April 18, 2014

PRMIA Risk Management Seminars 2008-09

Launched in Spring 2004 the PRMIA Risk Management seminar presents talks on issues of current interest to both professionals and academics in the fields of risk mananagement. PRMIA is an international association of professional risk managers. The seminar series is co-sponsered by the Toronto chapter of PRMIA and by the Fields Insitute. Talks cover a broad range of topics, not necessarily restricted to research in mathematical finance, the topic of the longstanding and complementary Quantitative Finance seminar series.
Please subscribe to the Fields mail list to be informed of upcoming seminars.

Wednesday, June 24th, 2009
4:30 to 6:00 PM

Assessing Hedge Fund Risks: A View from the Trenches
Moderator: Christopher Holt, / CAIA Association
Featured Panelists: Mark Hannoush, Ontario Teachers’ Pension Plan
Christopher Addy, Castle Hall Alternatives

While hedge funds can provide significant benefits to a portfolio, they also present a unique set of risks. These range
from financial risks, such as market, liquidity and credit risks to operational risks, such as those relating to people and
organization, processes and systems as well as third-party involvement. Our expert panelists have been in the hedge
fund trenches, and will share their experience and insights.
Please RSVP by Friday, June 19th, 2009
at or to Lynda Briant at (416) 453-0111 or

May 26, 2009
12 noon

Speaker: Ahmet Kocagil, Managing Director,Fitch Solutions Audio and Slides of the talk
Assessing Liquidity in CDS Markets

Held inconjunction with the MMF UofT program and PRMIA "Assessing Liquidity in CDS Markets"
Limited seats available register through PRMIA

The current financial crisis has caused dramatic and widespread reductions the issuance of credit instruments in general and structured credit specifically. Though reports in the press have declared this illiquidity to be universal, we find indeed that liquidity in the Credit Default Swap (CDS) market has increased. We built a statistical model that associates an (ordinal) score with each CDS reference entity. This provides a comparison of relative liquidity of over 2,000 reference entities in the CDS market globally; though concentrated in North America, Europe, and Asia. Specifically, each name's liquidity score is obtained by applying a logistic regression which combines both well-known indicators of market liquidity (e.g., bid-ask) as well as less accessible, but data-driven, predictors of market liquidity (e.g., dispersion in midquotes across contributors, and staleness of quotes). Additionally, the model generates a market liquidity index. This provides a benchmark across time against which to compare individual entities, sectors, or regions. This study reports extensive validation tests including the Power of the model (accuracy ratio), and dynamics of well-known corporates and sovereigns analysed in some depth (an entity's score is compared against the unfolding financial and/or politico-economic events of 2007-08). The model provides interesting insights and tools for understanding questions such as the credit vs. liquidity relationship, the evolution of market liquidity over time, as well as the relative liquidity of different sectors.

May 21, 2009
12 noon


Case Studies

Gene Guill, Managing Director, Loan Exposure Management Group, Deutsche Bank Audio and Slides of the talk
Bankers Trust and the Birth of Modern Risk Management

Held in conjunction with the MMF UofT program and PRMIA "Bankers Trust and the Birth of Modern Risk Management"
Limited seats available register through PRMIA

The techniques and applications of modern risk management first emerged as a business discipline at Bankers Trust in the 1970s. A key element of this discipline was the explicit recognition of risk in understanding the true economics of the market. In the years that followed, Bankers Trust pioneered the development of objective, analytical tools that enabled it to adapt to the market and learn from the market. These capabilities were embodied in a strategy of risk and capital management that guided business decisions at all levels of the firm and transformed the institution from a struggling full-service bank into a highly successful merchant bank - more profitable than any of its rivals.

In spite of the wide-spread adoption of risk management practices over the past 30 years, the current financial crisis and the cumulative build-up of risk that preceded this crisis have raised fundamental questions about the adequacy and effectiveness of risk management. This seminar will review the development of risk management techniques, highlight the role of risk management in guiding the strategy of a firm, and identify those issues that must be addressed to promote greater stability in financial markets.

May 7, 2009
5:30 p.m.
Risk Management in Era of Global Turmoil
Speaker: Marcus Cree
followed by a panel discussion
To register:
May 12, 2009
5:30 p.m.

Christopher C. Finger, RiskMetrics Group
Modeling issues for capturing traded credit risk
The proposed Incremental Risk Charge (IRC) is intended to capture default and migration risks in banks’ trading portfolios. While the regulation is not definitive and disagreements still linger, it is clear what the structure of the IRC will be, and most crucially, it is clear that this will be a charge based on internal risk models – subject to regulatory standards – with apparently no option to fall back on a simple regulatory formula. Affected banks are consequently moving ahead with model development. In this talk, we will discuss three modeling problems that arise in IRC implementation, and that are relevant not just in a banking regulatory context, but to any tradable credit portfolio: forecasting short horizon default probabilities, embedding a discrete credit model into a continuous (or multi-step) process, and estimating liquidation horizons for affected securities.

PRMIA would like to thank RiskMetrics for sponsoring this event

  This talk has been cancelled: April 13, 2009 - 5:30 p.m.
David Koenig, CEO Ductibility LLC, and former executive director, PRMIA
“Does good governance lead to excess returns?”
February 18, 2009 - 5:30 p.m.

Phil Wright, CanDeal.Audio and Slides of the talk
Electronic Trading: OTC Risk Management Crossroads

Over-the-counter financial markets are an inherent source of risk; presenting unique challenges to risk officers. The introduction of electronic trading into OTC markets is a milestone event, providing risk managers with new suites of tools to heighten business practices. Online trading introduces the unprecedented opportunity to crystallize each transaction at the point of execution, in real-time; introducing new levels of transparency into an opaque environment. Risk analysis and oversight no longer need to be backward-looking and data captured can provide subscribers with unique and valuable information that is not available from other sources.

Phil Wright will discuss the adoption of electronic trading by debt capital markets globally and the impact this in having across corporate offices.

Philip Wright, CFA is Managing Director for CanDeal ( and vice-chair of the TCFAS Fixed Income Committee. Phil has been an active participant in global bond markets since 1980; having held senior trading and product management responsibilities with domestic and international dealers in Toronto and New York. Since 1998, Phil has pioneered electronic trading in the Canadian debt markets. Phil brings a unique perspective and practical experience in working with the complex relationships between online trading, governance and OTC market operations.

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