Agenda

Agenda

Agenda

08:3008:50

Registration and refreshments

08:30 - 08:50

08:5009:00

CHAIR'S WELCOME REMARKS

08:50 - 09:00

Dr Antonie Kotze

founder

Financial Chaos Theory

Antonie holds a PhD in Theoretical/Mathematical Physics from the University of the Witwatersrand (South Africa) where Quantum Chaos Theory was his field of interest. He has more than 26 years’ experience as a quantitative analyst and financial engineer in the international capital, derivatives and credit markets. He is a renowned expert in financial mathematics, statistics, modelling, stress testing and training.

Antonie has extensive experience in emerging and frontier markets. The span of his risk management experience includes all aspects of market risk (trading book) and credit risk (banking book).  As a front, middle and back-office quant he gained invaluable experience in the trading and the modelling/simulation of all financial instruments. He has extensive experience in Monte Carlo simulation, stress testing, scenario analysis and risk analysis – the gains of working in front, middle and back-office quantitative positions for many years. He also gained vital experience in implementing counterparty credit risk models due to Basel II/III, BCBS and IFRS 9 (expected credit loss methodologies). 

Antonie is a former Rand Afrikaans University (currently University of Johannesburg) faculty member. He is still an active academic researcher and has published some cutting-edge research in international peer-reviewed journals. He is an appointed Senior Research Associate at the University of Johannesburg in the faculty of Economic and Financial Sciences. He is also an Extraordinary Lecturer in the Department of Mathematics and Applied Mathematics at the University of Pretoria.

Antonie has developed highly sophisticated mathematical models and computer systems used by traders, risk managers, fund managers and corporate financiers. 

09:0009:30

Opening keynote address - managing risks and finding yield in a turbulent economic and political environment

09:00 - 09:30

  • How to get the SA Growing Again- a recipe for growth. How much growth should we expect?
  • What the debt markets have been telling us about the risks to the SA economy.
  • The burden of a high risk premium in a world of low interest rates and abundant capital. How to escape the debt trap.
  • Is the global economy in crisis and what can be done about it? What can we expect of monetary policy and the role of money in the years to come.
  • What should and will be expected of corporations, large and small, global and South African - and their leadership? 
Brian Kantor

chief strategist and economist

Investec Wealth and Investment

Founding Chairman of the Victoria and Alfred Waterfront (Pty) Ltd leading that company and the redevelopment of Cape Town’s historic harbour serving between 1988 to 2001. Chairman of Acucap Properties Ltd (ACP) .

His research programmes has focused on Monetary and Financial Economics and has published frequently and widely in the field. Perhaps the most influential work was “Rational Expectations and Economic Thought”, Journal of Economic Literature, September 1979, was translated into Japanese and Spanish.

Published books South African Economic Issues, (Juta) Cape Town, 1982 and Understanding Capitalism, (Boyers-Bowerdean) New York- London, 1996. Recently published Get South Africa Growing, Jonathan Ball Johannesburg and Cape Town, 2017

Current research interests include an analysis of modern monetary policy, corporate governance issues and the links between the rand exchange rate and the behaviour of the JSE. Other published research has involved applying economic reasoning to the risks and returns in limited over cricket.

Consulted to Volkswagen (SA) Ltd, Rightford, Searle Tripp, and Makin (later Ogilvy Mather SA) BMW SA, Investec Securities and also Investec Bank since founding. Consulted to the Federal Reserve Bank of St Louis (1979) and Smith Barney, Stock Brokers, New York 1994-1997. Worked with GT fund managers in Hong Kong and with the Fraser Institution, Vancouver, Canada in 1986.

Honours

  • Received Judges Award, Cape Times-KPMG, Business Personality of the Year Function - in recognition of role in the development of the Victoria and Alfred Waterfront for people “ who through their vision, energy and commitment are enabling quantum leap change in Cape Town” November 2006
  • SA Government Commissions
  • Member of the Competition Board (1983- 1989)
  • Advisor Margo Commission on Tax Reform in South Africa (1986)

09:3010:00

CIO keynote address - the Rand and South Africa’s investment grade status: operating effectively in the changing landscape

09:30 - 10:00

Eben Mare

head, absolute return funds

ABSA Asset Management

Eben is responsible for Absolute Return portfolio management at ABAM. Spanning a career of 30 years he has also held senior multi-asset portfolio management roles at Stanlib Asset Management and Genbel Investments. He has also held senior investment banking roles which include Treasurer at Nedcor Investment Bank, Head of Market Risk at Absa Capital and Head of Quantitative Analysis at FirstDerivatives. He holds a Ph.D. in Applied Mathematics and holds a position as associate professor of Mathematics and Applied Mathematics at the University of Pretoria.

10:0010:40

Panel - solving the $350 trillion problem - how will financial markets transition from the IBORs?

