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  • 05 Nov 2015 11:18 PM | Siyao He (Administrator)

    CCFA的年度圣诞节前晚会(宴)始于1994年12月的12个金融街华人分析员。从那一年开始,一批又一批的中国人来到金融街就业和创业,并积极参与这一贝街华人最主要的年度社交活动。

    不论是9•11后短暂的萧条,还是在2008年的全球金融危机后漫长的几年,CCFA圣诞晚会依然是年年创新,越来越火;虽然TSX300指数的成份公司的名字变来变去,数量越变越少,但是CCFA圣诞晚会的规模和影响力可是越来越大。

    今年,勇于创新、与时俱进的CCFA圣诞晚会将以崭新的内容和精心的安排,来充分满足各位贝街同仁“会老友、结新朋”的社交愿望:

    • 今年晚宴的场地有一个很大的lobby和bar service,可供大家晚宴前后充分地自由交流
    • 主持人介绍嘉宾和嘉宾代表致辞会尽量采用多媒体,内容更加简要丰富而时间更加紧凑
    • 晚会和晚宴自始至终的背景音乐都会很轻柔,为各位聊天寒暄提供方便
    • 取消往年的CCTV春晚式表演栏目;改设内容相关、大家都可以参与的、充满正能量的评比和奖励活动。评奖由各位晚会参与者通过手机上的app现场投票,根据得票数量多少来决定,保证公正和公平。具体评比项目包括:
    o    2015 CCFA追求幸福奖(The pursuit of Happiness Award- 你一定有过这样的时刻:历经艰苦跋涉,你终于登顶,回望来路,心中充满无比自豪;你彻夜不眠,暝思苦想,终于灵光一现,欣喜若狂;一个大胆设想,诱惑你倾注所有,废寝忘食,执意向前,终于收获无穷的笑脸,熟悉的和陌生的。幸福是什么?就是在你追求自己的梦境后的那种自豪,那种欣喜,以及那些围绕你的笑容。跟我们分享你的那一时刻吧!我们鼓励CCFA成员毛遂自荐或举荐候选素材。一经CCFA晚会筹备委员会审议通过后,我们会协助设计并录制不超过2分钟的视频介绍你自己2015年的一个真实故事,来记录CCFA会员超越自我、自强不息、丰富多彩的加国人生轨迹
    o    2015 CCFA导师百花奖(Most Popular Mentor Award-  你是否有过导师在你迷茫的时候,无论是生活上,还是工作上,为你指点迷津? 你是否有过MENTOR在连你自己都不相信自己的时候一直坚定的鼓舞你鞭策你? 在过去的一年里,你的生活中是否有过这样一个人,做过这样的一些事,让你真心的想说声感谢?   欢迎大家踊跃向CCFA晚会筹备委员会提名,并说明提名的理由。
    o    2015 CCFA圣诞晚会最优雅女士奖(Best Dressed Lady Award- CCFA保留节目 - 巧笑倩兮,美目盼兮,华服灿灿,欢聚一堂。摒弃平日的灰黑兰,show出你最闪亮的风姿风采!
    • 当然少不了我们的另一个保留节目,压轴大合唱。今年我们会安排一次晚会前的Kala合练,让大家提前熟悉歌词韵律,希望踊跃报名。

    我们每个人都很忙,真的都很忙!

    但是,相信您绝对不想错过这场完全由许许多多的志愿者们为您精心准备的年度精神盛宴和朋友聚会:

    如果你曾经是当年CCFA最早的先驱者,请您一定要拨冗光临今年的晚会,和多年不见的老友在轻柔的音乐中叙叙旧,共同回顾当年那激情燃烧的岁月;

    如果你已经从业多年,业务上独当一面,但是很想了解一下同龄人们都在想些什么,忙些什么,投资了什么,请您一定不要错过这个晚上;

