21st Annual Risk Management Conference

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Introduction Overview Sponsorship Opportunities Program Sponsors Conference Program Registration Registration Fee Schedule Registration Discounts Golf Tournament Registration Hotel Accommodations Travel Accommodations Frequently Asked Questions CPE Credits Previous Conferences

 

21st ANNUAL RISK MANAGEMENT CONFERENCE PROGRAM

For a detailed agenda, download the Risk Management Conference Brochure.

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

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.

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, March 6
11:00 - noon
Registration for Fundamentals Workshop Series Participants

12:00 - 1:30
Fundamentals of Exchange-Traded Derivatives - IN
Part 1 - Introduction to Financial Futures: Concepts and Applications

  • Overview of futures: background, terminology, basics
  • Review of interest rate futures hedging concepts: CTD, hedge ratios, duration
  • Risk management applications with interest rate futures

    • Patricia J. Mosley, Director, Financial Market Development, Chicago Board of Trade
    Dr. Carl Luft, Professor of Finance, DePaul University

    1:45 - 3:15
    Fundamentals of Exchange Traded Derivatives - IN
    Part 2 - Introduction to Options
  • 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
  • Preparation for upcoming options-related sessions

    • Paul B. Stephens, Director and Department Head, Institutional and International Marketing, Chicago Board Options Exchange

    3:30 - 5:00
    Fundamentals of Exchange Traded Derivatives - IN
    Part 3 - Introduction to Equity Index Futures
  • Mechanics of Stock Index Futures - A review of the terms and conditions associated with the major domestic stock index futures contracts, pricing and quote conventions, cash settlement.
  • E-Minis vs. ETFs - A discussion of the relative merits of trading E-Mini stock index futures relative to Exchange Traded Funds (ETFs) with a close look at the attendant costs associated with either alternative.
  • Fair Value Concept and Arbitrage - What is meant by the term ?fair value? and how is it calculated? How arbitrage assures fair value pricing prevails.
  • Hedging with Stock Index Futures - A review of the basics of risk management with stock index futures and some examples.

  • John Labuszewski, Director, Research and Product Development, Chicago Mercantile Exchange

    4:30 - 5:30
    General Conference Registration

    6:00 - 8:00
    Opening Reception



    Monday, March 7
    7:30 - 8:00
    Conference Registration & Continental Breakfast

    8:00 - 8:45
    Conference Welcome
    William J. Brodsky, Chairman & CEO, Chicago Board Options Exchange
    Craig S. Donohue, CEO, Chicago Mercantile Exchange
    Bernard W. Dan, President & CEO, Chicago Board of Trade

    8:45 - 9:30
    Opening Address - Peter F. Ricchiuti
    Clinical Professor of Business Administration, Assistant Dean
    A.B. Freeman School of Business, Tulane University

    9:30 - 10:00
    Break

    10:00 - 11:15
    Improving Portfolio Efficiency With Commodities - AI
  • The economic case for commercial markets, including commodities, currencies and interest rates
  • Portfolio efficiency with commodity allocations, including return and volatility measurements
  • Implementation and management of a commodity asset strategy
    Timothy Rudderow, President, Mt. Lucas Management Corporation

    10:00 - 11:15
    Derivatives as a Barometer of FOMC Rate Changes - FI
  • How Fed Funds options can be used to estimate the probability of a change in the target federal funds rate.
  • Using estimated probabilities to understand how the market responds to new information.
    John B. Carlson, Economic Advisor, Federal Reserve Bank of Cleveland
    William R. Melick, Associate Professor of Economic, Kenyon College

    10:00 - 11:15
    Evaluating Options and Other Investments in the Asset Allocation Decision - EQ
  • Measuring and Boosting Risk-adjusted Returns
  • Presenting a Case Study on the CBOE S&P 500 BuyWrite Index (BXM)
  • The Investability of Passive Options-based Benchmark
    Peng Chen, Managing Director, Chief Investment Officer, Ibbotson Associates
    Ronald M. Egalka, President and CEO, Rampart Investment Management

    11:15 - 11:30
    Break

    11:30 - 12:45
    Short-Term Interest Rate Futures - Mirroring the Yield Curve - FI
    Larry Grannan, Associate Director, Interest Rate Products, Chicago Mercantile Exchange
    John Labuszewski, Director, Research and Product Development, Chicago Mercantile Exchange

