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Risk Management & Trading Conference RiskMathics, aware that the most important factors to develop and consolidate the Financial WHO SHOULD ATTEND? Markets are training and promoting a high level financial culture, will host for the third time in The Risk Management & Trading Conference is aim at Practitioners directly or indirectly involved Mexico: “The Risk Management & Trading Conference”, which will have the participation of in areas of trading, risk management, regulation, technology, and research & development of leading authorities who have key roles in the global financial industry. Stock Exchanges, Brokers, Brokerage Houses, Banks, Institutional Investors (Pension Funds, OBJECTIVES Mutual Funds, Insurance Companies, etc.), Hedge Funds, and Independent Investors. One of the primary objectives of this Conference is to provide through Workshops, Presentations It will be of particular relevance to: and Round Table Discussions the latest advances in Risk Management, Trading, Technology • Chief Executive Officers of financial institutions and intermediaries and Market Regulation, and to transmit all this knowledge by local and international authorities • Traders in the field. • Risk Managers Some other objectives of this Conference are to explain and show in detail the current • Consultants situation and where the Global Financial Industry is heading, advances in Pricing, and how • Regulators intermediaries and direct or indirect participants of markets need to be prepared to remain • Technology managers and staff competitive in spite of the new challenges and paradigms that are present nowadays. • Analysts, Developers and Vendors of Front Office Trading Software • Quants • Scholars/Academics • In general, any Practitioner involved in Trading, Risk and/or Finance RISK MANAGEMENT WORKSHOPS FINANCIAL CORRELATIONS – MODELS, TRADING, AND RISK-MANAGEMENT INCLUDES RISK AGGREGATION RISK APPETITE COUNTERPARTY CREDIT RISK & LIQUIDITY RISK THE BASEL III Correlation RISK & CVA REGULATION FRAMEWORK Gunter Meissner Carlos Vallebueno John Gustavo Fuertes Jon Gregory John Hull Suresh Sankaran President of Derivatives Software Tesorero PriceWaterhouse Soldevilla Solum Financial Managing Director & CEO Cassandra Capital Corporativo Toronto University Coopers GE Capital Partners LLP Kamakura Corporation Management Banamex-CITI SYSTEMIC AND SOVEREIGN RISK CURRENT CONDITIONS AND CORPORATE CREDIT SCORING OUTLOOK FOR GLOBAL MARKET RISK OPERATIONAL RISK MODELS AND PREDICTING CORPORATE AND SOVEREIGN SOLVENCY CORPORATE CRISIS CREDIT MARKETS Edward Altman Marcelo G. Cruz José Diego Jordi Santiago Stern School of Rafael García Gerardo Zamudio Global Head Alarcón Payés Carrillo Business New York Asset Manager Morgan Serfiex QRR Serfiex Serfiex Stanley University (NYU) TRADING AND QUANTITATIVE FINANCE WORKSHOPS TRADING Quantitative DISPERSION FIXED INCOME: LOW-FREQUENCY MODELS FOR STATISTICAL STRATEGIES AND COMPUTATIONAL FINANCE FOR TRADING & TRADERS IN A ARBITRAGING, ARBITRAGE RELATIVE VALUE QUANTS ARBITRAGING HIGH- FREQUENCY HEDGING, TRADING VOLATILTY FOR OPTIONS AND THE YIELD WORLD: A TRADING & RISK SWAPS CURVE Survival GUIDE MANAGEMENT Marco Avellaneda Rohan