Agenda

Agenda

Risk Live 2021

09:5510:00

Chair’s welcome to day one

09:55 - 10:00

10:0011:00

Interest rates – the next generation

10:00 - 11:00

  • Leaping beyond 2022 and 2023, what will the interest rate market look like post-Libor reform?
  • A mutli-rate environment?
  • How much difference will there be between the different products?
  • How would a portfolio look in a multi-rate world?

11:0012:00

Post-Libor rates market

11:00 - 12:00

  • What does the future hold for rates markets?
  • New flexibility of the market
  • Standardization
  • Conventions
Charles Bristow

Managing Director and Global Head of Rates, FI Financing, CPT & Market Resources Optimisation

JP Morgan

Charles Bristow is a Managing Director in the Corporate & Investment Bank (CIB) at JP Morgan based in London. Charles is global head of Rates, Fixed Income Financing and the Credit Portfolio Trading business and has responsibility for the capital and funding strategy across the broader Markets businesses. Charles is a member of the European Management Committee and is co-chair of the EMEA Diversity Council.
Charles joined the firm in 1998 as an intern before returning upon graduation and worked in a number of derivatives trading roles across Swaps and Options. He became head of non-linear rates products and then head of rates trading in the region before taking a global management role in 2015.


Charles has been involved in a number of strategic projects for the fixed income trading businesses including the design and implementation of differential discounting, measures to reduce the GSIB footprint of the business including the formation of a dedicated compression team and derivatives FVA build out. He is a member of the CIB and EMEA capital committees.
Recent projects outside of Rates trading include Libor transition, buildout of the trader mandate framework and the formation of a collateral management and optimization front office function. Additionally, through his role on the diversity council, Charles is driving the advancement of black leadership and our gender diversity projects in the EMEA region.
Charles studied Manufacturing Engineering at Pembroke College, Cambridge where he was a college scholar and achieved a Masters degree. He is married with three children.

Daniel Leon

Global head of trading, treasury management and global solutions

HSBC Global Asset Management

Helen Bartholomew

Editor-at-large

RISK.NET

12:0013:00

Trading a post-Libor portfolio

12:00 - 13:00

  • Sensitives and risk parameters
  • What does the future portfolio look like?

13:0014:00

Risk Live – the boardroom

13:00 - 13:55

Join the brightest minds to discuss and strategise the future of markets, risk management and risk transfer in off-the-record briefing sessions held over Zoom.

14:0014:30

Economic outlook: sovereign debt in the wake of the pandemic

14:00 - 14:30

  • What is the long-term cost of government lending and support during the pandemic?
  • What are the warning signs for investors?
Richard Berner

Clinical professor of finance, co-director, the Volatility and Risk Institute

NYU Stern School of Business

Professor Berner served as the first director of the Office of Financial Research (OFR) from 2013 until 2017. The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 established the OFR to support the Financial Stability Oversight Council, the Council’s member organizations and the public. The OFR’s mission is to promote financial stability by delivering high-quality financial data, standards and analysis.

He was counselor to the Secretary of the Treasury from April 2011 to 2013. His principal responsibilities included advising the Secretary on financial and regulatory issues and starting up the Office of Financial Research.

Professor Berner was a managing director, chief US economist at Morgan Stanley from 1999 to 2011 and co-head of Global Economics from 2008 to 2011.

He was executive vice president and chief economist at Mellon Bank, and a member of Mellon's Senior Management Committee (1992-99). Previously, he served as a principal and senior economist for Morgan Stanley, as a director and senior economist for Salomon Brothers (1985-91), as economist for Morgan Guaranty Trust Company (1982-85) and as director of the Washington, DC, office of Wharton Econometrics (1980-82).

Professor Berner served on the research staff of the Federal Reserve in Washington, where he co-directed the Fed’s model-based forecast and was a member of the team that developed the Fed’s first multi-country model used for international policy analysis (1972-80). He has been an adjunct professor of economics at Carnegie-Mellon University and at George Washington University.

He is an advisor to FinRegLab, an innovation center that tests new technologies and data to inform public policy and promote a responsible and inclusive financial marketplace. He is a member of the Milken Fintech initiative, led by former OCC head Tom Curry and former Treasury official Melissa Koide. He is a senior advisor to MacroPolicy Perspectives, an economic consulting firm. He is a member of the Board of Advisors of HData, which helps data companies involved in RegTech and Legal Tech solutions. He is a member of the IMF panel of experts for financial stability.

