Pre-Conference Workshops: Tuesday, 2 February 2010

09.00 - 12:00 Workshop A: Risk Measurement and Management Techniques for Alternative Investments

[including networking coffee break & lunch]

A successful investment process requires a risk management structure that addresses multiple aspects of risk. Alternative investment strategies can enhance returns and reduce risk in a global investment portfolio. However, managing risk dimensions is critical to success. During this half day workshop, you will learn how to manage risk in alternative investments more effectively by enhancing your risk measurement, risk monitoring, and risk-adjusted investment management strategies.

Attend this workshop to:

• Understand the role of alternative investments in the architecture of institutional portfolios
• Design a risk management framework for alternative investments
• Find out how you can conduct risk adjusted performance measurement for alternative investments
• Integrate risk and performance analysis for alternative investments
• Implement inflation hedging with enhanced performance for alternative investments
• Examine alternative risk models in the market

About your workshop leader:

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

Madhu Gayer is a Senior Vice-President and Regional Head, Investment Risk & Analytical Services for Asia at the Northern Trust Company. Based in Hong Kong, Madhu is responsible for IRAS client relations, sales and product development in the Asia Pacific region, with a particular focus on strengthening Northern Trust’s infrastructure for local delivery of risk and performance services. He has previously worked at Kapstream, Challenger, BT, Rothschild and State Street in various investment risk and analytical roles. In his previous role at Kapstream, he was responsible for global interest rates strategy, quantitative modelling and risk analytics, risk budgeting, trade research and implementation. As part of the portfolio management team there, he won the Best Emerging Manager of 2008 at the AIMA Hedge Fund Awards. He has extensive experience with performance, attribution, compliance and risk from a technical as well as an operational perspective, having built teams (systems, processes, people) and achieved GIPS compliance in 3 major fund managers in Australia over the course of 10 years.

13.00 - 16:00 Workshop B: Advanced Performance Attribution Techniques to Achieve Enhanced Portfolio Performance Consistency

[including networking coffee break]

Knowing the rate of return of the total fund or a portfolio is not always enough. It is important to understand how a return was achieved and, in particular, which investment decisions had the greatest impact. Accurate analysis of factors determining performance is essential to enhanced performance consistency. Attend this half day workshop to learn how to deconstruct a fund manager’s performance results and explain why and how their results were achieved.

Attend this workshop to:

• Understand the evolution of attribution methodologies
• Evaluate the different types of attribution and their challenges
• Discover smoothing algorithms in performance attribution
• Overcome data management challenges faced in fixed income attribution
• Describe yield curve movements – tools and concepts
• Integrate risk adjusted attribution in reports

About your workshop leader:

Remco van Eeuwijk, CFA
Managing Director
MN Services Investment Management UK

Remco van Eeuwijk has been an active practitioner of and participant in performance and risk measurement for asset management since 1997. As Global Head of Investment Risk & Performance at ABN AMRO Asset Management from 2006 to 2008, he was responsible for performance and risk measurement for more than EUR 200 billion in AUM with a staff of 25 in 5 locations. From 2004 to 2006, Remco was Managing Director at Wilshire Associates, leading a team of 20 staff with responsibility for research, development, and client servicing for the Wilshire’s risk and performance analytics products in EMEA. Remco has been active in the GIPS governance structure, most recently as the EFFAS representative to the Regional Investment Performance Subcommittee for EMEA (RIPS EMEA) as well as being chair of several sub-committees of RIPS EMEA. Remco is also a regular presenter on risk and performance measurement topics at various industry conferences. Remco became a CFA Charterholder in 2001 and holds a Ph.D. Candidacy and M.A. in Economics from the University of Michigan, U.S.A. and a B.A. Honours in Economics from the University of Alberta, Canada.

Post-Conference Masterclass: Friday, 5 February 2010

09.00 - 16:00 Masterclass C: Designing Stress Tests And Incorporating Stress Testing Into Your Risk Process

[including networking coffee breaks & lunch]

Extreme events are issues of great importance for risk managers. Stress testing has been explicitly designed to deal with extreme shocks and will remain an important component of risk management strategies of asset management fi rms. However, stress testing methodologies and their role in the risk process are often unclear. Through this full-day masterclass, you will be able to better incorporate stress testing into your risk process as a supplement to risk measures, in order to protect yourself from vulnerabilities faced by the fi nancial system.

Tail Risk Measures: Optimization Theory and Applications

08:30 Registration and coffee

09:00 Fundamental relationships in risk management

• Risk measures estimating magnitude of loss
• Deviations estimating width of distributions
• Relations between risks and deviations: axiomatic approach
• Coherent risks and deviations
• Relations in risk management and statistics

10:30Morning break

11:00Pros and cons of tail risk measures

• Variance/(Standard Deviation) vs VaR, CVaR, and Maximum Loss
• VaR vs CVaR
• Dynamic versus static risk measures
• Drawdown (conditional drawdown-at risk) measure

12:30 Lunch

13:30 Portfolio optimization: recent developments

• Mean-Variance optimization
• CVaR functions and constraints
• VaR functions and constraints
• Max-loss constraints
• Drawdown functions and constraints
• Omega functions
• Probability functions

15:00 Afternoon break

15:30 Case studies

• Portfolio optimization of a Fund of Funds composed of Hedge Funds: comparison of Variance, Mean Absolute Deviation, CVaR and Drawdown risk management
• VaR vs CVaR optimization of a portfolio of active managers
• Portfolio optimization to assure compliance with BASEL II requirements including regulatory (VaR) constraints and economic capital (CVaR) constraints
• Portfolio optimization with drawdown constraints for dynamic strategies in futures
• Calibrating default probabilities with Maximum Entropy approach and structuring CDOs
• Credit risk hedging with Cardinality Constraints (constraints on number of hedging instruments)

17.00 End of masterclass

About your workshop leader:

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

Professor Stan Uryasev is director of the Risk Management and Financial Engineering Lab and director of the PhD Program with Concentration in Quantitative Finance at the University of Florida. His research is focused on effi cient computer modeling and optimization techniques and their applications in fi nance projects. He is a coinventor of the Conditional Value-at-Risk and the Conditional Drawdown-at-Risk optimization methodologies. He is the founder of American Optimal Decisions (AOrDa.com) developing optimization software in risk management area: VaR, CVaR, Default Probability, Drawdown, Credit Risk minimization. Professor Stan Uryasev has delivered many seminars on the topics of risk management and stochastic optimization. He is on the editorial board of a number of research journals and is editor-in-chief of the Journal of Risk.