7th Annual Risk Management Conference:
Risk Management in the New Normal
Policy Forum
Thursday, 11 July 2013
8.00 – 8.30
Breakfast and Registration
8.30 – 8.40
Welcome and Introductory Remarks
8.40 – 10.00
The New Regulatory Paradigm
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Treatment of OTC derivatives under new bank capital regulations including CVA
New clearing and reporting requirements under Dodd-Frank act
Cross-jurisdiction regulatory conflicts and resolution mechanisms
Regulating risk policy, risk controls and aligning incentives
Session chair: Lutfey Siddiqi, Managing Director, UBS and Adjunct Professor, NUS-RMI
David Dredge, Co-Chief Investment Officer, Fortress Convex Strategies Group, Fortress
Investment Group
Jacqueline Loh, Assistant Managing Director, Policy, Risk & Surveillance, MAS
Frankie Phua, Executive Director and Head of Credit and Country Risk Management
Division, UOB
Jing Yang, Senior Economist, Monetary and Economics Department, BIS
10.00 – 10.30 Coffee Break
10.30 – 11.30
CRO Panel
 The CRO’s role in setting the right risk culture
 The CRO’s role in creating risk consciousness in the Board
 Does the broader role of today’s CROs require them to be less quantitative or more
quantitative?
 Is enterprise-wide risk management (across risk types and across businesses)
possible or is it just a mirage?
Session chair: Gopalan Vedartham, Managing Director and Head of Market Risk, Asia
Pacific, Barclays Bank
Jeanne Short, Chief Risk Officer, Asia-Pacific, UBS Investment Banking and Group
Anju Patwardhan, Country Chief Risk Officer, Standard Chartered Singapore
Gilbert Kohnke, Chief Risk Officer & Executive Vice President, Group Risk Management,
OCBC Bank
11.30 – 12.40
Monetary Policy and Global Liquidity Trends
Session chair: Yiu Siu-Fung Matthew, Group Head and Lead Economist, ASEAN+3
Macroeconomic Research Office (AMRO)
Quantitative Easing: Mind Your Ps and Qs
 QE as an effort to influence interest rates at longer maturities, thus taking on duration
and credit risk on to the central bank balance sheet
 Monetary policy/liquidity by policy makers is an instrument to affect nominal GDP
growth (PQ) and balance the split between changes in P (inflation) and changes in Q
(real GDP growth)
 Current monetary policy settings in US/JP/UK are extraordinary, making calibration of
policy very difficult and potentially undermining inflation/asset price expectations
Don Hanna, Managing Director, Global Liquid Markets Group, Fortress Investment
Group
Mapping Japan's Economic Future
 The mechanics of BoJ's new easing, what's working and what's not
 Mapping Japan's economy, its past, present and future
 Three scenarios for Japan between 2013-2020
Takuji Okubo, Principal, Chief Economist, Japan Macro Advisors
Indexing, Anticipating and Trading Fixed Income Market Volatility
 Historical perspective on capital market volatility
 New developments in fixed income volatility indexing and trading: the CBOE Swap
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Volatility Index (SRVX ) and the CBOE/CBOT 10-year US Treasury Volatility Index
SM
(VXTNY )
 Rate bubbles: quantitative easing, exit strategies and fixed income market volatility
Antonio Mele, Professor of Finance, University of Lugano & Senior Chair, Swiss Finance
Institute
12.40 – 14.00
Lunch
14.00 – 14.50
Stress Testing
Session chair: Trevor Persaud, Managing Director, ASEAN and Taiwan, Russell
Investments
Comprehensive Stress Testing
 Developing and applying useful scenarios
 Credit stress testing
 Building a comprehensive stress testing capability (Balance-sheet size, Market risk,
Liquidity risk, Income, Cost, Funding, Capital supply)
 Incorporating management action
 Regulatory and industry trends
Jeffrey Bohn, Head of the Risk and Regulatory Practice within Financial Services
Consulting, PricewaterhouseCoopers Japan KK
Stress Testing with RMI’s Bottom-Up Corporate Default Prediction Model
 Overview of the current version of the corporate default prediction model maintained
by RMI
 Stress scenarios and how general macroeconomic stress variables are linked to the
input variables of the RMI model
 Case analysis on ASEAN 5, US and Eurozone
Jin-Chuan Duan, Director, NUS-RMI and Cycle & Carriage Professor of Finance, NUS
14.50 – 15.30 Session I: New Strategies for Credit and Portfolio Risk Management in Asia
(Jointly organized with IACPM)
Benchmarking Results of 2013 IACPM and McKinsey & Company Survey
 Defining the business and risk framework for CPM in Asia: business strategy, risk
appetite
 Managing credit and portfolio risk where credit markets are not liquid
 Practical implementation of credit and portfolio risk management in Asia: stress
testing; credit approvals; pricing/return metrics
 Challenges looking forward
Uwe Stegemann, Director/Senior Partner, McKinsey & Company
15.30 – 16.00
Coffee Break
16.00 – 17.00
Session II: Applied Issues in Credit Portfolio Risk Management
(Jointly organized with IACPM)
Moderated Panel Discussion with Survey Participants
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Evolving trends in risk and credit portfolio management
Current governance and risk frameworks in practice
Assessing changes in risk appetite
Future trends in risk and credit portfolio management and outlook for the industry
Moderator: Marcia Banks, Associate Director, IACPM
Wirawat Panthawangkun, Executive Vice President, Chief Risk Officer and Head of
Enterprise Risk Management Division, Kasikornbank
Uwe Stegemann, Director/Senior Partner, McKinsey & Company
Benoit Stroesser, Senior Credit Portfolio Manager, JPMorgan Chase
Seamus Toal, Deputy Chief Risk Officer, DBS
17.30 sharp
Meet at lobby for transport to conference dinner venue
Organized by the Risk Management Institute (RMI) in collaboration with the
International Association of Credit Portfolio Managers (IACPM).