New York
DAY ONE - Thursday 4 February 2010
8:30 Registration and coffee
09:00 Identifying your concentration risk exposure
- Sensitivity analysis
- Assessing correlations in the portfolio
- Understanding wrong way risk and how to control the conditional distribution
- How to deal with little or no risk disclosure
Anders Wulff-Andersen, Executive Director, UBS
10:30 MORNING BREAK
11:00 Calculating and measuring concentration risk
- Importance of absolute and relative measures and risk
- Challenges in specific securities and special case scenarios
- Quantification challenges between different asset classes
- Determining correlations between the various components of the portfolio
- Ensuring risk engines are robust enough to deal with the portfolio’s size
Jorge Sobehart, Managing Director, CITI
12.30 LUNCH
13:30 Concentration risk and credit capital allocation in trading and investment portfolios
- Understanding concentration risk in credit portfolios: name, sector and geographical concentrations
- Developing concentration measures accounting for default, credit migration and spread risk
- Concentration risk and diversification in Basel II
- Modelling systematic diversification and multi-factor credit portfolio models
- Credit capital allocation and diversification
- Stress testing credit risk and concentrations in a trading book
- Measuring concentration risk in structured credit portfolios
Dan Rosen, Chief Executive Officer, R2 FINANCIAL TECHNOLOGIES AND THE FIELDS INSTITUTE
15:00 Afternoon break
15:30 Risk analysis of portfolio transactions
- Checking the credit quality and difference of the loss distribution for concentrated and non-concentrated portfolios
- How do you quantify this and show it visually?
- What is the impact of concentration risk?
- Name concentrations vs. factor concentrations granularity adjustments
- Risk factor concentrations and contributions
- How are losses dispersed and how do they affect distribution?
David Saunders, Assistant Professor, UNIVERSITY OF WATERLOO
17:00 End of day one
DAY TWO - Friday 5 February 2010
8:30 Registration and coffee
9:00 Stress testing concentration risk
- Identifying concentrations – overt and hidden
- Defining stress scenarios appropriately
- Outcome on collateral instruments and pool
- Assessing risk to capital structure
- Risk of over using stress testing
Mario Onorato, Senior Director, Head of Balance Sheet & Capital Management, ALGORITHMICS
Jivantha Mendis, Senior Director, Capital Analytics, ALGORITHMICS INCORPORATED
10:30 Morning Break
11:00 Concentration Risk in non marked-to-market positions
- How concentration risk applies to assets on the balance sheet
- Identifying and measuring concentrations
- Capturing concentration risk in parameter estimation
- Concentration risk and the credit cycle
Elliot Noma, Managing Director, GARRETT ASSET MANAGEMENT
12:30 Lunch
13:30 Concentrations in commercial real estate
- How to assess CRE concentrations
- Managing CRE concentration risk
- CRE scorecards sensitive to concentration risk
- Stress testing your CRE portfolio
Perry Mehta, Senior Director, Head of Strategic Initiatives & Research, MOODY’S ANALYTICS
15:00 Afternoon break
15:30 Concentration risk in counterparty credit risk
- Identifying your dependencies on counterparties
- The interplay of counterparty risk, illiquidity and hidden correlation
- Dealing with counterparty risk in OTC trades
- Derivatives product companies and monoline insurers
- The role of central counterparties (CCPs)
- Uses of collateral in mitigating counterparty risk
- How to measure and limit counterparty risk in practical ways
David Sayles, Managing Director, BLACKROCK SOLUTIONS
