Wednesday 9 November 2010

8:20	Registration and coffee
8:50	Welcome address. Laurie Carver, Deputy Technical Editor, Risk Magazine
9:00	Plenary address: Decomposition of credit, market and liquidity risk Dynamic Capital and Liquidity Management Hedging to economize capital. Dilip Madan, Professor of Mathematical Finance, Robert H.Smith School of Business, UNIVERSITY OF MARYLAND (Risk Awards 2008, Quant of the Year)
9:40	PANEL DISCUSSION: Untangling CVA funding charges How to account for funding charges and minimize the cost of funding? - Who picks up the bill? CVA, DVA, Funding benefits and funding costs, what is the relationship between them? Collateral funding: Choosing the currency, evaluating the impact on risk The impact of regulation on CVA and counterparty risk measurements Moderator: Antonio Castagna, Lecturer, MILAN POLYTECHNIC; Partner, IASON LTD Christoph Burgard, Managing Director, BARCLAYS CAPITAL Tony Webb, Director, Analytics, FINCAD Giovanni Cesari, Managing Director, Global Head of CVA Quant Group, UBS

10:30	Morning break and an opportunity to network
STREAM THREE: High Frequency Trading the next frontier Laurie Carver, Deputy Technical Editor, Risk Magazine		STREAM FOUR: Quantitative insight into portfolio & risk management Mauro Cesa, Technical Editor, Risk Magazine
11:10	Implementing a High Frequency Trading strategy that works Micro analysing liquidity, volatility and impact Controlling costs - order positioning, entry and exit timing and sizing Holding periods - long, short and very short Directional forecasting for trends, reversions and inversions Measuring and modelling physical environment execution risks - market state, placement timing and external data latency The data torrent - dealing with quantity and noise Mark Holt, Head of Systematic Implementation, BLUECREST CAPITAL	Serving two masters: pension funds are expected to deliver real retirement benefits but regulation is nominal? Quantifying real targets under nominal constraints Asset allocation is part of the solution Adjusting risk budgets ALM modelling is the key Michael Preisel, Chief Quantitative Officer, Quantitative Research, ATP
11.50	Understanding the profound consequences of cross-asset correlations Cross asset correlations have dramatically increased since the crisis The persistence of these correlations is indicative of a single dominant factor driving markets Using principal component analysis (PCA), this factor can be identified, tracked and understood The consequences for asset allocation are profound as many assets no longer trade on their own fundamentals In this talk we look at the phenomenon and the options available to asset managers Stacy Williams, Head of Quantitative Strategy, HSBC	Anatomy of incremental risk charge models - examining modelling alternatives and identifying relevant parameters for practical implementation Regulatory Requirements and Quantitative Results A discussion of modelling alternatives Relevant Model Parameters in IRC models Outlook Marcus Martin, Professor for Financial Mathematics and Stochastics, UNIVERSITY OF APPLIED SCIENCES DARMSTADT (Germany)
12:30	Lunch and an opportunity to network
13.30	EXECUTIVE ADDRESS: Stochastic Local Volatility Discrete versus continuous models Volatility interpolation using a single time step in an implicit finite difference grid Discrete backward and forward equations for finite difference grids Calibration and simulation of stochastic local volatility models in a finite difference model Jesper Andreasen, Universal Head of Quantitative Research, DANSKE BANK (Risk Awards 2001, Quant of the Year)
14.10	Executive address: Quantitative techniques and their use controlling risk - a CRO's perspective Richard Goulding, Group Chief Risk Officer, STANDARD CHARTERED BANK
15.00	Afternoon break and an opportunity to network
15.30	Neural networks for systematic trading Background and motivation Comparison to various linear models Differentiating architectures and topologies Estimation, training and evaluation Relative performance of assorted networks Implementation recommendations Kevin Warner, Portfolio Manager, TOWER RESEARCH CAPITAL	From art to science: technology of innovation "Financial weapons of mass destruction" Bayesian lessons for payout structuring The origins of safety Information as the ultimate asset class Andrei Soklakov, Model Risk & Analytics, DEUTSCHE BANK AG
16.10	Modelling for High Frequency Algorithmic Trading Importance of market microstructure short-term liquidity modelling quantitative modelling of information events Robert Almgren, Visiting Scholar and Adjunct professor in Financial Mathematics Courant Institute of Mathematical Sciences NEW YORK UNIVERSITY	Combined limitations on modelling by real world measure and risk management requirements Method limitations: AMC Conditionality on Default Stochastic Processes Sub-optimality Vladimir Chorniy, Head of Risk Methodology and Analytics, Group Risk Management, BNP PARIBAS Sebastian Venus, Risk Methodology and Analytics, Group Risk Management, BNP PARIBAS
16:50	Chairman's closing remarks
17.00	End of conference