Agenda

Agenda

Programme

09:0009:45

Markets and Policy

09:00 - 09:45

09:0009:45

Keynote presentation: What does the future of the global financial system look like?

09:00 - 09:45

  • What challenges have central banks faced in 2020?
  • Central bank’s responses to Covid-19
  • Growing trade and geopolitical tensions: impact on business confidence and investment decisions
  • What does the shape of economic recovery look like?

09:4510:15

Networking break 1

09:45 - 10:15

10:1511:00

What impact did Covid-19 have on major markets and sectors?

10:15 - 11:00

  • What impact did Covid-19 have in the treasury, inflation and credit markets?
  • Assessing public debt sustainability in emerging markets
  • What is the outlook further down the credit curve e.g. MBS, ABS and corporates?
     
Jan Schmidt

Executive Director, Risk Management

Czech National Bank

Jan Schmidt serves as the Executive Director of Czech National Bank, Risk Management and Transaction Support Department. In his role, he is primarily responsible for setting of the Bank strategic asset allocation and defining the risk profile of the Bank. That includes currency composition of reserve, asset classes, duration, credit and liquidity benchmarking and guidelines. Compliance with applicable regulation on foreign markets is part of his responsibilities. Apart from this, his department contains back office and middle office functions, SWIFT operation and is managing a portfolio of correspondent banking and custody service providers. From 1 January 2019 he is also in charge of operating the central Czech koruna interbank clearing system and operating one of two central securities depositories in Czech Republic.  

Jan Schmidt graduated from Faculty of Nuclear Sciences and Physical Engineering of the Czech Technical University in Prague in 1989. He holds MBA from London International Graduate School (US).

11:0011:30

Networking break 2

11:00 - 11:30

14:4515:15

Networking break 3

14:45 - 15:15

15:3016:15

How are reserve managers dealing with negative rates?

15:30 - 16:15

  • Strategies for minimising the impact of negative rates 
  • When will we see signs of a long term move to sustainability positive rates? 
  • What can central banks learn from other long term strategic investors?  
  • Implications for central bank capital 
     

16:1517:15

Networking break 4

16:15 - 17:15

17:1518:00

Exposure of emerging markets

17:15 - 18:00

  • Are some countries able to withstand Covid-19 better than others?
  • How exposed are emerging markets to withdrawal of demand from developed markets?
  • What could recovery look like and are there any opportunities for reserve managers?
     

09:0009:45

Asset Diversification

09:00 - 09:45

09:0009:45

Portfolio Management and Asset Diversification

09:00 - 09:45

  • What is the role of fixed income traders at SNB?
  • How to calculate transaction costs and measure execution quality in fixed income
  • What tools can be used to evaluate fixed income traders?
     
Christoph Maron

Head of Portfolio Trading

Swiss National Bank

09:4510:15

Networking break 1

09:45 - 10:15

10:1511:00

Was holding equities too risky when It came to a global shock?

10:15 - 11:00

  • Why do central banks invest in equities?
  • What happened to central banks reserves with equities in their portfolios? 
  • How much should they, what are the practical implications and unintended consequences of equity investment? 
  • Use of derivatives and ETF’s
     
Ricardo Martinelli

Head of Investment Division

Central Bank of Brazil

11:0011:30

Networking break 2

11:00 - 11:30

14:0011:45

What role does securities lending have to play in central banks portfolios?

14:00 - 14:45

  • What do securities lending markets look like? 
  • How are the markets affected by different regulatory landscapes?
  • Central banks intermediation role
     

14:4515:15

Networking break 3

14:45 - 15:15

15:3016:15

Dynamic Strategic Asset/Risk Allocation in practice for Central Banks

15:30 - 16:15

  • Foundation supporting dynamic strategic asset allocation 
  • Motivation for a central bank dynamic SAA
  • Taxonomy of dynamic SAA
  • Framework for effective dynamic SAA
  • In practice: use of macroeconomic dashboard
     
Etienne Lavigne

Head, Middle Office

National Bank of Belgium

Etienne Lavigne is currently head of the Middle Office at the National Bank of Belgium and recently received the responsibilities of Chief Risk Officer in the area of the Securities Settlement System of the Central Bank of Belgium (NBB-SSS). Previously he was also Foreign exchange dealer and portfolio manager in the same institution.

Etienne is also regularly involved in technical assistance and cooperation relationship with various central banks. He has a master in Economics from the University of Namur in Belgium.

