ERM: SIMILARITIES AND DIFFERENCES BETWEEN CORPORATES AND THE FINANCIAL SECTOR by Michel Rochette, MBA, FSA

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Enterprise Risk Management â&#x20AC;&#x201C; Similarities & Differences between Corporates and Financial Institutions Montreal - April 9, 2008

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Legal Disclaimer The information contained in this document is provided for information purposes only and in no way constitutes an offer of services or a solicitation. Past performance is not indicative of future performance. We decline any responsibility with respect to direct or indirect damages or consequences of the inaccuracy of the information reproduced in this document, nor for any actions taken in reliance thereon. No information or data contained herein may be reproduced by any process whatsoever without written consent. Certain Statements that we make in this presentation are forward-looking statements. These forward-looking statements are based upon current assumptions and beliefs in light of the information currently available, but involve known and unknown risks and uncertainties. Our actual actions or results may differ materially from those discussed in the forward-looking statements and we undertake no obligation to publicly update any forward looking statement.

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Your Panel Penny Cagan Managing Director Operational Risk Division Michel Rochette, MBA, FSA Director ERM Anne Duprat, CA, CFA, MBA Senior Manager, Advisory Services Risk Management and Operations Improvement A Higher Standard for Risk Professionals

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Linkages between Corporate Governance and Operational Risk in the Financial Services Sector

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Five Operational Risk Classes People Risk

The risk of a loss intentionally or unintentionally caused by an employee— i.e. employee error, employee misdeeds— or involving employees, such as in the area of employment disputes.

Process Risk

Risks related to the execution and maintenance of transactions, and the various aspects of running a business, including products and services.

Relationship Risk

Losses arising from the relationship or contact that a firm has with its clients, shareholders, third parties, or regulators.

Technology Risk

The risk of loss caused by a piracy, theft, failure, breakdown or other disruption in technology, data or information; also includes technology that fails to meet business needs.

External Risk

The risk of loss due to damage to physical property or assets from natural or non–natural causes. This category also includes the risk presented by actions of external parties, such as the perpetration of fraud from an outside source.

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Corporate Governance Board Independence

Management Structure

Board Interlinks

Conflicts of Interest â&#x20AC;Ś.

Related Party Transactions

Compensation

Self Dealing

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Countrywide: Business Practices • Countrywide came under criticism (NYT, 8/26/2007) for squeezing every possible dollar from customers in fees (lending, servicing, closing) • Countrywide’s entire structure was predicated on earning higher than industry average fees • Sold subprime loans under alleged false pretenses: did not count all income sources which may have allowed qualification for standard loans • Sales staff were paid higher commissions for loans with lengthier than average prepayment terms and shorter presets • Higher commissions paid for mortgages that were sold in tangent with home equity loans • No compensation and no money down loans issued; loans extended to some with credit scores as low as 500

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Countrywide: Business Practices Former sales exec: “The entire commission structure in both prime and subprime was designed to reward salespeople for pushing whatever programs Countrywide made the most money on in the secondary markets.” • Countrywide advertized that it was dedicated to getting the best loan possible • Countrywide’s reliance on securitization drove sales behavior • Subprime mortgages earned more in secondary markets, were more in demand from investors, and hence, sales execs were compensated to sell more of them • Securitization influenced lender’s risk culture because it seemingly “outsourced” credit risk; loans were be made with focus on volume rather than credit worthiness • However, with the outsourcing of credit risk, came increased operational, reputational and liquidity risk A class action suit has been filed by shareholders claiming that the lender “issued false and misleading statements…”

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Characteristics of Subprime Events •70 in Algo FIRST database (as of 3/24/2008) •$70 billion in losses •Largest loss: $18.4 billion

Event Triggers

Control and Contributory Factors

• Liquidity Risk

• Market Risk

• Credit Risk

• High Pressure Sales Tactics

• Undertook Excessive Risks

• Suitability

• Accounting Fraud

• Lack of Internal Controls

• Breach of Fiduciary Duties

• Concealing Losses/Problem Assets

• Failure to Supervise

• Strategy Flaw • Failure to Disclose • Inadequate Due Diligence Efforts

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Control Failings

70 Subprime Cases from Algo FIRST database

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Examining Linkages between OpRisk & Corp. Gov. •

• • •

The largest accounting fraud events in the database (Enron, Adelphia, Parmalat) display instances of related party transactions The largest internal fraud events in the database include breakdowns of board level accounting oversight The largest oprisk events in the FIRST database involve people risk and some sort of fraud – primarily accounting fraud The majority of the largest losses in the database occur in the corporate center of the organization (senior management, board of directors) • Predictable given the access senior management has to decision making, information and policy Data Set: 322 OpRisk Events in FIRST database