10:00 - 10:40

  • What are the steps being taken to prepare for the IBOR transition?
  • Challenges in shifting derivatives contracts to a new reference rate
  • What are the proposed mechanisms to replace the rate in legacy contracts, and will they work?
Auguste Claude-Nguetsop

head of market risk

KPMG South Africa

Auguste leads the Market Risk and Quantitative Valuation team for KPMG in South Africa. He is responsible for the firm’s service offerings around Risk and Trading Book Capital, Risk Technology platforms, XVA & Derivatives Valuations. His team has deep expertise in assisting clients with structuring and valuing complex financial transactions, defining finance and risk strategic frameworks, and implementing leading trading and risk platforms.

Prior to joining KPMG in 2013, he was a Senior Director at Lloyds Banking group in London, in charge of risk measurement and capital markets transformation initiatives.  In 2007, Auguste co-founded and managed Riskwave, a niche quantitative consulting firm servicing clients in the investment banking sector such as ING, Barclays, Royal Bank of Scotland & Mizuho.

Over the past 20 years, Auguste has served clients across Africa, Middle East, Europe, UK, Singapore and Hong Kong.  He is a board member of the IMD alumni association, member of the South African Institute of Risk Management and the Professional Risk Management International Association. Auguste holds a Master of Business Administration from the International School for Management Development (IMD) in Lausanne, Switzerland. He also holds a Professional Risk Management (PRM) certification.

Graham Bruce

partner

True North Partners

Graham Bruce is an associate partner at True North Partners with over twenty five years of  experience as senior finance practitioner advising clients, in Europe, Africa and Asia, on all aspects of strategy, balance sheet, capital optimisation and structured finance whose clients include Standard Bank of South Africa, UBS, Commerzbank, CBA, Rabobank, Sumitomo and Barclays Group.

Prior to True North Partners, Graham was with Parker Fitzgerald as Global Head of Advisory, leading a boutique Risk consulting practice advising global banking, insurance and asset management clients on all aspects of risk including strategy, risk appetite, remediation, control review and implementation, regulatory change and the forward looking agenda.

Given Graham’s experience and focus, his project experience includes risk management, trading, structuring, investment management, portfolio management, Benchmarks, Indices, regulatory remediation and review and remediation of control environments in 1st and 2nd lines. 

Parin Gokaldas

head of treasury execution services

Absa Bank

Parin Gokaldas has over 17 years of expertise as a financial markets practitioner within the South African banking industry.

His career experience spans the quantitative and system integration sphere; with over a decade of structuring, trading and market making of the Fixed Income and Foreign Exchange markets with broad engagement across financial market participants. 

His current role lies within the Treasury environment with a strong focus on funding, investments and risk management activities.

Albertus Bekker

executive head, group market risk monitoring

Nedbank

Responsibilities:

  • Leading the whole market risk monitoring function in the Nedbank Group
  • Responsible for market risk policy setting and framework development for the Nedbank Group
  • Leading the market risk stream of the RDARR (BCBS239) project in Nedbank
  • Nedbank market risk representative on BASA and other industry bodies and task teams
  • Seat at Group ALCO, ERCOs, Group Risk and Capital Management Committee and reporting to the Board
  • Chairperson of Nedbank Capital and Investment Bank’s Trading Risk Committee
  • Market risk training of risk officers, senior executives and board members

Achievements:

  • Coordinating and aligning the efforts of numerous market risk teams (100+ people) across clusters, divisions and subsidiaries to provide consolidated and user-friendly risk reporting to the Board
  • Integrating the requirements of SAM/Solvency II with Basel requirements as part of the oversight of the insurance risk in the group
  • Successfully navigating Nedbank’s market risk function through severe market volatility (Nene-gate, Brexit) without any significant losses

Costas Mourselas

senior staff writer

RISK.NET

Costas Mourselas is a senior staff writer on the risk management desk at Risk.net. He previously reported on derivatives at GlobalCapital. Costas has a bachelor’s degree in Philosophy, Politics and Economics from the University of York, UK.

10:4011:10

Panel - innovations and trends in clearing and risk management

10:40 - 11:10

  • Key updates on mandatory clearing in South Africa
  • What effects has non cleared margin requirements had on the clearing landscape?
  • Will FX derivatives products move to clearing? (FX options, NDFs, cross currency swaps)
  • Changes in the initial margin model and likely implications for investors
Alex Comninos

head of post trade operations

JSE

Alex Comninos is the Head of Post Trade Operations at the Johannesburg Stock Exchange (JSE).  He joined the JSE in March 2006.  The Post Trade Operations team is responsible for clearing and settlement in the Equity, Bond and Derivative markets.  Alex is currently also care-taking the Risk team responsible for CCP risk management for JSE Clear and risk management in the Cash Equity and Bond ETP markets.

His career spans more than 19 years’ in various roles in the capital markets industry.  Prior to joining the JSE, Alex worked at Merrill Lynch (Johannesburg) and Commerzbank (London and Frankfurt).

Alex is a member of the South African Securities Lending Association (SASLA) Exco.

His qualifications include: BSc (Eng), MBA, Diploma in Datametrics and Investment Management Certificate (UK Society of Investment Professionals).

