08.00

Registration and breakfast


09.00

Welcome address by ALFI and ALRiM


09.15

Capturing risk: finding the right measures and metrics

New risk factors and new regulatory focuses leave, at time, risk managers in front of a blank page. Designing from scratch a risk framework is a daunting task. In this context, the design of a method, the identification of relevant indicators, the critical assessment of alternative methodologies and the integration of the identified solution into an overarching framework are pivotal considerations. In the recent past, risk managers have faced a few of these blank pages given the increasing complexity in asset management, with an ever-expanding range of asset classes, unprecedented market developments and new regulatory requirements on the management of liquidity risks. Additionally, the integration of sustainability risks is now adding a further layer of complexity. Combining a unique experience of an academia with that of a practitioner, Thierry Roncalli, Head of Quantitative Research Amundi Asset Management, will share his insights and practical experience along three transversal dimensions: liquidity risk, sustainability risk and diversification.


09.40

Let's hear it from the regulator: risk management in the regulatory agenda

Not available for replay

Marco Zwick, Director at the CSSF, will be presenting the latest trends and regulatory drivers in Luxembourg. Participants will receive insightful information on the regulatory agenda in Europe, the CSSF’s roadmap for 2022 and other initiatives of relevance in risk management.

  • Marco Zwick

    Marco Zwick Director Commission de Surveillance du Secteur Financier (CSSF)


10.05

Valuation risk and the role of risk managers

Not available for replay

The 2022 Common Supervisory Action (“CSA”) and the difficulties to price presumed liquid securities in the recent times have thrown the spotlight on valuation risk. Ensuring fair pricing under different market conditions depends on the successful interaction and integration of modelling and calibration, data procurement and management, testing, governance, procedure, policies and contingency planning, reporting and third parties oversight. Beyond the fair pricing principles, one cannot ignore the uncertainty relative to the possible difference between the fund accounting price and the effective trade price. Assessing, monitoring, reporting and mitigating the materiality of this uncertainty is at the centre of risk management considerations. In this interview, the role of the risk management and its interaction with the valuation functions will be explored. Furthermore, the key areas requiring attention will be identified with the aim of providing practitioners with pragmatic tools to address valuation risk and add value to stakeholders.

  • Günter Lauer

    Günter Lauer Director, Head of Valuation Management MultiConcept Fund Management S.A. / Credit Suisse

Interviewed by:


10.30

Coffee break


11.00

Sustainability risks: laying out the principles

While there is a wide consensus that the European Commission’s Action Plan on Sustainable Finance is the only way forward, the asset management industry is currently facing a patchwork of complex regulations, which go beyond the concepts traditionally known to asset managers and which request significant transformations across firms. Hear the views of the representatives of two large asset management firms in Europe, discussing the key principles that sustainable finance legislation brings with it (SFDR, Taxonomy Regulation, amendments to UCITS, the AIFMD and MiFID 2). What do the texts tell us on key concepts such as minimum share of sustainable investments, sustainability risks or principal adverse impacts and can supervisors and market participants converge on common interpretations?

  • Julie Ansidei

    Julie Ansidei Managing Director, BlackRock Sustainable Investing (BSI) BlackRock

  • Dr. Stefan Junglen

    Dr. Stefan Junglen Member of the Management Board - DWS Investment S.A. Head of Sustainability Risk / Head of Regional Risk Governance DWS Group


11.40

Establishing a sustainability risk management framework

Defining the sustainability risk principles is of paramount importance. The other side, and as relevant, of the same coin is to translate those principles into a practical framework. What does sustainability risk mean in the daily life of a risk manager of an investment fund manager? Sustainability risk framework implementation and operation is multifaceted and encompasses organisational arrangements, governance, measurement and data, and reporting matters among others. In an open dialogue, risk managers will share their journey, key challenges, lessons learned and tips. Particular consideration will be given to the definition of the role and responsibilities of the risk manager next to the investment management and investment compliance function. The session will also discuss data and measurement inquiries.

  • Kai Nemec

    Kai Nemec Head of Risk Management Funds Union Investment Luxembourg S.A.

