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RiskMathics, aware that the most important factors to develop and consolidate the Financial

WHO SHOULD ATTEND?

Markets are training and promoting a high level financial culture, will host for the seventh time in Mexico: “The Risk Management & Trading Conference”, which will have the participation of leading authorities who have key roles in the global financial industry.

The Risk Management & Trading Conference is aim at Practitioners directly or indirectly involved in areas of trading, risk management, regulation, technology, and research & development of Stock Exchanges, Brokers, Brokerage Houses, Banks, Institutional Investors (Pension Funds, Mutual Funds, Insurance Companies, etc.), Hedge Funds, and Independent Investors.

OBJECTIVES One of the primary objectives of this Conference is to provide through Workshops, Presentations and Round Table Discussions the latest advances in Risk Management, Trading, Technology and Market Regulation, and to transmit all this knowledge by local and international authorities in the field. Some other objectives of this Conference are to explain and show in detail the current situation and where the Global Financial Industry is heading, advances in Pricing, and how intermediaries and direct or indirect participants of markets need to be prepared to remain competitive in spite of the new challenges and paradigms that are present nowadays.

It will be of particular relevance to: • • • • • • •

Regulators Technology areas Analysts Fund Managers Asset Managers Quants Treasurers

• • • • • •

Consultants Traders Financial Analysts Risk Managers and CROs Counselors CEOs of Financial Institutions

RISK MANAGEMENT WORKSHOPS

Asset & Liability Management

CCAR: Comprehensive Capital Analysis and Review

Guillermo Domínguez

Suresh Sankaran

Director Mexico IBSM Solutions

Counterparty Risk, xVA and Central Clearing Alonso Peña

Managing Director Kamakura Corp.

Credit Risk and Trading Strategies with CDS

Balance Sheet Risk Management for Insurance Companies

Rohan Rao

Patricio Belaunzarán

Jon Gregory

University of Cambridge

Solum Financial Partners

Partner Ernst & Young

Emory University

Managing Operational Risk under Market Risk and the Fundamental Operational Risk and Business Review of the Trading Book Standardised Measurement Approach (SMA) Continuity Management

Liquidity Risk Suresh Sankaran

Marcelo Cruz

Managing Director Kamakura Corp.

Risk of Fraud in Financial Institutions Christiams Valle

Chief of Operational Risk Telefonica Peru

Gustavo Santana

John Hull

Managing Partner Yacamy Advisors

Attilio Meucci

Director Ejecutivo Ernst & Young

University of Toronto

Reputational Risk and Financial Communication

Quantitative Risk / Portfolio Management: A Visual Introduction

ARPM

Risk and Portfolio Management for Quantitative Investors

Risk Culture

Risk Modeling: Adjusting Credit Portfolio Profitability

Technology Risk and Cybersecurity for Financial Services

Marco Avellaneda

Gustavo Fuertes

Rubén Haro

Gustavo Santana

Alejandro Osorio

Corporate Director Special Projects Grupo Financiero Interacciones

CRO MUFG Bank México

NYU

Founder Figufin

Director Ejecutivo Ernst & Young

TRADING AND QUANTITATIVE FINANCE WORKSHOPS Convertible Bonds, CoCos and Credit Risk

Development of Financial & Quantitative Solutions with Python

Derivatives and Corporate Finance

Liber Jaime

David Shimko

Vicepresident, Risk Analytics JP Morgan Asset Management

Alonso Peña

NYU Tandon School of Engineering

Managing The xVA Trading Desk (CVA, DVA, FVA, RVA, KVA)

David Shimko

University of Cambridge

NYU Tandon School of Engineering

Multi - Curve Fixed Income Modeling

Giovanni Negrete

Trading Volatility in the Real World

Fabio Mercurio

Trader CVA-xVA Santander Global Banking

Energy Derivatives: Pricing, Hedging and Trading

Bruno Dupire

Global Head of Quantitative Analytics Bloomberg

Head of Quantitaive Research Bloomberg

Peter Carr

NYU Tandon School of Engineering

ASSET AND PORTFOLIO MANAGEMENT WORKSHOPS Family Offices: Building, administration and Operation

Investment Portfolio Management in Mexico

Investment and Risk Management in MATLAB

Portfolio Construction, Risk and Attribution

Luis Seco

Carlos Vallebueno

Marshall Alphonso

Thomas Severance

CEO Sigma Analysis & Management Ltd.

CEO Akaan Transamérica

Portfolio Management Dan Rosen

Fields Institute d1g1t,inc.

Chief Revenue Officer Axioma

Mathworks

FINTECH AND DATA SCIENCE WORKSHOPS Advances in Financial Machine Learning

Blockchain: Uses and Implementation Strategies

Business Analytics for the Banking Industry

Data Science: A Visual Introduction

Machine Learning, AI & Deep Learning in MATLAB

Eamon Maguire

Andrés Fundia

Attilio Meucci

Marshall Alphonso

Marcos López de Prado CEO True Positive Technologies

Managing Director KPMG LLP

IFRS 9: Implementation and Interpretation Nicolás Olea

2

Managing Partner KPMG

Director Nabla Solutions

ARPM

MathWorks

The Value Behind Bitcoin & Blockchain Pablo González Bitso

REGULATION WORKSHOPS IFRS 17: The New Regulation Standard Insurance Companies

Ana María Ramírez Partner KPMG

Eduardo López Director KPMG

José Rodríguez Bitso

Market Risk Prudential Framework: From Basel 2,5 to Fundamental Review of the Trading Book (FRTB) Implementation Rita Gnutti

Head of Internal Model Market Intesa Sanpaolo


WORKSHOP

WORKSHOP

WORKSHOP

SEMINAR

CONFERENCE

PANEL

Agenda Day 1 WEDNESDAY JUNE 20 2018 PLENARY HALL - WESTIN HOTEL 7:00 AM a 8:00 AM

REGISTRATION CONFERENCE BREAKFAST

MACHINE LEARNING The new revolution in the Finance Industry Plenary Hall - Westin Santa Fe Hotel

8:00 AM a 9:30 AM

John C. Hull

MINI - WORKSHOP

Data Science: A Visual Introduction

9:30 AM a 10:00 AM

Attilio Meucci ARPM

Market Risk and the Fundamental Review of the Trading Book

10:00 AM a 6:00 PM

John C. Hull

University of Toronto

JW MARRIOTT SANTA FE HOTEL ROOM 1

ROOM 2

ROOM 3

ROOM 4

ROOM 5

ROOM 6

9:30 AM a 10:00 AM

10:00 AM a 12:00 PM

TECHNOLOGY RISK AND CYBERSECURITY FOR FINANCIAL SERVICES

Executive Director Ernst & Young

12:30 PM a 2:30 PM

ROOM 7

ROOM 8

ROOM 9

ROOM 10

ROOM 11

ROOM 12

WESTIN HOTEL ROOM 13

ROOM 14

ROOM 15

REGISTRATION IN THE THREE VENUES

Gustavo Santana

12:00 PM AM a 12:30 PM

UP CAMPUS SANTA FE

FINTECH AND THE FUTURE OF FINANCE

Alfonso Romo

Head of Innovation Vector

(Part I)

IFRS 9: MANAGING RISK AND RISK MODELING: CONVERTIBLE IFRS 17: THE NEW REGULATION ADJUSTING IMPLEMENTATION OPERATIONAL PORTFOLIO BONDS, COCOS CREDIT STANDARD AND RISK UNDER MANAGEMENT AND CREDIT RISK PORTFOLIO INSURANCE INTERPRETATION STANDARDISED FOR PROFITABILITY COMPANIES MEASUREMENT QUANTITATIVE APPROACH (SMA) INVESTORS Ana María Ramírez Liber Jaime Partner KPMG Vicepresident, Risk Rubén Haro Marco Avellaneda Marcelo Cruz Nicolás Olea Analytics Eduardo López Partner Managing Partner Founder JP Morgan Asset NYU

PORTFOLIO DERIVATIVES TRADING COUNTERPARTY MANAGING THE CCAR: RISK, xVA XVA TRADING AND CORPORATE VOLATILITY IN THE COMPREHENSIVE CONSTRUCTION, RISK AND FINANCE REAL WORLD AND CENTRAL DESK CAPITAL ATTRIBUTION CLEARING (CVA, DVA, FVA, ANALYSIS AND RVA, KVA) REVIEW Giovanni Negrete CVA-xVA Trader Santander Global Banking

(Part I)

David Shimko

NYU Tandon School of Engineering

(Part I)

Bruno Dupire

Head of Quantitative Research Bloomberg

Suresh Sankaran Managing Director Kamakura Corp.

(Part I)

Thomas Severance

Alonso Peña University of Cambridge

Chief Revenue Officer Axioma

(Part I)

Yacamy Advisors

(Part I)

Figufin

Management

Director KPMG

KPMG

(Part I)

(Part I)

(Part I)

(Part I)

ASSET & LIABILITY MANAGEMENT

Guillermo Domínguez

Director Mexico IBSM Solutions

(Part I)

(Part I)

RISK AND PORTFOLIO MANAGEMENT FOR QUANTITATIVE INVESTORS

ASSET & LIABILITY MANAGEMENT

BREAK INVESTMENT TECHNOLOGY PORTFOLIO RISK AND CYBERSECURITY MANAGEMENT IN MEXICO FOR FINANCIAL SERVICES

PORTFOLIO COUNTERPARTY TRADING DERIVATIVES MANAGING THE CCAR: RISK, xVA XVA TRADING AND CORPORATE VOLATILITY IN THE COMPREHENSIVE CONSTRUCTION, FINANCE RISK AND AND CENTRAL REAL WORLD DESK CAPITAL ATTRIBUTION CLEARING (CVA, DVA, FVA, ANALYSIS AND RVA, KVA) REVIEW

RISK MODELING: CONVERTIBLE IFRS 17: THE NEW MANAGING IFRS 9: ADJUSTING BONDS, COCOS OPERATIONAL IMPLEMENTATION REGULATION CREDIT AND CREDIT RISK RISK UNDER AND STANDARD PORTFOLIO STANDARDISED PROFITABILITY INTERPRETATION INSURANCE MEASUREMENT COMPANIES APPROACH (SMA)

Carlos Vallebueno CEO Akaan Transamérica

(Continues Part I)

(Continues Part I) (Continues Part I) (Continues Part I) (Continues Part I)

(Continue)

2:30 2:30 PM PM a a 4:00 4:00 PM PM

4:00 PM a 6:00 PM

(Continues Part I)

(Continues)

(Continues Part I) (Continues Part I) (Continues Part I) (Continues Part I) (Continues Part I) (Continues Part I)

FREE LUNCH INVESTMENT TECHNOLOGY PORTFOLIO RISK AND CYBERSECURITY MANAGEMENT IN MEXICO FOR FINANCIAL SERVICES

INVESTMENT DERIVATIVES TRADING MANAGING THE CCAR: AND RISK XVA TRADING AND CORPORATE VOLATILITY IN THE COMPREHENSIVE MANAGEMENT IN FINANCE REAL WORLD DESK CAPITAL MATLAB (CVA, DVA, FVA, ANALYSIS AND RVA, KVA) REVIEW

IFRS 9: MANAGING RISK MODELING: CONVERTIBLE IFRS 17: THE NEW BONDS, COCOS ADJUSTING REGULATION IMPLEMENTATION OPERATIONAL CREDIT AND CREDIT RISK STANDARD AND RISK UNDER PORTFOLIO INSURANCE INTERPRETATION STANDARDISED PROFITABILITY COMPANIES MEASUREMENT APPROACH (SMA)

COUNTERPARTY RISK, xVA AND CENTRAL CLEARING

Marshall Alphonso

RISK AND PORTFOLIO MANAGEMENT FOR QUANTITATIVE INVESTORS

ASSET & LIABILITY MANAGEMENT

MathWorks

(Continues Part I)

(Continues)

(Continues Part I) (Continues Part I) (Continues Part I) (Continues Part I)

(Part I)

(Continues Part I)

(Continues)

(Continues Part I) (Continues Part I) (Continues Part I) (Continues Part I) (Continues Part I) (Continues Part I)

PLENARY HALL - WESTIN HOTEL PANEL Chair:

6:15 PM a 7:30 PM

Thomas Severance Chief Revenue Officer Axioma

Trends in the Global Risk Management Industry David O´Donovan

Heleodoro Ruiz

MUREX

Banco Azteca

Risk Management Expert

Chief Risk Officer

John Hull

University of Toronto

Marcelo Cruz

Mark Carey

Suresh Sankaran

Yacamy Advisors

GARP

Kamakura Corp.

Managing Partner

CO-President

Managing Director

CHAMPAGNE ROUND TABLE

7:30 PM a 8:30 PM

ETFs Vs Futuros ... Benefits, Advantages and Disadvantages in Portfolios Chair:

Javier Perochena Promotion and Issuer Relations

BIVA

Adriana Rangel

Carlos Kretschmer

Giovanni Vicioso

BlackRock

QuantaShares

CME Group

Director

CEO

Senior Director

Guillermo Vilchis

Institutional Business Development

Vanguard

3


WORKSHOP

WORKSHOP

WORKSHOP

SEMINAR

CONFERENCE

PANEL

Agenda Day 2 THURSDAY JUNE 21 2018 PLENARY HALL - WESTIN HOTEL REGISTRATION

7:00 AM a 8:00 AM

CONFERENCE BREAKFAST

Political Uncertainty in a Globalized World

8:00 AM a 9:30 AM

Carlos Elizondo MINI - WORKSHOP

Quantitative Risk / Portfolio Management: A Visual Introduction

9:30 AM a 10:00 AM

Attilio Meucci - ARPM WORKSHOP

Blockchain: Uses and Implementation Strategies in Trading and Risk Management Industry Eamon Maguire

10:00 AM a 5:00 PM

KPMG

ROOM 1

ROOM 2

ROOM 3

ROOM 4

ROOM 5

ROOM 6

9:30 AM a 10:00 AM

10:00 AM a 12:00 PM

ROOM 7

ROOM 8

TECHNOLOGY RISK AND CYBERSECURITY FOR FINANCIAL SERVICES

MULTI - CURVE FIXED INCOME MODELING

MANAGING THE DERIVATIVES XVA TRADING AND CORPORATE DESK FINANCE (CVA, DVA, FVA, RVA, KVA)

Gustavo Santana

Fabio Mercurio

Giovanni Negrete

(Part I)

(Part II)

(Part II)

ROOM 10

Global Head of Quantitative Analytics Bloomberg

CVA-xVA Trader Santander Global Banking

NYU Tandon School of Engineering

Fields Institute d1g1t,inc.

Dan Rosen

Suresh Sankaran

(Part II)

(Part I)

(Part II)

David Shimko

Bruno Dupire

Alonso Peña

MARKET RISK PRUDENTIAL FRAMEWORK: FROM BASEL 2,5 TO FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB) IMPLEMENTATION

(Part II)

(Part II)

Model Market Intesa Sanpaolo

CCAR: TRADING COUNTERPARTY COMPREHENSIVE VOLATILITY IN THE RISK, xVA CAPITAL REAL WORLD AND CENTRAL ANALYSIS AND CLEARING REVIEW

PORTFOLIO MANAGEMENT

Managing Director Kamakura Corp.