Joanne Donaghey

director of sales and relationship management

LCH

Joanne Donaghey is Director of Sales and Relationship Management, LCH. In this role, she is responsible for managing LCH customer relationships in the Nordics.

Since joining LCH in 2012, Joanne has worked to partner with customers on product development and clearing strategies, using her extensive experience in the Nordic region to contribute to multiple new initiatives and customer solutions

Prior to joining LCH in 2012 she was at SEB for 15 years where she worked in a variety of customer facing roles across derivative clearing services.

Victor Mofokeng

head of counterparty risk trading

Absa Capital

Victor graduated from University of the Witwatersrand in 2003 having completed a Master’s of Science in theoretical physics degree, he is currently completing MBA with Henley Business School. He worked in Johannesburg for 8 years in various Quantitative analysis roles and in Credit/Market risks space. He joined absa XVA trading desk in 2010. Since joining xVA desk he has also been involved in the broader absa xVA build out business and more recently has rolled out XVA to absa subsidiary in greater Africa. Victor’s responsibilities includes amongst other things the build of XVA technology stack and implementation of new VAs in Absa group. 

Costas Mourselas

senior staff writer

RISK.NET

Costas Mourselas is a senior staff writer on the risk management desk at Risk.net. He previously reported on derivatives at GlobalCapital. Costas has a bachelor’s degree in Philosophy, Politics and Economics from the University of York, UK.

11:1011:50

Morning coffee and networking break
Knowledge cafes: Grab a coffee and join a table of your choice to share ideas and network with fellow industry professionals

11:10 - 11:50

Roundtable 1: Credit risk management in the face of constrained capital: The impetus for a more liquid secondary credit market 

Roundtable 2: Implementation and challenges of Basel III and IV in South Africa

Roundtable 3: South Africa's economic and political environment

 

Farishta Mansingh

portfolio manager

NedBank

Farishta is an institutional sales specialist with experience encompassing derivative sales and structuring and debt capital markets. She has successfully distributed some of the largest transactions in the local debt capital markets and is also the Nedbank Syndicate lead for hard currency bonds. She holds the Financial Risk Management (FRM ®) qualification from GARP.

Garth Saunders

head, portfolio risk and regulatory relations

ABSA

Garth Saunders has 20 years financial markets experience across Front Office, Risk and Product Control, with 8 years spent in the UK at HSBC and Morgan Stanley.  He currently works at Absa Group as Head of Portfolio Management and Capital within the Market and Counterparty Risk management team.

Brian Kantor

chief strategist and economist

Investec Wealth and Investment

Founding Chairman of the Victoria and Alfred Waterfront (Pty) Ltd leading that company and the redevelopment of Cape Town’s historic harbour serving between 1988 to 2001. Chairman of Acucap Properties Ltd (ACP) .

His research programmes has focused on Monetary and Financial Economics and has published frequently and widely in the field. Perhaps the most influential work was “Rational Expectations and Economic Thought”, Journal of Economic Literature, September 1979, was translated into Japanese and Spanish.

Published books South African Economic Issues, (Juta) Cape Town, 1982 and Understanding Capitalism, (Boyers-Bowerdean) New York- London, 1996. Recently published Get South Africa Growing, Jonathan Ball Johannesburg and Cape Town, 2017

Current research interests include an analysis of modern monetary policy, corporate governance issues and the links between the rand exchange rate and the behaviour of the JSE. Other published research has involved applying economic reasoning to the risks and returns in limited over cricket.

Consulted to Volkswagen (SA) Ltd, Rightford, Searle Tripp, and Makin (later Ogilvy Mather SA) BMW SA, Investec Securities and also Investec Bank since founding. Consulted to the Federal Reserve Bank of St Louis (1979) and Smith Barney, Stock Brokers, New York 1994-1997. Worked with GT fund managers in Hong Kong and with the Fraser Institution, Vancouver, Canada in 1986.

Honours

  • Received Judges Award, Cape Times-KPMG, Business Personality of the Year Function - in recognition of role in the development of the Victoria and Alfred Waterfront for people “ who through their vision, energy and commitment are enabling quantum leap change in Cape Town” November 2006
  • SA Government Commissions
  • Member of the Competition Board (1983- 1989)
  • Advisor Margo Commission on Tax Reform in South Africa (1986)

11:5013:00

Stream

Stream 1: Regulation and Risk Management Chaired by Dr Antonie Kotze, founder, Financial Chaos Theory

Price uncertainty into new interest rate derivative trades and swaps during the transition of IBOR

11:55 - 12:30

  • Manage the uncertainty in making future trades whilst the market transitions to a RFR: Minimise future exposure risk
  • Account for the potential of basis risk on new swaps and trades
  • Assess the difficulties with hedge relations in the wake of the IBOR transition
  • Funding derivatives attached to the new rates
Victor Mofokeng

head of counterparty risk trading

Absa Capital

Victor graduated from University of the Witwatersrand in 2003 having completed a Master’s of Science in theoretical physics degree, he is currently completing MBA with Henley Business School. He worked in Johannesburg for 8 years in various Quantitative analysis roles and in Credit/Market risks space. He joined absa XVA trading desk in 2010. Since joining xVA desk he has also been involved in the broader absa xVA build out business and more recently has rolled out XVA to absa subsidiary in greater Africa. Victor’s responsibilities includes amongst other things the build of XVA technology stack and implementation of new VAs in Absa group. 

