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Announcements
Posted: 1/31/17
New Agenda Now Available 
View Agenda

Posted: 1/31/17
Hotel rooms still available. Book your room now before they’re gone!
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About  RMC

About CBOE RMC overviewUpcoming eventsPAST CONFERENCES
Agenda

Full agendaKEYNOTE SPEAKERSPEAKERS
Sponsors
sponsors overviewSponsorship opportunities
Hotel & TravelREGISTRATIONContact

THE 33rd Annual


CBOE® RISK MANAGEMENT CONFERENCE EUROPE




The premier educational forum for users of equity derivatives, options and
volatility products.

x
Announcements!
Posted: 1/31/17
Agenda Now Available
View Agenda
Posted: 1/31/17
The Hotel room block may be full. Go to the "Hotel and Travel" page for more
information
Book Your Room


Note that due to concerns over the Coronavirus we have decided that cancelling
the 2020 RMC Europe is the right thing to do. We did not make this decision
lightly, but the health and well-being of our customers, colleagues and
associates is our top priority. We look forward to hosting RMC Europe again in
the fall of 2021.


Hotel RESERVATIONS

Save the date for
2018 Europe
12-14 Sept 2018
Powerscourt Hotel, IRE

See the agenda NOW




REGISTRATION for 2019 Is Closed
registration is closed


CBOE RMC EUROPE
9-11 SEPTEMBER 2019
ANDAZ MUNICH SCHWABINGER

GET AN EDGE ON MANAGING RISK

Now in its 35th year in the U.S. and going into the 8th year in Europe, the
annual Cboe® Risk Management Conference (RMC) is the foremost financial industry
conference designed for institutional users of equity derivatives and volatility
products. 

Hosted by Cboe Global Markets, RMC is an educational forum dedicated to
exploring the latest products, trading strategies and tactics used to manage
risk exposure and enhance yields. 

About conference
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Channels
 1.  RMC Europe 2019: Armitage
     
     04:26
     
     Tim Armitage, Quantitative Strategist-Asset Allocation at Legal & General
     Investment Management, discusses the role long and short volatility should
     play in a portfolio, how to hedge when equity and bonds are moving
     together, deciding between options vs futures for hedging, and some
     benefits and risks of systematic volatility selling strategies.

 2.  RMC Europe 2019: Suhonen
     
     05:48
     
     Antti Suhonen, Professor of Practice in Finance at Aalto University School
     of Business, Helsinki, discusses the role of short volatility strategies in
     institutional portfolios.

 3.  RMC Europe 2019: Devens
     
     07:10
     
     Derek Devens, CFA, Managing Director & Senior Portfolio Manager at
     Neuberger Berman, discusses his RMC Europe 2019 Panel, 'How to Benchmark
     Option Strategies for Institutions and Consultants,' getting long exposure
     through put writing, path dependency in the options based space, and the
     key findings of the MSCI put write and buy write research.

 4.  RMC Europe 2019: Krayzler
     
     03:30
     
     Dr. Mikhail Krayzler, Director and Portfolio Manager at Allianz Global
     Investors discusses differences and similarities of the variety of
     volatility strategies, what he focuses on when developing strategies, the
     importance of realized volatility, and if there are market conditions where
     intraday volatility becomes especially important.

 5.  RMC Europe 2019: Motamedi
     
     04:37
     
     Achim Motamedi, CEO of TAO Alternatives GmbH, discusses how to manage
     alternative risk transfer products, the relationship between banks and
     hedge funds, the difference between how the buy side and sell side view
     products, and opportunities in the market for participants.

 6.  RMC Europe 2019: Patrick Bartholet
     
     04:59
     
     Patrick Bartholet, Multi-Asset Strategist at Aviva, discusses when is the
     appropriate time to use derivatives, how to decide on which hedging
     strategy to use, the risks and benefits of systematic volatility selling
     strategies, and if he believes short volatility is too crowded of a trade.

 7.  RMC Europe 2019: Kroeske
     
     09:13
     
     Dr. Jens Kroeske, Head of Marco Systematic Strategies Research at Aberdeen
     Standard Investments, discusses evaluating and the deployment of active
     systematic investment strategies, being an outcome-oriented investor, and
     evaluating back-tested data.

 8.  RMC Europe 2019: Agbo-Bloua
     
     05:06
     
     Kokou Agbo-Bloua, Managing Director and Global Head of Flow Strategy
     Solutions at Societe Generale, discusses equity volatility in multi-asset
     portfolios, the benefits and risks of systematic volatility selling
     strategies, trending volatility strategies, the value of short volatility,
     and if the volatility risk premium could go away.

 9.  RMC Europe 2019: Wintner
     
     03:36
     
     Stefan Wintner, Vice President of DUNN Capital Management, discusses the
     relationship between the VIX Index and the S&P 500, the relationship
     between the volatility risk premium and the equity risk premium, shorting
     vol in low vol environments, and whether or not the VIX has a floor.

