Risk Management Conference






















KEY

IN - Introductory Sessions

PPM - Program & Policy Management

AI - Alternative Investments

FI - Fixed-Income Applications

EQ - Equity Applications






























































KEY

IN - Introductory Sessions

PPM - Program & Policy Management

AI - Alternative Investments

FI - Fixed-Income Applications

EQ - Equity Applications









































KEY

IN - Introductory Sessions

PPM - Program & Policy Management

AI - Alternative Investments

FI - Fixed-Income Applications

EQ - Equity Applications









































KEY

IN - Introductory Sessions

PPM - Program & Policy Management

AI - Alternative Investments

FI - Fixed-Income Applications

EQ - Equity Applications









































KEY

IN - Introductory Sessions

PPM - Program & Policy Management

AI - Alternative Investments

FI - Fixed-Income Applications

EQ - Equity Applications









































KEY

IN - Introductory Sessions

PPM - Program & Policy Management

AI - Alternative Investments

FI - Fixed-Income Applications

EQ - Equity Applications






























































KEY

IN - Introductory Sessions

PPM - Program & Policy Management

AI - Alternative Investments

FI - Fixed-Income Applications

EQ - Equity Applications


16th Annual Risk Management Conference

 Main Page

RMC Home page

16TH ANNUAL RISK MANAGEMENT CONFERENCE PROGRAM

(CODE KEY)

IN = Introductory Sessions
For conference delegates who consider their futures and options derivatives knowledge and skills to be at a very 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 end-user delegates of all knowledge and skill levels.

EQ = Equity Application Sessions
For conference delegates who consider their futures and options derivatives 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 derivatives knowledge and skills to be at an intermediate to advanced level.

AI = Alternative Investment Sessions
Sessions focused on current theory and research with regards to the use of derivatives in alternative investment strategies. For conference delegates who consider their futures and options derivatives knowledge and skills to be at an intermediate to advanced level.

Wednesday, January 26


1:00 p.m. – 1:30 p.m.

REGISTRATION FOR FUNDAMENTAL WORKSHOP SERIES PARTICIPANTS
The Fundamentals of Exchange-Traded Derivatives: Concepts and Applications
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 Wednesday afternoon and continue through Thursday afternoon.

1:30 p.m. – 3:15 p.m.

The Fundamentals of Exchange-Traded Derivatives: Concepts and Applications
Part I—Futures Market Evolution and Fundamentals – IN

  • The evolution of the futures market—cash to forward to futures contracts
  • The relevance of contract standardization and central clearing
  • The terminology and concepts of exchange-traded derivatives
  • Working definitions and examples
  • Financial futures market users
Patricia Mosley, Chicago Board of Trade

3:45 p.m. – 5:30 p.m.

The Fundamentals of Exchange-Traded Derivatives: Concepts and Applications
Part II—Option Market Fundamentals – IN

  • Differences between options and futures
  • Option rights comparisons: buyers’ and sellers’ rights and obligations
  • Option pricing fundamentals: option premiums, time and volatility implications
Paul B. Stephens, Chicago Board Options Exchange


4:00 p.m. – 6:00 p.m.

General Conference Registration


6:30 p.m. – 8:30 p.m.

Opening Reception



Thursday, January 27


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, Chicago Board Options Exchange
James P. McMillin, Director, Chicago Board of Trade

8:30 a.m. – 9:30 a.m.

Opening Address: Science and Technology in the 21st Century
Dr. Michio Kaku, Ph.D., City University of New York


9:45 a.m. – 10:45 a.m.

The Fundamentals of Exchange-Traded Derivatives: Part III—Basic Interest Rate Futures and Options 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
Sheldon Natenberg, Independent Trader

CFTC/SEC Update – EQ/FI

  • An update on recent regulatory changes
  • A glimpse at the upcoming agenda
Moderator: Andrea Kramer, McDermott, Will & Emery
Lawrence B. Patent, Commodity Futures Trading Commission
Mike Walinskas, Options Clearing Corporation


11:00 a.m. – 12:00 p.m.

The Fundamentals of Exchange-Traded Derivatives: Part III Continued—Basic Interest Rate Futures and Options Applications – IN

  • The appropriate use of market forecasts in investment objectives
  • Option utility, hedging convexity, option pricing, and the greeks
Carl Luft, DePaul University
Sheldon Natenberg, Independent Trader

Can the Futures Markets Predict Fed Action? – FI

  • The impact of FOMC interest rate decisions on world economies
  • How futures can be used to predict the probability of a Fed move
Glenn Havlicek, The Chase Manhattan Bank

The Business of Option Arbitrage – EQ

  • A behind-the-scenes look at proprietary equity and index option trading
  • Differences between investing, speculating, and market making
  • Trading and risk management
Chris Gust, Wolverine Trading
Jon Najarian, Mercury Trading


12:00 p.m. – 1:30 p.m.

Seated Luncheon


1:30 p.m. – 2:30 p.m.

The Fundamentals of Exchange-Traded Derivatives: Concepts and Applications:
Part IV—Basic Equity Futures & Options 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
Jim Bittman, The Options Institute
Gary Trennepohl, Oklahoma State University

The Latest FASB Developments – EQ/FI

  • How new FASB accounting standards will impact the way institutions account for derivatives instruments and hedging activities
  • A discussion of common risk management practices and policies and how they will be affected by the implementation of the latest standards
Diedre Schiela, Price Waterhouse Coopers

Structuring Downside Protection – EQ/FI

  • A checklist on all the details
  • Policy formation and implementation
  • The view from the investment committee
Steve Richey, First Quadrant
Mark Billings, Aesop Capital Partners, LLC


2:45 p.m. – 3:45 p.m.