Head of Quantitative Research Bloomberg

12:00 PM a 12:30 PM

ROOM 11

ROOM 12

ROOM 13

ROOM 14

ROOM 15

University of Cambridge

Rita Gnutti

RISK MODELING: CONVERTIBLE IFRS 17: THE NEW RISK AND IFRS 9: ADJUSTING BONDS, COCOS PORTFOLIO REGULATION IMPLEMENTATION CREDIT AND CREDIT RISK MANAGEMENT STANDARD AND PORTFOLIO FOR INSURANCE INTERPRETATION PROFITABILITY QUANTITATIVE COMPANIES INVESTORS Ana María Ramírez Liber Jaime Partner Vicepresident, Risk Rubén Haro KPMG Marco Avellaneda Nicolás Olea Analytics Eduardo López Partner Founder NYU JP Morgan Asset Figufin

Management

(Part II)

(Part II)

KPMG

Director KPMG

(Part II)

(Part II)

ASSET & LIABILITY MANAGEMENT Guillermo Domínguez

Director Mexico IBSM Solutions

(Part II)

(Part II)

IFRS 9: RISK MODELING: CONVERTIBLE IFRS 17: THE NEW ADJUSTING REGULATION IMPLEMENTATION BONDS, COCOS CREDIT STANDARD AND AND CREDIT RISK PORTFOLIO INSURANCE INTERPRETATION PROFITABILITY COMPANIES

RISK AND PORTFOLIO MANAGEMENT FOR QUANTITATIVE INVESTORS

ASSET & LIABILITY MANAGEMENT

(Continues Part II)

(Continúa Parte II)

(Continues Part II)

RISK AND PORTFOLIO MANAGEMENT FOR QUANTITATIVE INVESTORS

ASSET & LIABILITY MANAGEMENT

(Continúa Parte II)

(Continues Part II)

BREAK TECHNOLOGY RISK AND CYBERSECURITY FOR FINANCIAL SERVICES

MULTI - CURVE FIXED INCOME MODELING

MANAGING THE DERIVATIVES XVA TRADING AND CORPORATE DESK FINANCE (CVA, DVA, FVA, RVA, KVA)

(Continues Part II)

(Continues Part I)

(Continues Part II)

(Continues Part II)

COUNTERPARTY CCAR: TRADING RISK, xVA COMPREHENSIVE VOLATILITY IN THE REAL WORLD AND CENTRAL CAPITAL CLEARING ANALYSIS AND REVIEW

PORTFOLIO MANAGEMENT

(Continues Part II)

(Continues Part I)

MARKET RISK PRUDENTIAL FRAMEWORK: FROM BASEL 2,5 TO FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB) IMPLEMENTATION

(Continues Part II)

(Continues Part II)

2:30 PM a 3:30 PM

3:30 PM a 5:00 PM

ROOM 9

REGISTRATION IN THE THREE VENUES

Executive Director Ernst & Young

12:30 PM a 2:30 PM

WESTIN HOTEL

UP CAMPUS SANTA FE

JW MARRIOTT SANTA FE HOTEL

(Continues)

(Continues Part II)

(Continues Part II)

(Continues Part II)

FREE LUNCH TECHNOLOGY INVESTMENT MANAGING THE DERIVATIVES RISK AND AND RISK XVA TRADING AND CORPORATE CYBERSECURITY MANAGEMENT IN DESK FINANCE FOR FINANCIAL MATLAB (CVA, DVA, FVA, SERVICES RVA, KVA) Marshall Alphonso (Part II)

Gustavo Fuertes

CCAR: COMPREHENSIVE CAPITAL ANALYSIS AND REVIEW

COUNTERPARTY RISK, xVA AND CENTRAL CLEARING

MARKET RISK PRUDENTIAL FRAMEWORK: FROM BASEL 2,5 TO FUNDAMENTAL REVIEW OF THE TRADING BOOK (FRTB) IMPLEMENTATION

(Continues Part II)

(Continues Part II)

(Continues)

CRO MUFG Bank México

MathWorks

(Continues Part II)

RISK CULTURE

(Continues Part II)

(Continues Part II)

(Part I)

6:00 5:00 PM a 6:15 PM 5:15

IFRS 9: RISK MODELING: CONVERTIBLE IFRS 17: THE NEW ADJUSTING IMPLEMENTATION REGULATION BONDS, COCOS CREDIT AND STANDARD AND CREDIT RISK PORTFOLIO INTERPRETATION INSURANCE PROFITABILITY COMPANIES

(Continues Part II)

(Continues Part II)

(Continues Part II)

(Continues Part II)

BREAK

PLENARY HALL - WESTIN HOTEL PANEL

Chair: 5:15 PM a 6:30 PM

Javier Perochena Promotion and Issuer Relations

BIVA

Global View of the Asset and Portfolio Management Carlos Vallebueno

Felipe Vilá

Jonathan Davis

Jorge Unda Rodríguez

Akaan Transamerica

Fondo de Fondos

Chairman

Macquarie Infrastructure and Real Assets

CIO

CEO

CEO

Rodrigo López CIO

BBVA LATAM

Kue Capital

Announcing the JOHN HULL AWARD of the 1st Derivatives Challenge: El primer torneo para operar derivados

PANEL

Chair:

6:30 PM a 7:45 PM

Jorge Pérez Colín Analytics Director Mexico

Accenture Analytics

Perspectives, development and implementation of FinTech regulation in Mexico Alfonso Romo Head of Innovation

Vector

Carlos Ochoa Founder & General Partner

Chilango Ventures / AI8 Ventures Chairman Techie 8

Carlos Orta

Heleodoro Ruiz

VP Regulatory Policy

Chief Risk Officer

CNBV

Vicente Fenoll CEO

Banco Azteca

Kubo Financiero

CHAMPAGNE ROUND TABLE

The new Interest Rates Benchmarks SONIA-SOFR and the Future of LIBOR 7:45 PM a 9:00 PM

Chair:

Jorge Alegría Senior Advisor to the President

CME Clearing

4

9:00 PM a 1:00 AM

(Implications for the Fixed Income World)

Álvaro Vaqueiro Head of Global Markets

BBVA Bancomer

Fabio Mercurio

Global Head of Quantitative Analytics

Bloomberg

Gabriel Casillas

Jaime Cortina Morfin

Banorte

Director General de Operaciones y Sistemas de Pagos

Chief Economist

BANXICO

Networking Cocktail LATE NIGHT CHAMPAGNE & WINE TASTING

LA TE N & IG 9:0 WI HT 0 P NE CH M TAS AM A 1:0 TIN PAG 0 A G NE M


WORKSHOP

WORKSHOP

WORKSHOP

SEMINAR

CONFERENCE

PANEL

Agenda Day 3 FRIDAY JUNE 22 2018 PLENARY HALL - WESTIN HOTEL 7:00 AM a 8:00 AM

REGISTRATION BREAKFAST PANEL

Quants Vs Data Scientists…Who stays and who leaves from Financial Institutions and Trading Desks?

8:00 AM a 9:30 AM

Chair:

Dan Rosen

Attilio Meucci ARPM

Fields Institute d1g1t,inc.

Fernando Esponda ITAM

Gonzalo Rangel

Marco Avellaneda NYU

Analytics Executive Director

Banorte

Marcos López de Prado CEO

True Positive Technologies

ANNOUNCING THE PACKAGE

Risk Management and Trading Conference - ARPM Bootcamp

9:30 AM a 10:00 AM

With Allan Barush & Attilio Meucci

UP CAMPUS SANTA FE

JW MARRIOTT SANTA FE HOTEL ROOM 1

ROOM 2

ROOM 3

ROOM 4

ROOM 5

9:30 AM a 10:00 AM

10:00 AM a 12:00 PM

ROOM 6

ROOM 7

REPUTATIONAL RISK AND FINANCIAL COMMUNICATION

MULTI - CURVE FIXED INCOME MODELING

RISK OF FRAUD IN FINANCIAL INSTITUTIONS

LIQUIDITY RISK

TRADING VOLATILITY IN THE REAL WORLD

ENERGY DERIVATIVES: PRICING, HEDGING AND TRADING

Alejandro Osorio

Fabio Mercurio

Christiams Valle

Suresh Sankaran

Peter Carr

David Shimko

(Part II)

(Part I)

Global Head of Quantitative Analytics Bloomberg

Chief of Operational Risk Telefonica Peru

Managing Director Kamakura Corp.

NYU Tandon School of Engineering

NYU Tandon School of Engineering

(Part I)

(Part III)

(Part I)

ADVANCES IN FINANCIAL MACHINE LEARNING Marcos López de Prado CEO True Positive Technologies

12:00 PM a 12:30 PM

ROOM 10

ROOM 11

ROOM 12

ROOM 13

ROOM 14

ROOM 15

CREDIT RISK COUNTERPARTY AND TRADING RISK, xVA AND CENTRAL STRATEGIES WITH CDS CLEARING

DEVELOPMENT OF FINANCIAL & QUANTITATIVE SOLUTIONS WITH PYTHON

Solum Financial Partners

Rohan Rao

Emory University

Alonso Peña

(Part III)

(Part II)

(Part I)

Jon Gregory

University of Cambridge

BALANCE FAMILY OFFICES: CONSTRUCTION, SHEET RISK MANAGEMENT ADMINISTRACIÓN FOR INSURANCE AND OPERATION COMPANIES Patricio Belaunzarán Partner Ernst & Young

(Part I)

Luis Seco

CEO Sigma Analysis & Management Ltd.

(Part I)

THE VALUE BEHIND BITCOIN AND BLOCKCHAIN Pablo González Bitso

José Rodríguez

MACHINE CONVERTIBLE LEARNING, AI & BONDS, COCOS DEEP LEARNING IN AND CREDIT RISK MATLAB Marshall Alphonso MathWorks

Bitso

Liber Jaime

Vicepresident, Risk Analytics JP Morgan Asset Management

(Part III)

(Part I)

BREAK REPUTATIONAL RISK AND FINANCIAL COMMUNICATION

MULTI - CURVE FIXED INCOME MODELING

RISK OF FRAUD IN FINANCIAL INSTITUTIONS

LIQUIDITY RISK

TRADING VOLATILITY IN THE REAL WORLD

ENERGY DERIVATIVES: PRICING, HEDGING AND TRADING

ADVANCES IN FINANCIAL MACHINE LEARNING

(Continues)

(Continues Part II)

(Continues Part I)

(Continues Part I)

(Continues Part III)

(Continues Part I)

(Continues)

2:30 PM a 4:00 PM

4:00 PM a 6:00 PM

ROOM 9

REGISTRATION IN THE THREE VENUES

Corporate Director Special Projects Grupo Financiero Interacciones

12:30 PM a 2:30 PM

ROOM 8

WESTIN HOTEL

CREDIT RISK COUNTERPARTY DEVELOPMENT BALANCE FAMILY OFFICES: OF FINANCIAL & CONSTRUCTION, AND TRADING RISK, xVA SHEET RISK ADMINISTRACIÓN AND CENTRAL STRATEGIES WITH QUANTITATIVE MANAGEMENT SOLUTIONS WITH FOR INSURANCE AND OPERATION CDS CLEARING PYTHON COMPANIES

(Continues Part III)

(Continues Part II)

(Continues Part I)

(Continues Part I)

(Continues Part I)

THE VALUE BEHIND BITCOIN AND BLOCKCHAIN

(Continues Part I)

MACHINE CONVERTIBLE LEARNING, AI & BONDS, COCOS DEEP LEARNING IN AND CREDIT RISK MATLAB

(Continues)

(Continues Part III)

FREE LUNCH OPERATIONAL RISK AND BUSINESS CONTINUITY MANAGEMENT Gustavo Santana Executive Director Ernst & Young

(Part I)

RISK CULTURE

RISK OF FRAUD IN FINANCIAL INSTITUTIONS

LIQUIDITY RISK

TRADING VOLATILITY IN THE REAL WORLD

ENERGY DERIVATIVES: PRICING, HEDGING AND TRADING

ADVANCES IN FINANCIAL MACHINE LEARNING

(Continues Part I)

(Continues Part I)

(Continues Part III)

(Continues Part I)

(Continues)

CREDIT RISK FAMILY OFFICES: COUNTERPARTY BALANCE DEVELOPMENT CONSTRUCTION, AND TRADING OF FINANCIAL & RISK, xVA SHEET RISK ADMINISTRACIÓN QUANTITATIVE STRATEGIES WITH AND CENTRAL MANAGEMENT SOLUTIONS WITH FOR INSURANCE AND OPERATION CDS CLEARING PYTHON COMPANIES

THE VALUE BEHIND BITCOIN AND BLOCKCHAIN

CONVERTIBLE MACHINE LEARNING, AI & BONDS, COCOS DEEP LEARNING IN AND CREDIT RISK MATLAB

Gustavo Fuertes

CRO MUFG Bank México

(Part II)

(Continues Part III)

(Continues Part II)

(Continues Part I)

(Continues Part I)

(Continues Part I)

(Continues Part I)

(Continues)

(Continues Part III)

5


WORKSHOP

WORKSHOP

SEMINAR

SEMINAR

CONFERENCE

PANEL

Agenda Day 4 SATURDAY JUNE 23 2018 UP CAMPUS SANTA FE

JW MARRIOTT SANTA FE HOTEL ROOM 1

ROOM 2

ROOM 3

ROOM 4

ROOM 5

7:30 AM a 8:00 AM

8:00 AM a 10:00 PM

ROOM 6

ROOM 7

ROOM 8

ROOM 9

ROOM 10

ROOM 11

ROOM 12

ROOM 13

REGISTRATION IN THE THREE VENUES OPERATIONAL RISK AND BUSINESS CONTINUITY MANAGEMENT

RISK OF FRAUD IN FINANCIAL INSTITUTIONS

LIQUIDITY RISK

Gustavo Santana

Christiams Valle

Executive Director Ernst & Young

Chief of Operational Risk Telefonica Peru

Suresh Sankaran

(Part II)

(Part II)

TRADING ENERGY BUSINESS ANALYTICS FOR VOLATILITY IN THE DERIVATIVES: REAL WORLD PRICING, HEDGING THE BANKING INDUSTRY AND TRADING Peter Carr

David Shimko

Managing Director Kamakura Corp.

NYU Tandon School of Engineering

NYU Tandon School of Engineering

(Part II)

(Part IV)

(Part II)

Andrés Fundia Director Nabla Solutions

CREDIT RISK DEVELOPMENT FAMILY OFFICES: BALANCE THE VALUE COUNTERPARTY OF FINANCIAL & AND TRADING CONSTRUCTION, BEHIND BITCOIN SHEET RISK RISK, xVA QUANTITATIVE MANAGEMENT ADMINISTRACIÓN AND BLOCKCHAIN AND CENTRAL STRATEGIES WITH SOLUTIONS WITH FOR INSURANCE AND OPERATION CDS CLEARING PYTHON COMPANIES Pablo González Bitso Patricio Belaunzarán Luis Seco Rohan Rao Alonso Peña Jon Gregory José Rodríguez Solum Financial Partners

Emory University

University of Cambridge

Partner Ernst & Young

(Part IV)

(Parte II)

(Part II)

(Part II)

CEO Sigma Analysis & Management Ltd.

(Part II)

Bitso

(Part II)

PLENARY HALL - WESTIN HOTEL

Fun and Fan Zone Break 10:00 PM a 12:00 PM

12:00 PM a 3:00 PM

FIFA World Cup Match

KOREA

VS.

OPERATIONAL RISK AND BUSINESS CONTINUITY MANAGEMENT

RISK OF FRAUD IN FINANCIAL INSTITUTIONS

LIQUIDITY RISK

(Continues Part II)

(Continues Part II)

(Continues Part II)

TRADING BUSINESS ENERGY VOLATILITY IN THE DERIVATIVES: ANALYTICS FOR REAL WORLD PRICING, HEDGING THE BANKING INDUSTRY AND TRADING

(Continues Part IV)

3:00 PM a 4:00 PM

4:00 PM a 6:00 PM

(Continues Part II)

(Continues)

CREDIT RISK THE VALUE DEVELOPMENT FAMILY OFFICES: COUNTERPARTY BALANCE OF FINANCIAL & CONSTRUCTION, BEHIND BITCOIN AND TRADING RISK, xVA SHEET RISK AND BLOCKCHAIN QUANTITATIVE ADMINISTRACIÓN AND CENTRAL STRATEGIES WITH SOLUTIONS WITH MANAGEMENT AND OPERATION CDS CLEARING FOR INSURANCE PYTHON COMPANIES

(Continues Part IV)

(Continúa Parte II)

(Continues Part II)

(Continues Part II)

(Continues Part II)

FREE LUNCH OPERATIONAL RISK AND BUSINESS CONTINUITY MANAGEMENT

RISK OF FRAUD IN FINANCIAL INSTITUTIONS

LIQUIDITY RISK

(Continues Part II)

(Continues Part II)

(Continues Part II)

TRADING BUSINESS ENERGY VOLATILITY IN THE DERIVATIVES: ANALYTICS FOR REAL WORLD PRICING, HEDGING THE BANKING INDUSTRY AND TRADING

(Continues Part IV)

(Continues Part II)

(Continues)

EXCHANGE

LEAD

6

MEXICO

DEVELOPMENT FAMILY OFFICES: COUNTERPARTY CREDIT RISK BALANCE OF FINANCIAL & CONSTRUCTION, RISK, xVA AND TRADING SHEET RISK QUANTITATIVE ADMINISTRACIÓN AND CENTRAL STRATEGIES WITH SOLUTIONS WITH MANAGEMENT AND OPERATION CLEARING CDS FOR INSURANCE PYTHON COMPANIES

(Continues Part IV)

(Continúa Parte II)

SPONSORS

SPONSORS

(Continues Part II)

(Continues Part II)

(Continues Part II)

(Continues Part II)


MACHINE LEARNING: THE NEW REVOLUTION IN THE FINANCE INDUSTRY JOHN C. HULL

UNIVERSITY OF TORONTO

CONFERENCE BREAKFAST

This presentation will discuss three different machine learning projects that John Hull has been involved in recently. The projects use a number of different machine learning algorithms The presentation will explain the algorithms and discuss implementation issues. John Hull is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto. He is an internationally recognized authority on derivatives and risk management and has many publications in this area. His work has an applied focus. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull- White interest rate model and was in 1999 voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye Award. John Hull has written three books: “Risk Management and Financial Institutions”(now in its 4th edition), “Options, Futures, and Other Derivatives” (now in its 9th edition) and “Fundamentals of Futures and Options Markets” (now in its 8th edition). The books have been translated into many languages and are widely used in trading rooms throughout the world, as well as in the classroom. Dr. Hull is co-director of Rotman’s Master of Finance Program. In addition to the University of Toronto, Dr. Hull has taught at York University, University of British Columbia, New York University, Cranfield University, and London Business School. He is an Associate Editor of nine academic journals.

POLITICAL UNCERTAINTY IN A GLOBALIZED WORLD CARLOS ELIZONDO

RESEARCH PROFESSOR ITESM

CONFERENCE BREAKFAST

Democracy is by definition uncertainty. After the surprising triumph of Brexit, every electoral process must be a cause for caution. A part of the electorate is angry and sees in the old liberal certitudes as plurality and free trade a threat to their interests. How to build an electoral coalition like Trump’s triumph? What can we expect from the Mexican voter in the election of this first of July? What are the biggest risks of a world with so much external and internal uncertainty? He has a master and doctorate in political science from the University of Oxford, United Kingdom. From 1991 to 1995 he was a professor and researcher at CIDE. From 1995 he served as general director of the same institution, until his appointment as ambassador of Mexico to the OECD in 2004. In 2007, he returned to CIDE as a professor and researcher. His latest books are “Those in advance run a lot: Inequality, privileges and democracy”, “With money and without money ... Our inefficient, precarious and unfair fiscal balance”, and “That’s why we are as we are: The political economy of mediocre growth”. He has a weekly column in Excelsior. With Federico Reyes Heroles, he leads the program First Circle, every Monday on Channel 13, TV Azteca. He is currently a researcher at the School of Government and Public Transformation, ITESM Santa Fe. In September 2014 he was appointed independent director of Pemex.