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Operational Risk Events with Corporate Governance Breaches (337 events)

Source: FIRST database A Higher Standard for Risk Professionals

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Operational Risk Events â&#x20AC;&#x201C;

broken down by people risk category

Source: FIRST database A Higher Standard for Risk Professionals

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Conclusions •

• • • •

Conflict-of-interest at the executive and board level can serve as indicators of an environment that is prone to experience operational risk events. Conversely, operational risk events may indicate problems at the senior management and board level. Decisions made at the top of the organization out of self interest can have a detrimental effect on all stakeholders Related party transactions serve as red flags for the existence of conflict-of-interest Senior management is responsible for establishing, maintaining and distilling corporate values

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Similarities & Differences between Corporates and Financial Institutions

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Overall Similarities • Most companies believe that ERM can increase better decision making. • Few have integrated into strategic planning/budgeting/riskadjusted performance, in the day-to-day activities. • The majority of directors in both industries have a good understanding of their company’s risks. • In both industries, boards do understand the risk/return trade-offs of strategic decisions when Boards are presented the proper analysis. • Most established ERM are less than 2 years old but majority wants to implement within 2-3 years.

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Support for ERM Objectives • Little more than half of the businesses we surveyed said that the objectives of ERM are understood and supported “entirely” or “significantly” by the board of directors and senior management, this decreases to only one in four in middle management and only 4% of employees as a whole.

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Governance Financial Institutions

Corporates

• Risk Committee at the Board level work in close collaboration with Audit Committee. More elaborated.

• Audit committee is usually charged with the risk/ERM function in addition to overseeing the audit function.

• Board more educated about risk.

• More reliance on top management to inform board.

• CRO is usually charged with the ERM function.

• CFO is responsible for the ERM program (50%) compared to the CRO (10%).

• Risk Appetite statements are more often defined. • More diverse frameworks: Regulatory/value creation like Aus/NZ Standards compared to COSO. • Risk better integrated with executive compensation.

• Risk Tolerance is usually the focus, when done. • Risk Framework: COSO / ISO/ SOX more prevalent as drivers. • Executive compensation not linked to risk.

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Risk Identification Financial Institutions • Risk Inventory is broader. • Risk Importance: • Regulatory/ Strategic(1st) • Financial risk(2nd) • Operational(3rd)

Corporates • Risk Inventory is narrower. • Risk Importance: • Strategic risk(1st) • Operational risk (2nd): Supply chain risk/ pandemic/food safety/ P&C. • Financial (3rd) • Compliance(4th). SOX has done the job!

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Risk Quantification/ Assessment Financial Institutions • Based on internal models for some risks: - Traded portfolios: Var. - Credit Risk: Intensity Based & Credit migration models - Operational risk: LDA - Based on market value impacts for others: - Strategic/reputation. • Correlation: often performed(EC) • Prioritization of risks is a by-product of the quantitative analysis. • Analysis inform company of the potential of all risks: expected vs. unexpected.

Corporates • More qualitative assessment focusing on ranking only. • Risk scales are qualitative: high/low. • Prioritization of risks is thus more qualitative, more based on gap-type analysis. • More emphasis on heat maps/ scorecards. • Less analysis of unexpected events: Company killers! • Metric chosen: EBIT.

• Metric chosen: Value Metric

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Risk Management Financial Institutions • Still siloed but less than corporations. Attempt to manage direct/indirect impacts of risk: • Reputation impact • Corporate social responsibility. • Social responsible investments guidelines. •Environmental guidelines. • More portfolio views of ERM.

Corporates • Risk is still siloed and viewed to be the domain of traditional risk managers. • Board members still believe that their companies don’t manage risks very well. More reactive than proactive. • Still try to control risk. • Less emphasis on cost/benefit analysis of implementing controls. • More emphasis on business continuity/crisis management.

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Risk Disclosure Financial Institutions • Elaborate for financial risks: • Trading portfolios VARs. • Credit limits/Credit Var. • ALM risks. • Still limited for: • Operational risk. • Reputation risk.

Corporates • Still focus solely on SEC requirements for publicly held companies. • Communicate after the fact during a crisis

• Basel II, Pillar III will improve on that.

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Rating Agency Drivers: Standards & Poors • Proposal to include ERM as part of the Credit Analysis decision. • Issued in the Fall of 07. • Comments were submitted until March 08. • Proposal to include ERM or not will be issued soon. • Describes an analysis approach to ERM from S & P’s perspective: components. • Describes a high-level scoring approach to ERM: Scoring approach. • Describes high level principles on how the ERM would be integrated with the credit rating approach: Ratings impact.