Rao José Alatorre Marco Avellaneda Emanuel Derman Izzy Nelken Emanuel Derman Marcos López De Prado Estructuración Courant Institute of Courant Institute of Columbia Georgia Institute Columbia University Mathematical Sciences, Mathematical Sciences, NYU Oscar Sierra Presidente y Fundador Senior Managing Director Paul Wilmott de Commodities and Senior Partner, Finance University-Former of Technology Super Computer Guggenheim Partners Americas Former Goldman NYU and Senior Partner, Goldman Sachs Consulting Barclays Capital Sachs Finance Concepts LLC Concepts LLC (Georgia Tech) NY ASSET AND TREASURY MANAGEMENT WORKSHOPS HEDGE FUNDS RISK MANAGEMENT (MANAGING AND TREASURY MANAGEMENT INVESTING IN A HEDGE FUND) Luis Seco Marcos López De Prado Suresh Sankaran Sigma Analysis & Senior Managing Director Managing Director Kamakura Management Ltd Guggenheim Partners Corporation REGULATION DODD FRANK - EMIR: THE CHALLENGES OF SWAP DEALERS, CENTRAL GIPS® GLOBAL BASEL III. DEVELOPMENT COUNTERPARTIES, EXECUTION FACILITIES, TRADE REPOSITORIES AND INVESTMENT IFRS 9 (International FINANCIAL AND IMPLEMENTATION PERFORMANCE REPORTING Standard ) END USERS TRADING SWAPS INTERNATIONALLY Standards Heleodoro Abraham Ron Filler Gary DeWaal Elizabeth Ritter Antonio Carlos Orta Erick Morales Nicolás Olea Ruiz Izquierdo Chief of Staff and Senior Villarreal CNBV New York Law President Gary DeWaal and Counsel at Commodity Futures KPMG KPMG Banorte-IXE Scotiabank School Associates LLC Trading Commission (CFTC) KPMG panel SEMINAR WORKSHOP WORKSHOP CONFERENCE AGENDA DAY 1 WEDNESDAY, JUNE 18TH, 2014 7:00 AM - 8:00 AM Registration Conference Breakfast: John Hull 8:00 AM - 9:30 AM THE FUTURE OF DERIVATIVES TRADING (Plenary Hall) ROOM 1 ROOM 2 ROOM 3 ROOM 4 ROOM 5 ROOM 6 ROOM 7 Plenary Hall WORKSHOP WORKSHOP WORKSHOP WORKSHOP WORKSHOP CREDIT RISK, COUNTERPARTY TREASURY COMPUTATIONAL TRADING RISK MARKET RISK & CVA MANAGEMENT FINANCE FOR VOLATILITY APPETITE RISK AND 10:00 AM - 12:00 PM Jon Gregory QUANTS REGULATION Solum Financial Suresh Sankaran José Alatorre Gustavo Fuertes John Hull Partners LLP Managing Director Oscar Sierra Estructuración de PricewaterhouseCoopers (Part I) Kamakura Corporation (Part I) Commodities Américas (PWC) Toronto University (Part I) Barclays Capital NY (Part I) (Part I) (Part I) 12:00 PM - 12:30 PM BREAK CREDIT RISK, WORKSHOP TREASURY COMPUTATIONAL TRADING RISK MARKET 12:30 PM - 2:30 PM COUNTERPARTY MANAGEMENT FINANCE FOR VOLATILITY APPETITE RISK AND RISK & CVA (Continue Part I) QUANTS (Continue Part I) (Continue Part I) REGULATION (Continue Part I) (Continue Part I) (Continue Part I) 2:30 PM - 4:00 PM FREE LUNCH WORKSHOP TREASURY COMPUTATIONAL TRADING WORKSHOP RISK WORKSHOP CREDIT RISK, COUNTERPARTY MANAGEMENT FINANCE FOR VOLATILITY FIXED INCOME: APPETITE REGULACIÓN: MARKET RISK & CVA (Continue Part I) QUANTS (Continue Part I) TRADING & (Continue Part I) DODD FRANK Y EMIR: RISK AND 4:00 PM - 5:00 PM (Continue Part I) (Continue Part I) ARBITRAGING THE CHALLENGES REGULATION THE YIELD OF SWAP DEALERS, (Continue Part I) CURVE CENTRAL COUNTERPARTIES, Izzy Nelken EXECUTION FACILITIES, Presidente y Fundador TRADE REPOSITORIES Super Computer Consulting AND END USERS (Part I) TRADING SWAPS INTERNATIONALLY Gary