CO-SPONSORS

ASSOCIATE

SPONSORS

PARTNERS

MEDIA

SPONSORS

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PANELS TRENDS IN THE GLOBAL RISK MANAGEMENT INDUSTRY

THURSDAY JUNE 20 6:15 PM

CHAIR: Thomas Severance Chief Revenue Officer

Axioma

David O´Donovan

Heleodoro Ruiz

MUREX

Banco Azteca

Risk Management Expert

Chief Risk Officer

John Hull

Marcelo Cruz

Mark Carey

Suresh Sankaran

Yacamy Advisors

GARP

Kamakura Corp.

University of Toronto

CO-President

Managing Partner

ETFS VS FUTURES ... BENEFITS, ADVANTAGES AND DISADVANTAGES IN PORTFOLIOS

Managing Director

WEDNESDAY JUNE 20 7:30 PM

CHAIR: George Boone Managing Director

EDMWealth Management

Adriana Rangel

Carlos Kretschmer

Giovanni Vicioso

BlackRock

QuantaShares

CME Group

Director

CEO

Senior Director

Guillermo Vilchis

Institutional Business Development

Vanguard

GLOBAL VIEW OF THE ASSET AND PORTFOLIO MANAGEMENT

THURSDAY JUNE 21 5:15 PM CHAIR: George Boone Managing Director

EDMWealth Management

Carlos Vallebueno

Felipe Vilá

Jonathan Davis

Jorge Unda Rodríguez

Rodrigo López

Akaan Transamérica

Fondo de Fondos

Macquarie Infrastructure and Real Assets

BBVA LATAM

Kue Capital

CEO

8

CEO

Chairman

CIO

CIO


PANELS PERSPECTIVES, DEVELOPMENT AND IMPLEMENTATION OF FINTECH REGULATION IN MEXICO

THURSDAY JUNE 21 6:30 PM CHAIR: Jorge Pérez Colin

Analytics Director Mexico Accenture Analytics

Alfonso Romo Head of Innovation

Vector

Carlos Ochoa

Founder & General Partner

Chilango Ventures / AI8 Ventures Chairman Techie 8

Carlos Orta

Heleodoro Ruiz

Vicente Fenoll

CNBV

BAZ

Kubo Financiero

VP Regulatory Policy

Chief Risk Officer

CEO

THE NEW INTEREST RATES BENCHMARKS SONIA-SOFR AND THE FUTURE OF LIBOR (IMPLICATIONS FOR THE FIXED INCOME WORLD)

THURSDAY JUNE 21 7:45 PM

CHAIR: Jorge Alegría

Senior Advisor to the President CME Clearing

Álvaro Vaqueiro

Head of Global Markets

BBVA Bancomer

Fabio Mercurio

Global Head of Quantitative Analytics

Bloomberg

Gabriel Casillas Chief Economist

Banorte

Jaime Cortina Morfin

Director General de Operaciones y Sistemas de Pagos

BANXICO

QUANTS VS DATA SCIENTISTS…WHO STAYS AND WHO LEAVES FROM FINANCIAL INSTITUTIONS AND TRADING DESKS?

FRIDAY JUNE 22 8:00 AM CHAIR: Dan Rosen

Fields Institute d1g1t,inc.

Attilio Meucci ARPM

Fernando Esponda ITAM

Gonzalo Rangel

Analytics Executive Director

Banorte

Marco Avellaneda NYU

Marcos López de Prado CEO

True Positive Technologies

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RM

Risk Management Workshops

Asset and Liability Management WEDNESDAY JUNE 20 & THURSDAY JUNE 21 DURATION: 16 HOURS WESTIN SANTA FE HOTEL

GUILLERMO DOMÍNGUEZ DIRECTOR MEXICO IBSM SOLUTIONS

Guillermo Domínguez is the Director for Mexico based in Mexico City and has over 20 years of experience in the financial industry as auditor, regulator, risk manager and consultant in finance, profitability, FTP, ALM, Corporate Governance, Operational Risk Management and Processes, providing advice for Financial Institutions in Latin America, the United States and Europe. He has been professor at ITAM (Mexico), and has published papers on Valuation Fundamentals for Financial Intermediaries using Funds Transfer Pricing and a Valuation Model that includes risk in cash flows with the Mexican Finance Executives Institute (IMEF), where he has been Vice president of the Technical Committee. He has professional experience on: - Asset Liability Management and Funds Transfer Pricing. - Profitability Measurement and Management. - Market and Credit Risk Management. - Operational Risk Management. - Corporate Governance. - Courses in Finance and Planning.

TOPICS: 1. Introduction: What is Asset & Liability Management?. 2. Risks and Returns Nature. 3. Capital Regulations. 3.1. Banking Evolution. 3.2. Capital Assessment. 4. Liquidity Management. 4.1. Cash Flow Gaps. 4.2. Assumptions. 5. Interest Rate Risk Management and Measurement. 5.1. Margin Impact. 5.2. Economic Value. 5.3. Simulation Models. 6. Management Tools and Hedging. 6.1. Derivatives. 6.2. Other Instruments. 7. Performance Measures. 7.1. The Transfer Prices Role. 8. Contractual Life versus Expected Life.

CCAR: Comprehensive Capital Analysis and Review WEDNESDAY JUNE 20 & THURSDAY JUNE 21 DURATION: 16 HOURS JW MARRIOTT SANTA FE HOTEL

SURESH SANKARAN MANAGING DIRECTOR KAMAKURA CORP.

Suresh recently assumed the role of Managing Director, Advisory Services, of Kamakura Corporation where he heads, develops, and provides Enterprise Risk Management (ERM) and Basel II advisory consulting services to its clients worldwide. His work includes practical application of advanced financial analytics to solve crucial risk management issues, on assignments involving latest solutions in the field of financial engineering including advice on term structure models, valuation strategies, V@R, and credit risk.

TOPICS:

He re-joined Kamakura Corporation from the International Finance Corporation (I FC), the private sector arm of the World Bank Group, where he was Principal Operations Officer responsible for the development of risk management practices in the financial services sector in emerging markets.

Going beyond regulatory compliance. · How to use the regulatory stress test (designed for horizontal comparison among banks) and modify the models and process to use as a management tool to better manage capital.

Prior to his current role, he was Vice-President and Director, Strategic Consulting Services, at Fiserv. In this role, was responsible for risk management projects around the globe, and was also for consulting development on the enterprise wide risk management-consulting arm of Fiserv Risk.

What are the issues that need to be studied? · Internal Data – loan level, defaults, losses, recoveries, lags; granularity vs. aggregation, assumptions vs. bank history. · External Data – macro factors. · Model - construct, assumptions, validation, use of challenger models

Suresh has managed several projects to structure default probability estimates for retail banking portfolios, including the incorporation of user-specific variables into a credit scoring and default estimation amework, and including the testing of the statistical significance of selected variables. He has advised clients on customer behavior modelling on retail banking products like mortgages for prepayments, and non-determinant deposits for early withdrawal. Suresh joined IPS-Sendero, a fully owned business unit of Fiserv, in 1998 from ABN AMRO Bank, where he was responsible for the conceptualization, development, and implementation of Treasury Trading and Profitability Systems to support the Group’s ongoing Executive Information Programme.

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How do you pass the regulatory test? · Quantitative objectives. · Qualitative objectives (reminder: 5 banks failed, 1 for quantitative results, 4 for qualitative, 1 passed but restated quantitative results after the fact).

(Champion/Challenger approach). · Infrastructure and Resources. · Reconciliation Reporting of Results. Best practices / future issues. · Assumptions – rollovers, reinvestment of cash flows, dynamic characteristics of default probability. · Assumptions – normality, multi-collinearity, lags, autocorrelation, fitting macro factors, no arbitrage. · Deterministic (regulatory scenarios) vs Monte Carlo simulation. · Number of risk factors/HJM.


Counterparty Risk, xVA and Central Clearing WEDNESDAY JUNE 20 TO SATURDAY JUNE 23 DURATION: 32 HOURS JW MARRIOTT SANTA FE HOTEL

ALONSO PEÑA UNIVERSITY OF CAMBRIDGE

He has worked for several years as a quantitative analyst for the company Thomson Reuters and for the banking group Unicredit Group in London and Milan. His area of specialty is mathematical finance, particularly mathematical models for calculating the price of financial derivatives. He has achieved his doctorate at the University of Cambridge in the UK, with a thesis on the numerical solution of partial differential equations as well as a degree in Physics at ITESM Campus Monterrey. He holds the Certificate in Quantitative Finance (CQF) of 7city Fitch Learning (London). He has taught at the graduate level and MBA Cambride universities, Oxford, Bocconi, Bergamo, Castellanza, the European School of Economics and the Indian Institute of Quantitative Finance (Mumbai). Alonso has published in the fields of quantitative finance, applied mathematics, neuroscience and the history of science. He has been awarded the Robert J. Melosh Medal (first place) of Duke University, USA, for the best work on finite element analysis; and the Rouse Ball Travelling Studentship in Mathematics, Trinity College, Cambridge. Dr. Peña as a researcher visited the Santa Fe Institute, USA, to study complex systems in the social sciences. His publications include: • The One Factor Libor Market Model Using Monte Carlo Simulation:An Empirical Investigation. • On the Role of Behavioral Finance in the Pricing of Financial Derivatives: The Case of the S&P 500. • Option Pricing With Radial Basis Functions: A Tutorial. • Application of extrapolation Processes to the finite element method. • On the Role of Mathematical Biology in Contemporary Historiography.

TOPICS: 1. Credit Risk. 1.1. 1.2. 1.3. 1.4. 1.5.

Credit as an asset class. Some history of credit. Modelling credit risk. Structural & Intensity Models. Lab: Risk-free and risky cash Flows.

2. Credit Derivatives. 2.1. 2.2. 2.3. 2.4. 2.5.

The credit derivatives markets. Single name & Multi name contracts. Example: The Credit Default Swap. Multi name contracts. Lab: Credit Default Swaps.

3. Counterparty Risk: a primer. 3.1. 3.2. 3.3. 3.4. 3.5. 3.6. 3.7. 3.8. 3.9.

Exposure: definition. Instrument and Portfolio exposure. Netting and Collateral. Wrong Way Risk, Right Way Risk. Mark-to-market as a function of time. Exposure Profiles. Expected Loss Computation. Credit Valuation Adjustment (CVA). Lab: Computing CVA by hand.

4. Basic implementation. 4.1. 4.2. 4.3. 4.4. 4.5. 4.6. 4.7.

Interest rate swap CVA (static). Spot Rates and Forward Rates. EURIBOR and LIBOR. Plain Vanilla IRS. IRS Exposure Profile. EXCEL Workshop: IRS mark-to-market (static). EXCEL Workshop: IRS CVA (static).

5. Interest rate Modelling. 5.1. The need for dynamic models. 5.2. Modelling interest rates: short rate and market models. 5.3. Hull-White model. 5.4. LIBOR market model. 5.5. Monte Carlo Simulation. 5.6. C++ Workshop: Hull-White model. 5.7. C++ Workshop: LIBOR market model. 6. Interest rate swap CVA (dynamic). 6.1. 6.2. 6.3. 6.4.

IRS Exposure Profile (dynamic). Plain Vanilla IRS using Monte Carlo Simulation. C++ Workshop: IRS mark-to-market (dynamic). C++ Workshop: IRS CVA (dynamic).

JON GREGORY SOLUM FINANCIAL PARTNERS LLP

TOPICS: Dr Jon Gregory is a partner at Solum Financial Partners LLP and specialises in counterparty risk and CVA related consulting and advisory projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup.

1. Background. • History. • What is xVA? • Accounting. • Regulation.

He is author of the book “Counterparty Credit Risk: The new challenge for global financial markets”, now in its second edition. Jon holds a PhD from Cambridge University.

2. Components. • Credit exposure. • Simulating exposure. • Collateral. • Risk-neutral default probabilities.

In 2001, he co-authored the book “Credit: The Complete Guide to Pricing, Coverage and Risk Management”, which was pre-selected for the Kulp-Wright Book Award for the most relevant text in the field of Risk management and insurance. Jon has a PhD from the University of Cambridge.

3. CVA and DVA. • CVA formulas and examples. • Wrong-way risk. • Incremental CVA. • Impact of collateral on CVA. • Bilateral CVA.

4. Funding and FVA. • FVA market practice. • FVA formulas and examples. • CVA/DVA/FVA framework. • Defining funding costs. • Symmetric of FVA. 5. Regulatory Capital and KVA. • Regulatory Capital. • Capital Methodologies. • Future impact of SA-CCR and FRTB. • Capital value adjustment (KVA). • KVA example. 6. Central Clearing and Bilateral Margining. • Central clearing. • CCP mechanics and risk Management. • CCP margin requirements. • Bilateral margin requirements (SIMM). • MVA (margin value adjustment).

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Credit Risk and Credit Default Swaps (CDS) THURSDAY JUNE 21 & FRIDAY JUNE 22 DURATION: 16 HOURS UP CAMPUS SANTA FE

ROHAN RAO

EMORY UNIVERSITY

G.S Rohan Rao is an Assistant Professor of Finance at Emory University, which is a top 15 Business School in the world. Prior to that he received his PhD in Finance and Master’s degree in Quantitative and Computational Finance at Gerogia Tech and a Bachelor’s degree in Engineering Physics from Indian Institute of Technology, Bombay (IIT-Bombay) - one of the premier institutes for technology in India. Before getting back to academics, Rohan worked with Bank of America in their Quantitative Finance group dealing with global structured products. He has extensive experience with modelers and solvers like Matlab®, R, SAS, Stata and GAMs and programming languages like C and Java. Some of his current research interests lie in the area of banking, credit risk, pricing credit derivative, investing and trading in volatility and implementation of numerical methods in pricing derivatives. Rohan is also the recipient of prestigious external research grants such as the Q group research award and the GARP research award and has presented his work at top finance conferences such as Western Finance Association, American Finance Association, European Finance Association, Federal Deposit Insurance Corporation, Federal Reserve Bank, and has been featured on the Harvard Bankruptcy Roundtable.

TOPICS: 1. Introduction to Credit Derivatives: 1.1. Credit Default Swaps (CDS). 1.2. Credit Linked Notes (CLN). 1.3. Collateralized Debt Obligations (CDO). 1.4. Loan CDS (LCDS). 2. Single-Name CDS mechanics, Basket CDS mechanics, Index CDS mechanics. 3. Real Data: Depository Trust & Clearing Corporation (DTCC) Credit Derivative Warehouse Data, Market CDS Data. 4. CDS Pricing Implementation. 5. Computing Market Implied Default Probabilities & Default Risk: 5.1. CDS Based Estimation. 5.2. Bond Based Estimation. 5.3. Equity Based Estimation. 6. Computing Fair-value CDS Spreads. 7. Computing CDS implied Credit Ratings.

Balance Sheet Risk Management for Insurance Companies FRIDAY JUNE 22 & SATURDAY JUNE 23 DURATION: 16 HOURS UP CAMPUS SANTA FE

PATRICIO BELAUNZARÁN PARTNER ERNST & YOUNG

He is partner at Actuarial Services practice in Ernst & Young Mexico. He is certified with the National College of Actuaries in the operations of life, property and accident and sickness, pensions derived from social security, and actuarial audit. He has 17 years of experience serving clients in the financial sector. He has been the leader in all projects related to Solvency II and implementation of LISF for EY Mexico (gap analysis, methodology development, implementation, QA). He has given numerous conferences in national and international forums on issues related to options and guarantees, stochastic modeling, market consistency and various topics related to IFRS and Solvency II. His experience includes also the technical reserves dictamination insurance institutions and determination of technical reserves under US GAAP and IFRS. He also has experience in the calculation and review of embedded value for insurance institutions and quantification of capital requirements arising from the actuarial risk. He has developed capital models performing the calibration of stress scenarios. Fernando has a degree in Actuarial Science, he has a master’s degree in Insurance and Risk Management and studies of expertise in Financial Risk Management, all from the ITAM, and he is a professor of Solvency II at that institution, teaching modules of technical reserves and capital measurement. He is currently responsible for research on issues of IFRS for insurance contracts on the Mexican Association of Actuaries.

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COURSE DESCRIPTION: During the last 2 years, insurance companies in Mexico have calculated their capital requirements based on a model provided by the regulator. This model seeks to ensure that insurers make decisions based on the risks they face, one of which is mismatching. OBJECTIVE: This course is mainly for actuaries and risk managers who practitioners from insurance companies. TOPICS: 1. 2. 3. 4. 5.

Conceptos generales del modelo de RCS. General concepts of the RCS model. Investment regime. Models of ALM (asset and liability management) in insurers. Different ALM strategies based on the RCS.


Liquidity Risk

FRIDAY JUNE 22 & SATURDAY JUNE 23 DURATION: 16 HOURS JW MARRIOTT SANTA FE HOTEL

SURESH SANKARAN MANAGING DIRECTOR KAMAKURA CORP.