    11:30 - 12:45
    Risk Analysis, Risk Measurement and Risk Management - PPM
  • Analysis and comparison of current techniques for assessing risk in a portfolio
  • The role of risk budgeting
  • Applying risk measures to risk management strategies
    Ron Papanek, Market Strategist, RiskMetrics Group
    Dr. Sam Y. Chung, Assistant Professor of Finance, Long Island University/Senior Research Analyst and Advisory Board Member, SSARIS Advisor, LLC

    11:30 - 12:45
    Growth in Buy-write Strategies - EQ
  • Covered Calls for Added Income and Lower Overall Volatility
  • Sources of Return for Buy-write Strategies
  • Different Investment Vehicles for Buy-write Exposure
    Brian G. McCoy, CFA, Vice President, Connors Investor Services, Inc.
    Walter G. Sall, Chairman, Gateway Investment Advisers

    12:45 - 2:00
    Seated Luncheon
    Luncheon Address: Bull/Bear Forum
    Elaine Garzarelli, President, Garzarelli Capital Inc.
    David W. Tice, CFA, CPA, Portfolio Manager, Prudent Bear Fund

    2:15 - 3:30
    More Effective Hedging for Mortgage-Backed Securities: A Better Approach for a New Environment - FI
  • The negative convexity of mortgage securities and their greater sensitivity to "twists" in the yield curve compared to "bullets."
  • How a two-bond hedge with Treasury futures manages mortgage risk more effectively by taking into account yield curve risk.
    Nicholas Ronalds, Senior Vice President, ABN AMRO

    2:15 - 3:30
    Integrating Derivatives Into Pension Fund Management: Approval and Implementation - PPM
  • A case study on attaining approval from a public pension fund board to include derivatives
  • Key features of a derivatives policy, and monitoring compliance with policy mandates
  • Considerations in implementation
    Jamison L. Smythe, Senior Investment Officer, Municipal Employees Retirement System of Michigan
    Randall Kirkland, Vice President and Senior Consultant, Asset Consulting Group

    2:15 - 3:30
    Trading VIX and Realized Variance Products - EQ
  • A review of traditional volatility strategies
  • The case for trading "pure" volatility
  • Tactics for trading implied volatility and realized variance
    Anderson Groover, VIX Specialist, Susquehanna International Group
    Sheldon Natenberg, Director of Educational Programs, Chicago Trading Co.

    3:30 - 3:45
    Break

    3:45 - 5:00
    Managing Risk: Market Makers' Update on Trends and Issues - PPM
  • The development of the market maker function: where it's been and how it evolved
  • A behind-the-scenes look at how market makers deliver prices today
  • The benefits and challenges of technology
  • Visions on the future
    David Johnson, Managing Director, Morgan Stanley
    James Harkness, Chief Operating Officer, Wolverine Trading LLC
    Stanley Choung, Executive Director, Morgan Stanley
    Edward Tilly, Independent Market Maker and Vice Chairman, Chicago Board Options Exchange
    Don Kuster, Managing Director, Citigroup Derivatives Markets, Inc.

    3:45 - 5:00
    Capital Structure Arbitrage - EQ
  • Implications of widely used models of corporate structure
  • Relationships between equity option volatility skews and prices of credit default swaps
  • Profiting from relative movements between stocks and credit spreads
    Izzy Nelken, President, Super Computer Consulting, Inc.
    Art Condodina, Portfolio Manager, Volatility Strategies

    3:45 - 5:00
    Transition Portfolio Management - PPM
    James Imhof, Director, Portfolio Trading, Russell Investment Group



    Tuesday, March 8
    7:30 - 8:00
    Continental Breakfast

    8:00 - 9:00
    Special Session: The Outlook for Hedge Fund Investment Management
    The hedge fund industry continues to attract record assets as institutional investors increase their allocations to alternative investments. At the same time, the industry is facing new issues related to regulation, compliance, transparency and the management of investment risks. Leading hedge fund managers discuss managing the operation and investment risks associated with the return opportunities in their respective diversified strategies, including the function of derivatives, while offering their perspectives into the outlook for the industry.

