RMC Europe Day Two, October 1, Agenda

The CBOE Risk Management Conference Europe, Penha Longa Resort in Lisbon, Portugal from September 30th through October 2nd is getting a lot of buzz from Institutional traders in Europe.   port.

The full agenda and topics can be viewed at:  http://www.cboermceurope.com/agenda

Here’s the schedule of topics and speakers for Tuesday, October 1st:

Keynote Speaker: William J. Brodsky, CBOE Executive Chairman and Edward T. Tilly, CBOE Chief Executive Officer,   Washington and Options Industry Updates     

Keynote Speaker: Paul Donovan, Global Economist, UBS
Living in a low nominal world – the economics of the new normal

Keynote Speaker: Krag “Buzz” Gregory, Equity Derivatives Strategist, Goldman Sachs       
VIX Quicks: Performance of long and short VIX options and VIX futures strategies
– VIX strategy development and key drivers of trade profitability
– Performance of VIX carry and portfolio hedging strategies, lessons learned, and “what worked when”.

Keynote Panel: Trends in Institutional Options and Volatility Product Usage
What strategies are institutional investors employing and why?
Moderator: Dan Mikulskis, Investment Consultant, Redington Partners LLP
Chris Limbach
,    Advisor to the CEO, PGGM Investments
Mark Mehtonen, Ilmarinen Mutual Pension
Sebastian Richner, Portfolio Manager Asset Allocation & Equity, Swiss Life Asset Managers
Brendan Walsh,  TAA Strategist, Aviva Investors Global Services

Two Break-out Sessions follow.  At 2:15pm your choices include:

Using Short Options Positions to Manage and Lower Volatility of an Equity Portfolio      

– Pros and cons of using index options versus individual equity options
– Creating a portfolio of staggered and laddered option positions to mitigate pin risk and lower overall volatility
– Implementing options-based programs in a pension plan

Delphine Leblond-Limpalaër, CFA, Equity Derivatives Specialist, Société Générale
Scott Maidel, Senior Portfolio Manager/Trader, Equity Derivatives, Russell Investments

or

Managing Positions Pre- and Post-Trade      

– Pre-trade Rich/Cheap Analysis
– Scenario & Horizon Analysis
– Managing options positions over time (getting in, getting out, rolling up, down and out)

Gabriel Manceau, Volatility Trader, Barclays
Andrea Mosconi, Equity Derivative Application Specialist,  Bloomberg

At 3:45 pm the two choices are as follows:

Optimizing Portfolio Hedging Strategies 

– Empirical results of hedging strategies including those using SPX, VIX and other products
– Practical approaches for comparing potential hedges
– Sizing initial trades and managing positions over time

Jan-Ebel Bos, Managing Director, Milliman
Alessandro Esposito, Portfolio Manager, Blue Bay Asset Management

the other choice would be:

Volatility Management of Equity-Based Insurance Guarantees

– Introduction to Equity Based Insurance Guarantees
– New product designs including volatility control products, low volatility by stock selection and VIX-linked structures
– Volatility profile of equity based insurance guarantees, with and without new designs
– How insurance companies manage risks

Moderator: Pin Chung, Chief Financial Officer and Chief Investment Officer, R+V International Business Services Limited
Philippe Combescot, Head of Americas Equity Derivatives Structuring & Strategy, BNP Paribas
Stefan Jaschke, Head of Quantitative Methods, Munich Re
Andrew Rallis, Senior Vice President & Global Head of Asset/Liability Management, Metlife

Lunch and several networking opportunities during breaks will be available.

We hope to see you in Lisbon September 30th through October 2nd. For those unable to attend we will be blogging and tweeting from the event.