 10. RMC Europe 2019: Hasnain
     
     04:28
     
     Imran Hasnain, Partner and Portfolio Manager at CQS, discusses the
     relationship between banks and hedge funds, his RMC Europe 2019 panel, and
     opportunities with variance swaps on mutual funds.

 11. RMC Europe 2019: Krishnan
     
     03:01
     
     Hari Krishnan, Portfolio Manager at Doherty Advisors, discusses reasons an
     investor would want to replicate the spot VIX, the advantages of investing
     in spot VIX, and why volatility spikes are more common in a low volatility
     environment.

 12. RMC Europe 2019: Edwards
     
     07:20
     
     Tim Edwards, Ph.D., Managing Director of Index Investment Strategy at S&P
     Dow Jones Indices, discusses the relationship between the Cboe SKEW Index &
     the VIX Index and the key highlights from his research paper, 'A Window on
     Index Liquidity: Volumes Linked to S&P DJI Indices.'

 13. RMC Europe 2019: Hausman
     
     03:53
     
     Chris Hausman, CMT, Portfolio Manager & Managing Director-Risk at Swan
     Global discusses his RMC Europe Panel, 'How 40-Act Funds Use Options to
     Achieve Multiple Goals', what's driving growth in options based strategies,
     what kinds of strategies investors can use options to achieve, how to
     manage the cost of hedging, & questions to ask when evaluating options
     strategies.

 14. RMC Europe 2019: Kramer
     
     02:02
     
     Doug Kramer, Managing Director of Neuberger Berman discusses small cap
     index constitution, use cases, ways to monetize volatility in the Russell
     2000 Index and Russell 2000 options writing strategies.

 15. RMC Europe 2019: Agather
     
     04:32
     
     Rolf Agather, Managing Director of North American Research at FTSE Russell,
     discusses the unique features of the U.S. small cap asset class.

 16. RMC Europe 2019: Davidson
     
     05:04
     
     John Davidson, Chief Executive Officer of the OCC, discusses how changes in
     margin and capital requirements will affect investors, how the renaissance
     initiative will help improve risk management, its impact on global trading
     hours and changes on margin processing.

 17. RMC Europe 2019: Punchev
     
     01:59
     
     Yanko Punchev, CFA, FRM, Portfolio Manager at TECTA Invest GmbH, discusses
     his RMC Europe 2019 Panel, 'Systematic Options Strategies: Portfolio
     Positioning, Benchmarking, and Implementation.'

 18. RMC Insights: Jon Havice on the Volatility Positioning Ledger
     
     04:04
     
     Jon Havice, President and Chief Investment Officer of DGV Solutions, gets
     to the hear of his Cboe RMC panel, "The Volatility Positioning Ledger -
     Blow Ups, Buried Bodies and Behavioral Biases" with Angie Miles in a
     discussion about what's been driving the markets in the decade after the
     financial crisis.

 19. RMC Insights: Benn Eifert on the Importance of Falling Liquidity
     
     02:40
     
     Benn Eifert, Ph.D., Founder and CIO of QVR Advisors, explains why
     strategies should be designed with stress market liquidity in mind to
     combat times when liquidity could be drier.

 20. RMC Insights: Mandy Xu Lays Out Key Market Factors for 2019
     
     04:07
     
     Mandy Xu, Chief Equity Derivative Strategist at Credit Suisse, explains her
     thoughts on investor positioning and where to go from here with Angie Miles
     at Cboe RMC.

 21. RMC Insights: Yukon Huang's Unique Take on the U.S.-China Trade War
     
     03:06
     
     Yukon Huang, Ph.D., Senior Fellow, Asia Program, Carnegie Endowment for
     International Peace, sits down with Angela Miles to discuss his views on
     the US vs China trade war and why he feels it’s not really about trade
     deficits. ‘It’s not about trade, it’s about technology transfer, it’s about
     the competition between two great powers for global economic domination,
     and so people are actually missing what the key issues are and what are the
     solutions’ states Huang.

 22. RMC Europe 2018: Gave
     
     14:14
     
     Keynote Speech: Market Movers: The Structure and the Cycle. Interview with
     Louis-Vincent Gave, Founding Partner & Chief Executive Officer of Gavekal.

2019 Location


THE 2019 RMC EUROPE WAS HELD IN MUNICH, GERMANY AT THE ANDAZ HOTEL.

Cboe is excited to announce a new location for the 8th Annual Cboe RMC Europe.
Not only a new host city for the conference, but a brand new hotel, Andaz
Munich. Opened this year, Andaz is Hyatt's luxury lifestyle brand. Deeply rooted
in the local culture and history, Andaz Munich is truly connected to the heart
and soul of Munich, but offers an upscale, high-tech experience.
‍
Located in the stylish Schwabinger neighborhood, just north of the old city
center, Andaz is convenient to both the airport, downtown and local attractions.
‍
Be sure to book your room early at Andaz Munich Schwabinger Tor to maximize your
conference experience during this very busy season  in Munich.

