CIM PROGRAMS AND ACTIVITIES

PRMIA Risk Management Seminars 2009-10

PRMIA Risk Management Seminar:
Commodities/Energy Risk Management

1. Hilary F. Till, Research Associate, EDHEC-Risk Institute, and Principal, Premia Capital Management (Chicago),

• Topic: "Intelligent commodity investing".
  • Latest risk-management techniques in commodity-futures investing
  • Has There Been Excessive Speculation in the US Oil Futures Markets:
    What Can We (Carefully) Conclude from New CFTC Data?
  • Update on commodity product innovations

2. Jeff Mantel, Ph.D., CEO, MantelGroup, www.mantelgroup.com (New Jersey)

• Topic: Impending regulatory change
  • Will position limit decisions fall to the exchanges or some greater regulatory body?
  • If there are hard position limits for even the large hedge funds (like Centaurus), will liquidity be adversely affected? If a producer wants to sell three years forward but consumers do not hedge until one year out, then who buys the 2-3 year gas if there isn’t a sufficiently large speculative component to the market?
  • The indirect effect on liquidity of the “too big to fail” regulations and potential breakup of the large firms into smaller firms.

3. Nedia Miller is the founder of MILLER CTA, an energy trading and advisory firm, and member of CME GROUP (New York)

• Topic: “Oil Price Risk and Hedging Strategies".

  The lecture will begin with a brief overview of the current status of the oil markets. The discussion will then focus on the interdependence of oil price risk and related risks. Strategies to hedge oil price risk will be presented and the issue of speculation in the energy markets will be addressed. The perspective of portfolio managers who are commercial hedgers (i.e. producers, refiners, users) versus that of the non commercial hedgers will be examined, and the best risk management tools for each to use. We will also discuss the reasons for the increasing number of new energy exchange traded funds. In closing we will look at the issue of speculation under the new regulatory environment.

We would like to thank RiskLab for sponsoring this event!

PRMIA Risk Management Seminar: Model Limitations and the Credibility of the Risk Management Function in Valuing Illiquid Securities

Dan Rosen (R2 Financial Technologies)
Re-Thinking Valuations: The Financial Crisis, Illiquid Markets and the Limits of our Models

Regulators and industry associations have highlighted the need for transparency and better governance around valuations, as well as the inadequacy of many standard valuation and risk modelling approaches used by industry participants. For example, valuations have often relied too heavily on external credit ratings and dealer quotes. When dealing with complex structures and markets with limited liquidity, it is important to understand the meaning and use of a “price”. In this session, Dan will discuss current challenges on valuations, as well as some evolving best-practices we are re-learning as the global banking system is coping with the legacy of the crisis. We draw some examples, from the marking of seemingly “simple” books of credit instruments, to more complex structured finance and the inclusion of counterparty credit risk (CVA). As an industry, we must acknowledge the sometimes “heroic” assumptions in our models and the limitation of the information which we can reasonably extract from the market. In addition, it is vital to effectively incorporate expert judgement and develop explicit model risk and stress testing approaches which can help us better understand the behaviour of instruments and portfolios, together with their risks and “Knightean” uncertainties we could be facing.

Marcus Cree (SunGard Capital Markets and Investment Banking)
The Central Role of the Risk Management Function and its Credibility

Organizations that invest in developing their risk infrastructure will be positioned to navigate the internal and external pressures being placed upon risk management, including credible pricing capabilities. But is that enough to achieve a successful risk culture? Within this session, Marcus will cover the core elements required for a risk framework that encompasses both production and distribution and enriches the credibility of the risk management function – especially in light of the issues raised by Dan Rosen earlier in the session. How does the risk management function become the center of excellence in valuations and risk methodologies and calculations? How can the risk management function become the communication hub between complex risk taking and senior management risk strategy? Can the right infrastructural design empower the risk management function and allow a truly credible culture of risk to flourish? These are some of the questions Marcus will explore.

PRMIA Risk Management Seminar
David M. Rowe (David M. Rowe Risk Advisory)
Why Risk Management Has Lost Credibility and What to Do About It

Some topics to be explored:

• Statistical Entropy -- the inherent limits of quantitative tools
• Structural Imagination -- the neglected dimension of risk analysis
• Self-Referential Feedback -- some trends foster the seeds of their own destruction
• Complexity and Dark Risk -- opacity breeds hidden dangers
• Alternate Means of Valuation -- ignore a possible failure of liquidity at your peril
• A framework for Dark Risk Diagnosis -- from Black Swans to Gray Swans

TBA

Valuation methods for most fixed income securities are consistent with each other. In particular, the valuation of callable bonds and cancellable swaps assume rational option exercise.

The notable exception is MBS, where prepayment models are based on history and the refinancing option is not modeled explicitly. Unintended consequences include hedging errors and inconsistency in the interpretation of option-adjusted spread.

The solution is true option-based valuation of MBS, including calibration to market prices of liquid securities.

PRMIA Risk Managment Seminar and Round Table
PRACTITIONER'S ROUND TABLE: The Incremental Risk Charge in Basel II

Roundtable Experts:

1. Alex Levin, PhD, Director, Methodology, Market & Trading Credit Risk, RBC
2. Mark Staley, PhD, AVP, Risk and Capital Modeling, TD Bank Financial Group
3. Philippe Fischer, PhD, Director, Market Risk Management Analytics, Scotiabank
4. Greg Frank, PhD, VP, Risk Analytics, CIBC Capital Markets
5. Ben De Prisco, CFA, MBA, SVP, Research & Financial Engineering and Capital Management Solutions, Algorithmics Inc.
6. Dan Rosen (moderator), PhD, CEO, R2 Financial Technologies

PRMIA Risk Managment Seminar - Operational Risk Event
Pierre G. Noel, Worldwide Executive, Risk Management & Information Security, IBM Corp
Bringing Operational Risk Management to the Boardroom Table

We consider some of the questions around involving the Board in Operational Risk Management: What are the elements to consider when involving the Board? What components of corporate governance should be communicated and addressed by the Board? What are the steps in deploying and communicating a Risk Management Project? These questions are directly derived from personal experience in bringing ERM to the Board of Directors of a handful of Fortune 1000 companies in the USA, Europe and Asia.

Postponed to 2010

PRMIA Risk Managment Seminar and Round Table
Speaker TBA
Principles for Sound Stress Testing Practices and Supervision

Sponsored RiskMetrics Group