    如果您入行不久,等待事业起飞;或者正在寻找你的dream job或者创业的idea,你不妨鼓起勇气加入我们,多和那些热心的过来人请教和切磋。或许哪位高人点拨你几句,就能省去许多黑暗中的盲目摸索和弯路。

    最后,别忘了和我们一起参与晚会的压轴节目 – 大合唱《难忘今宵之 – “贝街雄风”》。那种畅快淋漓、豪情满怀的感觉,只有亲身参与过才会知道。。。

    来吧!朋友们!无论是下冰雨还是暴风雪,让我们相约星期天,12月13日,5pm。。。

    “追求幸福奖”和“导师百花奖”参赛规则

    • 1.       参赛资格:CCFA活动的积极参与者或者贝街从业人员,而且必须出席当晚的晚会
    • 2.       参赛资格和内容审议委员会:CCFA晚会筹备委员会
    • 3.       参赛报名截止日期:November 13, 2015
    • 4.       报名形式:
    a.        追求幸福奖:可以自荐或推荐,附以推荐人的姓名性别,联系方式,以及被推荐人的故事概要(what was the context, what was the motivation, what have you done and what were the outcome, and finally what one could learn from it)
    b.       导师百花奖:推荐,附以推荐人的姓名性别,联系方式,以及被推荐人的主要事迹(what did he or she do and what difference did that make)
    Kala热身合练报名ruipan@hotmail.com


  • 12 Aug 2015 10:57 PM | Siyao He (Administrator)

    After the delivery of Fundamental Review of the Trading Book on April 16, 2015, CCFA Risk Study group held the fourth study session. The topic is Enterprise Wide Stress Testing (EWST) on August 12, 2015. It was an honour to invite three experienced practitioners in the field of stress testing to lead the round table discussion. They are: Xiaobo Wang, Director in Liquidity Management at Scotiabank, Jeff Xue, Senior Director from CIBC and Beizhen Lei, Senior Manager of BMO Model Risk Validation. Yicent Chen, Model Risk Specialist from BMO was the facilitator. Other practitioners from leading Canadian financial institutions also joined the discussion and exchanged their views on the industry practice.

    The discussion started from a high-level overview of the stress testing practice, including the objectives, approaches and components. Stress testing is a key risk and business management tool to identify and quantify key risks and assess capital adequacy during stressed periods. There are two approaches commonly used for stress testing: A top down approach starts with a systematic adverse scenario defined by the regulator and assesses the impact of such scenario on bank’s financial statements. This approach enables the regulator to assess impacts across different banks under adverse scenario. On the other hand, a reversed approach starts with defining a severely stressed outcome of the bank and then identifies the scenarios that would cause such severe loss. This enables a bank to tailor the stress testing practice to its unique business exposures. Components of stress testing include risk components (credit risk, counterparty credit risk and market risk) as well as stress scenarios (US recession, Emerging Markets, crude oil, etc.).

    Then the discussion leads to a closer look on the methodology of corporate credit stress testing, especially the methodology of Probability of Default (PD) stress testing. Stress testing models are built with internal or external historical rating and default data. The conditional transaction matrix approach is commonly used for PD stress testing. Under this approach, first transition matrices are constructed with chosen horizon based on historical data. Then a summary statistic, such as downgrade and default probability (DDP) is constructed to measure the changes in the transitions. After that an econometric model is developed to relate the summary statistic to relevant macroeconomic/financial variables. Finally a stress transition matrix is derived corresponding to the model predicted DDP for a macroeconomic scenario.

    The discussion concludes with some cases studies in actual stress testing practice of the banks. It is pointed out that stress testing should be viewed as a system instead of individual components/models. By the end of the day, stress testing seeks to answer the question of financial statements projection under adverse scenarios. Knowledge of business, accounting, strategic planning as well as risk management should be integrated for a meaningful stress testing practice. Stress scenario could potentially affect both asset and liability side on the balance sheet. Output analysis is valuable in the aspect of assessing out-of-sample model performance as well as soundness of model methodology.