Managing conduct risk – examining industry developments and challenges

12:30 - 13:00

  • Defining, measuring and managing conduct risk
  • Conduct risk across the first line of defence
  • What are the fundamental drivers of misconduct in the financial services industry?
  • What are the potential vulnerabilities in firm’s cultures that may lead to misconduct events?
  • Assessing the most effective strategies to improve conduct, culture and customer experience
Celia van Niekerk

head of portfolio risk management

FirstRand Bank

Stream

Stream 2: Portfolio Management and Investment Strategies Chaired by Melville du Plessis, portfolio manager, Sanlam Investments

ESG analysis highlights both downside risks and upside opportunities for SA Equity investors.

11:55 - 12:30

  • Environmental: will emission mitigation costs be more material in a shorter time-frame than Sasol estimates?
  • Social: turning a blind-eye to Big-Brother: Future risks for Naspers & Prosus?
  • Governance: could an improvement in corporate governance help MTN re-rate?
Terence Craig

executive director and CIO

Element Investment Managers

Terence is an Executive Director and the Chief Investment Officer of Element Investment Managers (“Element”).  He is responsible for the investment processes, portfolio management, investment team guidance and investment performance for Element clients.

Terence has been with Element since 2001 (formerly named Frater Asset Management).  He has guided Element to be a leading Active Equity and Responsible Investment Manager in South Africa.  Element was the first SA Investment Manager to sign the UN Principles for Responsible Investment in May 2006 and has incorporated Environmental, Social and Corporate Governance (ESG) issues into its investment process since 2001.  Element was the first SA Investment Manager to publish both its Voting & Proxy Policy and Voting Record on its website in 2001 and was instrumental in developing the initial Voting & Proxy Policies for a number of its clients, including the PIC and Eskom Pension & Provident Fund.

Element has received multiple awards for investment performance and risk-adjusted performance since 2001 (Raging Bulls and S&P awards).  Most recently (Jan 2019) the Element Balanced SCI Fund was awarded the Raging Bull certificate for Top Performance as the Best SA Multi-Asset High Equity Fund for the three-year period to the end of December 2018.

Terence began his career in financial services in 1991 and has B Bus Sc (Hons) from UCT, CA (SA) and CFA Charterholder qualifications.  Prior to joining Element, he worked at Allan Gray Ltd as a portfolio manager and equity analyst, followed by working as an Executive Director of Taita Holdings, a private equity specialist.

Taming the sharks - the role of investors in corporate governance

12:30 - 13:00

  • The real costs of governance failure
  • Integrating Environmental, Social and Governance (ESG) factors into investment analyses
  • Improving “the web” of governance: Beyond the King Code
  • Capital market standards: Protecting investors, protecting the country
Andrew Canter

CIO

Future Growth Asset Managers

Andrew is an Executive Director of Futuregrowth Asset Management and the Chief Investment Officer. He provides a strategic perspective to the investment team, oversees the investment processes, sets manager mandates, monitors compliance, and reviews fund exposures and performance.

Andrew has been with Futuregrowth since 1998. He has lead Futuregrowth to be a leading Fixed Interest Manager, Responsible investor, and Developmental investor (with a range of developmental portfolios) in South Africa. Andrew came to South Africa in 1990 from the U.S.A., and during his career in South Africa he has assisted in co-founding RMB Asset Management, was a fixed interest dealer, portfolio manager, head of fixed interest, and later CIO. He has been a Director of several infrastructure and development companies with mandates ranging from toll roads, to low income housing finance and municipal finance. Andrew has been a CFA Charterholder since 1989 and was a founding Director of CFA South Africa in 1990. He is a founding member of ASISA's Standing Committee on Capital and Money Markets. Andrew undertakes public speaking and lecturing engagements, frequently on the subjects of fixed interest management, ethics in financial services, and developmental investing. He lists scripophily and travel amongst his hobbies, and he is a regular cyclist.

 

13:0014:00

Lunch and networking break
Diversity and Inclusion in Risk networking lunch

13:00 - 14:00

Join the conversation on diversity and inclusion in risk and investment management. What can you, your organisation and community do to encourage diversity in the industry?

  • Which firms are the leaders in promoting diversity of thought? How have they achieved it?
  • What are the major pitfalls? What to avoid in the bid to attract and nurture top talent
Farishta Mansingh

portfolio manager

NedBank

Farishta is an institutional sales specialist with experience encompassing derivative sales and structuring and debt capital markets. She has successfully distributed some of the largest transactions in the local debt capital markets and is also the Nedbank Syndicate lead for hard currency bonds. She holds the Financial Risk Management (FRM ®) qualification from GARP.