Suresh recently assumed the role of Managing Director, Advisory Services, of Kamakura Corporation where he heads, develops, and provides Enterprise Risk Management (ERM) and Basel II advisory consulting services to its clients worldwide. His work includes practical application of advanced financial analytics to solve crucial risk management issues, on assignments involving latest solutions in the field of financial engineering including advice on term structure models, valuation strategies, V@R, and credit risk. He re-joined Kamakura Corporation from the International Finance Corporation (I FC), the private sector arm of the World Bank Group, where he was Principal Operations Officer responsible for the development of risk management practices in the financial services sector in emerging markets. Prior to his current role, he was Vice-President and Director, Strategic Consulting Services, at Fiserv. In this role, was responsible for risk management projects around the globe, and was also for consulting development on the enterprise wide risk management-consulting arm of Fiserv Risk. Suresh has managed several projects to structure default probability estimates for retail banking portfolios, including the incorporation of user-specific variables into a credit scoring and default estimation amework, and including the testing of the statistical significance of selected variables. He has advised clients on customer behavior modelling on retail banking products like mortgages for prepayments, and non-determinant deposits for early withdrawal. Suresh joined IPS-Sendero, a fully owned business unit of Fiserv, in 1998 from ABN AMRO Bank, where he was responsible for the conceptualization, development, and implementation of Treasury Trading and Profitability Systems to support the Group’s ongoing Executive Information Programme.

TOPICS: Understanding the nature of liquidity risk. • Definition, understanding of liquidity. • Pools of liquidity, and illiquid assets. • Market conventions. Building a framework for liquidity management. • Mismatch approach. • Foreign currency liquidity management. • Internal controls for liquidity risk management: stress testing. • Internal controls for liquidity risk management: scenario analysis. Liquidity contingency planning. • The need for contingency planning. • Written contingency plans. • Crisis management plans for assets. • Crisis management plans for liabilities. • Internal and external communications. • Other crisis management issues. Liquidity stress-testing. • Why stress test liquidity. • General considerations. • Empiricism versus rocket science. • Current stress test priorities. • Assumption sensitivity. • Additional considerations. Measuring market risk – Liquidity adjusted Value at risk (LVaR). • Definitions. • Using liquidity-adjusted VAR to manage risk. • Limitations of standard VAR measures to assess liquidity.

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The incorporation of credit in the liquidity risk framework. • Cash-flows adjusted for credit. • The recovery process. • Credit in funding and market liquidity. • Credit-adjusted liquidity analytics. Northern Rock – A case study on liquidity.

• What caused the failure of Northern Rock. • The structure of syndication, securitisation, and so many other ions. • The history of Northern Wreck.

Managing Operational Risk Under Standardised Measurement Approach(SMA) WEDNESDAY JUNE 20 DURATION: 8 HOURS UP CAMPUS SANTA FE

MARCELO CRUZ MANAGING PARTNER YACAMY ADVISORS

Marcelo Cruz is the Managing Partner of Yacamy Advisors, a global management consulting firm. He is also the Editor-in-Chief of The Journal of Operational Risk and adjunct professor at the New York University. Formerly he was the Executive Vice President and Chief Risk Officer at Ocwen Financial Corporation. Previously he was the deputy CRO at E*Trade and Global Head of Operational Risk Analytics at Morgan Stanley. He was an associate Partner at McKinsey & Co, Chief Risk Officer of Aviva plc and global head of operational risk at Lehman Brothers. Marcelo was the Managing Director and founder of RiskMaths a boutique consultancy focused on risk management and strategy. Marcelo also worked on UBS AG, the Swiss bank, for 3 years as head of operational risk having worked in London and New York. Before UBS he also worked as a chief economist/ strategist for an investment bank and as a derivatives trader for JP Morgan where he was in charge of structuring and trading OTC products. Marcelo Cruz is recognized worldwide in the financial industry as a leader in operational risk and one of the top names in risk management. He is a member of the board of many publications and industry associations. He is a sought after speaker in many seminars and conferences in several countries. He wrote the first academic article on operational risk in 1998 and has published many articles on the subject since then. He wrote the best seller book on operational risk (“Modeling, Measuring and Hedging Operational Risk, Wiley 2002”). He wrote/ edited other books in risk management. Most recently he wrote “Fundamental Aspects of Operational Risk and Insurance Analytics”. He was a member of the Industry Technical Working Group that helped to develop the new Basel Accord. He was also a Trustee of the Board of GARP and currently sits on the Research Committee of PRMIA. He holds a PhD in Mathematics by the Imperial College in London, a M.Sc. in Financial Mathematics, an MBA and a B.Sc. in Economics.

TOPICS: 1.Developing and Managing Operational Risk Database. a.Improving your loss data collection. b.Using internal and external loss data effectively. c.Integrating scenario analysis into an operational risk management framework. d.Developing KRIs as a key management tool. e.Understanding your risks through a robust Risk Control Self-Assessment and Risk Mapping program. 2. State-of-the-Art Operational Risk: Derivatives and CCAR. a.Implementing a strong change management program. b.Developing and implementing a risk appetite framework. c.Stress tests and CCAR. d.Using insurance to hedge operational risks. e.How derivatives can be used to protect financial institutions against operational risks. f.Six sigma and quality programs to mitigate operational risk. 3.Measuring Operational Risk. a.Using statistical distributions to measure operational risks. b.Causal models: how your model can be used to manage risks on a day-to-day basis. c.Running a dynamic operational risk model to estimate VaR for operational risk: setting risk limits and appetite. d.Workshop: MBA-Style Case: Practice what you learned by resolving a real-life operational risk case in which you will have to calculate exposures and assess operational risk impacts using the given data and propose solutions to control risk to management and Board.

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Market Risk and the Fundamental Review of the Trading Book (FRTB) WEDNESDAY JUNE 20 DURATION: 8 HOURS WESTIN SANTA FE HOTEL

JOHN C. HULL UNIVERSITY OF TORONTO

COURSE DESCRIPTION: The Fundamental Review of the Trading Book is making the quantification of market risk for regulatory purposes more sophisticated than ever before. This workshop will explain key concepts underlying both the standardized approach and the internal models approach. It will also discuss some of the more controversial aspects of FRTB such as the P&L attribution and non-modellable risk factors.

2. Calculation Methods. a. Historical simulation and its extensions. b. Stressed VaR and expected shortfall. c. Extreme value theory. d. Model Building approach and its use in SIMM and FRTB.

TOPICS:

3. FRTB 1. a. The history: Basel I and Basel II.5. b. FRTB innovations: stressed expected shortfall and liquidity horizons. c. Standardised approach in FRTB. d. Weighted sensitivity approach.

1. Risk Measures. a. VaR and expected shortfall. b. Coherent risk measures. c. Allocation and aggregation of risk measures. d. Backtesting.

4. FRTB 2. a. Internal models approach in FRTB. b. Cascade approach. c. Trading book vs. banking book boundary. d. P&L attribution and backtesting.

Quantitative risk/portfolio management: a visual introduction

THURSDAY JUNE 21 DURATION: 30 MINUTES HOTEL WESTIN SANTA FE

ATTILIO MEUCCI ARPM

Attilio Meucci is the founder of ARPM (Advanced Risk and Portfolio Management). Attilio was the chief risk officer at KKR; the chief risk officer and director of portfolio construction at Kepos Capital; the global head of research for Bloomberg’s risk and portfolio analytics platform; a researcher at Lehman POINT; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co. Attilio is the author of numerous publications. In addition to the ARPM Bootcamp®, he taught at Columbia-IEOR, NYU-Courant (New York), Bocconi University (Milan), and NUSBusiness School (Singapore), where he is Visiting Senior Research Fellow at CAMRI.

Attilio earned a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA charterholder. Attilio is fluent in six languages. We provide a visual, no-math, understanding of advanced topics in quantitative risk management and portfolio Management. - Risk measurement. - Estimation error. - Factor on Demand hedging. - Diversification: minimum torsion bets. - Black-Litterman vs minimum relative entropy. - Smart beta and cross-sectional strategies. - Drawdown control strategies: CPPI and option replication.

Operational Risk and Business Continuity Management

FRIDAY JUNE 22 & SATURDAY JUNE 23 DURATION: 10 HOURS JW MARRIOTT SANTA FE HOTEL

GUSTAVO SANTANA DIRECTOR EJECUTIVO ERNST & YOUNG

Gustavo Santana Torrellas was Senior Manager of Financial Sector Consulting area and was responsible for the commercial development of commercial clients and development banks also for the Infrastructure and Security areas. Gustavo had worked with PwC since 2012 and participated in projects of IT Strategy, Development of models and solutions for Information Management and Security strategies Evaluation with emphasis on compliance with standards such as PCI and ISO27000. He has extensive experience in project management of Technology Innovation and Integration, for IT Network Security, particularly in the analysis and design of Security Schemes, methodological and practical specifications to implement Security Schemes, Policies and Mechanisms. COURSE DESCRIPTION: This course comprises of a series of units or “core themes” to collectively cover the complete scope of norms and requirements related to Operational Risk Management and Business Continuity Management, as prescribed by the Basel II mandate.

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Beginning with an explanation of the components that form the ERM/ORM framework, describing then the risk assessment process, the subsequent units moves in to the qualitative and quantitative details in support of effective OpsRisk Management. The final two units look at Business Continuity Management considerations, as well as realization/ deployment challenges. TOPICS: 1. Introduction to ERM. 2. Operational Risk Management under and after Basel 2. a. Risk Culture. b. Operational Risk Appetite – ORA. 3. Operational Risk Management Implementation Framework. 4. Risk Management Environment. a. Risk and Control Self Assessment – RCSA. b. Key Risk Performance & Control Indicators. 5. Risk Based Process Management. 6. Risk Measurement & Analysis. 7. Business Continuity Management - BCM. 8. Fundamentals. 9. BCP/Risk Management/Governance Structure. 10. BCP Scenario/Risk Based Analysis. 11. Crisis Management Structure. 12. Final Remarks.


Risk of Fraud in Financial Institutions FRIDAY JUNE 22 & SATURDAY JUNE 23 DURATIÓN: 16 HOURS JW MARRIOTT SANTA FE HOTEL

CHRISTIAMS VALLE

CHIEF OF OPERATIONAL RISK TELEFONICA PERU

Leader with over 25 years of experience in Operational Risk, Risk and Fraud Prevention, Project Management, and Transformation Processes in the digital era. Graduated in Business Administration and holds an MBA from EUDE Business School.

TOPICS: •

For the last 17 years of professional activity he has served in the Telecommunications industry, being in charge of commercial projects, the Operational Risk department, and directly participating in cross-cutting projects of digital transformation. Christiams is an international speaker, specializing on Operational Risk and Fraud in Telecommunications. Over the last 6 years he has participated in more than 15 international events related to the Telecommunications industry. Currently he serves as Head of Operational Risk Prevention in Telefónica of Peru. COURSE DESCRIPTION: This course is addressed to all professionals directly or indirectly linked to the commercial process activities; that is to say, it includes all officials from the ones that have the product creation responsibility to those that maintain a close link with the commercialization chain, despite the role they play in their companies. OBJECTIVE: The goal is to provide all participants with the knowledge and skills required to facilitate the development of strategies, allowing them to be prepared for establishing an appropriate risk management framework in the commercial processes of a business that will enable executives and employees to take in risks in the decision making process, which will be align with the achievement of strategic objectives, taking into account the commercial process as one of the business main axes.

• • • • • • • • • •

Basics. - What is a Fraud? - Most common kinds of banking Fraud. § Loss or Theft of Cards. § Duplicate or Skimming. § Data theft. § Identity impersonation. § Change of Identity. § Internal Fraud. - The sequence of a Fraud. Main Fraud indicators in the region. The appropriate environment for the Fraud, external and internal agents. The profile and motivations of the Fraudster. Safe processes, control mechanisms against Fraud. Key Risk Indicators / Red Flags against Fraud. Implementing a Risk of Fraud matrix. Hands-on exercise for building a matrix. Using technology as an ally against Fraud. Successful cases using biometrics, digital contracts, etc. Conclusions.

Reputational Risk and Financial Communication

FRIDAY JUNE 22 DURATION: 5 HOURS JW MARRIOTT SANTA FE HOTEL

ALEJANDRO OSORIO

CORPORATE DIRECTOR SPECIAL PROJECTS GRUPO FINANCIERO INTERACCIONES

He currently serves as the Corporate Director of Special Projects in the area of ​​Strategy and Institutional Relations of Grupo Financiero Interacciones. Previously he served as General Director of Social Communication and Institutional Relations of the IPAB. He studied the Master of Administration and Public Policy at Columbia University in New York, for which he received the Fulbright scholarship. He holds a degree in Public Administration with a specialization in Economics and Finance from the UNAM, where he graduated with honors. He studied at the University of Oxford in the United Kingdom, the Polytechnic University of Madrid and the ITAM, among other institutions. He has held teaching activities at the Universidad Panamericana, ITAM, and Universidad Anáhuac with RiskMathics. He worked in various public and financial sector institutions since 1989, as Institutional Investor Inc. in New York City; the Ministry of Finance and Public Credit; and the Bank of National Savings and Financial Services (Bansefi) -before the National Savings Board. COURSE DESCRIPTION: The financial business is based on trust and credibility, as well as on a balance between return andadequate risk management. Currently, Reputational Risk represents the most complex risk ofmodeling and one of the most difficult to cope with the emergence of new media and communication and interaction platforms.

Financial markets have more and better information, which is dispersed at breakneck speed, which is why a timely response capacity and greater sophistication by risk managers, senior management of institutions and authorities is indispensable. In a highly interconnected and competitive global environment, with increasingly sophisticated information technologies, Reputational Risk represents the emerging challenge for financial institutions and their managers; its management is fundamental for the survival and growth of these. OBJECTIVE: Provide knowledge about the main conceptual and practical aspects, case studies, as well as the best international practices in the field of Reputational Risk management and financial communication. The seminar will provide participants with tools to strengthen the reputation of a financial institution in times of normalcy, as well as strategies to mitigate the erosion of the most valuable and complex intangible assets of an organization: reputation, trust and franchise value.

TOPICS: 1. 2. 3. 4. 5. 6.

Current context of communication in financial markets. Approaches to Reputational Risk. International regulation on RR matters. Emblematic cases and best practices for RR management. Financial communication and crisis management. Financial communication skills applied to Risk Management.

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Risk and Portfolio Management for Quantitative Investors WEDNESDAY JUNE 20 & THURSDAY JUNE 21 DURATION: 16 HOURS WESTIN SANTA FE HOTEL

MARCO AVELLANEDA NYU

Marco Avellaneda was named 2010 Quant of the Year by RISK Magazine. He has been involved in teaching, developing and practicing quantitative finance for the last 15 years. He worked at Banque Indosuez as Consultant in FX Derivatives, then as a Vice-President in Fixed-Income Research at Morgan Stanley, as Quant Strategist at Gargoyle Strategic Investments, as Head of Volatility Arbitrage at Capital Fund Management, where he created the Nimbus Fund, and as Quant Equity Portfolio Manager at the Galleon Group. His interests — both practical and theoretical — are unabashedly focused on quantitative alpha generation.

The requirements for this workshop is some previous knowledge of finance (present value, bond mathematics) and of general theories like CAPM and Markowitz’ portfolio theory. Black Scholes, implied volatility and Greek sensitivities are also assumed to be known. No previous knowledge of VIX or VIX derivatives and ETFs is necessary. This course will involve exercises using Excel and other programming languages such as Python, as well an introduction to statistical packages. TOPICS:

He is known in academic finance as the inventor of the Uncertain Volatility model, for developing model-calibration algorithms using Weighted Monte Carlo / Max Entropy, for the theory behind dispersion trading, and for his more recent works on statistical arbitrage in the US equities market, high-frequency trading and price forecasting. A faculty member at the Courant Institute since “before the internet”, he teaches classes in Stochastic Calculus, Risk management and Portfolio Theory, PDEs in Finance and Quantitative Investment Strategies. He is in the editorial boards of Communications on Pure and Applied Mathematics, the International Journal for Theoretical and Applied Finance and Quantitative Finance and coauthored the textbook “Quantitative Modeling of Derivative Securities”. COURSE DESCRIPTION: A 2-day workshop on quantitative methods for equity investment & trading. The course will cover all investment horizons, from buy-and- hold and low-frequency strategies, to active portfolio management with monthly or daily rebalancing. It will also discuss intraday and high-frequency trading strategies. The underlying asset class is equities, so the investment universe is composed of index etfs, index futures, sector ETFs, single-name stocks, volatility ETFs, volatility futures, index options and equity options. The goal of the workshop is give quantitative traders and risk-managers ideas on how to build strategies which combine all trading frequencies and all of the above securities, in order to build portfolios which can beat a target benchmark, be it cash or index.

• • • • • • • •

• • •

Passive versus active equity investing. Funds, ETFs, indexation, quantitative stock selection, benchmarking. Factor investing, weighting, smart beta. How to integrate modern portfolio theory in today’s world. The discussion around indexing, fees and hedge-fund underperformance in the last 5 years. Quantitative portfolios with individual stock selection. PCA and random-matrix theory approach to factors. PCA-based factors versus ETFs. Factor-neutral investing. The effect on cross sectional volatility on performance of quant portfolios. Statistical Arbitrage. Performance attribution of statistical arbitrage. Using an API interface and testing intraday stock strategies on streaming market data. Options: pricing and risk-management. Volatility indices and volatility futures. Contango, backwardation. Modeling the evolution of VIX futures. Differences and analogies between volatility futures and other commodity futures. Trading the shape of the term-structure of volatility. High and medium frequency strategies with VIX futures. Trading options. Selling and buying volatility. Vertical and horizontal spreads. Tail risk. Volatility surfaces and their dynamics. Case studies of successful and unsuccessful option trades. Practical examples of equity derivatives trades and their management.

