The Risk Management Conference

 
 
KEY

AI-Alternative Investments

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

 
KEY

AI-Alternative Investments

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

 
KEY

AI-Alternative Investments

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

 
KEY

AI-Alternative Investments

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

 
KEY

AI-Alternative Investments

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

 
KEY

AI-Alternative Investments

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management

 
KEY

AI-Alternative Investments

EQ - Equity Applications

FI - Fixed-Income Applications

IN - Introductory Sessions

PPM - Program & Policy Management


20th Annual Risk Management Conference

Main Page

Home Page  |  Overview  |  Program Sponsors  |  Sponsorship Opportunities
Conference Program  |  Registration Discounts  |  Registration Fee Schedule
Golf Tournament Registration  |  How To Register  |  Hotel Accommodations
Travel Accommodations  |  Frequently Asked Questions  |  CPE Credits
Previous Conferences

 

20th ANNUAL RISK MANAGEMENT CONFERENCE PROGRAM

EQ = Equity Applications
Sessions related to the use of exchange-traded futures and options on equities and equity indices.

FI = Fixed-Income Applications
Sessions that focus on exchange-traded futures and options on U.S. Treasury, Eurodollar, swaps, or other interest rate related instruments.

AI = Alternative Investments
Sessions that deal with non-traditional asset classes such as hedge funds or managed futures.

IN = Introductory Sessions
Sessions that cover basic information on futures and options, such as terminology and basic concepts.

PPM = Program and Policy Management
Sessions that discuss issues related to risk management programs and derivative policy development and implementation.

SUNDAY, FEBRUARY 22

12:00 pm – 12:30 pm
REGISTRATION FOR FUNDAMENTALS WORKSHOP SERIES PARTICIPANTS
Fundamentals of Exchange-Traded Derivatives
A Six-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 in order to incorporate derivatives into a risk management program. Sessions begin Sunday afternoon and continue through Monday afternoon, and are geared toward those with little or no background in exchange-traded derivatives.

12:30 pm – 1:45 pm
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, Associate Director, Equity Products, Chicago Mercantile Exchange

    2:00 pm – 3:15 pm
    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
    Patricia J. Mosley, Director, Business Development, Chicago Board of Trade

    3:30 pm – 4:45 pm
    Fundamentals of Exchange-Traded Derivatives:
    Part III – Options Market Fundamentals – IN
  • Contract mechanics; rights and obligations
  • Examples of various options strategies, including covered calls and protective puts
  • Options pricing dynamics and implications for making trading decisions
    Paul B. Stephens, Director Institutional & International Business Development, Chicago Board Options Exchange

    4:30 pm – 5:30 pm
    General Conference Registration

    6:00 pm – 8:00 pm
    Opening Reception

     

    MONDAY, FEBRUARY 23

    7:30 am – 8:15 am
    Conference Registration
    Continental Breakfast

    8:15 am – 8:45 am
    Conference Welcome
    William J. Brodsky, Chairman and CEO, Chicago Board Options Exchange
    Bernard W. Dan, President and CEO, Chicago Board of Trade
    Craig Donohue, CEO, Chicago Mercantile Exchange

    8:45 am – 9:30 am
    Keynote Address –
    The Growing Role of Portfolio Trading to Minimize Costs and Increase Efficiency.
    Diane M. Garnick, Chief U.S. Portfolio Strategist, Dresdner Kleinwort Wasserstein

    9:45 am – 11:00 am
    Volatility Measurement and Analysis – EQ
  • Analysis of VIX, VXO, variance swaps and volatility swaps
  • Returns from investing in variance
  • Empirical performance of various volatility indicators as predictive tools
    Peter Carr, Head of Quantitative Research, Bloomberg/NYU
    Liuren Wu, Associate Professor of Finance, Baruch College

    The Investment Management Framework at Freddie Mac – PPM
  • Framework used for asset allocation, debt execution and risk management decisions at Freddie Mac
  • Analytical framework and key models used to make these decisions
  • Results of risk management
    Nazir Dossani, Senior Vice President of Investments, Acting Head of Funding, Freddie Mac

    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, Professor of Finance, DePaul University

    11:15 am – 12:30 pm
    Trading Volatility – EQ
  • Implications of trading volatility as an asset class
  • Determining whether volatilities are cheap or overvalued
  • Tactics for efficient implementation
    Kevin Duggan, Director of Volatility Trading and Strategy, Ontario Teachers' Pension Plan Mika Toikka, Managing Director, Global Head of Quantitative Equity Derivative Strategy, Credit Suisse First Boston

    New Tools for Enhancing Corporate Bond Portfolio Management – FI
    A hands-on workshop on the efficiencies and advantages of swap futures in fixed income portfolio management.
  • Characteristics of swap futures and how to structure a corporate bond hedge for superior hedge efficiency relative to alternatives
  • Duration management, locking in alpha and trading strategies
    Nick Ronalds, Senior Vice President, ABN AMRO
    Karl D. Sahlin, Investment Officer, Russell Investment Group

    Fundamentals of Exchange-Traded Derivatives:
    Part V – Equity & Fixed Income 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, Senior Staff Instructor, The Options Institute

    12:30 pm – 1:45 pm
    Seated Luncheon
    Luncheon Address: Analyzing the Pervasive Curse
    Diane M. Garnick, Chief U.S. Portfolio Strategist, Dresdner Kleinwort Wasserstein