Ahimsa Gounden

head of market risk, capital and regulatory

Absa

Ahimsa Gounden is Absa’s senior Market Risk Capital Analyst. Her primary foci are Regulatory and Economic Market Risk Capital demands of the Corporate and Investment Bank. Ahimsa previously worked on the implementation of market risk systems, policies and frameworks for the multiple Barclays Africa entities across the continent. Ahimsa holds an Honors degree in Advanced Math of Finance from the University of Witwatersrand and is a certified PRMTM.

14:0015:50

Stream

Stream 1: Regulation and Risk Management Chaired by Dr Antonie Kotze, founder, Financial Chaos Theory

Harnessing the transformative power of AI and machine learning

14:00 - 14:35

  • Use cases of big data, advanced analytics and quantum computing to enhance risk management
  • How do you manage the risks associated with the application of big data, machine learning and AI?
  • Challenges of integrating a data governance structure within your organisation
Auguste Claude-Nguetsop

head of market risk

KPMG South Africa

Auguste leads the Market Risk and Quantitative Valuation team for KPMG in South Africa. He is responsible for the firm’s service offerings around Risk and Trading Book Capital, Risk Technology platforms, XVA & Derivatives Valuations. His team has deep expertise in assisting clients with structuring and valuing complex financial transactions, defining finance and risk strategic frameworks, and implementing leading trading and risk platforms.

Prior to joining KPMG in 2013, he was a Senior Director at Lloyds Banking group in London, in charge of risk measurement and capital markets transformation initiatives.  In 2007, Auguste co-founded and managed Riskwave, a niche quantitative consulting firm servicing clients in the investment banking sector such as ING, Barclays, Royal Bank of Scotland & Mizuho.

Over the past 20 years, Auguste has served clients across Africa, Middle East, Europe, UK, Singapore and Hong Kong.  He is a board member of the IMD alumni association, member of the South African Institute of Risk Management and the Professional Risk Management International Association. Auguste holds a Master of Business Administration from the International School for Management Development (IMD) in Lausanne, Switzerland. He also holds a Professional Risk Management (PRM) certification.

Ulrich De Prins

partner and head of financial risk management

KPMG South Africa

bio coming soon

Panel - industry outlook on fintechs and incumbent banks

14:35 - 15:05

  • The changing face of the financial services ecosystem
  • Strategic risk associated with fintechs challenging the status quo
  • Embracing digital disruptors – can fintechs and traditional financial services providers coexist?
  • Can the business models of firms across the financial services industry stay viable?
Sean Carr

senior vice president, senior director, sales analytics

FactSet

Mr. Sean Carr is Senior Vice President of Sales Analytics at FactSet. In this role, he leads the analytics team across the EMEA region to identify and implement FactSet's portfolio, quantitative, and risk product suites to help clients gain greater insight. Prior to his current position, Mr. Carr was the Director of Quant & Risk Strategy where he was responsible for positioning, product direct, and partnerships across FactSet's factor analytics offering quantitative analysis tools and multi-asset class risk analytics. During his tenure at FactSet, Mr. Carr has served in various leadership, sales, and strategy roles; he earned his B.A. degree in Engineering from Cambridge University.

Reidwaan Wookay

head of global credit and market risk

Development Bank of South Africa

Reidwaan has comprehensive financing operations, credit and market risk monitoring, budget and project management, strategic planning, and investor relations experience acquired in major banking institutions across international regions. He is well versed in providing cross-functional leadership and spearheading internal initiatives focused on overseeing enterprise-wide risk monitoring, developing and implementing risk management policies and frameworks, and executing major divisional projects. Reidwaan holds an MBA in Banking and Finance from the University of London. He has recently completed a Certificate in Bank Treasury Risk Management in London. He has over twenty years of financial services experience in various functions in both the investment banking and retail space.

Riyaadh Hanslo

head of sustainability and stakeholder relations

JUMO

Riyaadh is an established financial services professional with experience in investment banking, global markets and financial technology. Before joining JUMO Riyaadh was the youngest Senior Manager in the Corporate and Investment Bank looking after the New Regulatory Analysis function while pursuing his LLM in Banking and Finance focusing on the cross-border of regulation of over-the-counter derivatives. Riyaadh has previously assisted in the formulation and development of industry-led regulatory strategies for financial services providers in South Africa.  He holds a number of post-graduate qualifications in the area of banking, finance and credit. While at JUMO Riyaadh ran and established the Compliance functions before being appointed to Head Sustainability & Stakeholder Relations

 

Dr Antonie Kotze

founder

Financial Chaos Theory

Antonie holds a PhD in Theoretical/Mathematical Physics from the University of the Witwatersrand (South Africa) where Quantum Chaos Theory was his field of interest. He has more than 26 years’ experience as a quantitative analyst and financial engineer in the international capital, derivatives and credit markets. He is a renowned expert in financial mathematics, statistics, modelling, stress testing and training.