Risk culture

THURSDAY JUNE 20 & FRIDAY JUNE 21 DURATION: 4 HOURS JW MARRIOTT SANTA FE HOTEL

GUSTAVO FUERTES CRO MUFG BANK MÉXICO

Gustavo has a PhD in Business Administration, specialized in Finance (Universidad Nacional Autónoma de México, with honorable mention), Master of Financial Risk Administration (Reading University, England), he has a bachelor’s degree in Economics (Universidad Autónoma Metropolitana) and also a bachelor’s degree in Administration (Universidad La Salle). His research lines are related to Financial Risk Administration, Financial Regulation and Risk Modelling. Currently, he is Chief Risk Officer at Bank of Tokyo - Mitsubishi UFJ México. Before that, he was Risk Director at Metlife, where he was responsible for financial risks as well as the compliance of Solvency 2 project. Previously, he was Risk Consulting Director at PWC; Risk Analytics and Portfolio Management Director at GE Capital and Risk Strategy Head at HSBC, where he worked for 8 years. OBJECTIVE: To analyze the trends under which the Global Financial Institutions are planning the Risk Culture within their organizations and understand the challenges that the control areas and, especially the CRO and Senior Management, are currently facing and how they strengthen their control environment.

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COURSE DESCRIPTION: Risk Culture is a recent topic within organizations and aims to align institutional objectives (mainly strategic and business) with a vision of protection, governance and prudential risk management. There is a growing concern for the control areas about how uncertainty and misaligned incentives may lead organizations to neglect their risk profiles due to the relentless search for profitability. TOPICS: 1. Risk Culture in Financial Institutions 2. Three lines of defense model. 3. Risk Administration role and CRO challenges. 4. Risk Culture reinforcement main activities and risk appetite. 5. Risk Culture key indicators. 6. Decision taking and control equilibrium within organizations. 7. Risk Governance vs. Corporate Governance. 8. Risk Culture from a regulatory point of view.


Risk Modeling: Adjusting Credit Portfolio Profitability WEDNESDAY JUNE 20 & THURSDAY JUNE 21 DURATION: 16 HOURS UP CAMPUS SANTA FE

RUBÉN HARO

TOPICS:

FOUNDER FIGUFIN

1. Prepayment risk. Build and calibrate models to estimate the survival rate to the prepayment of a credit portfolio and its link with the CPR (Constant Prepayment Rate).

Rubén Haro is a specialist in risk management, and financial and economic analysis, with experience in consulting and auditing important clients of the sector. Currently, he is founding director of Figufin, a financial services consultant firm that attends financial consulting topics to clients of all industries. He was partner of Financial Services and Risk Management in EY, and Risk Strategies and Portfolio Valuation Director in BBVA Bancomer. Ruben has a B.A. in Actuarial Sciences from the Instituto Tecnológico Autónomo de México (ITAM), a PhD in Statistics from the Imperial College London, and he graduated from the improvement of management skills Program D-1 from the IPADE Business School. He is professor of the Masters Degree in Risk Management in the ITAM and of the bachelor ́s degree in Applied Mathematics and Computer Sciences in FES Acatlán, UNAM.

2. Credit Risk. Build and calibrate models to estimate the survival rate to credit portfolio default and its link to the PD (Probability of Default) to the life of the loan. 3. Liquidity Risk. Build and construct models to estimate the prepayment risk and credit risk implications in the match and mismatch of assets and liabilities that fund the credit portfolio. 4. Market Risk. Build and calibrate models to estimate the internal rate of return and determine the economic value added of a credit portfolio using various mechanisms of portfolio funding. 5. Economic Value Added. Build and calibrate models to estimate the risk-adjusted return of a credit portfolio incorporating credit, liquidity, market and prepayment risks.

Technology Risk and Cybersecurity for Financial Services WEDNESDAY JUNE 20 & THURSDAY JUNE 21 DURATION: 16 HOURS JW MARRIOTT SANTA FE HOTEL

GUSTAVO SANTANA DIRECTOR EJECUTIVO ERNST & YOUNG

OBJECTIVE: 1. Provide a guide to help middle and top managers of banks and financial institutions to formulate key questions, take accurate and well-founded decisions with reference to IT risks. 2. Provide tools that help save time, costs and effort when facing IT risks in the business. 3. Integrate the management of IT-related risks with the business risks management. 4. Help to understand topics such as risk appetite and risk tolerance of the firm in the IT field. 5. Provide practical orientation about the needs of IT risk management in the organizations. After completing the course the participant will be able to: 1. Recognize how the risk framework can help to achieve better management practices of IT Risk. 2. Describe the principles of IT risk management: List the components of the reference models for IT Risk Management. . 3. Apply the concepts of the model when realizing its full business benefits and results. 4. Explain how the risk framework refers to Cybersecurity. 5. Evaluate implementation and operational issues. 6. Establish and maintain a common view of the risks and make business decisions with IT risk awareness. 7. Develop IT risk plans for your organization.

TOPICS: 1. Technology Risk Fundamentals: Strategy, Governance, Evaluation and response elements. 2. Technology Risk Governance and Strategy: new technologies safe use in the enterprise, sensitivity, communication and risk culture. 1.Tech Risk Analysis and Evaluation. 2.Risk Scenarios: Key Risk Indicators (KRI). Risk Response definition and prioritization. 3. Application workshop. 3. Tech Risk Security Governance and Cybersecurity concept. 4. Cybersecurity schemes and benchmark models. 1. Application workshop. 5. Design, development and implementation of Cybersecurity schemes. 1. Application workshop. 6. Cryptography and authentication. 7. Cybersecurity Risk Analysis and Evaluation in payment method, e-Commerce and electronic payment systems 1. Application workshop. 8. Trends and advanced topics in Cybersecurity APPENDICES. A.1. Reference material A.2. High Level Comparison of IT Risk to other frameworks and management standards of risks.

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Trading and Quantitative Finance Workshops Convertible Bonds, CoCos and Credit Risk WEDNESDAY JUNE 20, THURSDAY JUNE 21 & FRIDAY JUNE 22 DURATION: 24 HOURS UP CAMPUS SANTA FE

LIBER JAIME

VICEPRESIDENT, RISK ANALYTICS JP MORGAN ASSET MANAGEMENT

Liber Jaime is Vice President at JP Morgan Asset Management, New York; currently he is Senior Quant in the Risk Analytics team, in charge of developing and implementing valuation models and methodologies for quantifying risks. Liber specializes on fixed income and credit derivatives, and has professional experience in the international and Mexican financial sector, and the Mexican public sector. He is also a guest member of the working group for the Financial Education in Mexico by the British Embassy sponsored by the Prosperity Fund, Mexcian Chapter. As part of his professional experience he has served as Risk & Portfolio Analytics Consultant at MSCI RiskMetrics advising several of the biggest Asset Managers in the industry (based on their assets managed in U.S.) on the use and deployment of risk models and on the best practices for estimating financial risks. In Mexico, he has served as risk management specialist in the AFORES (pension funds) market and he has worked at the Federal Electricity Commission quantifying and analyzing market risk and documented debt cost, and working on the financial valuation of projects and capital spending. Liber is an Actuary from the ITAM (Instituto Tecnológico Autónomo de México), he holds a Master of Finance, with Honors, from Hult International Business School in London. He enjoyed a grant from Mansion House Scholarship Scheme in London City. He has also studied courses on Project Valuation, Derivatives Valuation, Risk Management, Financial Markets Regulation, among others, at ITAM, Mexican Stock Exchange Group, RiskMathics, etc. COURSE DESCRIPTION: Convertible bonds are instruments that provide investors with exposure to the equity´s price appreciation of the issuing company, while protecting the capital as fixed income instruments. Although it seems just one of the fixed income instruments, its valuation is complex and requires a detailed understanding of all its risk factors to be able to identify and quantify potential losses of value.

OBJECTIVE: Participants will understand the main principles of convertible bonds valuation considering the credit risk associated with the spread levels of the issuing company. The course will cover different types of issues available in the market, and will provide an overview of credit derivatives that can be used to reveal the credit risk associated in the issuance of convertible bonds. Participants will also understand the relationship between credit risk instruments and fixed income instruments through the information contained in the risk factors available in the market. TOPICS: 1 Introduction. 1.1 Convertible Bonds Market. 1.2 Characteristics, and most common Terms and Conditions. 1.3 Risk Factors of a Convertible Bond. 2 Credit Risk on Corporate Bonds. 2.1 Credit Risk as Risk Factor. 2.2 Data Sources: Bond Spread and CDS Spread. 2.3 Single-name CDS. Contracts and Standard Conventions. 2.4 CDS Contract Standard Valuation Method. 2.5 Probability of Default and Model Calibration for Credit Risk. 3 Convertible Bond Valuation Method. 3.1 Valuation Methods Evolution. 3.2 Binomial Method with Credit Risk using CDS Spreads. 3.3 Market Data as Factors. 3.4 Incorporating Terms and Conditions. 3.5 Example: Valuation using Excel. 4 CoCo - contingent convertible. 4.1 Brief history of the evolution of CoCos. 4.2 Definitions and particularities. 4.3 Most common structure and classification. 4.4 Formulation of a valuation model for CoCos. 5 More about credit derivatives and their risk. 5.1 What is an Index CDS or CDX? 5.2 Standard conventions and terminology. 5.3 Characteristics of a CDX contract. 5.4 Basis of valuation of a CDX contract.

Derivatives and Corporate Finance WEDNESDAY JUNE 20 & THURSDAY JUNE 21 DURATION: 16 HOURS JW MARRIOTT SANTA FE HOTEL

DAVID SHIMKO

NYU TANDON SCHOOL OF ENGINEERING

Dr. David Shimko´s career has spanned academics, practice and consulting. He has served on the finance faculty of Northwestern University, Harvard Business School, University of Southern California and currently teaches financial engineering at NYU Tandon. As a practitioner, Dr. Shimko was head of Commodity Derivatives Research and Risk Management Research at JPMorgan. He ran a corporate client risk advisory function at Bankers Trust, and has worked as an independent consultant with Risk Capital and Winhall LLC since 1999. His clients have included many of the largest commodity firms in the world, as well as exchanges, banks, asset managers, and sovereign entities. He holds three issued patents in credit risk management, and has written extensively in the areas of commodities, credit, risk-based valuation and corporate risk management generally.

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TOPICS: 1. Cash flow valuation using derivatives techniques. 2. Modeling the risk Premium. 3. Recovering risk-neutral and actual probability distributions. 4. Simulation techniques calibrated to all observed data. 5. Alternatives to NPV: Pricing total risk. 6. Stochastic corporate pro-forma modeling. 7. Real options and capital budgeting. 8. Capital structure and security selection. 9. Corporate risk management policy. 10. Case studies.


Development of Financial & Quantitative Solutions with Python FRIDAY JUNE 22 & SATURDAY JUNE 23 DURATION: 16 HOURS JW MARRIOTT SANTA FE HOTEL

ALONSO PEÑA UNIVERSITY OF CAMBRIDGE

Alonso Peña is now Honorary Senior Visiting Fellow at the University of Cambridge. He has worked for several years as a quantitative analyst for the company Thomson Reuters and for the banking group Unicredit Group in London and Milan. His area of specialty is mathematical finance, particularly mathematical models for calculating the price of financial derivatives. He has achieved his doctorate at the University of Cambridge in the UK, with a thesis on the numerical solution of partial differential equations as well as a degree in Physics at ITESM Campus Monterrey. He holds the Certificate in Quantitative Finance (CQF) of 7city Fitch Learning (London). He has taught at the graduate level and MBA Cambride universities, Oxford, Bocconi, Bergamo, Castellanza, the European School of Economics and the Indian Institute of Quantitative Finance (Mumbai). Alonso has published in the fields of quantitative finance, applied mathematics, neuroscience and the history of science. He has been awarded the Robert J. Melosh Medal (first place) of Duke University, USA, for the best work on finite element analysis; and the Rouse Ball Travelling Studentship in Mathematics, Trinity College, Cambridge. Dr. Peña as a researcher visited the Santa Fe Institute, USA, to study complex systems in the social sciences. COURSE DESCRIPTION:

Module 1: Introduction to Python. • • • • • • • •

OBJECTIVES: Learn a structured programming method through the Bento Box Method. Demonstrate the benefits of using Python in everyday practical activities of businesses. Have a hands-on programming experience with Python to solve financial problems. Explore in detail how Python is used in modern Finance, Portfolio Management, Financial Derivatives and Risk Management.

Programming in 3 simple steps. The Bento Box Method. Why learn a new programming language? From Excel to Python, from VBA to Python. Installation of Python packages. Displaying data and working with data: tuples, lists, dictionaries, and sets. Designing functions and organizing programs with much more functions. Matrices, random numbers, and mapping operations. Lab: Python Essentials.

Module 2: Python Applications in Finance. • • • • • • • •

About Investments. Example 1: Discount factors and cash flows. Example 2: Net Present Value (NPV) and Internal Rate of Return (IRR). Example 3: Simple and complex bonds. Portfolio Theory. Example 4: Modern Portfolio Theory (MPT), N=2. Example 5: Modern Portfolio Theory (MPT), N=3. Example 6: Modern Portfolio Theory (MPT), the efficient frontier.

Module 3: Stretching Python: NumPy, SciPy, and Matplotlib packages. • • • •

This two-day course (organized in 4 modules) offers a brief but intensive introduction to the use of Python in Finance. Particularly, it explores the key characteristics of this versatile programming language to solve problems in quantitative finance and financial risk management.

• • • •

TOPICS:

Why we need packages? NumPy description. SciPy description. Lab: Using of the packages. NumPy examples: interpolation functions, matrix decomposition functions, own values for calculation, solving systems of equations and investment matrices. SciPy examples: statistical functions, how to generate different distributions and perform statistical calculations.

Module 4: Python Applications to Financial Derivatives and Quantitative Risk Management. • • • • • • •

Example 1: The Black-Scholes- Merton classic formula. Example 2: Monte Carlo simulation. Example 3: Implied volatility of quoted call options. About Financial Risk Management. Example 4: Value at Risk (VaR) and Expected Shortfall (ES). Example 5: Combination of statistical distributions. Example 6: Main components analysis.

Energy Derivatives: Pricing, Hedging and Trading FRIDAY JUNE 22 & SATURDAY 23 JUNE DURATION: 16 HOURS JW MARRIOTT SANTA FE HOTEL

DAVID SHIMKO

NYU TANDON SCHOOL OF ENGINEERING

Dr. David Shimko´s career has spanned academics, practice and consulting. He has served on the finance faculty of Northwestern University, Harvard Business School, University of Southern California and currently teaches financial engineering at NYU Tandon. As a practitioner, Dr. Shimko was head of Commodity Derivatives Research and Risk Management Research at JPMorgan. He ran a corporate client risk advisory function at Bankers Trust, and has worked as an independent consultant with Risk Capital and Winhall LLC since 1999. His clients have included many of the largest commodity firms in the world, as well as exchanges, banks, asset managers, and sovereign entities. He holds three issued patents in credit risk management, and has written extensively in the areas of commodities, credit, risk-based valuation and corporate risk management generally.

TOPICS: 1. 2. 3. 4. 5. 6. 7. 8.

Laws of motion for energy futures prices. Dealing with seasonality. Pricing models for traded energy options. Basis models. “Exotic” exchange traded options – Spreads, Asians. Static and dynamic trading strategies. Trading strategies to recover the oil and oil option risk premium. Physical energy options: Supply, transport and storage.

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MANAGING the xVA TRADING DESK (CVA, DVA, FVA, RVA, KVA) WEDNESAY JUNE 20 & THURSDAY JUNE 21 DURATION: 16 HOURS JW MARRIOTT SANTA FE HOTEL

GIOVANNI NEGRETE CVA-XVA TRADER SANTANDER GLOBAL BANKING

Giovanni Negrete is currently responsible of the xVA desk (Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA) and Liquidity Valuation Adjustment (LVA)) in Banco Santander Mexico. Previously, he was in the same desk at Santander Global in the Madrid office. Before Santander, he was Senior Trader of the Exotic Options Trading books in Banesto.

A review will be performed of the main quantitative tools necessary for the analysis of these valuation adjustments, developing practical examples for the implementation of the various metrics usually used. This course is aimed to Professionals of Bank Treasuries, Front office, monitoring areas, risk management and treasuries of large corporations. TOPICS:

Giovanni holds a Ph.D. in Applied Statistics to Economics from the UNED in Spain, he holds a Master`s degree in Quantitative Finance from the Escuela de Analistas Financieros Internacionales (AFI) and a Master`s degree in Economic Analysis and Financial Economics from the Universidad Complutense in Madrid. COURSE DESCRIPTION: From the financial crisis of 2007-2008, originated by the Lehman Brothers effect, the financial derivatives management turn around importantly when the trading desks realized that the valuation models they had used until then were deficient, because they didn`t incorporate liquidity and credit adjustments. Though, this has been reflected, in fact, in new accounting standards (IFRS13) and inclusive in a new banking regulation regarding the required capital impact to credit entities (Basel III). This course is a quantitative introduction to this valuation adjustments, to its pricing (CVA and DVA), the open debate about XVA and the management of these risks from the xVA desk point of view. All the theoretical and practical aspects of the CVA, DVA and FVA estimation will be addressed.