    1:45 pm – 3:00 pm
    How Risk Managers Aim to Eliminate Uncompensated Risk – AI
  • Determining appropriate risk factors
  • Risk budgeting
  • Incorporating derivative products
    Jack Mosevich, Ph.D., Executive Director, UBS Global Asset Management
    Lance Smith, Ph.D., CEO and Co-Founder, Imagine Software

    Option Overlay Applications for Fund Sponsors – PPM
  • Enhancing Portfolio Yield
  • Protecting Asset Values
  • "Monetizing" Rebalancing Decisions
    Jack L. Hansen, Chief Investment Officer and Principal, The Clifton Group
    L. Robert Frazier, Assistant Treasurer for Asset Management, Kimberly-Clark Corporation

    Fundamentals of Exchange-Traded Derivatives:
    Part VI – Equity Futures Applications – IN
  • What "fair value" means for users with different objectives, funding costs, and investment yields
  • Six practical equity index futures strategies that portfolio managers can use
    Gary Trennepohl, President, Oklahoma State University - Tulsa

    3:15 pm – 4:30 pm
    Using Derivatives to Achieve Reliable, Risk-Controlled Index Returns (Beta), plus Structural Alpha – EQ
  • Replication using derivatives
  • Portable alpha strategies designed to capture structural returns
  • Additional benefits – asset allocation efficiency, liquidity, transparency, scalability
    Sabrina Callin, Senior Vice President, PIMCO

    New Strategies, New Markets – AI
    An integrated approach to creating, developing and managing absolute return alternative investment strategies.
  • Examining the process of creating forecasts that become investment strategies
  • Combining advanced technology with sophisticated trading and asset management skills to jointly create an investment vehicle
    Dr. Martin Kuehrer, Managing Director, Siemens AG
    Paul Wolfe, Senior Vice President, Ritchie Capital Management
    Thomas Sablosky, Founder and President, TreeTop Capital Management

    The Changing Landscape of Interest Rate Derivatives – FI
  • The current environment for exchange-traded fixed income derivatives
  • New trends in risk management applications
    David Boberski, Managing Director, Head of Interest Rate Strategy, Bear Stearns

     

    TUESDAY, FEBRUARY 24

    7:30 am – 8:00 am
    Continental Breakfast

    8:00 am – 9:00 am
    Opening Address: Market Signals: What The Financial Markets are Telling Us Now
    Peter F. Ricchiuti, Clinical Professor of Business Administration, Assistant Dean, A.B. Freeman School of Business, Tulane University

    9:15 am – 10:30 am
    Advanced Volatility Considerations in Fixed Income Options– FI
    How traders modify volatility to better model option prices and quantify risk in the real world.
  • Volatility characteristics and the term structure of volatility
  • Volatility skews
  • Modeling volatility
    Sheldon Natenberg, Director of Educational Programs, Chicago Trading Company

    International Equity Portfolio Design – EQ
  • Enhanced index replication through the use of derivatives 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, Vice President, Derivative and Indexed Investments, Ontario Municipal Employee Retirement System (OMERS)

    Technical Asset Allocation: Dιjΰ Vu All Over Again? – PPM
    Why institutional investors seeking new sources of alpha are taking a new look at quantitative portfolio management techniques.
  • Tactical vs. strategic asset allocation
  • Advantages of incorporating derivatives into a TAA strategy
    Lawrence Pohlman, Director of Research, PanAgora Asset Management

    10:45 am – 12:00 pm
    The Art and Science of Equity Derivative Trading – EQ
  • Active vs. passive approaches to yield enhancement
  • Tactical issues in entering and exiting positions
  • Getting best execution
    Laura Friedman, Director of Portfolio Management and Trading, CSFB Volaris
    Robert Wilson, Chief Options Strategist, Susquehanna International Group

    Trends in Fixed Income Indexing – FI
    New approaches to incorporating fixed income indices into portfolio management.
  • Characteristics of an effective fixed income index
  • Portfolio management applications
    Thomas Kelly, Adjunct Professor of Finance, University of Illinois at Chicago

    Key Market Trends in Index & ETF Options and Equity Derivatives – PPM
  • Investors’ current and preferred use of index/ETF options products
  • Key drivers of increased usage & liquidity
  • Profile of evolving broker landscape
    Steve Busby, Principal, Greenwich Associates
    Jay Bennett, Managing Director, Greenwich Associates

    12:30 pm
    Golf Tournament

    7:00 pm – 10:00 pm
    Island Paradise Party



    WEDNESDAY, FEBRUARY 25

    8:15 am – 9:00 am
    Continental Breakfast

    9:00 am – 10:45 am
    Special Session:
    Institutional Investors Address Current Issues in Funds Management
    Coping with lower than anticipated future investment returns, focusing on preservation of capital, managing total investment risk, reducing overall cost, executing proper asset allocation and portfolio rebalancing. In the current "post market bubble " environment, the successful management of large pension fund/endowment assets to enhance returns and hedge against downside risk has become more critical than ever. What role does the proper use of derivatives play in that mission? Institutional investors discuss their approach to directly addressing the challenges in managing their portfolios.

    Moderator:
    Randy Kirkland, Vice President and Senior Consultant, Asset Consulting Group

    Panelists
    Qui Vuong, Chairman, National Association of Investment Fiduciaries
    Rob Smith, Senior Director of Portfolio Management, Florida State Board of Administration
    Mark Yusko, President and CEO, UNC Management Company, Inc.


    10:45 – 11:30
    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, Senior Managing Director, Business Development, OneChicago, LLC

    11:30
    Conference Ends