18TH 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 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
For conference delegates who consider their futures and options derivatives knowledge and skills to be at an intermediate to advanced level.

 

 

 

Thursday, January 31

 

 

1:00 p.m. – 1:30 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 Thursday afternoon and continue through Friday afternoon.

 

 

1:30 p.m. – 2:45 p.m.

Fundamentals of Exchange-Traded Derivatives: Part I—Futures Market Fundamentals – IN

·         The evolution of the futures market—cash to forward to futures contracts

·         The relevance of contract standardization and central clearing

·         Terminology, concepts and landscape of exchange-traded derivatives

Patricia J. Mosley, Chicago Board of Trade

 

 

3:00 p.m. – 4:15 p.m.

Fundamentals of Exchange-Traded Derivatives: Part II—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. – 5:45 p.m.

Fundamentals of Exchange-Traded Derivatives: Part III—Derivatives Literacy Quiz – IN

·         Determine where you are on the learning curve 

·         Give and take introduction to derivatives and hedging strategies

David Lerman, Chicago Mercantile Exchange

 

4:45 p.m. – 6:00 p.m.

General Conference Registration

 

6:30 p.m. – 8:30 p.m.

Opening Reception

 

 

 

Friday, February 1

 

 

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

Scott Gordon, Chairman, Chicago Mercantile Exchange
J. Andrew Wallace, Director, Chicago Board of Trade

 

 

8:30 a.m. – 9:15 a.m.

Opening Address:

William Rainer, Chairman, OneChicago, LLC and Former Chairman, Commodity Futures Trading Commission

 

9:30 a.m. – 10:45 a.m.

Featured Panel Discussion:
Single-Stock Futures – EQ

·         Regulatory, tax and contract details

·         Strategies and tactics for institutional investors

·         Outlook for liquidity providers

Moderator: Peter Borish, OneChicago, LLC

James Doughan, Susquehanna Partners

Matt Halperin, Putnam Investments

Mike Walinskas, The Options Clearing Corporation

 

11:00 a.m. – 12:00 p.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

Michael Tomas, Babson College

 

Enhanced Strategies…Anything But Average – EQ

·         Different approaches to improve performance

·         Enhanced strategies using derivatives

Diane Garnick, State Street Global Advisors

 

Implied Equity Volatilities – EQ

·         Analyzing volatility indexes

·         Current market conditions

·         Strategies for implementing views

·         The performance of a buy-write index

Scott Mixon, UBS Warburg

Robert Whaley, Duke University

 

 

12:00 p.m. – 1:30 p.m.

Seated Luncheon

1:30 p.m. – 2:30 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

 

Hedging Strategies: Evaluating the Alternatives – EQ

·         Defining a process to find the best hedge for your portfolio

·         Examining hedging alternatives

·         Finding value in the options market, defining a value philosophy

·         Tools to help you select/implement the best hedge

Ken Nakayama, Deutsche Bank Securities

 

New Methods in Risk Measurement for New Fund Structures – PPM

·         Why market neutral and other hedged strategies are making their way into pension funds

·         Risk analysis, stress testing and manager selection based on risk optimization

Kelsey Biggers, Measurisk

 

 

2:45 p.m. – 3:45 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

 

Swap Spreads and The Vanishing Surplus – FI

·         New benchmarks for non-treasury based debt

·         Factors affecting swap spreads

Tim Covington, Wells Fargo Home Mortgage
Pavan Wadhwa, Ph.D., J.P. Morgan Research

 

Consultants' Views on Plan Sponsor Use of Futures and Options – PPM

·         Why futures and options need not be feared

·         Case studies on working with plan sponsor boards

·         Results of an asset/liability modeling study

Randall Kirkland, Asset Consulting Group

Brian Murphy, Watson Wyatt

 

 

4:00 p.m. – 5:00 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

Implications of FAS 133 – PPM

·         Issues related to implementation of new hedge accounting standards

·         What’s in store for the future?

Lee Dixon, PriceWaterhouse Coopers

 

Interest Rate Derivatives: Theory and Applications – FI

·         Eurodollar options: something entirely different, eurodollar options as digitals

·         Butterflies as probability bets…forget Delta, Gamma and Theta

·         Bayesian roll up: how to value long-dated options

Stan Jonas, FIMAT

 

 

7:00 p.m. – 10:00 p.m.

The Sponsors Dinner & Dessert Party

Saturday, February 2

 

 

7:30 a.m. – 8:00 a.m.

Continental Breakfast

 

 

8:00 a.m. – 9:00 a.m.

Keynote Address: Reflections on Courage and Survival

Dr. John G. Stoessinger, Distinguished Professor of Global Diplomacy, University of San Diego

 

 

9:15 a.m. – 10:15 a.m.

What Have Financial Markets Learned From Recent Crises? - EQ/FI

·         How have financial markets typically responded to crises?

·         Do traditional risk management practices protect against catastrophes?

·         How institutions' policies have adjusted after the 1998 crisis

·         Market behavior in the wake of September 11 events

Leo M. Tilman, Bear, Stearns & Co. Inc.

Mark Abbott, Guardian Life Investments

 

 

Investment Portfolio Management with Derivatives – PPM

·         Formalizing a policy which includes derivatives

·         Current trends in risk management strategies

Robert Smith, Florida State Board of Administration

Brian Birnbaum, Ennis Knupp Investment Consultants

 

Fooled by Randomness: The Hidden Role of Chance – AI/EQ/FI

·         Rare events and problems in their estimation

·         Survivorship bias and data mining

·         General psychological biases in perceiving higher order randomness

Nassim Nicholas Taleb, Empirica Capital LLC

 

 

10:30 a.m. – 11:30 a.m.

Where Risk Finds a Home – FI

·         A discussion with two leading liquidity providers in Eurodollar futures and options

·         What happens after taking the opposite side of a large trade

·         How proprietary trading firms deal with risk management

Leslie Henner Burns, Independent trader

Kevin Kroeger, DRW Trading

 

Recent Innovations in Futures Index Trading – AI

·         Alternative avenues for gaining access into composites

·         How to reduce market volatility and distance to payoff

Jim Miclot, Ph.D, CTA., Steidlmayer Software

 

Tax Implications of Hedging Concentrated Stock Positions - EQ

·         Assessing your tax situation given the current market

·         Strategic and tactical alternatives shown through case studies

Andrea Kramer, McDermott, Will & Emery

Richard Tagg, Schwab Capital Markets

12:30 p.m.

Golf or Tennis Tournament

 

 

7:00 p.m. – 10:00 p.m.

Risk Management Dinner and Party

Sunday, February 3

 

 

7:30 a.m. – 8:00 a.m.

Continental Breakfast

 

 

8:00 a.m. – 9:00 a.m.

Keynote Address: The Myth of the 5% Risk Premium, A Misconception with Consequences

·         What risk premium is normal for equities?

·         What does a low risk premium mean for valuation levels?

·         Why does TAA deserve more attention now than ever?

·         Reversing the decision hierarchy…why policy mix matters less than ever

Rob Arnott, First Quadrant

 

 

9:15 a.m. – 10:45 a.m.

Featured Panel Discussion:
Commodities as an Asset Class - Reality versus Myth – AI

·         The facts about diversification, volatility and returns

·         Opportunities for yield enhancement

Jan Chartrand, AIG International, Inc.
Robert Kea, Putnam Investments