Programme

Programme

Buy-Side Risk USA 2019

08:20

Registration and refreshments

08:45

Welcome remarks

Kris Devasabai, Editor-in-Chief, RISK.NET

08:55

Chair's opening remarks

Pietro Toscano, Head of Multi-Asset & Alternatives Risk, OPPENHEIMERFUNDS

09:00

Keynote Address
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 Chief Investment Officer WEISS MULTI-STRATEGY ADVISERS

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

Drew Matus Managing Director - Chief Market Strategist METLIFE INVESTMENT MANAGEMENT

Interviewer: Bob Savage, Co-Founder & CEO, CCTRACK 

9:45

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 

10.05

Panel Discussion:
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

10:45

Coffee break & knowledge cafe

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

  • Data Management: The importance of data in risk management 
    Mark Feeley, Research Director, CHARTIS

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

Portfolio Analytics, Trade Execution & Investment Strategy

11:20

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
Dmitry Green, Managing Director, Chief Risk Officer MARINER INVESTMENT GROUP 

Alessio de Longis, Co-Head of Multi-Asset Team, Portfolio Manager OPPENHEIMERFUNDS

Moderator: Racim Allouani, Head of Portfolio Construction and Risk Management, KKR CREDIT

11.50

Beating 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
Bryan Cross
Head of Quantitative Evidence and Data Science UBS ASSET MANAGEMENT
Jaime H. Lee, Ph.D.
Managing Director, Equity PANAGORA ASSET MANAGEMENT

12:20

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: Market shock and flash crash

Led by: Bob Savage, Co-Founder & CEO, CCTRACK 

& Mark Feeley, Research Director CHARTIS

13:00

Networking Lunch

14:00

Investment opportunities at the top of the credit cycle

  • What signals are you watching for to determine where exactly we are in the cycle and when do get concerned the end is nigh?
  • How do you think the investment opportunities in this cycle will differ from those in the last cycle?
  • Emerging and strategic risks for asset owners/asset managers 
  • Investment risk for alternative private assets 
  • Managing illiquidity, market-to-market and other risks for long term investors 
     

Adrian Helfrert, SVP Director of Multi-Asset WESTWOOD HOLDINGS GROUP 

Racim Allouani,  Head of Portfolio Construction and Risk Management, KKR CREDIT
Peruvemba Satish, Senior Vice President, Portfolio Manager and Director of Global Analytics, AMERICAN CENTURY INVESTMENTS

Moderator: Alessio de Longis, Co-Head of Multi-Asset Team, Portfolio Manager OPPENHEIMERFUNDS

 

14.30

 

The Future of Portfolio Trading

  • How to use ETFs and baskets of corporate bonds to 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?
  • How are PMs analyzing opportunities across ETFs, corporate bond baskets, derivatives and hedging tools
  • TCA: Understanding risk and estimated transactions costs across products 

Steve Laipply, MD Fixed Income Strategist BLACKROCK

Christian Bruner,  Head of US Credit Product, TRADEWEB

Phil Cichlar Global Head of Fixed Income ETF Sales & Trading, JANE STREET

Moderator: Mike Huff, Director, Portfolio Management and Asset Allocation, TIAA
 

Risk Management 

Addressing liquidity challenges for risk managers and the advantage big data and machine learning can bring when measuring and managing risk

CHAIR: Paul Diouri, Head of Risk SCHRODERS

11:20

Managing liquidity risk 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

Reade Ryan PhD, Managing Director, 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

11.50 

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

•    Next frontiers in optimization – 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 behavioral and rational finance

Alyx Flournoy, Vice President, Director, Risk Strategy FACTSET

12:20

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: Cyber Security 

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

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

13:00

Lunch

14:00

Presentation
Using AI to improve risk management: a renewed look at model risk and applying new technology to refine estimates of tail risk

  • Using AI and unstructured data to improve estimates of volatility
  • Does the user of machine learning models require new model risk management methods? 
  • The relationship between non-traditional data and tail risk
  • Increased fragmentation: model risk management for multiple asset types 
  • Action steps to minimize model and regulatory risk

Elliot Noma, Managing Director GARRETT ASSET MANAGEMENT
 

14:30

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

Katie Day, Managing Director, Head Risk & Quantitative Analysis for Fundamental Equity BLACKROCK

Timothy Corbett, Global Head of Investment & Liquidity Risk STATE STREET GLOBAL ADVISORS

Pooja Rahman, Head of Financial Risk, NEW YORK LIFE

Moderator: Andrew Auslander, former Head of Risk Governance and Disclosure, AIG

 
15:00

Afternoon coffee & networking break

15:30

Tail Risk Protection: Fixed Income in a Multi-Asset Class Portfolio

  • After examining economic rationales and the empirical evidence supporting traditional 60/40 allocation, we highlight the crucial role of equity and bond correlations
  • Why is it important to elevate fixed income as a portfolio diversifier within a multi-asset class allocation?
  • We will review several strategies designed to outperform a 60/40 benchmark and examine the robustness of results to challenge traditional assumptions about correlations and volatilities

 Andy Sparks, Head of Portfolio Management Research, MSCI

15:50

Keynote interview
Goodbye IBOR: 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, Senior Advisor, FEDERAL RESERVE BOARD
Chris McAllister,
Global Head of Derivatives Trading, PRUDENTIAL FINANCIAL 
Interviewer: Charles Schwartz Chief Risk Officer VENERABLE HOLDINGS

16:30

Chair's closing remarks

Pietro Toscano, Head of Multi-Asset & Alternatives Risk, OPPENHEIMERFUNDS

16:35

End of conference & champagne networking