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S & P’s ERM for the Corporate Sector • Modeled after what is being done for the Financial Sector. • S & P is of the view that ERM can help companies anticipate/better manage risk on a forward looking approach: • Help reduce volatility of earnings → overall probability of default by the firm → overall credit rating. • Credit rating approach has 3 main components: • Business profile • Financial profile • Management profile: ERM would influence this component.

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S & P’s ERM: Components • Risk Governance and Culture: • Roles/structure/accountability • Communications: Internal/External • Looks for transparency of the ERM process. • Firm must look beyond just compliance. • Business units daily adherence to risk tolerance: Use Test of other regulatory criteria! • Risk Controls: • Identification/measuring/managing risks. • Proper implementation of risk controls. • Risk tolerance and risk limits consistency.

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S & P’s ERM: Components (continued) • Emerging risks preparation: • New and extremely rare events: Unexpected/Cat. • Wants to see firms have in place processes to deal: • Environmental scanning • Trend analysis • Stress testing • Contingency planning • Strategic risk management: • Incorporate risk into strategic decision making. • Must use a comprehensive measure of risk: enterprise value. • Will seek evidence of implementation in: • Strategic asset allocation, new products, M & A, compensation. A Higher Standard for Risk Professionals

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The evolution of risk and controls From score-keeping to strategic partnering April 2008 ADVISORY

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Questions to consider

z How can we transform an expensive compliance

obligation into a real business advantage? z How can we deliver significant and quantifiable

operational and financial value from the risk spend? z How do we reconcile increased efficiency with

increased risk and controls management?

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Agenda

z z

Survey demographics The Risk and Controls Evolution – executive summary Main findings

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Survey demographics

Geographical location

Global revenues

Interviewees Raj Singh, Chief Risk Officer, Allianz Mark Carawan, Internal Audit Director, Barclays Ian Rushby, Group VP and General Auditor, British Petroleum Thomas C. Wilson, Chief Insurance Risk Officer, ING Group

Robert Brewer, SVP and Chief Compliance Officer, Office Depot Rob Kella, Chief Risk Officer, Qantas Andreas Grunbichler, Group Chief Risk Officer, Zurich Financial Services

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Survey demographics

Primary industry

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Executive Summary

A variety of factors are changing the scope of risk and controls

Getting the structure right: −

Coordination is the key to success

−

Co-sourcing of internal audit is becoming more widespread as companies require specialized skills

A limited awareness of risk remains a significant barrier

Innovation points the way to greater effectiveness and efficiency

Risk and controls management is no longer confined to “Keeping Score”

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A changing risk environment

Internal factors driving change

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A changing risk environment

External factors driving change

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Outsourcing – potential benefits and drawbacks

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What are the major barriers to effective risk and controls management?

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Innovation is one of the keys to efficiency

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Changes needed for risk and controls to function more effectively

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How confident are respondents that these goals can be achieved over the next 3 years?

© 2007 KPMG International. KPMG International no clientprovides services and is a Swiss with which independent member ofthe theKPMG KPMG network are affiliated. All rights reserved. © 2007 KPMG International. provides KPMG International no client services andcooperative is a Swiss cooperative with the which the independent memberfirms firms of network are affiliated.

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A vision of the future

“Controlling risk is where it starts, but going forward, risk management will also have a strong link into the decision-making process and create new business opportunities” Andreas Grunbichler Group Chief Risk Officer, Zurich Financial Services

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How can this vision be achieved?

z More broad-ranging risk profiling z Adopting a combined risk and assurance model z Co-sourcing z Using progressive tools z Cultural change z Developing a strategic, enterprise focus

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The information contained herein is of a general nature and is not intended to address the circumstances of any particular individual or entity. Although we endeavor to provide accurate and timely information, there can be no guarantee that such information is accurate as of the date it is received or that it will continue to be accurate in the future. No one should act on such information without appropriate professional advice after a thorough examination of the particular situation. The views and opinions expressed herein are those of the interviewees and do not necessarily represent the views and opinions of KPMG International or KPMG member firms.

© 2007 KPMG International. KPMG International is a Swiss cooperative. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does KPMG International have any such authority to obligate or bind any member firm. All rights reserved. KPMG and the KPMG logo are registered trademarks of KPMG International, a Swiss cooperative.

