CIM PROGRAMS AND ACTIVITIES

February 9, 2010

PRMIA Risk Management Seminars 2009-10

Organizing Committee	Activities in Commercial and Industrial Mathematics
Directions to Fields	Past Activities in Commercial and Industrial Mathematic s

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.
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UPCOMING PRMIA SEMINARS 2010

Feb. 16, 2010
5:30-7:30 p.m.

PRMIA Risk Management Seminar
Andrew Kalotay
Exposing MBS Model Risk: Look Outside the Black Box

Valuation methods for most fixed income securities are consistent with each other. In particular, the valuation of callable bonds and cancellable swaps assume rational option exercise.

The notable exception is MBS, where prepayment models are based on history and the refinancing option is not modeled explicitly. Unintended consequences include hedging errors and inconsistency in the interpretation of option-adjusted spread.

The solution is true option-based valuation of MBS, including calibration to market prices of liquid securities.

PAST ACTIVITIES

Jan. 20, 2010 5:30-7:30 p.m.	PRMIA Risk Managment Seminar and Round Table PRACTITIONER'S ROUND TABLE: The Incremental Risk Charge in Basel II Roundtable Experts: 1. Alex Levin, PhD, Director, Methodology, Market & Trading Credit Risk, RBC 2. Mark Staley, PhD, AVP, Risk and Capital Modeling, TD Bank Financial Group 3. Philippe Fischer, PhD, Director, Market Risk Management Analytics, Scotiabank 4. Greg Frank, PhD, VP, Risk Analytics, CIBC Capital Markets 5. Ben De Prisco, CFA, MBA, SVP, Research & Financial Engineering and Capital Management Solutions, Algorithmics Inc. 6. Dan Rosen (moderator), PhD, CEO, R2 Financial Technologies
Dec. 15 5:30-7:30 p.m.	PRMIA Risk Managment Seminar - Operational Risk Event Pierre G. Noel, Worldwide Executive, Risk Management & Information Security, IBM Corp Bringing Operational Risk Management to the Boardroom Table We consider some of the questions around involving the Board in Operational Risk Management: What are the elements to consider when involving the Board? What components of corporate governance should be communicated and addressed by the Board? What are the steps in deploying and communicating a Risk Management Project? These questions are directly derived from personal experience in bringing ERM to the Board of Directors of a handful of Fortune 1000 companies in the USA, Europe and Asia.
Nov. 26 5:30-7:30 p.m.	Postponed to 2010
Oct. 7 5:00-7:00 p.m.	PRMIA Risk Managment Seminar and Round Table Speaker TBA Principles for Sound Stress Testing Practices and Supervision Sponsored RiskMetrics Group
Sept. 17, 5:30 p.m.	PRMIA Risk Managment Seminar David Koenig, CEO, The Governance Fund Risk Management, Governance and Value Creation Audio and Slides of the Talk
Sept. 15 4:00 p.m.	PRMIA/AIMA Risk Managment Seminar Bill Shadwick Going to Extremes to Control Risk Audio and Slides of the Talk Sponsored by PRMIA and AIMA Reception sponsored by RBC Dexia