    The participants in the discussion also exchanged opinions on data collection, modelling methodology and implementation of stress testing. Topic for next study session will be operational risk.    

    在就交易账户(trading book)市场风险研讨后,CCFA2015812日迎来了第四次风险管理研讨会,课题是企业整体压力测试。我们有幸请到了在这一领域的几位资深从业者领导讨论,他们是Scotia Bank流动性风险管理主管Xiaobo WangCIBC高级主管Jeff XueBMO高级经理Beizhen LeiYicent Chen担任本次讨论的主持。来自各大金融机构其他与会者也就本议题参与讨论,提供专业见解。

    本次研讨开始于对于压力测试的综述,包括其目标、方法和组成部分。压力测试是一种有效的风险管理工具,用于评估金融机构在压力情景下的风险和储备金情况。目前有两种常见的压力测试方法:其一是自上而下(top-down)的方法,测试开始于一个监管机构给定的系统性的压力情景,而银行根据该情景测试其财务报表在压力下的情况。这种方法使得监管机构能够纵向比较各金融机构在同样的压力情景下所受到的影响。第二种方法是反向的压力测试。这种方法开始于定义银行可能会承受的极端损失,然后寻找可能会造成该种损失的压力情景。这使得银行能够针对其特有的资产负债情况有针对性地制定压力情景。而压力测试的主要组成部分有:风险组成(包括信用风险、交易信用风险和市场风险等)和压力情景(例如美国衰退、新兴市场和油价压力情景等)。

    随后,与会者就信用风险的压力测试,即违约概率的压力测试进行了深入讨论。压力测试模型是基于金融机构内部或者外部的历史数据构建的。条件转移矩阵是业界常用的违约概率压力测试的建模方法:首先在给定历史时期,基于历史数据我们可以得到信用评级的转移矩阵。该矩阵可以被一个代表性的变量,降级和违约概率(downgrade and default probability)所表征。随后我们建立计量模型,使用该变量随后作为被解释变量, 宏观或金融数据作为解释变量,并进行预测。最后通过预测值,我们可以推导出在压力情景下的条件转移矩阵。

    讨论以对压力测试中的几个案例分析结尾。压力测试应该被视作一个系统和整体,而不是零散的模型组成。归根结底,压力测试试图回答的问题是,在压力情景下,金融机构的财务状况会有怎样的变化。为了得到具有参考意义的压力测试结果,从业者需对于企业业务、财务情况、策略规划的深入了解,对风险控制的理论与实践有实际掌握。压力情景下,金融机构的资产和负债可能都会发生变化。此外,对压力测试结果的分析,尤其是模型样本外结果的分析,对于考量模型的方法可靠性有重要的参考意义。

    与会者也就数据采集,模型方法和实施等方面交换了意见。 下次研讨会的议题是运营风险。

  • 14 May 2015 11:43 PM | Yadong Wang (Administrator)

    “Think Asia, Think Hong Kong” Symposium (Open for registration)

    Organized by the Hong Kong Trade Development Council (HKTDC) and supported by over 40 Canadian multipliers, the symposium aims to encourage and facilitate Canadian companies to diversify their business to Asia and meet potential investors in a strategic way. In particular, the Finance/Renminbi Breakout Session in the afternoon will be most relevant for your associates and members. Registration is complimentary, grateful for your help to pass the message to your members and encourage them to attend this not-to-be-missed symposium! Below please find the details and an eDM link for your information and use.

    Date:                   June 8, 2015, 8:45 am – 5:30 pm

    Venue:                The Fairmont Royal York Hotel, Toronto

    Programme:       http://www.thinkasiathinkhk.com/2015/en/info_programme.html

    eDM:                    http://info.hktdc.com/dm/cp1448223/index_en.html

    Admission Fee:   Complimentary

     


  • 14 May 2015 11:42 PM | Yadong Wang (Administrator)

    CCFA Speaker Series – Why I Care about Charity?