16:1517:15

Networking break 4

16:15 - 17:15

09:0009:45

Risk Management and Digital Transformation

09:00 - 09:45

09:0009:45

Managing tail risks

09:00 - 09:45

• Outline to be confirmed 

Dirk Broeders

Senior Risk Manager – Financial Markets Division

The Netherlands Bank

09:4510:15

Networking break 1

09:45 - 10:15

10:1511:00

Back to basics: a quick look at benchmark index replication

10:15 - 11:00

  • The benefits of studying benchmark replication techniques for front office and risk management
  • Index exposure matching using cash bonds and futures
  • Optimizing around benchmark index rebalancing
  • Practicalities and cost-efficiency considerations
     
Jacek Prochniak

Analyst - Financial Risk Management Department

National Bank of Poland

Jacek Próchniak is an Expert at Risk Monitoring Division in Financial Risk Management Department at Narodowy Bank Polski. Having graduated from the Warsaw School of Economics in 2011 with a degree in Macroeconomics Jacek went on to join the NBP as an analyst. He has been responsible for economic analyses supporting strategic asset allocation as well as developing a performance attribution framework and other quantitative work related to risk management of FX reserves at the NBP.

11:0011:30

Networking break 2

11:00 - 11:30

14:0014:45

Effective tranching strategies for reserve management

14:00 - 14:45

  • Differing strategies for liquidity objectives, investment objectives and policy requirements
  • What are the optimum number of tranches in a portfolio?
  • Liquidity vs return
     
Isabelle Strauss-Kahn

Member of Advisory Board

World Gold Council

Isabelle Strauss-Kahn is the former Lead Financial Officer in the Financial Advisory and Banking Department at World Bank Treasury. She has gained more than 15 years’ experience in Market Operations Department, from front to middle and back-office aspects, at the Banque de France where she was Market Operations Director, but also at the BIS Banking Department. She participated in several technical assistance missions with the IMF, the World Bank and on a bilateral basis at the Banque de France.  She was a member of several international committees, has been a speaker in numerous conferences related to investment practices and wrote articles on reserve management. She got an MBA in France and an MA (with PhD core) in Economics from University of Chicago

 

Giorgi Laliashvili

Departmental Head, Financial Markets

National Bank of Georgia

14:4515:15

Networking break 3

14:45 - 15:15

16:1517:15

Networking break 4

16:15 - 17:15

17:1518:00

Contingency Planning for a CBDC – Canada’s Approach

17:15 - 18:00

  • How can central banks adapt to changes in nature of money and payments? 
  • Bank of Canada’s initiatives in preparation for a range of possible future scenarios
  • How are Bank of Canada building capacity to issue a CBDC if necessary? 
     
Grahame Johnson

Managing Director, Financial Markets Department (FMD)

Bank of Canada

Grahame Johnson was appointed Managing Director, Financial Markets Department (FMD), effective November 5, 2019. In this capacity, he is responsible for policy formulation and execution of the Bank of Canada’s financial market activities as they relate to monetary policy implementation, the Bank’s funds management activities and financial system liquidity. These activities—along with a range of research, analysis and policy advice related to domestic and international financial markets—contribute to the Bank’s monetary policy mandate, its fiscal agent role and its role in the promotion of financial system stability and efficiency.

Mr. Johnson joined the Bank in 2001 and has held positions as Assistant Director, Financial Risk Office; and Director and then Deputy Chief, Financial Markets Department. In 2013 he became Managing Director, Funds Management and Banking Department, and served most recently as Managing Director, Financial Stability Department. Mr. Johnson has extensive knowledge of markets, the financial system, and monetary and funds management policies. Before joining the Bank, he worked on the fixed-income trading desk of a major Canadian financial institution.

Mr. Johnson is a native of Montréal, Quebec. He has a degree in commerce from Queen’s University and holds a Chartered Financial Analyst designation.

09:0009:45

Climate risk and Sustainability

09:00 - 09:45

09:0009:45

What is the role of central bank cooperation in climate risk transition?

09:00 - 09:45

  • Urgency of pricing carbon emissions: quantification of climate risk and capital allocation 
  • What could coordinated policy action look like? 
  • Examples of platforms facilitating cross-sectoral and cross-jurisdictional projects and initiatives
  • Key challenges for 2021 and beyond
     
Maryam Golaraghi

Director Climate Change & Emerging Environmental Topics

The Geneva Association

Maryam Golnaraghi is the Director of Climate Change and Emerging Environmental Topics at The Geneva Association, a platform of 80+ group CEOs of the global insurance industry. Over the last 20 years in international executive and senior advisory positions in the industry, government and the United Nations, Maryam has led, drove and managed transformative multi-stakeholder climate risk initiatives with global impacts, and mobilized and aligned the private and public sectors, to scale up transitioning to a resilient low-carbon economy.  In June 2020, Maryam was named one of the most influential leaders in climate change, by InsuranceERM.