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Enterprise Risk Management â&#x20AC;&#x201C; Similarities & Differences between Corporates and Financial Institutions Montreal - April 9, 2008

A Higher Standard for Risk Professionals

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PRMIA would like to thank our sponsors

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PRMIA would like to thank our panelists Penny Cagan (penny.cagan@algorithmics.com) Managing Director Operational Risk Division

Michel Rochette, MBA, FSA Director ERM Michel.Rochette@enterprise-risk-advisory.com

Anne Duprat, CA, CFA, MBA (aduprat@kpmg.ca Senior Manager, Advisory Services Risk Management and Operations Improvement

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Upcoming PRMIA and Partner Events • An Overview of Credit Modelling and Management (IFM2) (More information can be found at http://www.ifm2.uqam.ca). April 10-11, 2008 • Buy Side Risk Managers' Roundtable May 27, 2008

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PRMIA's fiscal year ends today, June 30th, and we are pleased to report that another very successful year has just been completed. The success of PRMIA would not be possible without the contributions of hundreds of individuals who volunteer their time and share their knowledge, thousands of individuals who provide their financial support, our association and university partners, and the many companies that promote PRMIA's standards for the risk profession and sponsor our organization. With apologies to anyone we have unintentionally missed, we gratefully acknowledge our many supporters below and thank you for your membership in PRMIA. Thank you!

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Jenine Gregory William Greulich Nick` Gribas Vladimir Grigorashenko Anguel Grigorov William Grob Michael Grossmann Agostino Grua Christopher Grune Elvar Gudmundsson Sofia Guerra Ali Guevara Prashant Gupta Jeevandeep Guram Christopher Gusack Linda Gutmann

Jan Offerhaus Cherryl Ofracio Osunga Ogundo Cahit Oktay Anthony Okuefuna Rhoda Okunieff Michal Oldakowski Nicolas Olea Erik Olsen Sian Hwee Ong Frank Opoku Dan Oprescu Paul Orphanos Magnus Orrell Mary Ortegon Michael Ossege

Andre Yuen Irina Yugay Tommy Yuk Laurence Zabrowski Rudi Zagst Carlos Zamora Marsha Zapson James Zeng Stavros Zenios Frank Zhang Michelle Zhang Ping Zheng Zhaosheng Zhou Brandon Zhu Stefan Zimmermann Curtis Zubot

Our University Program Partners (PRMIA Institute) National University of Singapore Centre for Financial Engineering Columbia University Business School Hong Kong University of Science and Technology Business School The University of Toronto Risk Lab The University of Reading ICMA Centre Macquarie University Applied Finance Center Technical University of Munich - HVB-Institute for Mathematical Finance Groupe HEC Paris The University of Michigan College of Engineering

Our Professional Risk Managers (PRM) Mark Abbott Ahmed Abdullah François-Xavier Adam Srinivas Alai Tony Algar Malik Alidina Loris Alzati Gundeep Anand Søren Andersen Meriwether Anderson Andreas Andreou Martin Andrews Jan Antczak Patrick Armstrong Sudhakar Attaluri Kyriakos Attikouris Daniel Au Chi Lai Au Konrad Augustyñski

Jonathan Gully Christopher Gusack Michael Ha Matthew Ha James Haught Steven Heebner Jeffrey Heidemann Kruskal Hewitt Markus Hirschberger Michal Hnatiuk Kingston Ho Wing Yee Ho Patrick Ho Tsong Pui Ho Sonny Hong Glenn Horner Aurele Houngbedji Kevin Hsu Marco Huber

Farzan Nathoo Craig Nelson Arne Nesset Lorenzo Newsome Kit Yee Ng King Man Ng Sangya Nigam Ehsan Nikbakht Jabran Noor William Nugent Kawee Numpacharoen Patrick Oberhaensli Satoshi Ogawa Anthony Okuefuna Desiree O'Niell Pawel Opolski Alp Ozarslan Szilard Pafka Greg Paget

Jean-Martin Aussant Ok Azie Mahamoud Azihary Nauvzer Babul Przemyslaw Bachert Viktoria Baklanova Bartosz Balcerowicz Eric Banfield Venkatesh Bangaruswamy Jose Baranowski Dmitry Barbashin William Barr Riaan Bartlett Rustom Barua Till Baulig-Brand Christian Bélanger Louis Bélanger Mark Bell Ulrich Bender Frank Bensics Paul Berg Tobias Berg Richard Bernardi Olivier Bernis Elsbeth Bezemer Ajay Bhowan Matthew Bianco Richard Bick Arnaud Bidard De La Noe Tomasz Bielan Mohamad Ali Bissat Luca Bonanomi Cristiano Bonisoli George Bonne William Bonnell Francois Bourdon Christopher Brady Rob Brand Rickard Brannvall Lise Estelle Brault Shawn Bray Simon Bray-Stacey Mikael Broberg Jelle Brons John Broussard Mick Brown Tamara Burden Dale Burke Michael Busby Paola Busca Pototschnig Robert Buzdon