     Title: Why I Care about Charity?

    Time: Friday, May 22nd, 12:00 PM – 1:30 PM (ET)

    Location: Walker Room, FCP 68th floor, 100 King St. W., Toronto, ON, Canada

    No outside food is allowed on this floor,sorry for the inconvenience.

    Speaker: Stanley Kwan FCPA, FCA, MBA

    Registration link: http://www.eventbrite.ca/e/why-i-care-about-charity-ccfa-speaker-series-tickets-16917736405

    CCFA will donate any net-income of this event to the Fu Hui Education Foundation:

    http://fuhuieducationfoundation.com/

    Stanley will share some stories about his career and involvement in charity work. The presentation will mainly cover two parts. First, how charity work impacts on his business development; Second, how charity work impacts on his personal development. Stanley will also discuss why he is enthusiastic about charity work.

    Stanley was formerly the Managing Partner of one of the largest Chinese accounting practices and a senior tax manager at Deloitte. Stanley has been involved with many non-profit organizations in the community including Yee Hong Community Wellness Foundation, Carefirst Seniors & Community Services Association, Chinese Professional Association of Canada, Taiwan Entrepreneurs Society Taipei Toronto and Royal Ontario Museum Trustee, as well as Buddha’s Light International Association of Toronto.

    In 2004, with a group of his close friends, Stanley founded Fu Hui Education Foundation, a registered Canadian charity, and mobilized his friends to start providing financial assistance and mentorship to poor children and young people in China.

    Stanley graduated from McMaster University in 1975 with a MBA degree. Stanley was awarded a Fellowship by the Institute of Chartered Accountants of Ontario in 2008 and was admitted by McMaster University into its Alumni Gallery in 2009. He was also awarded the Queen Elizabeth Jubilee Award in 2012.

    Stanley将与我们分享关于他的事业以及慈善工作方面的一些经历。讲座包括两部分,首先是慈善工作对于他本职工作的推动;其次是慈善工作对于他个人产生的影响。当然,Stanley也会详谈他热衷公益的来龙去脉。

    Stanley曾经是中国最大会计实务委员会之一的任事股东,并曾担任德勤的高级税务经理。他与很多社区公益组织有过合作,其中包括颐康基金会,耆暉會,加拿大中国专业人士协会,多伦多台商会,皇家安大略博物馆董事以及多伦多佛光会。

    2004年,Stanley和一众亲友创办了福慧教育基金会。作为一个加拿大的注册公益机构,他们四处动员资源,为中国的贫困儿童和年轻人们提供经济上的帮助及相关指导。

    Stanley 1975年在McMaster大学获得MBA学位, 2008年被授予安大略省特许会计师协会会员资格,2009年Stanley加入McMaster校友画廊。2012年,他被授予英国女王伊丽莎白禧年奖。

    本次活动产生的所有结余CCFA 将会全部捐助给福慧教育基金:

    http://fuhuieducationfoundation.com/

     

    请注意:本次活动场地不允许自带食物,由此带来的不便,敬请原谅!


  • 11 May 2015 11:39 PM | Yadong Wang (Administrator)

    CCFA calls for volunteers for 2015 Canada China Finance Summit

    CCFA is proud to announce that the association is going to host the Canada China Finance Summit (CCFS) on Thursday, July 9, 2015 in downtown Toronto. This is the biggest professional event in 2015, and also marks the First Canada China Finance Summit held by CCFA since founded in 2001.

    The purpose of the Summit is to promote investment and trade across the two countries by bringing in senior leaders from the public and private sectors in both countries to share visions, discover opportunities and forge business and personal relationships.

    As the committee is actively preparing for the summit, we also need more CCFA members to join us to make this a successful event. Especially, we need volunteers who have experiences in event marketing, and hosting/panel moderator. If you are interested, please send us a short resume and let us know your area of interests. This would be a fantastic chance to show off your talent. You would have lots of chance to network with senior leaders in financial industry in both countries. You can also take the chance to practice your skills and broaden your vision. This experience will certainly enhance your professional profile in your career.