The Fundamentals of Exchange-Traded Derivatives: Concepts and Applications
Part IV Continued—Basic Equity Futures & 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
Gary Trennepohl, Oklahoma State University

Derivatives and Fixed-Income Portfolio Management – FI

  • Why diligent management of the fixed-income segment of a portfolio has become even more critical
  • A discussion on the use of derivatives to manage fixed-income assets, including hedging as well as measuring and managing duration
Ron Stapleton, Shell Oil Corporation
Randall Kirkland, Asset Consulting Group

Management of Concentrated Stock Positions – EQ

  • Strategies involving standard listed options and FLEX™ options
  • Diversification techniques
  • Regulatory and tax issues
Andrea Kramer, McDermott, Will & Emery
Michael Leon, The Northern Trust Company


4:00 p.m. – 5:00 p.m.

The Fundamentals of Exchange-Traded Derivatives: Concepts and Applications
Part V—Getting Started – IN

  • What you need to know to start using futures and options
  • Interacting with professionals who specialize in futures & options
  • Question & answer opportunity
Tully Davia, Chicago Board Options Exchange

Cash Securitization and the Use of Derivatives – FI

  • How to manage your portfolio when the cash allocation falls outside the specifications of your fund’s policy or when your managers are holding too much cash
  • A discussion on using futures to securitize cash in your portfolio as part of the asset allocation process
Robert Smith, Florida State Board of Administration

Performance of Hedged Equity Strategies – AI/EQ

  • Index and equity options in active and passive asset management
  • Theoretical and empirical results: academic evidence
  • A practitioner’s viewpoint
Walter G. Sall, Gateway Investment Advisors, L.P.
Tom Schneeweis, University of Massachusetts


7:00 p.m. – 10:00 p.m.

The Sponsors Dinner & Dessert Party


Friday, January 28


7:30 a.m. – 8:00 a.m.

Continental Breakfast

8:00 a.m. – 9:00 a.m.

Keynote Address: Financial Outlook for the Year 2000

Peter Canelo, U.S. Strategist, Morgan Stanley Dean Witter


9:15 a.m. – 10:15 a.m.

The Technology of Risk Management – PPM

  • What risk assessments do the federal regulatory agencies and top corporate management require?
  • What software is available to measure risk?
Moderator: Maile Hulihan, Treasury and Risk Management magazine
Cassio Cali, IBM Corporation
Peter Sprudzs, Capital One


Forecasting Volatility – EQ/FI

  • Developing a profitable volatility forecasting model
  • Perspectives on current volatility trends in equity and fixed-income markets
R. Scott Morris, The Hull Group
Murali Ramaswami, Lehman Brothers


10:30 a.m. – 11:15 a.m.

Operational and Custodial Issues in Managing Derivatives Portfolios – PPM

  • Meeting financial guidelines imposed by clients
  • Reporting in financial statements and client meetings
Donald S. Rieck, The Northern Trust Company

Current Trends in Tactical Asset Allocation – EQ/FI

  • Why proper asset allocation is said to be the most important facet in meeting investment return objectives
  • A description of the current trends in establishing optimal asset allocation weights and the role of derivatives
Jay Feuerstein, Bear Stearns Speaker TBD
Jeff Knight, Putnam Company

Global Portfolio Management and the Impact of EMU – EQ/FI

  • The impact of European Monetary Union on the global markets
  • A discussion on how the Euro has impacted portfolio management
Gerald Hanweck, Jr., J.P. Morgan
Larry Newhook, Ontario Municipal Employees Retirement System


11:30 a.m. – 12:15 p.m.

The Role of the Consultant in Derivatives Implementation – PPM

  • Interfacing with plan sponsors and money managers
  • Evaluating strategies and tactics
Jonathan D. Muehl, CFA, Buck Consultants

How a Hedge Fund Uses Derivatives in Corporate Action Arbitrage – EQ

  • Valuation and hedging optionality in merger arbitrage
  • Establishing synthetic short equity positions
  • Tactical option use: a recent example
Patrick Hess, University Capital Strategies

Option Portfolios as Alternative Investments – AI

  • Why institutions are increasingly building portfolios of funds with different styles and low correlations to diversify their investments
  • A discussion of how option portfolios can be used to control risk and enhance returns in any market environment
Joseph Reynoso, Anteros Capital Markets


1:00 p.m.

Lunch and Golf or Tennis Tournament


7:00 p.m. – 10:00 p.m.

Risk Management Dinner and Party


Saturday, January 29


9:00 a.m. – 11:00 a.m.

Featured Panel Discussion:
Alternative Investments: Convergent and Divergent Strategies
Sponsored by the New York Mercantile Exchange

  • Worldviews underlying the return generation process—assumptions, features, and examples of convergent and divergent investing
  • The role of skill in alternative investment management: asset class selection, trading methodologies, and risk control
Moderator:
Randy Warsager, New York Mercantile Exchange

Panelists:
David Hsieh, Ph.D., Duke University Fuqua School of Business
Mark S. Rzepczynski, Ph.D., John W. Henry & Co.
Richard Huddleston, City of Detroit Retirement Systems



Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Copies of this document are available from your broker or the Chicago Board Options Exchange, 400 S. LaSalle Street, Chicago, IL 60605.