Advancing the Field of Quantitative Finance
formerly the IAFE

Event: IAFE Credit Risk Committee Event: Risk Management Lessons Worth Remembering & Stress Testing
Date: May 20, 2010
Time: 5:30pm Registration, 6:00pm - Panel Discussion, 7:30pm - Reception

Location:

Goldman Sachs
32 Old Slip
New York

 

The IAFE Credit Risk Committee is pleased to invite you to

Risk Management Lessons Worth Remembering & Stress Testing

5:30 Registration
6:00 - Presentations Begin
7:30 - Reception

 

Presentations will include:

Risk Management Lessons Worth Remembering From the Credit Crisis of 2007-2009

The presentation will discuss eight general principles of risk management and eight important risk management lessons worth remembering from the Credit Crisis of 2007 – 2009. The Credit Crisis has clearly demonstrated the importance of a strong, independent risk management function and the eight general principles of risk management will help institutions to craft the foundation of their risk management organizations. The Credit Crisis has also revealed the inadequacy of many standard methods in quantitative risk management and called into question the efficiency of markets in general.

The analysis of the eight lessons worth remembering from the Credit Crisis provides insights into what went wrong and offers advice on how institutions can attempt to correct for these failings in the future.


presented by
Bennett Golub
Vice Chairman and Chief Risk Officer, BlackRock
 
&

Firm-Wide Stress Testing

  • Issues and choices in building robust, firm-wide systemic stress scenarios across all products, businesses and regions for both the trading and banking book.
  • Two very different perspectives on measuring credit risk.
  • Evaluating the market changes of 2008 in the context of 90 years of market data.
  • Integrating stress testing and VAR into the calculation of economic capital for market risk.

  presented by
Evan Picoult

Managing Director, Risk Architecture, Citi


Registration is closed for this event.