« back 24 April 2009

SYSTEMIC and ALGORITHMICS co-organize “Proactive risk management in illiquid markets” conference, in Athens.

Proactive risk management in illiquid markets

Algorithmics and SYSTEMIC Risk Management co-organized an interactive working lunch bringing together industry experts with a very limited number of highly esteemed professionals, which exchanged constructive views relevant to proactive risk management in illiquid markets.

The discussion/ working session took place at the “Explorer bar” of the Athens Plaza hotel, on Friday April 24. The main topics of the discussion where:

Liquidity Risk: The Balance Sheet Risk Management Approach

·         Enterprise vs Balance Sheet Risk Management

·         Integrating ALM, Market, Liquidity and Credit risk – A pragmatic approach

o    Data Management

o    Scenario generation

o    Modeling

o    Silos and integrated management reporting.

·         Exploring the interdependency among sustainable growth, risk, returns and value creation in financial institutions

Stress testing across risk categories: a vital enhancement to VaR.

• Stress testing in Basel II
• Realistic creation and interpretation of holistic stress scenarios
• Implementing stress scenarios in the local environment

Basel Committee 2009 Proposals: implications on the management of Liquidity Risk, Capital Requirements and Stress Testing

• Double default and incremental risk
• Illiquid credit products, complex securitizations, off-balance sheet vehicles
• Management of funding liquidity risks
• Firm-wide stress testing practices.

The discussion was be led by:

Mario Onorato	Director, Enterprise Value Based Management Solutions, ALGORITHMICS Honorary Senior Lecturer, Faculty of Management, CASS Business School, City University, London
George Christodoulakis	Professor of Finance, Manchester Business School, UK Advisor, SYSTEMIC Risk Management
Aristides Protopapadakis	Managing Director, SYSTEMIC Risk Management

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