1. INTRODUCTION. 1.1. Single price in the OTC derivatives. 1.2. Concepts and definitions. 1.3. Market risk, counterparty risks and credit risk. 2. STARTING POINT. 2.1. The need to implement the CVA and FVA (Funding Adjustment Valuation desks. 2.1.1. Portfolios for replication. 2.1.2. The 2007-2008 crisis. 2.2. The CVA birth and evolution. 2.3. Market Risk versus Credit Risks 3. CVA COMPONENTS. 3.1. Expected exposures. 3.2. LGD (Loss Given Default) and Recovery. 3.3. Probability of Default.

Multi-Curve Fixed Income Modeling FABIO MERCURIO

THURSDAY JUNE 21 & FRIDAY JUNE 22 DURATION: 8 HOURS JW MARRIOTT SANTA FE HOTEL

GLOBAL HEAD OF QUANTITATIVE ANALYTICS BLOOMBERG

Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio is also adjunct professor at NYU, and a former CME risk committee member. He has jointly authored the book ‘Interest rate models: theory and practice’ and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands. TOPICS: From the old to the new world. • Market data at a glance. • A simple credit model explaining a non-zero basis. • The market practice of multi-curve modeling. Definitions in the new world. • Forward rates. • Forward basis spreads. • FRAs and futures.

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Building multiple curves. • The OIS curve. • Forward LIBOR curves. • CSA curves. The new market formulas. • Interest rate swaps. • Caps and floors. • Swaptions Building a multi-curve interest rate model. • The deterministic basis case. • Modeling stochastic basis. A general recipe for multi-curve modeling. • Defining a general recipe. • Example I: a multi-tenor multi-curve LMM. • Example II: an extended Gaussian short-rate model. The cross-currency case. • Pricing deals with collateral in another currency. • Pricing cross-currency basis options.


Trading Volatility in the Real World MODULE I: VOLATILITY AND CORRELATION: TRADING, ARBITRAGE AND RISK MANAGEMENT.

WEDNESDAY JUNE 20 TO SATURDAY JUNE 23 DURATION: 28 HOURS JW MARRIOTT SANTA FE HOTEL

BRUNO DUPIRE

HEAD OF QUANTITATIVE RESEARCH BLOOMBERG

Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, hehas headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. TOPICS: 1. Fundamentals. a. Historical volatility estimation. b. How to construct a good implied volatility surface. c. How to compute a fair skew in the absence of options. d. Market facts: volatility behavior and regimes. e. The tools you need to manage derivatives. 2. Volatility models. a. Review of the most commonly used volatility models: Black-Scholes, Local Volatility model, Heston model, SABR models, stochastic local volatility model. b. Implementation of the Local Volatility model. c. Case studies: Barrier options and AutoCallables.

4. Volatility derivatives. a. Variance swaps, principle and practical issues. b. Hands on exercise: step by step Variance Swap pricing and replication. c. Volatility swaps. d. VIX: Spot, Futures, options and ETFs. e. Options on realized variance. 5. Volatility trading and arbitrage. a. Volatility as an asset class. b. Frequency/phase arbitrage. c. Skew trades, sticky strike and sticky delta behaviors. d. Term structure of VIX arbitrage. e. Earning trades: 3 ways to play forward variance. 6. Correlation trading and strategies. a. Concepts and misconceptions about correlation. b. Historical and implied correlation. c. Dispersion trades and arbitrage. d. Currency triangular trades and beyond. e. The notion of correlation skew. 7. Special techniques for special events. a. Pegged currencies. b. Acquisitions. c. Brexit. d. US elections: USD/MXP options as best predictor. 8. Reading the Mexican elections through the option market.

3. Volatility risk Management. a. The notion of break-even points. b. A review of the Greeks, volatility risk as Vega. c. Decomposition of volatility risk across maturities. d. Decomposition of volatility risk across strikes and maturities.

MODULE II: TRADING VOLATILITY SKEW PETER CARR

NYU TANDON SCHOOL OF ENGINEERING

Peter Carr is currently the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. Previously, he headed the Market Modeling department at Morgan Stanley from 2003 to 2016, and he led the quantitative research area during 7 years at Bloomberg LP. In the academic field he has headed various quant groups for the last twenty years. Prior to joining the financial industry, Dr. Carr was a finance professor at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He was selected as Quant of the Year by Risk Magazine in 2003 and he was included in the Institutional Investor’s annual listing of the most influential people in financial technology.

TOPICS: 1) Vehicles for trading volatility. - Delta hedged options. - Variance swaps - actual and synthetic. - Variance risk premia. - Links between VIX and SPX Options.

2) Vehicles for trading skew. - Risk reversals/collars. - Statically hedged barrier options. - Gamma swaps. 3) Vehicles for trading smile/vol of vol. - Vega neutral butterfly. - VIX options. 4) Delta hedging of Options. - At zero vol. - At initial implied vol. - At realized vol. - At running implied vol. - Profiting when realized vol exceeds initial implied. 5) Arbitrage Restrictions on Implied Vol. - Lognormal case. - Normal case. 6) Market Models of Implied Vol. - Surface construction. - Breakeven vol and risk premia. - Smile construction. - Lognormal vs normal implied vol. 7) Statistical Arbitrage of Mis-priced Options. - Vol trading using ATM straddles. - Skew trading using risk reversals. - Smile trading using flies.

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Asset and Portfolio Management Workshops FAMILY OFFICES: CONSTRUCTION, ADMINISTRATION AND OPERATION LUIS SECO

FRIDAY JUNE 22 & SATURDAY JUNE 23 DURATION: 16 HOURS UP CAMPUS SANTA FE

CEO SIGMA ANALYSIS & MANAGEMENT LTD.

Luis Seco is a Doctor from Princeton University and is currently a Professor in the Mathematics Department at the Rotman School of Management at the University of Toronto. He is the Director of RiskLab, a department that depends on the same University, dedicated to research and development activities in collaboration with financial companies and other organizations in the field. Dr. Seco is also President and CEO of Sigma Analysis & Management Ltd., a firm specializing in investments in Hedge Funds and Structured products. He has also written numerous articles in different areas of investment and risk management. He currently offers conferences and professional meetings around the world. TOPICS: PART 1: THE FAMILY OFFICE. The family office sector: • History. • The industry today. Types of family offices: • Single. • Multiple. • Bank FO services.

• Strategic planning: - Business and finance advice, - estate planning, - succession planning. Administrative support: - philanthropic management, - public relations, - etc.

• Budgeting. Investment services: • The Investment management process. • Asset-Liability Management. • Asset allocation. • Manager selection. • Due diligence. • Performance monitoring.

• Advisory services: - Tax, - Legal, - compliance, - Regulatory, - Risk Management

Corporate finance. • Incorporating the businesses into the family office. • Dealing with M&A activities. • Valuation concepts and principles.

Estate planning. • Assessment. • Planning options. • Implementation. • Monitoring. Succession planning. • General considerations: - Protecting and educating the next generation. - Avoiding the generation gap. - Business vs property succession. • Three models: - Hope-based models. - Nomination-based models. - Robust models. PART 2: PRODUCTS AND SERVICES.

Stakeholders analysis: • Who are the stakeholders. • Clients & families expectations. • Family meetings: process and outcomes. • Service providers. • Cultural considerations. Family Office Services: • Financial management: - Investment management, - reporting, - record keeping, - management of wealth transfers, - budgeting.

The Asset Management Sector - Overview: • The Asset Management Industry. • The Asset Management Environment: - Manager, - Marketer, - Distributor, - Custodian, - Bank, - Administrator, - Prime Broker, etc. • Products and Services of Asset Management Firms. • Trusts. • Family Foundations, Pensions and Insurance Trusts. Accounting services: • Consolidation. • Liquidity Management.

Investment products. • Traditional asset classes: stocks, bonds, mutual funds, etc. • Hedge funds: - Main strategies. - Way to invest. - Risks and return. - Legal, regulatory and ethical aspects. • Alternative investments: - Private Equity. - Real Estate. - Commodities. - Structured products. Risk management: • Market. • Credit. • Liquidity. • Operational. • Legal and regulatory. • Cyber-risks. • Risk Budgeting. Other services: • Philanthropy: - Philanthropic missions. - Charitable planning. - Grant-making. - Charitable trusts. • Family training and legacy. - The family mission statement. - Leadership Development. - Education. • Concierge services. • Dispute resolution.

Investment Portfolio Management in Mexico

WEDNESDAY JUNE 20 DURATION: 6 HOURS JW MARRIOTT SANTA FE HOTEL

CARLOS VALLEBUENO CEO AKAAN TRANSAMÉRICA

Carlos has worked in Banamex since 1985, he started out in the Corporate Banking area as Managing Director, and subsequently he was Head of the Banamex financial subsidiaries: leasing, factoring and financing sells of automotive distributors. During that time he was also Head of Financial Projects and Head of the Capital Markets Origination for Corporate Banking. As a result of the Mexican ́s financial crisis in 1995, the bank asked him to develop the function of Risk Manager for Banamex and its subsidiaries, which he conducted and managed until 2001 when Banamex joined Citigroup.

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From then on he was Head of the Market Risk Management Area for the financial group, as well as Global Risk Manager. From 2011, he left the responsibility as Market Risk Manager to develop the function of Head of Capital Management to complement his responsibilities as Global Risk Manager. Carlos is Mechanical Engineering and has a Masters in Management and Finance. TOPICS: 1. Structure of investment funds and pension funds; Yields and growths. 2. Intermediation and investments of individuals in Mexico; Short or long? 3. Incentives and investment; the status of pensions in Mexico. 4. Investment products and solutions; Changing the dynamics. 5. Trends and changes in the investment industry; the customer as a goal.


Investment and Risk Management in MATLAB WEDNESDAY JUNE 2O & THURSDAY JUNE 21 DURATION: 4 HOURS JW MARRIOTT SANTA FE HOTEL

MARSHALL ALPHONSO MATHWORKS

COURSE DESCRIPTION:

TOPICS:

With the volatility brought about by the BREXIT, movements away from globalism and evolution of regulations, it becomes important to quickly design, build and deploy portfolio optimization and volatility models into production to take advantage of short lived trends. With that in mind, this seminar showcases the power of the pre-built optimization and volatility models that can significantly speed up your development efforts.

• • • •

Build an Optimal Portfolio using MATLAB. Evaluate market risks in MATLAB. Geometric Brownian Motion for estimating VaR & CVaR. Estimating Marginal Contribution to Risk. [Extreme Value Theory] GARCH, Copula & Pareto tail distribution fitting. Additional topics to choose from (Depending on Time). Credit risk of bonds and swaps from defaults through Monte Carlo simulation. Macroeconomic time series modeling and forecasting. Cash flow hedging, immunization and dedication. Portfolio performance attribution. Building real-time algorithmic trading systems. Application Development. Develop graphical applications in MATLAB & Deploy them to your end users. Develop interfaces in Excel using MATLAB developed functionality. Deploy Web Applications (.NET, Java).

Portfolio construction, Risk and Attribution FRIDAY JUNE 22 DURATION: 4 HOURS JW MARRIOTT SANTA FE HOTEL

THOMAS SEVERANCE CHIEF REVENUE OFFICER AXIOMA

Tom Severance is Chief Revenue Officer at Axioma, a leading provider of enterprise risk management, portfolio construction and regulatory compliance solutions for many of the world’s most influential financial firms. In his current role, he is responsible for accelerating growth in the company’s target markets. Tom has more than 20 years of experience working in high growth companies in risk, analytics and technology industries, most recently as Managing Director at Markit Analytics, where he headed IHS Markit’s risk strategy and analytics business in the Americas. Earlier in his career, Tom served as Regional Director of Latin America for MISYS International, as Executive Vice President of Sales and Marketing at Algorithmics, and as Executive Vice President and Head of Global Sales for QuIC Financial Technologies. Tom graduated from St. Lawrence University with a BA in history and political science. COURSE DESCRIPTION: In the workshop we will go through all the aspects needed to do portfolio construction, limit downside risk and explore attribution. This workshop will help Portfolio Managers and Risk managers understand the key areas that can contribute to the generation of Alpha while controlling downside risk.

OBJECTIVE:. During the workshop we will look at several portfolios and run various optimizations with different constraints to develop the desired outcome. Then we will look at pulling in risk parameters to see how the optimization will change the portfolio. To understand risk across multiple portfolios we will look at a risk overlay on top of several portfolios to see where unintended risk is being taken. The workshop will be an interactive discussion and real time use of optimization and risk management applications to enhance the experience. TOPICS: 1. 2. 3. 4.

Portfolio construction using optimization. Risk management for equity and multi asset class portfolios. Risk management across multiple portfolios. Attribution.

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Portfolio Management

THURSDAY JUNE 21 DURATION: 4 HOURS UP CAMPUS SANTA FE

Prior to founding d1dg1t, Dr. Rosen was the co-founder and Chief Executive Officer of R2 Financial Technologies, originally incubated at the Fields Institute and acquired by S&P Capital IQ in 2012, where he was Managing Director for Risk and Analytics until 2015. Prior to R2, Dr. Rosen had a successful ten-year career at Algorithmics Inc. where he leads the company’s strategy, products, financial engineering and research. He holds an M.A.Sc. and Ph.D.in Chemical Engineering from the University of Toronto, and B.A.Sc. in Chemical Engineering from the Universidad Autonoma Met ropolitana, which also awarded him as a Distinguished Graduate in 2015.

MODULE I. SCENARIO ANALYSIS AND STRESS TESTING.

DAN ROSEN

FIELDS INSTITUTE D1G1T,INC.

Dr. Dan Rosen is a FinTech Entrepreneur and Quant. He is currently the Chief Executive Officer of d1g1t Inc., a new Fintech startup providing a wealth management platform powered by advanced analytics. He is also the Director of the Center for Financial Institutions at the Fields Institute for Research in Mathematical Sciences and an Adjunct Professor of Mathematical Finance at the University of Toronto. Dr. Rosen was inducted in 2010 a fellow of the Fields Institute for Research in Mathematical Sciences for his “outstanding contributions to the Fields Institute, its programs, and to the Canadian mathematical community. He currently serves in the Board of Directors of the Institute, as well as in the Advisory Boards of the International Association of Quantitative Finance (IAQF), and the Center for Advanced Financial Studies at the University of Waterloo. He is also one of the founders of the Professional Risk Management International Association (PRMIA) and of RiskLab, an international network of research centers in Financial Engineering and Risk Management, initiated at the University of Toronto.

COURSE DESCRIPTION: This seminar presents the latest scenario generation methodologies, and discusses the application of scenario analysis for analyzing investment portfolios and strategies, as well as regulatory stress testing. We cover various advanced tools for creating meaningful stress scenarios for risk management and investment analysis of multi-asset portfolios, which effectively combine economic forecasts and “expert” views with portfolio simulation methods. In particular, we highlight the need in practice of realistic simulation methods for a large number of risk factors with non-Gaussian joint processes, and which provide transparent results that are easy to explain. We illustrate their application through real-life market and credit risk examples.

Fintech and Data Science Workshops Advances in Financial Machine Learning MARCOS LÓPEZ DE PRADO

It is important that the participants have the book, in order to understand the course.

CEO TRUE POSITIVE TECHNOLOGIES

Dr. Marcos López de Prado is the chief executive officer of True Positive Technologies. He founded Guggenheim Partners’ Quantitative Investment Strategies (QIS) business, where he applied cutting-edge machine learning (ML) to the development of high-capacity strategies that delivered superior risk-adjusted returns. After managing up to $13 billion in assets, Marcos acquired QIS and successfully spun-out from Guggenheim in 2018. Since 2010, Marcos has been a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). One of the top-10 most read authors in finance (SSRN’s rankings), he has published dozens of scientific articles on ML and supercomputing in the leading academic journals, and he holds multiple international patent applications on algorithmic trading. Marcos earned a PhD in Financial Economics (2003), a second PhD in Mathematical Finance (2011) from Universidad Complutense de Madrid, and is a recipient of Spain’s National Award for Academic Excellence (1999). He completed his post-doctoral research at Harvard University and Cornell University, where he teaches a Financial ML course at the School of Engineering. Marcos has an Erdős #2 and an Einstein #4 according to the American Mathematical Society.

FRIDAY JUNE 22 DURATION: 8 HOURS JW MARRIOTT SANTA FE HOTEL

TOPICS: 1. Financial data management. a. Sampling. b. Labeling. c. Weighting. d. Fractional differentiation. 2. Modelling. a. Ensemble methods. b. The problem of cross-validating (CV) in finance. i. Purging. ii. Embargoing. c. Feature importance. d. Hyper-parameter tuning.

3. Backtesting. a. Bet sizing. b. Historical backtests. c. Backtesting through CV. d. Backtesting on synthetic data. e. Backtest statistics. f. Strategy risk. g. ML-based asset allocation. 4. Financial features. a. Structural breaks. b. Entropy features. c. Microstructural features.

Blockchain: Uses and Implementation Strategies in Trading and Risk Management Industry THURSDAY JUNE 21 DURATION: 8 HOURS WESTIN SANTA FE HOTEL

EAMONN MAGUIRE

MANAGING DIRECTOR KPMG LLP

Eamonn is the Global and US lead for KPMG’s Blockchain Practice in Financial Services. With more than 28 years of management advisory and business experience, he has previously worked in industry in mortgage securitization and has focused on major transformations in capital markets, and regulatory change. He has focused on major transformations in capital markets and currently focuses on addressing institutional conformance and transformation on Dodd Frank including Title VII and the Volcker Rule. He holds es Ph.D – New York University.

