advancing a robust and effective investment and liquidity risk management framework. He also chairs the SSGA Liquidity Committee and is a member of the SSGA Sub-Advisory Oversight Committee (SAOC) and the State Street Country Risk Committee. Before that he was a Senior Investment Risk Manager responsible for risk oversight across EMEA Fixed Income, LDI and Multi-Asset Class portfolios.
12:15 – 12:20