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"Recent Developments in VaR, Extreme Value Theory, and the BIS Accord"
September 19, 2001:  Nippon Kaiun Club (Nagatacho), Tokyo
 08:15-08:45
REGISTRATION
 08:45-09:10

  Chairman's Welcome Address:
Kotaro Norizoe, Ph.D. Executive Partner/CEO, PricewaterhouseCoopers
Chuo Financial & Risk Management Consulting Limited

 09:10-09:55

  New Trends in FIrmwide Risk Management
Kenji Fujii, Deputy General Manager, Risk Management Department, UFJ Holdings, Inc.

  • Risk Management - From Local to Central
  • Key Processes for Establishment of Firmwide Risk Management
  • Risk Management - New Trends and Challenges
Focus:
What are the key issues in establishing risk management framework for financial institutions? Recent financial technology and changes in the regulatory environment that create challenges for firmwide risk management, as well as significant opportunities, will also be looked at.

 09:55-10:40


 Application of Extreme Value Theory for Risk Management
Yuji Morimoto, Vice President, Fixed Income Division, Morgan Stanley Japan Ltd. 
  • Problems with VaR Measurement
  • Outline of EVT
  • VaR Measuring by EVT: Empirical Analysis
  • Pitfalls and Opportunities in EVT
Focus:
When managing risk for rare events, the forecast of tail distribution becomes very important. From this viewpoint, one of the most important theories is the extreme value theory (EVT). What is EVT? And what are its merits and challenges of implementation?
 10:40-11:00
Morning Coffee/Tea Break
 11:00-11:45

 Portfolio Risk Management
 Naoki Kamiyama, CFA, VP, Quantitative Research, Investment Research Dept. Goldman Sachs (Japan) Ltd.

  • Significance and Utilization Method of VaR in Pension Funds
  • VaR Estimation Using Mixed Normal Distribution
  • Extension into Multivariate Mixed Normal Distribution
  • Predictability of Risk Estimation by Mixed Normal Distribution
Focus:
How effective is risk management using VaR for pension funds and asset managers? This issue has recently become a topic of frequent debate. To help find the answer to this question, this session will look at strategies for implementing VaR on the asset management side and will later propose the utilization of mixed normal distribution as a simple methodology corresponding to fat-tails of asset returns.
 11:45-12:30

 The New Basle Accord and its Potential Impact
Ansgar Herkert, Director, Risk Control, Dresdner Kleinwort Wasserstein

  • Operational Risks
  • Calibration of Ratings
  • Credit Risk Mitigation and Securitisation
  • Capital and the Cycle
  • Role of Supervisors
  • Disclosure and Market Discipline
  • Open Issues
Focus:
What are the effects of the new Basle Accord on the behavior of financial institutions? Who will be beneficiaries of the new guidelines? What are the key points of contention in the new accord? What has to be done until it becomes effective?
 12:30-13:30
LUNCHEON
 13:30-14:15

 Effectively Implementing Risk Management Systems
 Dr. Donald R. van Deventer, President, The Kamakura Corporation

  • Key Lessons from the Asia Crisis
    • J.P. Morgan/SK Securities
    • Scenario Specific Default Probabilities
  • Comparing Japanese and Western Risk Systems Implementations
    • The Request for Proposal Process
    • Invited Competitors
    • Data Issues
    • Implementation Issues
    • Analytical Issues
    • Keys to Success
Focus:
What needs to be considered to effectively implement risk management solutions into real businesses? Both ideal and practical methods will be presented through actual case studies.
 14:15-15:00

 A New Paradigm of Risk Management Model from a Mathematical Point of View
Hidetoshi Nakagawa , Researcher, MTB Investment Technology Institute Co., Ltd

  • Credit Risk Model
  • Operational Risk Model
  • Market Liquidity Risk Model
Focus:
Most Financial institutions use complicated mathematical models for risk management. Recently, various models for quantification in areas of operational risk and market liquidity risk are also being proposed. This session will discuss the characteristics of these mathematical models and cover points and problems that need to be considered for its implementation.
 15:00-15:20
Afternoon Coffee/Tea Break
 15:20-16:05 Integration of Credit Risk & Market Risk Toward Asset/Liability Management
 Shuji Tanaka,Executive Research Fellow, Financial Research Dept. NLI Research Institute
  • Integration of Credit Risk & Market Risk
  • De-composition of Total Risk Applicable to Capital Allocation by Business Line
  • Realization of Firm-wide ALM; Banks, Insurers and Pension funds
Focus:
Integrated risk management of credit & market risk has so far been studied but has not yet been realized at a practical level. The model that will be introduced here is a trial to integrate both risks that will enable us to realize the simultaneous risk management applicable not only to the firmwide level, but also to the various levels of departments/divisions. Moreover, if the liability structure is taken into account, the model could be developed and implemented to the asset/ liability model for banks, insurers and pension funds.
 16:05-16:50

  Integrated Capital & Risk Management: Concept and Applications
 Atsuhito Sakai, President, Swiss Re Capital Markets (Japan) Ltd.

  • Integrated Approach to Capital Strategy and Risk Management
  • Committed Capital and Risk Swaps: Concept and Applications
  • Bank Operational Risks Mitigation for Capital Strategy
Focus:
This session will discuss the latest developments on the application of integrated capital and risk management, applied by financial institutions and corporations. Committed capital and other solutions will also be introduced.
 16:50-17:00
Closing Comments