    Please kindly send your interests and resumes to: yadong.wang@scotiabank.com by May 31, 2015, the sooner the better, as we expect a high volume of interests due to this unique and exciting opportunity. We will review the application and get back to you soon as possible.

    The following is the summit agenda ( subject to final approval)

    The 2015 Canada China Finance Summit      2015加中金融投资高峰论坛

    Summit Agenda –

    8:30-9:00              Opening Ceremony

    9:00-9:45              Panel Discussion: Canadian and Chinese Bank Cross Border Strategies

    9:45-10:30           RMB International Settlement and Perspective from the Canadian Banking Supervision

    10:30-11:00         Coffee Break

    11:00-11:45         Outlook of Global Commodities Price – Impact and Opportunities for Canadian and Chinese Companies and Investors

    12:00-1:30           Lunch (buffet)

    1:30-2:15              Canadian fund investment strategies in China

    2:15-3:00              Merger and Acquisition in Canada — Opportunities for Chinese Companies and Investors

    3:00-3:30              Coffee Break

    3:30-4:15              Panel Discussion: Merging Canadian Technologies with Chinese Markets

    4:15-6:00              Networking Session: Cocktail Reception


  • 08 May 2015 11:35 PM | Yadong Wang (Administrator)

    CCFA Lunch & Learn Speaker Series

     Title: Enterprise Risk Management: risk appetite, stress testing and control

    Time: Friday, 15 May 2015 from 12:00 PM to 1:00 PM (EST)

    Location: East York Room, 2nd Floor, 4 King Street West, Toronto, ON, Canada

    Speaker: Mike Donovan, VP, Enterprise Risk Management, CIBC

    Registration link: https://www.eventbrite.ca/e/enterprise-risk-management-risk-appetite-stress-testing-and-control-ccfa-lunch-learn-speaker-series-tickets-16918517742

    Audience are encouraged to bring their own lunch.

    This session will give participants the opportunity to understand what happens in Enterprise Risk, how we use Risk Appetite statements and stress testing. In addition, this session will explain the three lines of defence model, where the frontline, risk and control groups, and audit each have a role to play.

    Presenter: Mike Donovan, VP, Enterprise Risk Management, CIBC.

    Mike Donovan started with CIBC in 1997. He held a number of roles in Finance of increasing responsibility, where his last role was as head of Planning & Analysis.

    Mike joined Risk Management in 2008. His current role includes economic capital, collective allowance, enterprise stress testing and Basel reporting. In addition, Mike is responsible for Credit Portfolio Management, and the roll out of the updated Risk Appetite Statement, as well working closely with Finance on our quarter end risk disclosure.

    Mike has a B.Comm and MBA from Queen’s University.


  • 24 Apr 2015 11:32 PM | Yadong Wang (Administrator)

    CCFA Member Mentorship Plan

    Spring 2015

    As the saying goes, “The whole year’s plan starts with spring.” After saying goodbye to the cold winter, now it is the best time for us to get started to advance our career to the next level. The Canadian-Chinese Financial Association (CCFA) is now pleased to announce a mentorship program to help CCFA members to share, improve, and advance their career by pairing mentee with mentor on a one-on-one basis.

    To make this program successful and benefit our members, we already prepared the program elaborately and found ten strong mentors all with manager level and up (see the mentor list down below). Now all we need is you—a strong and eager candidate, to make the CCFA Mentorship program a complete success

    If you are interested, please read the following details.

     memtor

    Mentee requirements: CCFA member with 3+ years of industrial experience.

     

    Mentee Places: 10. (Mentor and mentee are paired on a one-on-one basis)

     

    Pairing process: We expect a large number of mentee applicants. So far about eight applied. Potential mentees are firstly prescreened by CCFA based on their application materials. Then the program will facilitate the mentors to select mentees.