Bjoern Huether Martin Hurst Oleg Iakovlev Susumu Ichinoseki David Ingram Keith Isaac Lucian Isar Jan Jackrel Thomas Jacobs Douglas Janecek Hani Jawabreh Michael Jawor Mykola Jemetz Purav Jhaveri Ling Jiang Gerald Joe Viktor Johannsson Jeff Johnston-Legg Thomas Kägi Karen Kahrs Rupinder Kalia Zoltan Kallai Cenk Kamis Marvin Kang Manraj Kang Ligong Kang Kin Kee Michael Keegan Pat Khan Naresh Kumar Khivraj Derek Khong Victor Khoo Kanat Khussainov Eunmi Kim Young Kim Joseph Kim Herbert Kimura Valeriy Kirilov Steve Kiss Emmanuel Kiyanda Ulf Klinker Dean Kloner F. Gary Knapp Martin Knoch Peter Kohut Dickson Koo Mitchell Krask Shaun Krom Andrzej Kulik Nikolay Kulikov Kin Chung Kung

John Paglia Deepanshu Pandita Weiya Pang Annie Pang Georgios Papadimitriou Joongho Park Jitendra Patel Faruk Patel Rebecca Lee Patterson Giorgio Pavesio Olivier Pelletier Christian Pemberton Jean-François Pépin Christos Pergamalis Julie Perks Per Petersson Minh Pham Marc Philibert Luca Piano Antonino Pisciotta Chandrasekhar Pisupati Soren Plesner Rajesh Poddar Francois Pouliot Jason Prole Vishnu Ramachandran Rajeev Ranjan Vincenza Raviotta Attila Rebák James Rech Ashutosh Redkar Edward Reedy John Reilly Patrick Reilly Diane Reynolds Alexandre Rezende Wong Ricol Jeffrey Roberts Darren Robinson Dong Rae Roh Patrice Rondeau Jacob Rossof Michael Rovas Elisabetta Rubino Ben Runnacles Kevin Ryan Andrew Ryba Richard Sage Rene Sanda Alberto Saracino Ulrich Schanz

Burl James Bynum Peter Cai Tiziano Calderari Marco Cammi Martin Campbell Sekayi Campbell Gustavo Cano Marcos Carreira Renato Carvalho Elizabeth Castagna Suresh Chadalavada Wai Chan Tak Yin Chan Shaji Chandrasenan Jean-Pierre Charmaille Yeeseng Michael Cheah Laurent Chedin Su Ling Chee Yi Chuan Chen William Chen Shuang Chen Wai-Yan Cheng Yiu Woon Cheng Jarvis Cheung Kai Chung Cheung Kai Cheung Wang Ngai Cheung Kheng Hong Chiang Wei-Wen Chiao Tong Chin Stephen Ching Ron Chiong Maurice Wai Cheung Choi Piyakorn Chonlaworn Marie Choquette Philip Wing-Lun Chow Johnny Chow David Tsz Hong Choy Wah Tak Choy Kenneth Christensen Joseph Chu Fong Chuay San Hanse Chung Hon Lun Chung Giuseppe Cicardo Vincent Cirulli Justin Clarke Bruno Colmant Stephen Comey Nicoletta Corbellari Eoin Corrigan

Shui Cheung Kwan Siuman Kwok Houston Kwong Jeanine Kwong Siu-Yuen Lai Changhua Lai Wilkie Lai Kam Chuen Lai Wing Hung Lam Yat Fai Lam Joe Lam Charles Lam Eric Lancien Darren Langer Myriam Larcher Brian Larsen Yee Mui Lau Francois Laurin Thorsten Lauterbach Jovi Law Derick Le Roux David Leblanc Edward Lee Kyeong-Dong Lee Jeong Lee Kwok Fung Lee Matthew Lee Chin Chee Lee Hoi Wang Lee Olivier Léger-Schonbeck Kai Leifert David Leifert Harry Lemley Matthew Leonard Eric Leong Antoine Leroy Rafal Lerski Ye Li Desmond Li Ting Li Xinhua Li Cecilia Li Zhiyong Li Sau Kei Li Katherine Liao Iñigo Liberal Gorostiaga Gustavo Liberali Eric Lim Dr. Jeffrey Lim Khian Lim Ashley Liu