Antonie has extensive experience in emerging and frontier markets. The span of his risk management experience includes all aspects of market risk (trading book) and credit risk (banking book).  As a front, middle and back-office quant he gained invaluable experience in the trading and the modelling/simulation of all financial instruments. He has extensive experience in Monte Carlo simulation, stress testing, scenario analysis and risk analysis – the gains of working in front, middle and back-office quantitative positions for many years. He also gained vital experience in implementing counterparty credit risk models due to Basel II/III, BCBS and IFRS 9 (expected credit loss methodologies). 

Antonie is a former Rand Afrikaans University (currently University of Johannesburg) faculty member. He is still an active academic researcher and has published some cutting-edge research in international peer-reviewed journals. He is an appointed Senior Research Associate at the University of Johannesburg in the faculty of Economic and Financial Sciences. He is also an Extraordinary Lecturer in the Department of Mathematics and Applied Mathematics at the University of Pretoria.

Antonie has developed highly sophisticated mathematical models and computer systems used by traders, risk managers, fund managers and corporate financiers. 

Climate breakdown and financial stability – South Africa's role in assuring an energy-secure, lower-risk global climate

15:05 - 15:50

  • What are the benchmarks against which we should be measuring climate, energy and environment policies?
  • What paradigm shifts are required to end the climate crisis?
  • How best to factor in the consequences of climate change and the vital transition to a low carbon economy?
  • What are the major opportunities and risks of regulation and transparency initiatives?
  • What are the next steps in ensuring that Eskom remains operationally sustainable and relevant?
  • How can businesses maintain and increase profitability whilst driving low-carbon innovation?
  • How can institutional investors be part of the ‘’Just Transition’’ process and what role do they have as fiduciaries representing pension funds in deploying capital?
David Le Page

co-founder

Fossil Free SA

David Le Page is a journalist, climate campaigner and co-founder of Fossil Free SA, part of the fast-growing global campaign for divestment from fossil fuels. Fossil Free SA argues that divestment is ethical, urgent, practical – and an investment opportunity. 

Stream

Stream 2: Portfolio Management and Investment Strategies Chaired by Melville du Plessis, portfolio manager, Sanlam Investments

Smart beta portfolio strategy – reduce risk, enhance return and deliver diversification

14:00 - 14:35

  • What is smart beta and how ‘smart’ is smart beta investing?
  • How has the market grown and where is it heading?
  • Factor portfolio construction:
  • How do you define the factor that you are tracking?
  • How do you build a factor investing portfolio?
  • How much difference can portfolio construction make?
  • Does factor purity matter?
Vladimir Nedeljkovic

former chief investment strategist

Alexander Forbes Investments

Dr. Vladimir Nedeljkovic is a Chief Investment Strategist at Alexander Forbes Investments. He is an experienced business leader with a proven track record in creating and managing successful investment businesses, spanning outcomes-based solutions, structured solutions, indexation and multi-management. Notably, he has played a key role in the development of the exchange-traded funds (ETF) market in South Africa and in Africa

From 2015-2018, Vladimir headed Fund Solutions business at Ashburton Investments. This business incorporated three business lines, with over R29bn in assets under management: Off-Balance Sheet Solutions (index solutions, quantitative strategies and outcomes based solutions, multi-management and manager selection), On-Balance Sheet Solutions (structured solutions and share based lending) and Strategic Initiatives.

From 2001-2015, Vladimir was Head of Investments at Absa Capital. During his tenure there, he created and was responsible for Absa's exchange traded funds (ETF), exchange traded notes (ETN) and retail structured products businesses. Under Vladimir’s leadership, Absa had become the largest provider of ETFs in South Africa and on the African continent, with over R40bn in assets under management.

From 1998-2001, Vladimir was Head of Financial Research at Equinox Structured Products.

Prior to that, Vladimir held various academic and research positions in South Africa and offshore (Lecturer at the Department of Computational and Applied Mathematics at the University of the Witwatersrand, Consultant and Project Leader at the Image Processing Consultants and Research Scientist at the Institute for Applied Mathematics and Electronics).

Vladimir’s qualifications include a B.Sc. (Hons) and an M.Sc. in Electrical Engineering from the University of Belgrade, a Ph.D. in Applied Mathematics from the University of the Witwatersrand, an M.B.A.  from Wits Business School, and a B.A. (Hons) Psychology degree from the University of the Witwatersrand.

Initial margin - how to do it and get it right

14:35 - 15:05

  • Overview of the initial margin requirements
  • Establishing your threshold and identifying covered counterparties
  • Raising client awareness
  • Updating legal documentation
  • Selecting and implementing the initial margin approach
  • Assessing the potential liquidity impact of initial margin
  • Considering the impact on derivative pricing
  • Enhancing the collateral management operations
Garth Saunders

head, portfolio risk and regulatory relations

ABSA

Garth Saunders has 20 years financial markets experience across Front Office, Risk and Product Control, with 8 years spent in the UK at HSBC and Morgan Stanley.  He currently works at Absa Group as Head of Portfolio Management and Capital within the Market and Counterparty Risk management team.