  • Nicolas Yurtkap

    Nicolas Yurtkap CIPM, Senior Risk Manager, Conducting Officer AllianceBernstein


12.05

Lunch break


Workshop I: Pre-Investment risk management: liquidity and more

Live streamed and available for replay*
13.20 – 14.10 and repeated 14.10 – 15.00

Since 2020, regulators have made it abundantly clear that they are expecting significant involvement of the risk management function before a fund is launched and before any investments are made. This is true for illiquid assets, but not only as was further evidenced more recently in e.g. Common Supervisory Assessments focused on liquidity. What is pre-investment risk management? And what does it entail in practice?

Moderator

  • Michael Derwael

    Michael Derwael ALRiM Board member & Global Independent Risk Officer MFS Investment Management Company (Lux) S.à r.l.

Panellists

  • Benoit Philippe

    Benoit Philippe Investment Risk, Director, Regulatory Risk – EMEA T. Rowe Price

  • Mike Sommer

    Mike Sommer Head of Risk EMEA / Conducting Officer Risk Management Schroder Investment Management (Europe) S.A.


Workshop II: Model risk management

Only in person and not available for replay
13.20 – 14.10, not repeated

Model risk management initiatives have been often driven by regulatory requirements (e.g. model validation, back-testing). However, the model risk management landscape is changing. Driven by regulators’ initiatives and industry front-runners, a shift from pure tick the box compliance to the management of the risk associated with relying on model-based estimates and forecasts is observed. An increasing focus is as well set on how the different models interact with one another.
The panellists will discuss the existing techniques to identify, assess and, mitigate model risks and ultimately gain comfort in their selection, operation and interaction. The discussion will allow to uncover the benefits and value added of a robust model risk management framework for investment fund managers.

Moderator

  • Fabian De Keyn

    Fabian De Keyn Director, Consulting – Financial Industry Solutions Deloitte Tax & Consulting

Panellists

  • Chandni Bhan

    Chandni Bhan Head of Quantitative Research & Model Validation Morgan Stanley Investment Management

  • Andreas Rossi

    Andreas Rossi Executive Director, Head of Investment Risk Control bei UBS Fund Management Luxembourg S.A.


Workshop III: Risk management Board reporting

Live streamed and available for replay*
14.10 – 15.00, not repeated

Expressing technical and comprehensive risk management messages in an intelligible way to the Board of an investment fund manager/fund Board requires adequate communication and reporting skills. What shall be on the risk manager’s standing agenda? Which type of risks shall be reported on? What kind of information and feedback is expected from a Risk Management perspective during and in-between Board meetings? Acting as an ambassador and advisor to the Board, the risk manager needs to find the right balance in terms of content and granularity, ensuring timely escalation of material risks and forward looking views, while ensuring the continuous development and understanding of new risk categories (e.g., sustainability risk, cyber risk).

Moderator

  • Tilo Reichert

    Tilo Reichert Head Risk & Compliance/ Management Board Swiss Life Asset Managers Luxembourg

Panellists

  • Sacha Reverdiau

    Sacha Reverdiau Conducting Officer, Head of Risk Lombard Odier Funds (Europe) S.A.


15.05

Regulators interview

Not available for replay

The constructive dialogue between the industry and the regulators is pivotal in establishing a common understanding of the essence of the regulatory initiatives leading to successful implementations of new risk frameworks. Emmanuel Gutton (ALFI) will introduce this session providing the necessary overview of regulatory landscape and trends. Focusing on risk management, the regulators’ perspective will be unveiled in an interview of Alain Hoscheid (CSSF) and Kian Navid (ESMA) by Emmanuel Gutton. In light of the risk priorities discussed during the day by practitioners, regulators will share their assessment of the overall industry compliance with the expectations. Adopting a forward-looking prospect, the emerging and possible future regulatory area of focus will be discussed and reviewed. Finally, the session will conclude with contemplations on the industry’s answers to recent events.

  • Alain Hoscheid

    Alain Hoscheid Premier Conseiller de Direction Commission de Surveillance du Secteur Financier (CSSF)

  • Kian Navid

    Kian Navid Senior Policy Officer – Investment Management Investors and Issuers Department European Securities and Markets Authority (ESMA)

Interviewed by:

  • Emmanuel Gutton

    Emmanuel Gutton Director Legal & Tax Association of Luxembourg Fund Industry (ALFI)


16.00

Closing remarks and networking cocktail


* subject to your booking option