Peter Scheidler Nathaniel Schick Moty Schor John Seall William Segal Dragan Sestovic Christopher Sestric Johan Setterblad Samir Shah Sharif Shakhshir Vinaya Sharma Michael Shek David Jiongxin Shen Jinghua Shen Michael Sheptin Ashish Shrivastava Helmut Siegert Dominik Sieminski Hector Sierra Zoran Sikora Eric Sim Petter Sjöberg Sheryl Slater Gregory Slone Peter Smith Chi Yuen So Krzysztof Soltysik Eric Solvet Sophocles Sophocleous David Spivack David Stanton Owen Stein Samuel Stephenson Andrzej Stopczynski Pirmin Stutzer Qian Sun Manavala Sundaram Kalyan Sunderam Alexey Surkov Eric Szabo Ji Wei Tai York-Kah Tan Heng Wee Tan Remigiusz Tarka Susan Teh Leslie Teo Binay Thakur Michael Thiergen Schyler Thiessen Brad Thilges Mary Thompson

Raymond Côté Artur Czerwoñski Sheng Dai Nicola D'Auria

Jack Liu Xin Liu Raffaella Livraghi Sébastien Lleo

Mark Deans Charles Demarest John Dempsey, Jr. James Dennison Dominik Dersch Alexandre Desbiens Bisma Dewabrata Katia D'Hulster Shailesh Dhuri Paul Dietz El-Mouize Djadri Philippe Dollois Thomas Donahoe Bodo Doose Paul Dormaar Marni Dormuth Mark Doucette Michael Dubrow Sunanda Dutta Michael Ege Annette Ehret Sivasankar Elambooranan Xu Fan Dave Fang Fabio Fanucci David Farmer Michael Fernandez Christian Ferrer Rodrigo Ferreras Labra Michael Filbeck Rob Firth Andrew Fishman Matthew Fletcher Timothy Ka Ying Fong Siat Hong Foo Michael Fox-Rabinovitz Mathias Friese Jon Frye Barnabás Gaál James Galambos John Gambla Chandramohan Ganapathi Keith Ganzer Chunhong Gao Srikrishna Garapaty Tonko Gast Norbert Gehrke

Gen-Ching Lo Ka Wai Lo Danilo Locati Boon Meng, Brandon Loo Puey Looi Laurent Louvrier Ferdinand Low Teck Ngee Low Yoke Hai Loy Maciej Lozinski Chern Lu Joanne Lui Adam Lukojc Razvan Florin Lungu Jay Luo Wenjie Luo Yoram Lustig Alex Macdonald Jorge Macias Prateek Madan Shane Magee Narayan Mahale Emad Mahmoud Robert Maksymiuk Marcin Mali Marcin Malinowski Roland Mallier Wai Man, Debbie Man Susan Mangiero Jianming Mao Gianluca Marcoli Mazal (Mali) Margaliot Anastasia Marina Terence Mark Roman Markevich Mathieu Marsan Ricardo Martinez Javier Martinez David Matthijssen Reinhard Matuschka Oscar Mccarthy Andrew Mccleery Jennifer Mckay David Mcmeekin Donald Meek Dinesh Mehta Rodrigo Meyer

Viatcheslav Tikhonov Wee-Ming Ting Milena Todorova Catherine Toupin Dumont Raymond Tsang Chris Tse Ko Tseng Jun Tu Jay Tubianosa Tony Tung Marcus Turner Fred Vacelet Monica Valladares Gilbert Van Iersel Jean Paul Van Straalen Mirko Vanous Nilakanta Venkatesh Christine Verpeaux Grigory Vilkov Royce Vinson Vsevolod Volokhovsky Stephan Von Bismarck Ruprecht Von Heusinger Ng Wai Chung Grant Wait Steve Wang Kai Wang Chun Wang James Ward Scott Warner Julian Wasik Andrew Waters Thomas Weigl Edward Weinberger Trevor Wells Zvi Wiener Jens Wirsching Hannes Wirth Hee Huo Wong Karine Wong Sok Mun Wong Viren Wong Pak Kin Clement Woo Edward Wright Winston Xie Daniel Xystus Yusuf Yasin Siu Kai, Yee Ho Kei Yee Ivan Yeo Carlos Yep

Daniel Genois Giovanni Gentili Peter Gentles Pierre Gilbert Antonin Gillet Raul Gimeno Alex Glushkovsky Dominic Kwang Meng Goh Siu Kit Goh Pablo Gonzalez-Martin Ganga Charan Gopisetty Michal Goss Ayala Gracier Stefan Graf Edward Grau Kristy Greenwood Mark Griffin Anguel Grigorov Wojciech Gudaszewski

Farhad Mian Mazhatulshima Mohd Zahid Pierre-Yves Moix Swee Meng Mok Sebastien Monciaud Gabriele Montalbetti Patrick Moran Ismael Moreno Alvarez Takashi Mori Masa Morihara Joachim Moser Rajneesh Motay David Munro Stephen Murphy Madhusudhan Nagarajan Magdalena Najdora Constantinos Nakos Saurabh Narain Mahesh Narayanasami