    Moderator:
    Joseph G. Nicholas, J.D., Founder and Chairman, Hedge Fund Research, LLC

    Panelists:
    Chris Gaughan, President, Big Sky Capital
    Stan Kon, Executive Vice President, Smith Breeden Associates
    Robert Slutz, Chairman of Vega Funds, Vega Asset Management


    9:15 - 10:30
    Trading Equity Derivatives: Timing Strategies Gaining an Edge with New Trading Strategies - EQ
  • New timing tools to improve your next risk management decision.
    Daniel Gramza, President of Gramza Capital Management, Inc. and DMG Advisors

    9:15 - 10:30
    Analyzing the Relationship Between Interest Rate Swaps and Eurodollars - FI
  • Decoding the symbiotic relationship between IRS and Eurodollar Futures: understand pricing, arbitrage and hedging.
    John Labuszewski, Director, Research and Product Development, Chicago Mercantile Exchange

    9:15 - 10:30
    Active Management of Options Positions - EQ
  • Harvesting Volatility
  • Hedging concentrated stock positions
  • Structuring and timing equity and equity index option trades
  • Case studies of executed transactions
    Laura Friedman, Managing Director, CSFB Volaris
    Steven Marco, CFA, Portfolio Manager, Marco Investment Management, LLC

    10:30 - 10:45
    Break

    10:45 - 12:00
    Evaluation of VIX and Realized Variance Products - EQ
  • Volatility as an asset
  • Links between VIX futures, realized variance futures and OTC variance swaps
  • Tools for fair value analysis of futures and options
    Bruno Dupire, Quantitative Research, Bloomberg

    10:45 - 12:00
    Relative Value Trading Between Treasury and Swaption Volatility - FI
  • Recent correlations between spreads and rates
  • How options overcome disadvantages of traditional outright spread widening strategies
  • The mechanics of constructing a put-payer conditional asset swap spread trade
    Fidelio Tata, Ph. D., Senior Vice President, Head of Interest Rates Derivatives Strategy, HSBC

    10:45 - 12:00
    Managing Risk Across Asset Classes: A Fund Sponsor Perspective - EQ/FI
  • Risk from the view point of pension, foundation and endowment funds
  • Sources of return beyond stocks and bonds
  • Tradeoffs between current income and future growth
    William Lowery, CEO, Lowery Asset Consulting
    Gary Trennepohl, President, Oklahoma State University - Tulsa

    12:45 - 6:00
    Golf Tournament

    7:30 - 10:00
    RMC Party



    Wednesday, March 9
    7:30 - 8:00
    Continental Breakfast

    8:00 - 9:00
    Keynote Address - Robert D. Hormats, Vice Chairman, Goldman Sachs

    9:15 - 10:30
    Special Session: An End User's Guide to Single Stock Futures

    Single stock futures are now two years old. As the product continues to develop, it has attracted many loyal followers. What have these active single stock futures traders discovered about transferring risk and holding down carrying costs? Why are they having so much success with this product?

    Moderator:
    Peter Borish, Chairman, OneChicago, LLC

    Panelists:
    Mark Esposito, Chicago Board Options Exchange Market Maker
    Mike Meys, Vice President, Equity Finance, Lehman Brothers
    Ryan Byrne, Vice President, Prudential Financial, Inc.

    10:45 - 12:15
    Special Session: Institutional Investment Management 911: Where Do We Go From Here?

    As rising liabilities, staggering levels of under funding, and concerns about capital preservation drive the debate over the pension fund crisis to a fever pitch, what is the current landscape for institutional investment management and what does the future hold? Have attitudes changed toward traditional methods of managing risk and return in pension and endowment portfolios, and where do derivatives fall in the continuum? Can institutions afford to remain on the sidelines? Institutional investors discuss their views on confronting the issues currently facing investment management as well as future developments.

    Moderator:
    Michael J. Clowes, Editorial Director, Pensions & Investments

    Panelists:
    Susan Slocum, Treasurer, Children's Hospitals and Clinics
    Kevin Duggan, Director of Volatility Trading and Strategy, Ontario Teachers' Pension Plan
    Luis Rodriguez, Chief Risk Officer, the Manhattan Family Office

    12:15
    Conference Ends