19th Annual Risk Management Conference

KEY

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

KEY

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

KEY

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

KEY

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

KEY

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

KEY

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

KEY

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

19TH ANNUAL RISK MANAGEMENT CONFERENCE PROGRAM

19TH ANNUAL RISK MANAGEMENT CONFERENCE PROGRAM
(CODE KEY)
EQ = Equity Application Sessions
For conference delegates who consider their futures and options knowledge and skills to be at an intermediate to advanced level.

FI = Fixed-Income Application Sessions
For conference delegates who consider their futures and options knowledge and skills to be at an intermediate to advanced level.

IN = Introductory Sessions
For conference delegates who consider their futures and options knowledge and skills to be at a basic level.

PPM = Program & Policy Management Sessions
Sessions focused on the relevant issues pertaining to the development of risk management programs and derivative policy implementation. For conference delegates who have derivatives knowledge and skills at any level.

Sunday, March 23

12:00 p.m. - 12:30 p.m.
REGISTRATION FOR FUNDAMENTAL WORKSHOP SERIES PARTICIPANTS
Fundamentals of Exchange-Traded Derivatives Workshop
A Seven-Session Workshop Series
This comprehensive workshop series covers the basic concepts and applications that corporate treasurers, plan sponsors, and others with investment management responsibilities need to understand to incorporate derivatives into a risk management program. Sessions begin Sunday afternoon and continue through Monday afternoon.

12:30 p.m. - 1:45 p.m.
Fundamentals of Exchange-Traded Derivatives: Part I-Listed Derivatives Overview - IN

Determine where you are on the learning curve
Give and take introduction to derivatives and hedging strategies
Terminology, concepts and landscape of exchange-traded derivatives

David Lerman, Chicago Mercantile Exchange

2:00 p.m. - 3:15 p.m.
Fundamentals of Exchange-Traded Derivatives: Part II-Futures Market Fundamentals - IN

The evolution of the futures market-cash to forward to futures contracts
Futures pricing theory and practice
Using futures for investment and risk management purposes

Ted Ehret, Chicago Board of Trade

3:30 p.m. - 4:45 p.m.
Fundamentals of Exchange-Traded Derivatives: Part III-Options Market Fundamentals - IN

Contract mechanics: rights and obligations
Examples of various options strategies including covered calls, protective puts and more
Options pricing dynamics and implications for making trading decisions

Paul B. Stephens, Chicago Board Options Exchange

4:30 p.m. - 5:30 p.m.
General Conference Registration

6:00 p.m. - 8:00 p.m.
Opening Reception

Monday, March 24

7:30 a.m. - 8:00 a.m.
Conference Registration
Continental Breakfast

8:00 a.m. - 8:30 a.m.
Conference Welcome
William Brodsky, Chairman and CEO, Chicago Board Options Exchange
C.C. Odom, Director, Chicago Board of Trade
James McNulty, President and CEO, Chicago Mercantile Exchange

8:30 a.m. - 9:15 a.m.
Opening Address:
Investor Behavior
Terrance Odean, Assistant Professor of Finance, Haas School of Business, University of California, Berkeley

9:30 a.m. - 10:45 a.m.
Fundamentals of Exchange-Traded Derivatives: Part IV-Interest Rate Futures Applications- IN

Scenarios appropriate for using futures to protect portfolio value in rising or declining markets
Bond pricing, CTD, hedge ratios, and duration management

Carl Luft, DePaul University

A Global Overview - EQ/FI

Key factors concerning investors in Asia, Europe and the U.S.
Investment ideas for 2003: Will a core-satellite approach reward investors? Do "absolute return" strategies work well in this environment?

Diane Garnick, State Street Global Advisors

Impact of Current Events on Corporate Derivatives - EQ

Usage of derivatives to manage capital structure and employee benefits exposure
Regulatory/market environment and its impact on future usage
Relevance for investment managers

Michael Collins, UBS Warburg

11:00 a.m. - 12:15 p.m.
Fundamentals of Exchange-Traded Derivatives: Part V-Interest Rate Options Applications - IN

The appropriate use of market forecasts in investment objectives
Option utility, hedging convexity, option pricing, and the Greeks

Sheldon Natenberg, Chicago Trading Company

Managing Credit Risk in a Corporate Bond Portfolio - FI

Major defaults & multiple downgrades: a review of the events of 2001-2002
The growth of the credit default swap market
Innovations in credit risk management for corporate bond portfolios

Galen Burghardt, Carr Futures Inc.
Vishwanath Tirupattur, Chubb Financial Solutions

The BXM BuyWrite Index & Capitalizing on the Mispricing of Equity Risk - EQ

Research on index option performance
Creation of a benchmark for covered call writing
Different perspectives of option market participants
Leveraging investors' fundamental knowledge

Heiko Ebens, Merrill Lynch
Bob Whaley, Duke University

12:15 p.m. - 1:30 p.m.
Seated Luncheon

1:30 p.m. - 2:45 p.m.
Fundamentals of Exchange-Traded Derivatives: Part VI-Equity Futures Applications - IN

An examination of a variety of "fair value" estimates of futures prices
What "fair value" means for users with different objectives, motivational impacts, funding costs, and investment yields

Gary Trennepohl, Oklahoma State University

The Changing Face of the Mortgage Industry - FI

Key issues surrounding the current mortgage landscape
The various risks confronting mortgage portfolios
Managing mortgage exposure in volatile interest rate environments

Steven Buisson, National City Mortgage Bank
Peter Taglia, FTN Financial Assets Corporation

Using Options in Asset Allocation for Institutional Portfolios - EQ

Integrating index options for rebalancing
Improving returns through combining volatility selling and asset class views
Risk/return analysis of combining option "overlay" strategies with asset allocation

Joanne Hill, Goldman Sachs
Ronald M. Egalka, Rampart Investment Management Company, Inc.

