08.50 Opening Remarks From The Chair

Dr. Lincoln Rathnam
CFA, Global Head of Investment Management, EM Capital Management LLC & CEO
EM Capital Management Asia

09.00 Investigating The Future Of Risk And Performance And Their Impact On Asset Management - Lessons Learned From The Global Financial Crisisand Roadmap For 2010 And Beyond

• Evaluating and controlling your investment process through effective performance and risk measurement
• Assessing how performance and risk measurement techniques can be sharpened to provide added value to the investment decision process
• Quantifying investment performance and explaining it in a volatile market
• Maximizing the value of the information derived from risk analysis while making ex-ante decisions moving forward
• Discovering market demands and investors expectations for 2010 and beyond
• Models behaving badly - understanding how models failed and what should be done to resolve similar situations in future

Panelists:

09.50 Seeking Alternatives For Value-At-Risk (VaR) As A Risk Measure

• Evaluating the accuracy & usefulness of VaR as a risk measure
• Discovering the pros and cons of tail risk measures
• A comparison of alternative risk & deviation measures for VaR
• VaR vs. Conditional Value-at-Risk (CVaR) in risk management and optimization
• Common abuses of VaR and how they can be prevented
• Portfolio optimization to assure compliance with Basel II requirements with regulatory (VaR) constraints and economic capital (CVaR) constraints

Dr. Stan Uryasev
Director, Risk Management and Financial Engineering
University of Florida
Editor-in-Chief, The Journal of Risk

11.00 Measuring & Managing Liquidity Risks In The Current Market

• Uncovering techniques used to assess the liquidity characteristics of a firm’s assets and liabilities
• The data and technology challenge of liquidity risk - understanding the level of complexity of risk aggregation from across the firm
• Identifying potential liquidity mismatches
• Setting a firm’s tolerance for liquidity risk by using qualitative and quantitative tools
• Strategic asset allocation in preparation for sudden extreme shifts of liquidity
• Liquidity risk policy development - the role of senior management vs. board of directors
• Macro-prudential and micro-prudential considerations of liquidity risk management

Dr. Guan Seng Khoo
Senior Director, Risk Management
Temasek Holdings

11.40 Panel Session: Finding A Risk Model And Measurement System That Is Appropriate For Your Investment Process

• Understanding the most critical type of risks portfolios face in the current market
• Assessing the shortcomings of risk models and measurement systems in the market
• Strengths and limitations of risk models for portfolio management
• Evaluating the suitability of risk models for your investment process
• Testing and selecting the right system for improved risk management
• Effectively using risk models to enhance risk reporting
• Picking the correct risk system to meet your performance objectives
• Scoping your requirements – what elements would you put into your ideal risk measurement System

Panelists:

13.30 Active Management Vs. Passive Management - Analyzing The Suitability Of Each For Your Portfolio And Determining Which Fits Your Investment Process Under Changed Credit Conditions

• The aftermath of the global credit crisis - comparing the pros and cons of both types of investment management strategy
• The nature of investment returns - which investment management style generates better performance?
• Analyzing the costs involved in both management styles
• Identifying the market environment suitable for each management style
• Prudent allocation of capital among securities that trade in the secondary capital markets vs. systemic allocation of capital in a manner that replicates the make up of a given index proxy which is the more appropriate style?
• Back to basics - evaluating the core/satellite approach for enhanced investment management

Madhu Gayer
Senior Vice-President, Head of Investment Risk and Analytical Services - Asia
Northern Trust Company

14.10 Developing An All-Encompassing Approach To Hedge Fund Performance And Risk Management

• Examining upgrades to risk management plans in the current market
• Evaluating risk appetite, parameters and models
• Taking a fresh look at leverage, liquidity, crowded trade and counterparty risk to better monitor and manage risk
• Coping with higher volatility and a breakdown in historical relationships
• Understanding to what extent risk scenario analysis is useful and do both the buy / sell sides act upon the data

Peter Urbani
Chief Investment Officer
Infiniti Capital

14.50 Formulating A Better Report Card For Investors To Assess Hedge Fund Performance And Managers’ Behavior

• Adjusting returns for the real risks assumed by investors
• Assessing manager’s behavior towards investors - a key component of performance
• Identifying the real value added by separating hedge fund beta from true alpha
• Positioning the investment portfolio to generate the desired risk return profile
• Evaluating the implications of shifts in exchange rate, inflation and other key factors governing performance and risk
• Utilizing the right reporting tools

Jean Keller
Chief Executive Officer
3A SA

16.00 Contrasts And Convergence Between Quantitative And Qualitative Risk Management Techniques

• Forecasting returns based on qualitative reasoning of historical performance and risk
• Comparing and combining quantitative and fundamental strategies
• Defining risks and calibrating proper mitigations
• Measuring risk using quantitative and fundamental methods
• Understanding risk management failures and designing investment processes to succeed

Alistair Haig, CFA
Director of Quantitative Research
UBS

16.40 Roundtable: Performance Measurement Systems - Leveraging Tools To Meet Increasing Client Demands

In the first half of this section, participants will be split into small groups to discuss their viewpoints on the topics below. Individual groups will exchange key takeaways from their discussions to ensure fruitful sharing of ideas and best practices.

• Analyzing the pros and cons of performance measurement and analysis systems in the current market
• Utilizing vendor know-how to its best advantage to maximize accessible infrastructure
• Assessing multi-asset class portfolio performance
• Performing single and multi-currency analysis
• Streamlining performance and attribution reporting
• Making informed investment decisions through effective computing of portfolio performance data
• Examining which components are must-haves, which are nice-tohaves and which are missing?

To be led by the conference chairman

17.10 Closing Remarks From The Chair And Close Of Conference Day Two