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TOPICS: •

Blockchain Overview. - What is blockchain? - Why is blockchain important? • Market & Product Analysis. - Industry trends. - Industry use cases: Derivatives trading, trade finance, KYC, mortages and Funds DLT. - Blockchain life-cycle and implementation approach. • Blockchain use case application exercise. - Current state analysis. - Report out of identified pain points and inefficiencies. - Identification of possible use case and their associated benefits. - Discussion on possible executions of identified use cases. • Workshop conclusions.


Business Analytics for the Banking Industry

SATURDAY JUNE 23 DURATION: 8 HOURS JW MARRIOTT SANTA FE HOTEL

ANDRÉS FUNDIA DIRECTOR NABLA SOLUTIONS

Andrés Fundia has over 20 years of experience developing Risk Management and Business Analytics models. He has served as professor, risk director, and auditor. Currently he is Director at Nabla Solutions, and previously he was Risk Director at INFONAVIT. Andrés developed multiple consulting and audit services as Manager at KPMG. He has been a professor at various educational institutions, including RiskMathics, ITESM, Universidad Anahuac, Universidad Panamericana, and ITAM. Andrés holds a Ph.D. in Mathematics from Rutgers University, New Jersey, USA (1994) and he has a BS in Mathematics from the Universidad Nacional de Buenos Aires, Argentina (1985). He holds international accreditations in Risk Management, like the Financial Risk Manager Certificate issued by GARP (2005), and the Financial Risk Management Certificate issued by New York University (1999). COURSE DESCRIPTION: The main Business Analytics models applied to the financial industry will be explained, finishing with a model that estimates the customer lifetime value of a bank´s customer. Models will be accompanied by case studies implemented in Excel. OBJECTIVE: The objective of the course will be to equip participants with the essential techniques so they can immediately implement the business intelligence in their activities to answer questions such as: Which is the customer’s long-term value? For how long a relationship with a customer should be maintained? How much to invest in a commercial campaign? Which products to offer to different customers?

TOPICS 1. Introduction to Business Analytics 1.1. Business Analytics Objectives and Areas 1.2. Types and Scopes of Models 1.2.1. Customer Segmentation 1.2.2. Forecasts of a time frame, linear regression, and logistics 1.2.3. Machine Learning 1.2.4. Analytical Models 1.2.5. Probabilistic ModelsEl valor de un cliente durante toda su vida (Client Lifetime Value, CLV). 2. Customer Lifetime Value, CLV 2.1. Applications 2.2. Standard Model 3. Buy to Death. Probabilistic Models 3.1. Determinación de clientes activos. 3.2. Tiempo discreto (descripción y ejemplo en Excel). 3.3. Tiempo continuo (descripción). 4. The Banking Services Value 4.1. Value of Deposits 4.2. Value of Credits 4.3. Value of Investment Funds 4.4. CLV of a bank´s customer

Data science: a visual introduction WEDNESDAY JUNE 20 DURATION: 30 MINUTES HOTEL WESTIN SANTA FE

ATTILIO MEUCCI

ARPM

Attilio Meucci is the founder of ARPM (Advanced Risk and Portfolio Management).

We provide a visual, no-math, understanding of advanced topics in data science.

Attilio was the chief risk officer at KKR; the chief risk officer and director of portfolio construction at Kepos Capital; the global head of research for Bloomberg’s risk and portfolio analytics platform; a researcher at Lehman POINT; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co.

- Mean and covariance as ellipsoid. - Principal component analysis (eigenvalues/eigenvectors). - Copulas. - Markov chains. - Mean-reversion and cointegration. - Missing observation recovery. - Bayesian estimation. - GLASSO. - Trees (they are NOT trees). - Random forests: state-time conditioning via entropy minimization.

Attilio is the author of numerous publications. In addition to the ARPM Bootcamp®, he taught at Columbia-IEOR, NYU-Courant (New York), Bocconi University (Milan), and NUSBusiness School (Singapore), where he is Visiting Senior Research Fellow at CAMRI. Attilio earned a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA charterholder. Attilio is fluent in six languages.

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FinTech and the future of finance WEDNESDAY JUNE 20 DURATION: 2 HOURS JW MARRIOTT SANTA FE HOTEL

ALFONSO ROMO

HEAD OF INNOVATION VECTOR

Director of Innovation and New Business of Vector Casa de Bolsa. He is in charge of 4 independent financial Startups in the areas of Marketplace Lending, Real Estate, Education and Personal Finance. Prior to this position he was Director of e-Business, Director of Asset Management, and Director of Funds. His duties and personal passion have led him to be a specialist in Fintech and personal finance. He is co-author of the book Dear Money, I hate you and I love you! Mr. Romo has been invited as an exhibitor in a large number of conferences and forums specialized in financial topics. He has a finance section in the program “Duro de Domar” of EXA FM, and another in "Noticias de la Noche" by Vive anal TV, as well as a monthly section in the program “PonteFit” of Televisa TDN, and in “Sale el Sol” in Imagen Television.

TOPICS: • • • • • •

The Present and the Future of Financial Institutions. Characteristics of Fintech. Increase. Slopes. Traditional Institutions vs Fintech Startups. Financial Technology Law.

COURSE DESCRIPTION Finance, despite being part of our daily lives, has changed little over the decades. However, in recent years, with the arrival of Fintech companies, we have noticed disruption and great innovations in the way of paying, investing, educating, getting a loan, and in general everything related to money. Fintech has unleashed a revolution in traditional institutions such as banks, insurers and brokerage firms! What will financial services be like in the coming years? Will the Banks disappear? What is it and what types of Fintechs are there? Are they regulated? Are they safe? What are Cryptocurrency and Blockchain? What is Crowdfunding?

Machine Learning, AI & Deep Learning in MATLAB FRIDAY JUNE 22 DURATION: 8 HOURS HOTEL WESTIN SANTA FE

MARSHALL ALPHONSO MATHWORKS

Marshall Alphonso is a senior application engineer at MathWorks, specializing in the area of quantitative finance. He has over 7 years’ experience training clients at over 250 companies including top hedge funds, banks and other financial institutions. Previously as advisor to the CRO of McKinsey & Co. Investment Office, he was responsible for the design and implementation of the fund liquidity framework, stress testing framework and a multitude of quantitative risk and investment tools in Matlab®, enabling evaluation of exposures for risk & attribution. He holds a B.S. in electrical engineering & mathematics from Purdue University and an M.S. in electrical engineering from George Mason University. COURSE DESCRIPTION: Decision making in the era of heavy regulations, big data along with demands for transparency and advanced machine learning can be challenging for any financial institution. With that in mind, this seminar showcases the power of using point and click tools that write the code for you to significantly speed up the development process.

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TOPICS: What is Machine Learning? Challenges? • Supervised machine learning. - Demo: Bond classification. - Demo: Trading. • Unsupervised machine learning. - Demo: K-means clustering for finding unique investments. - Demo: What is driving your volatility? • Big data. - Demo: Tall data credit modeling. • Other areas of machine learning. - Demo: Natural language processing. - Demo: Deep learning.


The value behind Bitcoin & Blockchain FRIDAY JUNE 22 & SATURDAY JUNE 23 DURATION: 13 HOURS WESTIN SANTA FE HOTEL / UP CAMPUS SANTA FE

JOSÉ RODRÍGUEZ BITSO

Director of Payments of Bitso, the largest platform of Bitcoins and Digital Assets in Mexico. He has been one of the main promoters of Bitcoin and Blockchain in Mexico since 2013, participating in several events and entrepreneurship. He proposed the use of technology for the creation of a new monetary aggregate, ‘Peso Digital’ to Banco de México. Participated in the Organizing Committee of the first Latin American Conference of Bitcoin in Mexico, Labitconf 2015.

PABLO GONZÁLEZ BITSO

Pablo is CEO and Co-founder at Bitso, the first Bitcoin Exchange and Ripple Gateway in Mexico. Pablo is a designer and entrepreneur with a great aptitude for technological innovation. With more than 10 years of experience in the entertainment industry, Pablo has directed and produced content for cinema, video games and advertising. His short films and commercials have been honored at film and advertising festivals in more than 40 countries. In early 2014 he left the entertainment industry to dedicate a full-time one to bring the benefits of Bitcoin’s technology to Mexico.

He has 13 years of working experience in the Operational, Administrative and Business areas at Brokerage Houses in Mexico and the United States. He specializes in Treasuries, Trading Desks, International Equities Hedging, and Settlement with Stock Exchanges and Financial Intermediaries of several countries. He has participated in Investigations with Intelligence Services and Authorities in Financial Crimes. TOPICS: 1. Bitcoin a) White Paper. b) Creation and Operations. c) Bitcoin Value. 2. Blockchain a) Bitcoin, tokens and altcoins. b) Creation and operational follow up. c) Blockchain transactions details.

3. Bitcoin and Blockchain in the Financial System a) Institutional Investment. b) Financial Systems development and integration (Banks, Brokerage Firms, SWIFT). c) Financial products with Bitcoin and Blockchain 4.Bitcoin and Ethers Buying/Selling a) Account opening. b) Portfolios. c) Buying/Selling. d) Portfolio types.

FRANCISCO SANTOS OPRETURN FUND

Economist graduated from the Universidad Autónoma of Madrid, at the moment he concentrates his activity as a founding partner of Op_Return Capital, a hedge fund of active crypto and consulting and participation in blockchain area projects from Curaçao. His experience includes passing through the Ministry of Economy of Spain, and the Commercial Office of the Embassy of Spain in Beijing, China. He worked in Madrid as a Financial Consultant in International Financial Analysts, with whom he continues to collaborate. In the last 17 years he has worked as General Director of large companies in Spain and Venezuela, CEO of Volkswagen (VW, Audi, SEAT, Skoda), General Director of Industrias Metalúrgicas Nacionales CA, and entrepreneur of startups in the technological world, from pioneering projects in the field of solar energy in Spain to software consultants for SAP implementation.

TEMARIO: : 1. From the CypherPunk I manifest, to this day, what remains of Satoshi and what chapter follows. 2. The status of the Crypto “industry”, top ten ratios. 3. Privacy in blockchain and the crypto world, anonymity or pseudo-anonymity. Case study Zcash. 4. Bitcoin, the adoption of lightning and BIP. 5. Regulation or non-regulation, “that’s the question” 6. Current blockchain application in the financial industry.

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Regulation Workshops IFRS 9: Implementation and Interpretation WEDNESDAY JUNE 20 & THURSDAY JUNE 21 DURATION: 16 HOURS UP CAMPUS SANTA FE

NICOLÁS OLEA MANAGING PARTNER KPMG TOPICS: Nicolás Olea Zazueta is the Partner in charge of Financial Risk Management, a Risk Consulting unit within the Advisory Practice at KPMG Cárdenas Dosal, SC., the Mexican member Firm of KPMG International, a nearly 130,000 Global network of professionals in 157 countries, providing Assurance, Tax & Legal and Advisory Services to a wide diversity of Industries. He leads one of the most complete Risk Consulting services boutiques, with a team of nearly 100 professionals located in Mexico City and Monterrey, along with other four Partners specializing in a wide diversity of services targeted mostly to the Financial Services Industry in Mexico and the Latin American Region. Nicolás earned an Accountancy degree and a Master in Science degree in Information Systems, both from the Instituto Tecnológico y de Estudios Superiores de Monterrey (ITESM or Monterrey Tech-Monterrey Campus) and did joined KPMG on September 1999 after having worked on Corporate Financial Planning developing computer-based financial models and simulations at CEMEX Headquarters in Monterrey Mexico during the 80´s, then held assetbased financing positions at Banco Español de Crédito (Banesto, now part of Santander) and afterwards worked in Chicago at REFCO, the US third largest Derivatives Clearing & Settlement Company during the 90´s, then came back to Mexico at the BMV (Stock Exchange) to pioneer the launching of MexDer, the Mexican Derivatives Market, the first self-regulated market in Mexico. During the last 15 years at KPMG, Nicolás has been involved in a wide diversity of audit, regulatory and advisory engagements, targeted at the Financial Services Industry. He specialices in Financial Instruments –including derivatives- accounting under the different accounting standards worldwide: IFRS & US GAAP. He has conducted extensive training within KPMG Latin America Firms network on Derivatives, Exposure & Risk Management and has been trained by KPMG on IFRS´s Financial Instruments Topics as a Trainer, since year 2000. He is a member of the Mexico City Public Accounting Chapter since 1999, also a member of the Financial Instruments Committee of the CINIF (Mexican Board of Accounting Compliance) since 2005 and before that, on the Accounting Principles Commission. OBJECTIVES: • •

• • • • •

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Permeate the participants on the implications of IFRS 9, from a perspective that includes the Risk Manager and the maker of financial information. Learn about this new accounting standards applicable to financial instruments, including the three sections already approved: Classification & Measurement, Impairment and hedge accounting. Understand what a business model is for the purposes of this standard, as well as the implications of a radical change of “incurred loss “to” expected loss, as the basis for impairment. Realign accounting with the risk management that is carried out in reality. Addressing tools used in the efforts of transition to this new standard and that will be applied from 2018. Addressing the aspects associated with this accounting standard. Abordar herramientas que se utilizan en los esfuerzos de transición hacia este nuevo estándar y que aplicarán a partir de 2018. Abordar los -amplios- aspectos de revelación que conlleva este estándar contable.

An Overview of IFRS (International Financial Reporting Standard) # 9 and why it time to replace IAS 39. The three sections of IFRS 9: 1) Classification and Measurement of Financial Assets and Liabilities. a) The categories of current assets and liabilities (IAS 39) V.S. new introduced by IFRS 9. b) Fair Value Through P&L (FVTPL) is now the Default Category. c) Fair Value Through Other Comprehensive Income (FVTOCI). d) Amortized Cost. e) Testing business model and the tests associated with the Contract Flows (SPPI Testing). f) No separation of Embedded Derivatives for financial assets, but feasible for financial liabilities. g) Inter-categories Reclassifications. h) DVA in financial liabilities and the need to recognize these effects in other comprehensive income (OCI). i) Nexus between IFRS 9 and IFRS 13 (Fair Value Measurement) and Fair Value hierarchy (Levels I, II & III), based on the level of observability of inputs. j) Tools to address section C & M: iRADAR and Loan Analyzer. 2) Impairment of financial assets (Impairment). a) Expected Loss approach following IFRS 9. b) The three stages (or buckets): - Step 1: Theory and practice of expected loss to 12 months. - Step 2: Reviewing detail of “lifetime expected losses.” - Step 3: Non performing loans. c) Accounting for Stage 1, 2 and 3, How does the basis of accrual of interest change? d) Featured Topics: Evaluation of collective losses vs. individual. e) Reasonable value and deterioration. f) G-CLAS (Global Credit Loss Accounting Solution) a tool to address the challenge of IFRS 9. 3) Hedge Accounting. a) Eligible to be covered items and hedging instruments. b) The DNA of IAS 39 remains, but there are changes regarding: evidence of effectiveness, thresholds for effectiveness, Risk drilling, documentation and more. c) Hedge accounting relationships. d) Hedges added exhibitions. e) No allowance to de-designate hedging relationships. f) Hedging with options and how volatility is minimized changes in the extrinsic value entailed under IAS39. g) Transaction-based vs. Time-based hedging with options.


IFRS 17: The New Regulation Standard Insurance Companies

WEDNESDAY JUNE 20 & THURSDAY JUNE 21 DURATION: 16 HOURS UP CAMPUS SANTA FE

EDUARDO LÓPEZ

ANA MARÍA RAMÍREZ

DIRECTOR KPMG

PARTNER KPMG

Ana María Ramírez is a Leading Partner of Actuarial Insurance Services at KPMG. He has more than 25 years of experience in Actuarial Auditing of Technical Reserves of Insurance Institutions of all operations (Life, Accidents and Diseases, Health, Damages, Pensions derived from Social Security Laws), as well as in Actuarial Audit of Technical Reserves of Bonding Institutions. His experience also includes the development of strategic planning models, including financial models for the incorporation of new insurance and surety companies, which include the determination of financial statements, flows, capital requirements and IRR. She graduated from ITAM, and is an Actuary Certified by the National Association of Actuaries for the Development of Technical Notes of Products and the Valuation of Technical Reserves in the field of Insurance and Surety of all types. COURSE DESCRIPTION: The International Accounting Standards Board issued IFRS 17 Insurance Contracts in May 2017. IFRS 17 sets out the requirements that a company should apply in reporting information about insurance contracts it issues and reinsurance contracts it holds.

Eduardo is Audit director in Insurance Mexican practice at KPMG. Eduardo joined KPMG in 2005 in the audit financial sector. He is a public certificated accountant by the Mexican Institute of public accountants and had a certificate in finance by such institution. Eduardo was part of KPMG International Standard Group in the UK. He was part of the financial instrument and Insurance team in UK. He was part of the team responsible of publish the Insurance newsletter related to IFRS 17 and the amendments to the current IFRS 4. Additional to his IFRS experience, Eduardo has experience in Local gap, local gap for insurance companies, local gap for pension funds (annuities), mutual funds, brokers, payroll companies, and Insurance companies. TOPICS: • • • • • • • • • • • • • • •

IFRS 17 approach. Separation of components. General model. Modification of contracts. Presentation. Simplified bonus approach. Reinsurance contracts. Presentation. Revelations. Insurance contracts acquired. Transition. Other considerations. Potential changes at the accounting level. Effective date. Next steps.