Ha-Chin Yi Edmond Yip Darry Yiu Cher Wee Yong Loh Yong Hwa John Jinsung Yoo Sidney Yoshihiro Tan You Leong James Yu Albert Yuen Holf Yuen Ariel Yusim Alicia Zemanek Hui Zhang Frank Zhang Hyokon Zhiang Guerman Zoubarev

Our Chapter Event Speakers and Panelists Kais Abdelhedi Kerstin Af Jocknick Kanwardeep Ahluwalia Dr. Syed M. Ahmad Mara Airoldi Luca Albertini Carol Alexander Michael Alix Edward Altman Daniel Amadieu Bijesh Amin Nikiforov Andrei V. Pavel Antonov Patrick Artus Devi Aurora Tanya Azarchs Rajiv Bahl Carmen Bandres Francois Baranger Dr. Alexander Batchvarov James Batterman Ed Bell Stein Berre Damir Bettini Carlos Blanco Robert Bliss Mr. Richard Blumenthal

David Gershon Joydip Ghosh Adam Gilbert Bennett W. Golub, Ph.D. Barry Greenblatt Marc Groz Wojciech Gudaszewski David Hamilton Eric Hansen Lloyd Hardin Steven Hargreaves Stephane Hesschentier Markus Hirschberger Michal Hnatiuk Martyn Hoccom Roar Hoff Richard Horwitz Jonathan Howitt Bob Hroch Prof. Ng Kah Hwa

Claudio Paiva Edward Paules Michel Péretié Prof. Willliam Perraudin Jacques Pezier Duc Pham Hi Evan Picoult Jean-Marc Piques Jeremy Platts Soren Plesner Andras Pora Wolfgang Poroda Michel Pozzo Di Borgo Mario Prado Guillermo Prieto Treviño Peter Rajczy, Dr. Herve Regnier Philippe Riachi Dr. Pal Ribarics Natan Rosen

John Ilkiw Kostas Iordanidis Benjamin Jacquard Olivier Javary Christian Jimenez Maren Josefs Ng Kah Hwa

Dr. Dan Rosen Bridget Rosewell Emmanuel Rousseau David Rowe, Ph.D Jimmy Royer Rafael Sainz Ali Samad-Khan

Tony Blunden Stu Bohart Alain Bokobza Claude Bollendorff Enio Bonafe' Alexis Bonnet Mathieu Bonte Brian Boyle Allan Brender Neil Brown Dirk Buggenhout David Bushnell Penny Cagan Santiago Carrillo Jaime Caruana Dino Cesario Serge Ceurvels Philip K. Chamberlain Olivier Champagne Tony Chew Dennis Chookaszian Violaine Clerc Marios Clerides JosĂŁÂŠ Donizete Comitre Rupert Cox Gerry Cross Michel Crouhy, Ph.D. Ravishankar D Uttiyo Dasgupta Peter Davis Altinay Davletova Thomas Day Patrick De Giovani Peter Del Rio Nicolas Delisle Laurent Denayer Dominik Dersch Dan Dibartolomeo Ignat Dirks Jose' Duran Brian Dvorak Michael Ege Karel Engelen Eduardo Epperlein Nestor Espenilla, Jr. Robert Fiedler Alexandre Fleury Tom Foley Steve Fowler Yiorgos Fragkos Philippe Francois-Poncet

Agatha Kalhoff Christoph Kaserer Geoff Kates Stephen Kealhofer Sue Kean Con Keating Francis J. Kelly Pieter Klaassen Paul Kleinbart David Koenig Alexander Kottmann Joerg Kraemer Soren Kyhl Thomas Kyle Mark Laycock Frank Leclerc Sharon Lee Matthias Lennkh Kathleen Leonard W-K Li Antoine Lissowski Shu-Yen Liu Jean-Herve Lorenzi Stellan Lundstrom Frank Lyhne Warner Manning Anastasia Marina Terry Marsh Erwin Martens David Martin Reinhard Matuschka Isabelle Mayock Pascal Mazure Oscar Mccarthy David Mcclean Robert Mcdonough Alexander Melnikov Yves Mersch Piotr Mierzejewski Alistair Milne Maureen Miskovic Antonio C. Moncupa, Jr. Ramon Montenegro Simen Mordre Patrick Muhl Clemens Muth Gabor Nagy Emmanuelle Nasse Bridier Izzy Nelken Henrik Neuhaus Marie-Agnes Nicolet