War Games: disaster recovery and business continuity

15:05 - 15:50

In each disaster and recovery scenario, participants are introduced to an unfolding investment risk scenario and asked to consider the immediate steps they would advise their firm to take based on the information available at each stage.

 

Part I: Scenario strategizing

  • 2 minutes intro to the topic from the leader
  • 5 minutes to read the scenario
  • 20 minutes to decide the POA in your group

Part II: Change of scenario

  • 10 minutes to discuss how your scenario will change given the new information provided

Part III: Presenting back

  • 3 minutes for the leader to summarise and present back the POA to the audience
Liston Meintjes

CEO

Abercrombie Investment Management

Liston Meintjes brings both an academic and a highly experienced practitioner’s approach to asset management.

He has a Master’s degree in Mathematical Statistics from UCT and has lectured at the University of Natal and the Graduate School of Business at UCT.

After qualifying as an actuary, he joined the Investments Division at the Old Mutual where he became Manager (Investments Technology) before he left to start Foord & Meintjes, then a small asset manager.

He worked in New Zealand, both Auckland and Wellington, before returning to South Africa, to work as Chief Investment Officer, at Plexus and Metropolitan Asset Managers. Having recently being Head of Investments at Sasfin Asset Managers and as a Private Client Portfolio Manager with NVest Securities he is now an independent investment and business consultant through Abercrombie Investment Management.

He has experience in all aspects of investments, from programming computer systems for investment administration, to portfolio management and economic and company research.  He has been head of research and been responsible for investment marketing.   He has acted as an Asset Consultant and a Business Consultant, working with a number of companies in the financial services industry across a wide range of projects.

Ahimsa Gounden

head of market risk, capital and regulatory

Absa

Ahimsa Gounden is Absa’s senior Market Risk Capital Analyst. Her primary foci are Regulatory and Economic Market Risk Capital demands of the Corporate and Investment Bank. Ahimsa previously worked on the implementation of market risk systems, policies and frameworks for the multiple Barclays Africa entities across the continent. Ahimsa holds an Honors degree in Advanced Math of Finance from the University of Witwatersrand and is a certified PRMTM.

15:5016:10

Afternoon coffee and networking break

15:50 - 16:10

16:1016:50

Panel - current and future strategies for risk management and investment in Sub-Saharan Africa

16:10 - 16:40

Clayton Stewart

CIO

Caleo Capital

Clayton Stewart is the Chief Investment Officer and shareholder in Caleo Capital. Clayton Stewart is the Co-Founder and Director at Imali Asset Management (Pty) Ltd. Clayton has been managing funds at Caleo Capital for many years. Responsible for both the local and offshore funds. Both Caleo and Imali Asset management use Clayton’s expertise in trading in equities, bonds and instrument on various bourses around the world. As well as his experience in trading forex across various currencies, structuring portfolios and international investment solutions, wealth offshore trading across jurisdictions, including the set up offshore structures and structured finance deals. Clayton in his function as fund Manager of Caleo Global Flexible Fund, has been successfully trading ETFs internationally, for many years now.

Liston Meintjes

CEO

Abercrombie Investment Management

Liston Meintjes brings both an academic and a highly experienced practitioner’s approach to asset management.

He has a Master’s degree in Mathematical Statistics from UCT and has lectured at the University of Natal and the Graduate School of Business at UCT.

After qualifying as an actuary, he joined the Investments Division at the Old Mutual where he became Manager (Investments Technology) before he left to start Foord & Meintjes, then a small asset manager.

He worked in New Zealand, both Auckland and Wellington, before returning to South Africa, to work as Chief Investment Officer, at Plexus and Metropolitan Asset Managers. Having recently being Head of Investments at Sasfin Asset Managers and as a Private Client Portfolio Manager with NVest Securities he is now an independent investment and business consultant through Abercrombie Investment Management.

He has experience in all aspects of investments, from programming computer systems for investment administration, to portfolio management and economic and company research.  He has been head of research and been responsible for investment marketing.   He has acted as an Asset Consultant and a Business Consultant, working with a number of companies in the financial services industry across a wide range of projects.

Terence Craig

executive director and CIO

Element Investment Managers

Terence is an Executive Director and the Chief Investment Officer of Element Investment Managers (“Element”).  He is responsible for the investment processes, portfolio management, investment team guidance and investment performance for Element clients.

Terence has been with Element since 2001 (formerly named Frater Asset Management).  He has guided Element to be a leading Active Equity and Responsible Investment Manager in South Africa.  Element was the first SA Investment Manager to sign the UN Principles for Responsible Investment in May 2006 and has incorporated Environmental, Social and Corporate Governance (ESG) issues into its investment process since 2001.  Element was the first SA Investment Manager to publish both its Voting & Proxy Policy and Voting Record on its website in 2001 and was instrumental in developing the initial Voting & Proxy Policies for a number of its clients, including the PIC and Eskom Pension & Provident Fund.

Element has received multiple awards for investment performance and risk-adjusted performance since 2001 (Raging Bulls and S&P awards).  Most recently (Jan 2019) the Element Balanced SCI Fund was awarded the Raging Bull certificate for Top Performance as the Best SA Multi-Asset High Equity Fund for the three-year period to the end of December 2018.