Professor Berner has been a member of the Economic Advisory Panel of the Federal Reserve Bank of New York, a member of the Panel of Economic Advisers of the Congressional Budget Office, a member of the Executive Committee of the Board of Directors of the National Bureau of Economic Research, a member of the Advisory Committee of the Bureau of Economic Analysis, Department of Commerce, a member of the Board of Directors of the Penn Institute for Economic Research and a member of the Board of Advisors of Macroeconomic Advisers, LLC. He served as an associate for the Counterparty Risk Management Policy Group II. He is a Past President and Fellow of the National Association for Business Economics and is the past chair of the Economic Advisory Panel of the Bond Market Association. He is the winner of forecasting awards from Market News and the National Association for Business Economics, the 2007 recipient of the William Butler Award for Excellence in Business Economics and has been a member of Time’s Board of Economists.

He received his bachelor’s degree magna cum laude in Economics from Harvard College in 1968, and his PhD in Economics from the University of Pennsylvania in 1976. He researched his dissertation under the supervision of Professor Lawrence Klein, and was funded by SSRC-Ford Foundation grants at both the University of Louvain, Belgium, and at the University of Bologna, Italy, from 1971-72.

14:3015:30

Prudential regulation

15:30 - 16:30

  • Prudential rules and their suitability in an era of government debt issuance
  • Is the post crisis system fit for purpose in this new environment?
Denis Beau

First deputy governor

Bank of France

Born in 1962, Denis joined Banque de France in 1986 after graduating from l’Institut d’Etudes Politiques de Paris. He subsequently received a Master degree in Business Administration from INSEAD. His career path at the Banque de France led him to hold management positions in the Financial Markets, Payments and Market Infrastructures and Economics and International Relations departments. He was seconded to the New York Fed (1997-1998) and served at the Bank for International Settlements as secretary of the G10 Committee on Payment and Settlement Systems (2007-2008). He was then appointed Director General of Financial Stability and Operations and a member of the Executive Committee of Banque de France. In this capacity he was a member of European and international committees dealing with monetary policy and financial stability issues and prudential regulation of banks (Euro Retail Payments Board, Committee on the Global Financial System, Basel Committee on Banking Supervision – co-chair of the Macroprudential Supervision Committee).
Denis Beau is a Chevalier of the French Legion of Honour.

Thomas Hoenig

Distinguished senior fellow

Mercatus Center at George Mason University

Thomas Hoenig is a Distinguished Senior Fellow at the Mercatus Center at George Mason University. His research focuses on the long-term impact of the politicization of financial services as well as the effects of government granted privileges and market performance.

Prior to joining the Mercatus Center, Mr. Hoenig served as Vice Chairman of the Federal Deposit Insurance Corporation from 2012 until 2018. In that capacity, he oversaw FDIC operations and policy related to deposit insurance pricing, bank supervision, and financial stability and bank resolution. He served as Chair of the FDIC’s Bank Appeals and Audit Committees, and served as Director of NeighborWorks America, which was established by Congress in 1978 to address housing issues nationwide. He also served as a member of the International Association of Deposit Insurers’ board from 2012 to 2017, and as the President and Chairman from October 2015 to October 2017.


Previously, Mr. Hoenig was President and Chief Executive Officer of the Federal Reserve Bank of Kansas City and a member of the Federal Reserve System's Federal Open Market Committee from 1991 to 2011. Mr. Hoenig was with the Federal Reserve for 38 years, beginning as an economist and then as a senior officer in banking supervision. As President and Chief Executive Officer, he led the Federal Reserve Bank of Kansas City during the Great Recession and the banking crisis of 2008 and 2009.


During his time with the Federal Reserve, Mr. Hoenig chaired several key committees including the Conference of Presidents, the Committee on Bank Supervision, Regulation and Legislation, and the Information Technology Oversight Committee. Also, during his tenure, Mr. Hoenig organized and hosted the Federal Reserve Bank of Kansas City’s Jackson Hole economic symposium for global central bankers.