Market Risk Prudential Framework: From Basel 2,5 to Fundamental Review of the Trading Book (FRTB) Implementation THURSDAY JUNE 21 DURATION: 8 HOURS UP CAMPUS SANTA FE

RITA GNUTTI

HEAD OF INTERNAL MODEL MARKET INTESA SANPAOLO

Rita is Market and Counterparty Risk Internal Model responsible for the Financial Risk Administration Department at Intesa Sanpolo, where she has been working since the last 12 years. She is also responsible for the Market and Counterparty Risk Architecture and their regulatory reports. Besides, Rita is in charge of scenario generation of internal models for the Market Risk Administration Team. Her main achievements in the regulatory sector are related to the development and use of tests, as well as approval requests with regulatory purposes of Internal Models: • Basel 2.5 for negotiation portfolios: Stressed VaR. • Specific Risk Internal Model according to Basel 2.5: Spread VaR. • IRC (Incremental Risk Charge). • Counterparty Risk Internal Model according to Basel 3: Expected Positive Expossure (EPE), Potential Future Exposure (PFE) and Capital Requirements regarding Credit Valuation Adjustment (CVA). Rita is also responsible for the implementation program of the Fundamental Review of the Trading Book (FRTB) at Intesa Sanpaolo. Before diving into Risk Administration, Rita was in charge of projects related with trading, from the front office and OTC derivatives point of view. She has a bachelor’s degree in Economy from Università Cattolica del Sacro Cuore Milano (Grade: 110/110 cum laude). COURSE DESCRIPTION: This workshop covers the capital requirement framework for market risk in the trading book in light of the new timeline announced by BCBS in Dec 2017 about international implementation And reporting date for FRTB”. Starting from the features of current regulatory framework, it provides an overview of the most relevant methodological, organizational and implementation challenges from a practitioner point of view, taking into account recent regulatory evolutions. Practical evidence is provided on some of the open topics: non modellable risk factors; changes proposed with BCBS d436 on PL Attribution, calibration of Standardized Approach; implementation guidelines provided with EBA discussion paper of Dec 2017.

TOPICS: 1. Basel 2,5 Capital Charge and TRIM assessment: This module covers the components of current capital requirements and the model validation process to assess the soundness of internal models. It also gives an overview of the horizontal review of internal models (TRIM) which is taking place for institutions supervised by SSM. 2. FRTB General Framework: This module explains the main pillars of FRTB without entering into very technical details: it gives an overview of the changes introduced in the prudential framework and the idea behind them, in terms of prudential boundary and new rules for moving assets from the banking to the trading book, changes in methodology and reporting practice, model validation process, and expected impacts on capital charge based on quantitative exercises. 3. FRTB Internal Model: This module focus on each of the new components of FRTB capital requirements under internal models. It highlights the technicality of “FRTB Expected Shortfall” and compares this risk figure with results relating to the traditional Expected Shortfall for a simple portfolio, to provide some first evidence about capital allocation issues. It also explains the new Default Risk Charge and the differences with respect to current IRC framework, with evidence based on portfolios exercise. It also covers the Non Modellable Risk Factors framework and the challenge of the Model Validation Process under FRTB. 4. FRTB Standarized Approach: This module covers main components of capital requirements under FRTB standardized approach (SA). It explains the Sensitivity Based Approach (SBA), focusing on the “regulatory sensitivities” and relating implementation challenges, and also provides a business case on a simple trading portfolio; it also covers the Default Charge under standardized approach and the Residual Risk AddOns.

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EXCHANGE SPONSORS BM&FBovespa,is one of the largest exchanges in the world by market value. With a significant trading volume in the segments of shares and financial derivatives, they ensure a prominent role for Brazil and Latin America in the global capital and financial map. A wide and varied range of business opportunities for investors range, and thesecurity offered by our role as a central counterparty business management systems of guarantees and settlement of transactions, positions us as one of the most modern and advanced business environments in the world. Bolsa de Santiago is Chile´s largest exchange, with a daily trading average of more than U$ 1.5 billion in its debt, equity and derivatives markets. Its strategic focus is to develop the Capital Markets, providing business opportunities for intermediaries, issuers and local and international investors, and to allow intermediaries and clients to trade on reliable and transparent platforms with the highest technological and efficiency standards. Bolsa de Santiago is part of the Latin American Integrated Market (MILA) and the Sustainable Stock Exchanges (SSE). On June 12, 2017, will become a demutualized Exchange.

CME Group is the world’s leading and most diverse derivatives marketplace, handling 3 billion contracts worth approximately $1 quadrillion annually (on average). The company provides a marketplace for buyers and sellers, bringing together individuals, companies and institutions that need to manage risk or that want to profit by accepting risk. ROFEX, founded in 1909, is a leading futures and options market in Argentina that has an important focus on the creation of innovative products for intermediaries and investors. According to the annual ranking of the Futures Industry Association (FIA), ROFEX ranks twenty-three worldwide among the futures and options markets, and second in Latin America. Its futures contract on the US dollar is the sixth most traded worldwide. ROFEX also has a strong technological core, one of its main goals being the dynamic and agile interaction in that area with the different actors that play a leading role in the industry, both locally and internationally.

Eurex Group delivers innovation and excellence across the financial industry’s value spectrum. As a leading global provider we are working with customers, regulators and all our other stakeholders to facilitate an efficient and diverse market, delivering safety and integrity providing maximum benefits to all participants. We adapt to the ever changing environment with a growing portfolio of products from pre- to post-trading. All grounded in robust risk management solutions and proven technology, they help us shaping the future of the financial industry, as we have done for more than ten years now.

LEAD SPONSORS MATHWORKS, developers of MATLAB®, the language of technical computing, is a programming environment for algorithm development, data analysis, visualization, and numeric computation. Simulink® is a graphical environment for simulation and Model-Based Design of multidomain dynamic and embedded systems. The company produces nearly 100 additional products for specialized tasks such as data analysis and image processing. QUANTASHARES has as mission to offer new perspectives and opportunities for investors to manage their portfolios through innovative products and implementation facilitators. They are committed to provide high quality, transparency and excellent service in their products, in order to get better performance of its assets. Their first ETF are Dollar Trac (DLRTRAC) and Peso Trac (PSOTRAC). Both products are listed on the Mexican Stock Exchange and are easily accessible for all types of investors.

The Global Association of Risk Professionals (GARP) is a non-partisan association dedicated to advancing the risk profession

through education, research and the promotion of best practices. Our globally recognized professional certifications – the Financial Risk Manager (FRM®) and Energy Risk Professional (ERP®), research-based benchmarking initiatives and global risk forums, provide a platform for educating and fostering dialogue about current trends in risk management. PiP Latam is headquartered in Mexico City, PiP is the leading multinational corporation in fair value, providing valuations for local and international markets. Its products include closing price valuations, curves, databases, options tools and customized products including valuation of derivative instruments and structured notes. Risk analytics also provide inputs for calculating financial risks and simulating the performance of instruments in future and stress scenarios. PiP is the official source of valuations for the region, providing a precise and consistent source of timely and auditableinformation of LatAm financial markets.

UR Risk, was created in 2013 by former executives of Algorithmics, the leading provider of Risk Management Solutions at the time. Their mission is to provide financial institutions and corporate clients with a flexible suite of state of the art Risk Management related solutions and expert advisory services that would allowthem to fulfill the business, regulatory and management requirements given the continuous changing environment and the need to improve their competitiveness.

TELNORM TRADING SOLUTIONS is a leading multi-vendor systems integrator specialized in contact center, trading floors, and security solutions with presence in the U.S and the CALA region. With more than 20 years of experience, Telnorm aims to help clients build business efficiency, combining technology software development and top standards in services and support.

IPC is a technology and service leader that powers financial markets globally. IPC helps clients anticipate change and solve problems, setting the standard with industry expertise, exceptional service and comprehensive technology. Through service excellence, long-developed expertise and a focus on innovation and community, the company provides agile and efficient ways to accelerate customers’ ability to adapt to the ever–changing requirements for advanced data networks, compliance and collaboration with all counter-parties across the financial markets. PINDROP solutions are leading the way to the future of voice by establishing the standard for security, identity, and trust for every voice interaction. Using patented technology that extracts an unrivaled amount of intelligence from every call encountered, Pindrop solutions help detect fraudsters and authenticate callers, reducing fraud and operational costs, while improving customer experience and protecting brand reputation. Quantitative Risk Management (QRM) is the world’s premier enterprise risk management consulting firm. QRM develops industryleading risk management principles, practices, and models, and provides clients with the advice, knowledge, and tools necessary to leverage those innovations into higher risk-adjusted returns. Since 1987, we have partnered with our clients to enhance their ability to measure risk, identify profitable opportunities, and make sound financial decisions. With offices in Chicago, London, and Singapore, QRM has established over 250 long-term engagements with top financial institutions from the banking, finance, and insurance industries worldwide.

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CO-SPONSORS KPMG For 70 years, KPMG in Mexico has been a multidisciplinary firm providing Audit, Tax and Advisory services.They are high performance professionals working with purpose and passion, shoulder to shoulder alongside our clients, integrating innovative approaches and deep experience to generate reliable results for the benefit of our various stakeholders, through 184 partners and more than 2,800 professionals in 18 offices strategically located in major cities.

MUREX provides enterprise-wide, cross-asset financial technology solutions to capital markets players. With more than 45,000

daily users in 65 countries, its cross-function platform, MX.3, supports trading, treasury, risk and post-trade operations—enabling clients to better meet regulatory requirements, manage enterprise-wide risk, and control IT costs.

ASSOCIATE SPONSORS CMD Trader, an Independent Investment Advisor which is regulated in Mexico by CNBV and a Registered Investment Advisor via

Interactive Brokers, has as a principal objective to push Mexican’s participation into national and international financial markets. Through our investment portfolios managed by our 20-year-experienced advisors, or trading by yourself in our platform with access to over 100 international markets, find the best solution to your investment and personal objectives.

Numerix is the global leader in cross-asset analytics for OTC derivatives, structured products and variable annuities,providing software and services for structuring, pre-trade pricing, trade capture, valuation, and risk management.Numerix offers a comprehensive model library and a transparent deal-definition architecture that allows rapid modeling of any instrument, including commodity, credit, equity, fixed income, foreign exchange, and inflation derivatives, plus a unique hybrid model framework for exotics and structured products. Numerix analytics are available through Windows applications, Excel add-ins, developer kits and a wide range of partner systems, with over 700 clients and 90 partners across more than 25 countries.

OP_RETURN is an investment fund focused on the active management and safe custody of the new assets family of the crypto/ blockchain space. With a team with more than 7 years in the sector, we continue to develop tools for investing in this technology, working on projects related to blockchain, digital currencies and crypto assets

PARTNERS ARPM is an education firm with a mission to set and disseminate the standards for Advanced Risk management and

Portfolio Management, across the financial industry: asset management, banking, and insurance.

MEDIA SPONSORS

PAYMENT METHODS 1.

REGISTRATION

Bank Transfer in US Dollars BANK: BBVA Bancomer, S.A. ACCOUNT

E-mail: derivatives@riskmathics.com Telephone.: +52 (55) 5638 0907 y +52 (55) 5669 4729

NUMBER: 0121 8000 11 0583 0066 SWIFT: BCMRMXMM BRANCH NUMBER: 0956 BENEFICIARY: RiskMathics S.C. 2.

Credit Card:

3.

Online payment

VISA, MASTERCARD or AMERICAN EXPRESS www.riskmathics.com IMPORTANT NOTICE: There will be no reimbursements.

REQUIREMENTS 1. Come from economic – Administrative Careers 2. Preferably working in Financial Institutions 3. Participants should bring a laptop

VENUES Universidad Panamericana Campus Santa Fe Antonio Dovalí Jaime 75, piso 6, Centro de Ciudad Santa Fe, CDMX. Westin Santa Fe Hotel Javier Barros Sierra 540 Col. Lomas de Santa Fe, México, CDMX. JW Marriott Santa Fe Hotel Avenida Santa Fe 160 Col. La Fe Santa Fe, México, CDMX.

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FULL-EVENT FEE (4 DAYS): $38,500 MEXICAN PESOS + TAX (16%) WORKSHOP FEES*

* IMPORTANT NOTICE: In the case that a participant wishes to attend a workshop and / or conference.

WORKSHOP

PRACTITIONERS **FEE KEYNOTE SPEECHES

LANGUAJE

VENUE

DURATION

Machine Learning: The New Revolution in the Finance Industry

John C. Hull

$5,000.00

English

Westin

2 hours

Political Uncertainty in a Globalized World

Carlos Elizondo

$5,000.00

Spanish

Westin

2 hours

Asset and Liability Management

Guillermo Domínguez

$25,000.00

Spanish

Westin

16 hours

CCAR: Comprehensive Capital Analysis and Review

Suresh Sankaran Alonso Peña / Jon Gregory Rohan Rao Patricio Belaunzarán Suresh Sankaran

$28,000.00 $35,000.00 $25,000.00 $25,000.00 $28,000.00

English Spanish / Inglés English Spanish English

JW Marriott JW Marriott UP UP JW Marriott

16 hours 32 hours 16 hours 16 hours 16 hours

Marcelo Cruz

$15,000.00

English

UP

8 hours

Riesgo de Fraude en Bancos y Entidades Financieras

John C. Hull Gustavo Santana Christiams Valle

$15,000.00 $20,000.00 $18,000.00

English Spanish Spanish

Westin JW Marriott JW Marriott

8 hours 10 hours 16 hours

Reputational Risk and Financial Communication

Alejandro Osorio

$8,000.00

Spanish

JW Marriott

5 hours

Risk and Portfolio Management for Quantitative Investors

Marco Avellaneda Rubén Haro

$20,000.00 $25,000.00

Spanish Spanish

Westin JW Marriott

16 hours 16 hours

Gustavo Fuertes Gustavo Santana

$12,000.00 $20,000.00

Spanish Spanish

UP JW Marriott

4 hours 16 hours 12 horas

Convertible Bonds and Credit Risk

Liber Jaime

$28,000.00

Spanish

UP

24 hours

Derivatives and Corporate Finance

David Shimko

$25,000.00

English

JW Marriott

16 hours

Desarrollo de Soluciones Financieras y Cuantitativas con Python

Alonso Peña

$25,000.00

Spanish

UP

16 hours

Energy Derivatives: Pricing, Hedging and Trading

David Shimko

$25,000.00

English

JW Marriott

16 hours

Managing the xVA Trading Desk (CVA, DVA, FVA, RVA, KVA)

Giovanni Negrete Fabio Mercurio Bruno Dupire Peter Carr

$25,000.00 $15,000.00

Spanish English

JW Marriott JW Marriott

16 hours 8 hours

$30,000.00

English

JW Marriott

28 hours

Family Offices: Building, Administration and Operation

Luis Seco

$25,000.00

Spanish

UP

16 hours

Investment Portfolio Management in Mexico

Carlos Vallebueno Marshall Alphonso Thomas Severance Dan Rosen

$8,000.00 $10,000.00 $10,000.00 $10,000.00

Spanish English English Spanish

JW Marriott JW Marriott JW Marriott UP

6 hours 4 hours 4 hours 4 hours

Marcos López de Prado

$15,000.00

Spanish

JW Marriott

8 hours

Eamon Maguire

$12,000.00

English

Westin

8 hours

Andrés Fundia Alfonso Romo Marshall Alphonso Pablo González / José Rodíguez

$10,000.00 $10,000.00 $15,000.00

Spanish Spanish English Spanish

JW Marriott JW Marriott JW Marriott UP

8 hours 2 hours 6 hours 13 hours

Nicolás Olea Ana María Ramírez / Eduardo López

$25,000.00 $25,000.00

Spanish Spanish

UP UP

16 hours 16 hours

Rita Gnutti

$25,000.00

English

UP

8 hours

RISK MANAGEMENT WORKSHOPS

v

Counterparty Risk, xVA and Central Clearing Credit Risk and Credit Default Swaps (CDS) Balance Sheet Risk Management for Insurance Companies Liquidity Risk Managing Operational Risk under Standardised Measurement Approach (SMA) Market Risk and the Fundamental Review of the Trading Book Operational Risk and Business Continuity Management

Risk Modeling: Adjusting Credit Portfolio Profitability Risk Culture Technology Risk and Cybersecurity for Financial Services

TRADING AND QUANTITATIVE FINANCE WORKSHOPS

Multi - Curve Fixed Income Modeling Trading Volatility in the Real World

ASSET AND PORTFOLIO MANAGEMENT WORKSHOPS Investment and Risk Management in MATLAB Portfolio Construction, Risk and Attribution Portfolio Management Advances in Financial Machine Learning Blockchain: Uses and Implementation Strategies in Trading and Risk Management Industry Business Analytics for the Banking Industry FinTech and the Future of Finance Machine Learning, AI & Deep Learning in MATLAB The Value Behind Bitcoin and Blockchain IFRS 9: Implementation and Interpretation IFRS 17: The New Regulation Standard Insurance Companies

Market Risk Prudential Framework: From Basel 2,5 to Fundamental Review of the Trading Book (FRTB) Implementation

**For final payment you must add 16% of local tax

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FINTECH AND DATA SCIENCE WORKSHOPS

REGULATION WORKSHOPS

Risk Management & Trading Conference 2018 Ing  
Risk Management & Trading Conference 2018 Ing