Terence began his career in financial services in 1991 and has B Bus Sc (Hons) from UCT, CA (SA) and CFA Charterholder qualifications.  Prior to joining Element, he worked at Allan Gray Ltd as a portfolio manager and equity analyst, followed by working as an Executive Director of Taita Holdings, a private equity specialist.

Chris Hart

executive chairman and CEO

Impact Investment Africa

Chris is the Executive Chairman and CEO of Impact Investment Africa, a registered Asset Manager headquartered in Botswana.

Chris is the founding member of Impact Investment Africa, which is focussed on impact investing that has commercial merit and that are investable from an institutional fund perspective. Impact Investment Africa has also designed Smart Solutions for Business, which leverages off various incentives and concessions that are on offer to businesses. IIA has developed a strong Section 12J related investment offering for individuals seeking to increase their personal wealth through generous tax concessions while at the same time boosting the socio-economic benefits of their investment.

Previously, in a career that spanned 17 years, Chris was a Senior Financial Economist at Absa Capital and then the Chief Strategist at Investment Solutions. He had a brief stint at Standard Bank Wealth and Investment as their Global Market Strategist, after which he set up Impact Investment Africa.

His main research focus was on the effects of economic and political factors on both South African and global financial markets. The implications of economic and political factors on investment performance and consequences for asset allocation and portfolio management was another key focus area.

Chris is a commentator on market and economic issues and is a sought-after speaker at conferences where he has presented numerous papers both in South Africa and Internationally.

In 2014, Chris co-authored a book entitled ‘Half Way There’ with Glenn Silverman, which outlined the findings of research trips made to the five BRICS countries, their relationships with the rest of the world, and the investment prospects from a long-term perspective.

Chris is a former volunteer with St John Ambulance Brigade where he was the South African Commander.

Louis Jaka Bonakele

head of global markets risk analytics

Absa

I have been in financial services since 2002, and started in market risk in 2005, I held various roles, recently being the head of market risk analytics for ARO before taking the role of Global Markets Analytics.

I specifically will be contributing on the panel more around risk management in illiquid markets, where you are subjected to event risk. There has been some interesting regulatory changes within the continent, Moz, Angola, Ghana that affects financial markets and when the opportunity arise I will share such stories.

16:5017:20

Closing keynote address - protest risk: identifying the rising systemic investment risk in South Africa and other emerging economies

16:40 - 17:10

Refilwe Moloto

economic and strategic advisor

Ambassador Advisory

Ms. Refilwe Moloto is a strategic and economic advisor with 15 years' financial services experience in Emerging Markets research, broking and asset management in

Johannesburg, New York and Cape Town. She currently serves as an External Expert Advisor on Eskom Pension & Provident Fund's Strategic Investment Committee, and was previously appointed to the South African chapter of the BRICS Business Council’s Sovereign Wealth Fund Experts Panel of its Financial Services Workng Group.

Ms. Moloto is also a commentator and thought leader on strategic economic & financial market development in Africa, invited to speak at global technical conferences and in the media. She currently anchors the morning show, Breakfast with Refilwe Moloto, which airs on the Western Cape’s leading talk radio station, CapeTalk. Ms. Moloto is a Fellow of the 11th Class of the Africa Leadership Initiative, a regional chapter of the Aspen Global Leadership Network.

17:2017:30

CHAIR'S CLOSING REMARKS

17:10 - 17:15

Dr Antonie Kotze

founder

Financial Chaos Theory

Antonie holds a PhD in Theoretical/Mathematical Physics from the University of the Witwatersrand (South Africa) where Quantum Chaos Theory was his field of interest. He has more than 26 years’ experience as a quantitative analyst and financial engineer in the international capital, derivatives and credit markets. He is a renowned expert in financial mathematics, statistics, modelling, stress testing and training.

Antonie has extensive experience in emerging and frontier markets. The span of his risk management experience includes all aspects of market risk (trading book) and credit risk (banking book).  As a front, middle and back-office quant he gained invaluable experience in the trading and the modelling/simulation of all financial instruments. He has extensive experience in Monte Carlo simulation, stress testing, scenario analysis and risk analysis – the gains of working in front, middle and back-office quantitative positions for many years. He also gained vital experience in implementing counterparty credit risk models due to Basel II/III, BCBS and IFRS 9 (expected credit loss methodologies). 

Antonie is a former Rand Afrikaans University (currently University of Johannesburg) faculty member. He is still an active academic researcher and has published some cutting-edge research in international peer-reviewed journals. He is an appointed Senior Research Associate at the University of Johannesburg in the faculty of Economic and Financial Sciences. He is also an Extraordinary Lecturer in the Department of Mathematics and Applied Mathematics at the University of Pretoria.

Antonie has developed highly sophisticated mathematical models and computer systems used by traders, risk managers, fund managers and corporate financiers. 

17:3019:00

End of conference and networking drinks

17:15 - 19:00