Mr. Hoenig is from Fort Madison, Iowa and received a doctorate in economics from Iowa State University.

Kris Devasabai

Editor-in-chief

Risk.net

Kris Devasabai is the New York-based editor-in-chief of Risk.net. Previously, he was bureau chief and US editor of Risk magazine. He manages the editorial team. Prior to joining Risk, Kris covered hedge funds, asset management, cross-border investing and law for several publications.

Kris holds a bachelor’s degree in law and government from the University of Manchester, and he completed his legal training at the Inns of Court School of Law in London. He was called to the bar of England and Wales in 2003.

16:3017:00

Risk Live – the boardroom

16:00 - 16:45

Join the brightest minds discuss and strategise the future of risk management and risk transfer in off the record briefing sessions held over Zoom.

17:0017:15

Chair's closing remarks day one

16:45 - 17:00

09:5010:00

Chair's opening remarks day two 2021

09:50 - 10:00

10:0010:30

Reducing the time taken in Monte Carlo simulations for stress-testing

10:00 - 10:30

Live demo presentation

10:3011:00

Quantum use cases for derivatives pricing and portfolio risk models

10:30 - 11:00

Live demo presentation

11:0011:30

Quantum computation for risk sensitivity analysis

11:00 - 11:30

Live demo presentation

12:0013:00

Quantum computing

12:00 - 13:00

  • What are the near-term use cases of quantum computing for financial firms?
  • When should you prepare to invest in quantum computing?
  • What does a quantum-ready organization look like?

13:0014:00

Risk Live – the technology boardroom

13:00 - 14:00

Join the brightest minds discuss and strategise the future of technology, risk management and risk transfer in off-the-record briefing sessions held over Zoom.

14:0015:00

Tokenisation of digital assets

14:00 - 15:00

  • What is the state of play?
  • What are the remaining challenges?
  • The future of digital assets – where next for tokenization?

15:0016:00

The future of digital assets - the coin debate

15:00 - 16:00

  • State of play of tokenised cash settlement
  • Benefits/drawbacks of: USC/JPM Coin/central bank digital currencies
  • Will CBDCs eventually take over?

16:0017:00

Market making in crypto currency

16:00 - 17:00

  • Market making challenges
  • Trading and liquidity
  • Security and transparency
  • Infrastructure and institutional barriers

11:0012:00

Risk LIVE – the investing boardroom

11:00 - 11:45

Join the brightest minds discuss and strategise the future of risk management and risk transfer in off the record briefing sessions.

12:5013:00

2021 - Day 3 - Chair’s welcome

11:45 - 11:50

13:0013:30

Keynote: Social networks and markets

13:00 - 13:30

Lasse Pedersen

AQR and Copenhagen Business School

14:0014:30

The inelastic markets hypothesis

14:00 - 14:30

Xavier Gabaix

Pershing square professor of economics and finance

Harvard University

Xavier Gabaix is Pershing Square Professor of Economics and Finance at Harvard’s economics department. He received his undergraduate degree in mathematics from the Ecole Normale Supérieure (Paris) and obtained his PhD in economics from Harvard University. His research focuses on finance, macroeconomics, and behavioral economics. He received the Fischer Black prize given every two years to the best financial economist under 40, the Bernacer prize given to the best European economist under 40 working in macroeconomics and finance, and the Lagrange and Allais Prizes. His research has been published in the American Economic ReviewEconometrica, the Quarterly Journal of Economics, the Journal of Finance, and Nature. He is a Research Associate of the National Bureau of Economic Research and of the Center for Economic Policy Research.

Ralph Koijen

AQR Capital Management professor of finance

University of Chicago

Ralph S.J. Koijen is the AQR Capital Management Professor of Finance at the University of Chicago Booth School of Business. He is also a Research Associate at the National Bureau of Economic Research and a Research Fellow of the Center for Economic Policy Research. He is a co-director of the NBER Asset Pricing program. He serves as a co-editor of the Review of Financial Studies. Professor Koijen was awarded the 2019 Fischer Black Prize by the American Finance Association, given biennially to the top financial economics scholar under the age of 40.