3:00 p.m. - 4:15 p.m.
Fundamentals of Exchange-Traded Derivatives: Part VII-Equity Options Applications - IN

An explanation of a unique two-step thinking process for options
Case studies involving practical option strategies for investors and traders

Jim Bittman, The Options Institute

Options and Alpha: They Go Together - EQ

Risks vs. return
Volatility: Friend or Foe?

Rick Roberts, First Quadrant

Are We in a New Market Paradigm? - EQ/FI

Lessons learned from 2001-2002 market dislocations
Recent financial industry trends that influence market dynamics
Long-term expected returns and future pressures on various industries

Leo M. Tilman, Bear, Stearns & Co. Inc.
Mark C. Abbott, Guardian Life Insurance Company of America

4:30 p.m. - 5:45 p.m.
Eurodollar Options: - FI

Which strategies to avoid, which to employ
Volatility measurements, PIN risk, cash vs. future settlement issues
What strategies and risk management techniques do market makers employ?

Peter Yastrow, Man Financial Inc.

Running the Duration Derby: A Comparison of Duration-Based Hedging Strategies - FI

Immunization with high power and low power risk measures
Enhanced duration hedging with swap futures
Are there more promising contenders?

David Boberski, Banc One Capital Markets
Marcelo Reyes, Central Bank of Chile

Visualizing Market Risks - EQ

A simple way of expressing the linkage between volatility and correlation
Differing roles of relative and absolute risk
How portfolio managers and plan sponsors can use this information

John Zerolis, Angle Vista LLC

7:30 p.m. - 10:00 p.m.
The Sponsors Dinner & Dessert Party

Tuesday, March 25

7:30 a.m. - 8:00 a.m.
Continental Breakfast

8:00 a.m. - 9:00 a.m.
Keynote Address:
David M. Blitzer, Ph.D, Managing Director and Chairman of the Standard & Poor's Index Committee, Standard & Poor's

9:15 a.m. - 10:30 a.m.
Evolving Fixed Income Benchmarks - FI
Eurodollar (and Euribor) futures and options volume has exploded in recent years and swapnote futures are beginning to emerge.

Recent trends in government bond futures and money market futures trading
The appetite for spread products and swap based futures

Galen Burghardt, Carr Futures Inc.

Tax-Exempt Bond Portfolios: Managing Risk and Return - FI

Is volatility in the equity markets driving institutional investors to municipal securities?
Techniques for managing risk in tax-exempt portfolios
Capitalizing on the relationship between the taxable and tax-exempt markets with relative value trading

David Madigan, DMJ Investments
Hilary Till, Premia Capital Management

Tactical Applications of Volatility Forecasts - EQ

Integrating options into portfolio management
A probabilistic approach to manage and exit positions
Strike selection and timing issues

Sheila Patel, Morgan Stanley
Victor Viner, Volaris Advisors

10:45 a.m. - 12:00 p.m.
International Equity Portfolio Design - EQ

Enhanced index replication through the use of derivative instruments
Using equity index futures to assist in efficient portfolio rebalancing
Using index and single stock options for risk management and yield enhancement

Robert Fotheringham, Ontario Municipal Employee Retirement System (OMERS)

Volatility Dispersion: Index vs. Single Stock Volatility - EQ

Relationships between index and single-stock implied volatilities
How various market participants capitalize on this trade
Dangers and pitfalls of the trades

Izzy Nelken, Super Computer Consulting, Inc.

Consultants R_x: Take What and Call Whom in the Morning? - PPM

What are the symptoms of an ailing portfolio?
How can plan sponsors avoid market pitfalls?
Consultant's prescription for risk management in the current market environment

Randy Kirkland, Asset Consulting Group
Jeffrey Nipp, Watson Wyatt Investment Consulting

12:30 p.m.
Golf or Tennis Tournament

7:00 p.m. - 10:00 p.m.
Risk Management Dinner and Party

Wednesday, March 26

8:30 a.m. - 9:00 a.m.
Continental Breakfast

9:00 a.m. - 10:30 a.m.
Sophisticated Trading and Risk Management Strategies using One Chicago's SSFs - EQ

Using Narrow-based indices to implement double alpha, zero beta strategies
Using futures on ETFs coupled with SSFs to outperform specific indexes
Strategies for prime brokers

Peter Borish, OneChicago, LLC
Michael Traynor, Susquehanna International Group, LLP