DeWaal 5:00 PM - 6:00 PM Presidente Gary DeWaal and Associates LLC Ron Filler New York Law School Elizabeth Ritter Chief of Staff and Senior Counsel at Commodity Futures Trading Commission (CFTC) WORKSHOP WORKSHOP WORKSHOP WORKSHOP (Part I) SolvencY BASEL III. GLOBAL 6:00 PM - 7:00 PM OPERATIONAL DEVELOPMENT RISK José Diego Alarcón INVESTMENT SERFIEX AND PERFORMANCE (Part I) IMPLEMENTATION Santiago Carrillo Standards ® QRR Carlos Orta (GIPS ) (Part I) Comisión Nacional Bancaria y de Valores Erick Morales (CNBV) (Part I) KPMG 7:00 PM - 8:00 PM (Part I) 8:00 PM - 8:15 PM BREAK BASEL III. GLOBAL SCHEDULE: 8:15 PM - 9:00 PM OPERATIONAL SOLVENCY FIXED INCOME: PANEL: REGulatory RISK (Continue Parte I) DEVELOPMENT INVESTMENT TRADING & AND STRUCTURE (Continue Parte I) AND PERFORMANCE ARBITRAGING IMPLEMENTATION Standards MARKET TRENDS 8:15 PM - 10:00 PM ® THE YIELD (Continue Parte I) (GIPS ) CURVE IN THE GLOBAL (Continue Parte I) (Continue Parte I) MARKETS Ron Filler, Gary DeWaal, John Hull, Sandy Frucher and Elizabeth Ritter AGENDA DAY 2 Thursday, JUNE 19TH, 2014 Conference Breakfast: Edward Altman 8:00 AM - 9:30 AM SYSTEMIC AND SOVEREIGN RISK (Plenary Hall) ROOM 1 ROOM 2 ROOM 3 ROOM 4 ROOM 5 ROOM 6 ROOM 7 ROOM 8 ROOM 9 ROOM 10 Plenary Hall WORKSHOP WORKSHOP WORKSHOP WORKSHOP WORKSHOP WORKSHOP WORKSHOP TRADING WORKSHOP WORKSHOP WORKSHOP IFRS 9 OPERATIONAL TREASURY COMPUTATIONAL TRADING DISPERSION MARKET Quantitative RISK CURRENT STRATEGIES FINANCIAL CONDITIONS RISK MANAGEMENT FINANCE FOR VOLATILITY RISK MODELS FOR APPETITE SECURITIES 10:00 AM - 11:00 AM QUANTS AND RELATIVE AND OUTLOOK VALUE FOR ARBITRAGING, (International FOR GLOBAL Santiago Suresh José Alatorre OPTIONS AND Gerardo Zamudio HEDGING, Gustavo Fuertes FINANCIAL CORPORATE Carrillo Sankaran Oscar Sierra (Part II) SWAPS Fund Manager TRADING & RISK PricewaterhouseCoopers Solum Financial (PWC) REPORTING AND SOVEREIGN (Part II) (Part II) (Part II) MANAGEMENT Partners LLP (Part II) Standard ) CREDIT Marco Avellaneda (Part I) MARKETS Courant Institute of Paul Wilmott Edward Altman Mathematical Nicolás Olea (Parte I) Sciences, NYU Antonio Villarreal NYU 11:00 AM - 12:00 PM and Senior Partner, Finance KPMG Concepts LLC (Continue Part I) 12:00 PM - 12:30 PM BREAK TREASURY COMPUTATIONAL TRADING Quantitative IFRS 9 CURRENT OPERATIONAL TRADING DISPERSION MARKET RISK MANAGEMENT FINANCE FOR RISK MODELS FOR APPETITE Instrumentos CONDITIONS RISK QUANTS VOLATILITY STRATEGIES ARBITRAGING, FINANCIEROS AND OUTLOOK AND RELATIVE (Continue Part I) (Continue Part II) FOR GLOBAL (Continue Part II) (Continue Part II) (Continue Part II) HEDGING, (International (Continue Part II) CORPORATE AND 12:30 PM - 2:30 PM VALUE FOR TRADING & RISK OPTIONS AND FINANCIAL SOVEREIGN CREDIT SWAPS MANAGEMENT REPORTING MARKETS (Continue Part I) (Continue) Standard) (Continue) 2:30 PM - 4:00 PM FREE LUNCH TRADING WORKSHOP OPERATIONAL TREASURY COMPUTATIONAL TRADING FIXED DISPERSION MARKET WORKSHOP WORKSHOP FINANCE FOR BASEL III. COUNTERPARTY RISK MANAGEMENT VOLATILITY INCOME: STRATEGIES RISK DEVELOPMENT REGULACIÓN: QUANTS (Continue Part II) TRADING & AND RELATIVE (Continue Part I) AND DODD FRANK RISK & CVA 4:00 PM - 5:00 PM (Continue
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