Professor Koijen’s research focuses on finance, insurance, and macroeconomics. His research has been published in the American Economic Review, Econometrica, the Journal of Political Economy, the Quarterly Journal of Economics, the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics. His research has been covered in popular media, such as the Financial Times, the Wall Street Journal, and The Economist.

Before joining Chicago Booth in 2018, Professor Koijen was a Professor of Finance at the London Business School and NYU Stern, and an Assistant and Associate Professor of Finance at Chicago Booth. He received his undergraduate degree in Econometrics from Tilburg University and his Ph.D. in Finance from Tilburg University.

15:0016:00

Meme stock signals and demand driven asset prices

15:00 - 16:00

In 2021, GameStop has shown the importance of tracking and understanding flows in equity markets, including the retail bid. How can we make sense of what happened and what does it mean for the future of markets and volatility?

  • Are flows moving prices more than before, if so – why? 
  • How easily can quant investors turn flow data into tradable signals? 
  • Challenging conventional market theory 
Lasse Pedersen

AQR and Copenhagen Business School

Philippe Van de Beck

Swiss Federal Institute of Technology

Xavier Gabaix

Pershing square professor of economics and finance

Harvard University

Xavier Gabaix is Pershing Square Professor of Economics and Finance at Harvard’s economics department. He received his undergraduate degree in mathematics from the Ecole Normale Supérieure (Paris) and obtained his PhD in economics from Harvard University. His research focuses on finance, macroeconomics, and behavioral economics. He received the Fischer Black prize given every two years to the best financial economist under 40, the Bernacer prize given to the best European economist under 40 working in macroeconomics and finance, and the Lagrange and Allais Prizes. His research has been published in the American Economic ReviewEconometrica, the Quarterly Journal of Economics, the Journal of Finance, and Nature. He is a Research Associate of the National Bureau of Economic Research and of the Center for Economic Policy Research.

Rob Mannix

Desk Editor, Asset Management

RISK.NET

Rob MannixRob Mannix is the desk editor for asset management and insurance, covering risk management, derivatives and regulatory issues as they affect the buy side. He was previously responsible for Risk.net's insurance coverage.

16:0016:30

Risk LIVE – the boardroom

16:00 - 16:45

Join the brightest minds to discuss and strategise the future of risk management and risk transfer in off-the-record briefing sessions.

09:5010:00

2021 - Day 4 - Chair’s opening remarks

09:55 - 10:00

Will Hadfield

Investing editor

Will Hadfield runs the investing team for Risk.net, overseeing coverage of hedge funds, conventional asset managers and insurance companies. He previously covered market structure for Bloomberg News in London, both as a reporter and an editor. He studied History at the University of Durham and is a French speaker.

10:0011:00

Keynote – the economics of biodiversity

10:00 - 10:45

Prof Partha Dasgupta, author of the UK government report, on how the economics of biodiversity have become a study in portfolio management.

  • Changing the imbalance between humanity’s demand and nature’s supply
  • Overhauling measures of economic progress
  • Transforming institutions to include biodiversity in their goals

11:0011:30

Fireside chat: Paris alignments metrics – developing a methodology in house

11:00 - 11:30

Interview with LGIM to discuss why they took the expensive, time-consuming approach of developing an in-house methodology to deliver the Paris Agreement.

  • What edge does an asset manager get from developing an inhouse methodology?
  • Why would a portfolio of Paris-compliant stocks outperform a portfolio of non-compliant stocks?
Nick Stansbury

Head of climate solutions (investments)

Legal & General Investment Management

12:0013:00

Temperature checking portfolios – how are investors measuring their contributions?

12:00 - 12:45

Some of the world’s biggest investors have committed to publishing temperature ratings for their portfolios; there are many methodologies competing for their attention.

  • What are science-based targets and why do portfolio companies need to set them? 
  • Why do some companies get different temperature ratings from different methodologies?
  • Can we just fix everything with a global climate accounting standard?
Nick Stansbury

Head of climate solutions (investments)

Legal & General Investment Management

13:0014:00

New disclosure rules for fund managers

13:00 - 13:45

  • The impact of the disclosure rules on firms post Brexit
  • Green taxonomy

14:3015:00

Risk LIVE – the boardroom

14:00 - 14:45

Join the brightest minds discuss and strategise the future of risk management and risk transfer in off the record briefing sessions.

