As you know, CBOE’s 31st Annual Risk Management Conference (RMC) will be held March 4 – 6, 2015 at the Park Hyatt Aviara in Carlsbad, California, 25 miles North of San Diego. RMC is the premiere financial industry conference designed for institutional users of equity derivatives and volatility products.
RMC’s agenda covers a variety of concepts, including how to employ hedging techniques for portfolios, utilizizing equity derivatives, and modeling and trading volatility. Topics — ranging from basic derivatives applications to advanced trading concepts — are current and relevant.
Sessions presenters are selected not only for their expertise, but for their ability to communicate complex material in a straightforward, understandable manner. There are no sales pitches.
The Day One Agenda was covered in a Tuesday Blog.
RMC Day Two Agenda for Thursday, March 5, 2015:
7:30 – 8:30 Breakfast
8:30 – 9:00 Edward L. Provost, President & Chief Operating Officer, CBOE Holdings, Inc.
Welcome and CBOE Update
9:00 – 10:00 Keynote Speaker: Zachary Karabell, President, River Twice Research; Contributing Columnist to Reuters, The Atlantic, Slate, The Washington Post, Time & The Wall Street Journal
How Leading Indicators Can Be Misleading, and How to Better Interpret Risks and Opportunities
10:00 – 10:15 Coffee Break
10:15 – 11:45 Steroids, Credit Growth and the Derivatives Blow Up Hall of Fame
Dean Curnutt, CEO, Macro Risk Advisors
11:45 – 1:00 Lunch and Networking
1:00 – 2:00 Panel on Trends in Institutional Options and Volatility Product Usage
Moderator: Christine Williamson, Senior Reporter, Pensions & Investments
Vijoy Paul Chattergy, Chief Investment Officer, Employees’ Retirement System of the State of Hawai’i (HIERS)
Mike Edleson, Chief Risk Officer, The University of Chicago
David Goerz, EVP, Investment Strategy & Risk Management, Alberta Investment Management Corp.
Søren Grooss, Portfolio Manager, PKA
2:00 – 2:15 Session Break
2:15 – 3:30 Track A
Backtesting: A Practitioner’s Guide to Assessing Strategies and Avoiding Pitfalls
– Top ten list of backtesting pitfalls that have occurred, some infamously, and intuitive explanations of what went wrong
– Better procedures for assessing strategies with rigorous detail provided
– Case studies of how useful backtests can and have been done in practice
Amna Qaiser, Portfolio Manager, Goldman Sachs Asset Management
Olivier Sarfati, Head of US Trading Strategies, Citigroup
2:15 – 3:30 Track B
Volatility of Volatility
– Understanding the distributions of realized and implied volatility
– Key differences between volatility of volatility and volatility of spot
– Structuring trading and hedging strategies using a variety of instruments
– Impact of trading flows on volatility of volatility levels
Benn Eifert, Ph.D., Portfolio Manager, Mariner Investment Group
Kambiz Kazemi, Portfolio Manager, Picton Mahoney Asset Management
3:30 – 3:45 Coffee Break
3:45 – 5:00 Track A
Art of Hedging
– How different client objectives influence hedging strategies
– Comparing VIX and SPX hedging strategies; when to use, how to size trades, how to manage positions over time
– Lessons learned from volatility arbitrage trading applied to tail risk hedging strategies
– Detailed examples of what works, and what doesn’t
Arie Aboulafia, Senior Portfolio Manager, Capstone Investment Advisors, LLC
Boris Lerner, Head of US Quantitative and Derivatives Strategy, Morgan Stanley
3:45 – 5:00 Track B Interest Rate Volatility
– Historical perspectives on rates and rate volatility, and a prognosis of what will drive markets this year
– Complementary dynamics between equity and interest rate volatilities
– Rate volatility hedging and trading strategies involving OTC and listed products including VXTYN futures
Yoshiki Obayashi, Managing Director, Applied Academics, LLC
Basil Williams, Co-Chief Investment Officer, Mariner Investment Group
Evening: Free Time
For those unable to attend we will have a recap of each presentation all three days with updates, Tweets and Blogs.
There is space available at CBOE RMC. For those on the fence, the noon temperature in Carlsbad is 70° with a high of 71° expected today. For more information about the full agenda, topics, speakers and registration forms, go to http://www.cboermc/agenda . To follow the conference go to cboermc.com