     

    Application:

    Application end: From now to May 15th, 2015. (Extended due to popular demand)

    Program start: Late May, 2015

    Mentorship duration: 1 year.

    Recommend meeting frequency: Once a month but can be adjusted by pairs.

    Meeting format and contents: Mentee should be initiating the meeting. Group meeting with all mentors and mentees will be held quarterly.

    Mentor List

    Daju Gu, President, President Razor Risk.

    Dianna Zhang, Vice-President, Scotia Bank.

    George Liu, Senior Director, CIBC.

    Hong Xie, VP and Head of Models & Analytics, Manulife.

    James Shen, Consultant, CPPIB.

    Jin Wang, Director, Scotia Bank.

    Michael Wang, AVP, Manulife.

    Peter Hefferman, SVP (ret.), Scotia Bank.

    Steven Wang, Portfolio Manager, CPPIB.

    Ti Wang, Director, RBC.

     

    Application materials:

    Resume and cover letter.

    In the application materials please cover

    1. Your objectives. A more specific objective can help the mentor tailor a better plan for you and help you achieve more from the program.
    2. Your achievements.
    3. Your contribution to the CCFA.

     

    Please send the application material to membermentorshipccfa@gmail.com

    We look forward to seeing you in the Program!


  • 16 Apr 2015 11:31 PM | Yadong Wang (Administrator)

     Toronto, June 2-4, 2015, Fairmont Royal York

     Attend the First International Model Risk Management Conference and hear from thought leaders and today’s leading practitioners working in the areas of model development, validation, and audit or using models and their outputs. Sessions include discussions of risk topics and challenges across a broad spectrum of industries. The Conference will also support the development of professionalism and best practices among Model Risk Management (MRM) practitioners working in the regulated financial industry across sectors and geographies.

    Through presentations and discussions, the Conference aims to strengthen industry and regulatory MRM practice, grow and develop the current and next generation of MRM practitioners and facilitate the incorporation of best practices across industries. Tailored to address critical issues arising from global financial services regulation as well as emerging issues, the Conference will provide a thorough understanding of regulatory requirements and their impact on the leading MRM practices. The Conference will achieve these outcomes by providing relevant, meaningful and useful content that can be taken away and put into practice. Audience participation and collaboration is encouraged.

    This two day Conference runs from 8:00 a.m. till late afternoon each day including lunch as well as morning and afternoon breaks.

    Conference and Workshop Speakers

     Group 1Group 2

     

    For more information, please click below attached brochure.

    IMRM SHORT – 4.15.15


  • 24 Mar 2015 11:27 PM | Yadong Wang (Administrator)

    东风送暖,春回大地,加拿大中国专业人士协会(CPAC)携手来访的中国创业政策咨询报告团,将于4月11日在多伦多举办特别宣讲会,为海外华人带来一次从国家上层角度分析中国经济科技发展现状与宏观战略的宝贵机会。

    新世纪变幻莫测的世界经济舞台上,日新月异的中国经济一直是国际投资者关注的焦点。本次宣讲会的嘉宾分别是中国国家发展和改革委员会的吴晓华副院长,和中国科技部的曹国英副司长。两位嘉宾将以国家政策制定者的角度,从经济与科技两方面带领大家解读中国发展现状,分析宏观政策的基本取向,展望中国未来发展战略。对有意在中国创业、投资、合作的海外华人来说,本次演讲更是了解中国上层思维的难得机遇。

    宣讲会免费参加,座位有限,先到先得!请立即登录 https://2015ce.eventbrite.com 注册,预订座位。

    “Insights into China’s strategic moves and investment opportunities” Seminar

    Chinese Professionals Association of Canada

    Saturday, April 11, 2015 from 9:45 AM to 12:00 PM (EDT)

    Toronto, Ontario

    主讲人简介及演讲题目:

    吴晓华

    中国国家发展和改革委员会宏观经济研究院副院长

    国家发展和改革委员会宏观经济研究院科研部主任、研究员,兼任中国人民大学中国

    改革与发展研究院副院长、北京师范大学MBA 中心教授。1992 年进入国家发展改革委(计委)工作,主要从事中国宏观经济形势跟踪分析和中国重大发展战略规划研究工作,多次参加中国政治局集体学习讲稿撰写工作,参加过中国国家“九五”计划、“十五”计划、“十一五”规划和“十二五”规划纲要的前期研究和起草工作。参加过中央统一布置的十八大报告起草前期重大课题研究,参加过十八届三中全会《决定》起草专题调研工作。获得省部级优秀成果奖一等奖1 项、二等奖2 项、三等奖4 项。

    题目:《新常态下的中国经济》

    内容:介绍当前中国经济已进入新常态的发展态势,解析新常态下中国经济发展的主要特征、当前中国宏观经济政策的基本取向,以及未来中国宏观调控的主要任务。

    曹国英

    中国科技部高新技术发展及产业化司副司长

    先后在文化部、教育部、科技部以及中央人民政府驻香港特别行政区联络办公室工作,长期从事高新技术和基础科学的政策研究与管理,对中国科技创新发展形势、科技体制和政策、高新区发展以及国际科技合作等有深入研究和把握。目前,担任科技部高新技术发展及产业化司副司长,主要负责高新技术产业政策及高新区管理工作。

    题目:《中国科技创新发展现状与展望》

    内容:介绍中国科技发展道路、中国科技创新发展现状及重大成果、科技体制改革情况以及国家重大专项、国家高新区发展和国际科技合作情况,分析未来的发展趋势、展望及良好愿景。


  • 24 Mar 2015 11:25 PM | Yadong Wang (Administrator)

     Topic: Simplifying the enterprise risk data aggregation challenge – Applying the replicating portfolio techniques to facilitate enterprise risk modeling

     Speaker: Michael Zerbs, Executive Vice President, Scotiabank

    Michale 1

    CCFA has successfully held another lunch-and-learn event on Friday, March 6th 2014. We were honored to have Michael Zerbs, an executive vice president of Scotiabank who is responsible for the development and execution of strategic technology plans to support the key functions and business lines at the enterprise level. Michael introduced the replicating portfolio techniques for facilitating enterprise risk modeling. More than 70 professionals from the financial industry participated in this event. The talk was well received and ended with an animated Q&A session showing very good feedback from the audience.

    Michael 2

    Since the Lehman collapse in 2007, people started realizing that the lack of data aggregation governance, architecture and processes can brought enormous damage to the financial institutions. Financial institutions tried to tackle the risk data aggregation issue through a lineage data flow lifecycle. However, since the lack of risk awareness at the senior level, most of the financial institutions wasn’t able to timely and adequately aggregate the risk data. Hence, the long-term risk aggregation could raise more uncertainty from the process. As we don’t want to fight a complex problem with a complex solution, Michael introduced a different approach – replicating portfolio.

    Michale 3

    Replicating portfolio technique is to use a portfolio with the same risk characteristics to replicate the target portfolio, and perform optimization techniques to implement large scale risk simulations on the replicating portfolio. Michael briefly introduced the replicating portfolio process in insurance industry and how can replicating portfolio optimize asset selection strategically against liability risk profile and address on industry challenges such as the complexity of large insurer profiles and different legacy systems. In more specific, Michael used annual variable annuity cash flow portfolio in insurance as an example, to illustrate replicating portfolio technique’s performance in both in-sample and out-of-sample scenarios, as well as its trading budget efficiency. Michael emphasized that applying replicating portfolio to risk management is as much art as science by its unique characteristics. Michael also introduced a few other use cases of replicating portfolio such as strategic portfolio hedges and black swan hedges. At the end, Michael highlighted that developing awareness for the many judgment calls and modeling decisions would also be essential for enterprise risk management.



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