15:0016:00

Keynote: Climate risk stress testing

15:00 - 15:45

10:5011:00

2021 - Day 5 - Chair’s opening remarks

10:45 - 11:00

Mauro Cesa

Quantitative finance editor

Risk.net

Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division. The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.

Mauro holds a degree in economics from the university of Trieste and a masters in quant finance from the University of Brescia.

11:0012:00

Keynote: Deep Hedging

11:00 - 11:45

12:0013:00

Generator models

12:00 - 12:45

Blanka Horvath

Lecturer in financial mathematics

King's College London

Dr Blanka Horvath is a Lecturer at the Department of Mathematics, King's College London. Blanka’s current research interests evolve around a new generation of option pricing models (Rough Stochastic Volatility models), and their asymptotic and numerical properties. Prior to her current appointment, she was at ETH Zurich, specialising in functional analytic and numerical properties of SABR-type stochastic models. Blanka holds a PhD in Mathematical Finance from ETH Zurich, a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.

14:0015:00

Rough volatility models

14:00 - 14:45

Jim Gatheral

Presidential professor of mathematics

Baruch College, CUNY

Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching mostly courses in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo and New York, in a career in the financial industry that spanned over 27 years. Jim has served as a Managing Editor of the International Journal of Theoretical and Applied Finance and as Associate Editor of the SIAM Journal on Financial Mathematics; he currently serves as Joint Editor-in-Chief of Quantitative Finance with Michael Dempster. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Jim is also a frequent speaker at both practitioner and academic conferences around the world. His best-selling book, The Volatility Surface: A Practitioner's Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling. He received his Ph.D. in theoretical physics from Cambridge University.

Mathieu Rosenbaum

Professor

Ecole Polytechnique

Mathieu Rosenbaum obtained is Ph.D from University Paris-Estin 2007. After being Assistant Professor at École Polytechnique, he became Professor at University Pierre et Marie Curie (Paris 6) in 2011. He is now full-time professor at Ecole Polytechnique, where he is the at the head of the chair "Analytics and Models for Regulation". He is also in charge, with Nicole El Karoui, Gilles Pagès and Emmanuel Gobet, of the Master program “Probability and Finance”.

His research mainly focuses on statistical finance problems, such as market microstructure modeling or designing statistical procedures for high frequency data and on regulatory issues, especially in the context of high frequency trading. In particular, he is one of the organizers of the conference "Market Microstructure, Confronting Many Viewpoints", which takes place every two years in Paris.

Mathieu Rosenbaum has collaborations with various financial institutions, notably BNP-Paribas since 2004. He also has several editorial activities. He is one of the editors in chief of the journal "Market Microstructure and Liquidity", together with F. Abergel, J.P. Bouchaud, J. Hasbrouck and C.A. Lehalle. Furthermore, he is managing editor for "Quantitative Finance" and associate editor for "Electronic Journal of Statistics", "Journal of Applied Probability", "Mathematics and Financial Economics", "Statistical Inference for Stochastic Processes", "SIAM Journal in Financial Mathematics","Springer Briefs" and "Statistics and Risk Modeling". 

He received the Europlace Award for Best Young Researcher in Finance in 2014 and the European Research Council Grant in 2015.

15:0016:00

Keynote: Endogenous jumps and liquidity crises

15:00 - 15:45

Jean-Philippe Bouchaud

Chairman

CAPITAL FUND MANAGEMENT

<p><strong>Jean-Philippe Bouchaud, Chairman, CAPITAL FUND MANAGEMENT (Risk.net 2017 Quant of the Year &amp; Buy-Side Quant of the Year 2018)</strong></p>
<p>Jean-Philippe is Chairman and Chief Scientist. He supervises our research department with Marc and maintains strong links between our research team and the academic world. He is also a professor at Ecole Polytechnique where he teaches Statistical Mechanics and a course on "Complex Systems". He joined CFM in 1994.</p>
<p>Quant of the Year 2017 -&nbsp;h<a href="https://www.risk.net/risk-magazine/analysis/2479713/quant-of-the-year-j…;
<p>Buy-Side quant of the Year 2018 -&nbsp;<a href="https://www.risk.net/awards/5364591/buy-side-quant-of-the-year-jean-phi…;