Currently, Maryam works with the c-suite & boards of the global re/insurance companies, financial institutions, governments, regulators and international standard setting bodies to: enable and scale up the integration of climate risks into core business and shape future regulatory requirements (linked to TCFD); innovate risk management practices to attract private capital for resilient low-carbon infrastructure; and build financial resilience to extreme events for people, businesses and governments.  

From 2004 to 2014, she was Chief of the Disaster Risk Reduction Program at the United Nations World Meteorological Organization (WMO).  From 1997 to 2004, Maryam was the Founder and CEO of Climate Risk Solutions Inc., the first research and advisory firm to deliver advanced climate risk analytics and risk management solutions to companies in energy, agriculture and financial sectors.

Dr. Golnaraghi serves on a number of international, governmental, industry and non-profit advisory boards.  She has authored numerous internationally referenced reports and a book. She received a Ph.D. in Physical Oceanography and a M.Sc. in Applied Physics from Harvard University, and B.Sc. in Chemical Engineering from Cornell University. She was also a Senior Research Fellow at Harvard Business School.

09:4510:15

Networking break 1

09:45 - 10:15

10:1511:00

Frameworks for quantifying climate risk

10:15 - 11:00

  • Climate risk and its impact on central bank mandates and responsibilities
  • Integrating climate risk into existing risk management frameworks 
  • Frameworks for integrating ESG considerations and climate risk into investment decisions
  • Performance so far and outlook for the future 
     
Audun Gronn

Special Advisor to the Governor

Norges Bank

11:0011:30

Networking break 2

11:00 - 11:30

14:0014:45

Can incorporating ESG factors reduce risk and increase return?

14:00 - 14:45

  • What is the historical evidence? And what is the future outlook?
  • ESG as investment opportunity
  • Are market prices wrong?
     
Morten Kjærgaard

Departmental Head, Reserve Management and Collateral, Banking and Markets

National Bank of Denmark

Morten Kjærgaard is Head of Reserve Management and Collateral at Danmarks Nationalbank. The reserve amounts to EUR 63 billion and serves to support the fixed exchange rate policy and financial stability. Responsibilities also include managing the domestic bond portfolio and collateral pledged in relation to monetary policy lending. Prior to his current position Morten has worked in various areas including monetary policy implementation, government debt management and international relations.

14:4515:15

Networking break 3

14:45 - 15:15

15:3016:15

Incorporating sustainability and climate risk in to the portfolio

15:30 - 16:15

  • How should climate risk be integrated in to central banks assessments? 
  • How much can central banks do and should do? 
  • Key features of green bonds and overview of key tools and strategies for effective green bond management
  • Impact on reserve portfolio composition and diversification
     
Omar Zulaica

Asset Management Specialist

Bank for International Settlements

16:1517:15

Networking break 4

16:15 - 17:15

17:1518:00

How do small open economies deal with the impact of natural disasters on reserve levels?

17:15 - 18:00

  • What are the strategies to addressing volatility burdens?
  • Inflow- outflow gap
  • How do these events shape disaster preparedness policies?
  • The Bahamas Sand Dollar – response to climate change: preparing for the inevitable
     
Cleopatra Davis

Head of Banking

Central Bank of The Bahamas

Cleopatra Davis serves as Head of Banking, Central Bank of The Bahamas. In this role, she has oversight of payments operations, foreign and domestic debt markets activities, and eSolutions.


Cleopatra serves as co-chair, for a dynamic payments modernization – digital fiat currency – strategic initiative undertaken by the Bank. She also serves on other of the Bank’s committees including the Investment Committee and Monetary Policy Committee.
She is also a member of the Alliance for Financial Inclusion (AFI), Digital Financial Services (DFS) Working Group, and a member of the DFS Gender Diversity sub-committee.


She is a Chartered Banker MBA (MCBIS), Certified Internal Auditor (CIA), Certified Financial Services Auditor (CFSA), Certification in Risk Management Assurance (CRMA) and a Certified Information Systems Auditor (CISA). She is a member of the Chartered Bankers Institute in Scotland, ISACA, and past president of The Institute of Internal Auditors (IIA) Bahamas Chapter.