Arne Sandstrom Dr. Peruvemba Satish, Cfa Rosa Savino Luis Seco Kaustubh Sharma Jon Shaw Elizabeth Sheedy Andrey Shishakov Gyan Sihna Sai Sireesh Paolo Sironi Eriks Smidchens Alistair Smith Andrew Smith Marc S. Sokol, Cism, Chs-Iii Jon Spain Jonathan Spry Marcin Stamirowski A. Zenios Stavros Dan Stefek John Stevens Jim Stewart Phillip Straley David Streliski V Subramanian I.A. Tarasov Terence Taylor Marta Temesvari Edgar Teo Michael Thiergen Robert Toomey Cristina Torella James Tunkey Frederico Turolla Bob Tyley Rafael Urdaneta Olivier Van Eyseren Shyam Venkat Aristidis Vourakis Steven B. Wallace Shiv Wallia Wojciech Wasilewski Chris Whalen Martin Whiteley Paul Wilmott Tom Wilson Duncan Wilson Samuel Po-Shing Wong Boris Yatsenko Jerome Yen Steve Young

Li Frank John Fraser Thierry Gainon Jorge Galindo Flores Gerardo Gamboa

Ronaldo Nogueira Antonio Noguera Dr. Dan Oprescu Chris O'Reilly Paul Ormerod

Rudi Zagst Sergey Zamkovoy Stavros Zenios Kurt Ziegler Viktor Zsiday

Contributing Authors to PRMIA Publications Stefano Alaimo Carol Alexander Jose Ramon Aragones Andrew Aziz Joerg Behrens Steven Bishop Carlos Blanco Deborah Cernauskas Don Chance Moorad Choudhry Michel Crouhy Keith Cuthbertson Elias Demetriades Kevin Dowd Peter Fusaro Dan Galai Paul Glasserman Frank Hayden Mark Houldsworth

Tom James Kevin Kremke Rob Kristufek

Jason Oakes Brian O'Heane Michael Ong

Randy Lack James Lam Carl Larry Colin Lawrence Steve Leppard Per Christer Lund Catriona March

Keith Parramore Jaques Pezier Philippe Priaulet Dan Rosen David Rowe Barry Schachter

Bob Mark Lionel Martellini Alessandro Mauro Nedia Miller Alistair Milne Warren Murdoch Salih Neftci Izzy Nelken Dirk Nitzsche

Philipp Schรถnbucher Ashutosh Shastri Elizabeth Sheedy Andrew Street Richard Stuebi Carla Tabossi Hilary Till Gary Vasey Terry Watsham Paul Wilmott

Our Chapter Event Sponsors and Hosts 7City Learning ABBC Accenture Akademia Gorniczo-Hutnicza Algorithmics Aquavina Atos Consulting Axiom Software Laboratories Banque Centrale du Luxembourg Banque de Luxembourg Bear Stearns Bloomberg BNP Paribas Bolsa Mexicana de Valores Centro de Estudos de Financas (CEF) Citigroup

Fast FGV SP FIM Finarch FOW FrontRisk GL Trade Hellenic Bank Hellenic Bank Association HSBC Philippines HypoVereinsbank AG IBM ICMA Centre i-flex solutions: Reveleus IFM2

Microsoft Microsoft Germany Misys Moodys Corporation NAB National Australian Bank Ltd. NOGUERA KRB Olympia Capital Management Oprogramowanie NaukowoTechniczne ORACLE Pol Wirtz Search PriceWaterhouseCoopers Profile Reuters SAS / Risk Advisory

Infovide

SAS Institute

Commercial Bank of Dubai D&A DBS Bank Hong Kong Deloitte Departamento CFC da EAESP FGV Departamento de Contabilidade, Finanas e Controle (CFC) Department of Systems Engineering & Engineering Management, The Chinese University of Hong Kong EBRC

Efront Emporiki Bank Ernst & Young, LLP European Investment Bank

Intel International Exchange Bank Ixis CIB JBF Center for Banking and Finance Kaupthing Bank

SGCIB Skandia

KPMG

SunGard BancWare

Lombard Risk

The World Bank

M端nchener R端ckversicherungsGesellschaft Macquarie University Applied Finance Centre MEAG Merrill Lynch MetaCryption

UBS

Sociedad Hipotecaria Federal Sofitasa Banco Universal SunGard

UC Berkeley Haas MFE Program Valor de Mercado Wachovia Corporation

Our Staff Melissa Berthelsen Cheryl Buck Mary Crippen

Katie Gittins David Koenig

Jodi Lundell Hemant Mathur

We look forward to serving you in the new fiscal year and welcome your support!

In Memoriam: PRMIA wishes to extend its deepest sympathies to the family and friends of Arthur Phillips, our Regional Director in South Africa. Arthur was tragically killed in a car accident this March. His presence will be missed by all.