About the location
See the 2019 Agenda
Previous DayNext Day
MON 9 Sept
TUES 10 Sept
WED 11 SEpt

11:00am - 6:30pm
11:00 - 11:30am

Conference Registration opens
Light, stand up lunch - Sponsored by S&P Dow Jones Indices

11:30am - 12:00pm

Interpreting and Navigating Volatility-Based Benchmarks and Indicators

 * Structural and supply/demand-based drivers of VIX and related instruments

Tim Edwards, Ph.D., Managing Director, Index Investment Strategy, S&P Dow Jones
Indices
Tim Edwards Research paper


12:00 - 12:15pm

Session Break

12:15 - 1:15pm

How to Benchmark Option Strategies for Institutions and Consultants and How
40-Act Funds are using Options to Achieve Multiple Goals

Chris Hausman, CMT, Portfolio Manager and Managing Director-Risk, Swan Global
Chris Hausman Presentation

Derek Devens, CFA, Managing Director and Senior Portfolio Manager, Neuberger
Derek Devens Presentation

1:15 - 1:30pm

Session Break

1:30 - 2:30pm

Bank/Fund Partnerships: How Does Risk Transfer Work & What Are The Main
Opportunities For Both Counterparties?

Moderator: Antoine Garaialde, Executive Director, Structuring Team, J.P. Morgan
Chase


Dr. Bernhard Brunner, Partner, finccam GmbH


Yann Le Her, Partner, Senior Portfolio Manager, La Francais Global Investment
Solutions


Achim Motamedi, CEO, TAO Alternatives GmbH


Imran Hasnain, Partner and Portfolio Manager, CQS


2:30 - 2:45pm

Coffee Break - Sponsored by Bank of America Merrill Lynch

2:45 - 3:45pm

Different Approaches for Options Pricing

Moderator: Gordon Harpur, Structurer, Schroders

Dan Blum, Head of European Equity Index Derivatives Trading, UBS

Ousmane Diop, Senior Equity Derivatives Trader, J.P. Morgan

Sebastien Faucheur, Head of Index Volatility Trading, Societe Generale

Alex Fisher, Trader, Optiver

3:45 - 4:00pm

Session Break

4:00 - 5:00pm

Active Systematic Investing

 * Using experience from cross asset volatility programmes
 * How strategies need to adapt over time
 * PM's role in active selection and deployment

Dr. Jens Kroeske, Head of Macro Systematic Strategies Research, Aberdeen
Standard Investments
Dr. Jens Kroeske Presentation

5:00 - 5:15pm

Session Break

5:15 - 6:15pm

The Role of Short Volatility Strategies in Institutional Portfolios

Martin Luehrmann, Head of Systematic Volatility Strategies, Goldman Sachs

Antti Suhonen, Professor of Practice in Finance, Aalto University School of
Business, Helsinki

6:30 - 9:00pm

Welcome Reception: Cocktails and Dinner- Wine Bar Sponsored by IMC and Whiskey
Bar Sponsored by Optiver

8:00 - 9:00am

Breakfast in the Lonely Broccoli restaurant (breakfast is included in the Group
room rate at Andaz Hotel for those staying at the Hotel).

9:00 - 9:15am

Welcome and Cboe Update

Edward Tilly, Chairman, Chief Executive Officer and President, Cboe Global
Markets


‍

9:15 - 10:15am

Keynote Speaker

Philip Hammond, Member of Parliament, Former Chancellor of the Exchequer




10:15 - 10:30am

Coffee Break- Sponsored by Societe Generale

10:30 - 11:30am

Equity Volatility in Multi-Asset Portfolios: Past, Present and Future

Moderator: Kokou Agbo-Bloua, Managing Director, Global Head of Flow Strategy
Solutions, Societe Generale

Panelists:

Tim Armitage, CFA, Quantitative Strategist-Asset Allocation,  Legal & General
Investment Management

Patrick Bartholet, Strategist, Aviva Investors

Adam C. Rudd, CFA, Investment Director, Aberdeen Standard Investments Inc



11:30 - 1:00pm

Lunch and networking, The Lonely Broccoli - Sponsored by J.P. Morgan

1:00 - 1:30pm

Changes in Margin and Capital Requirements that Will Affect You

 * Options Clearing Corporation ("OCC") update on important changes
 * Understanding the new Renaissance system

John P. Davidson, Chief Executive Officer, OCC
John P. Davidson Presentation





1:30- 1:45pm

Session Break

1:45 - 2:30pm

Systematic Long Volatility

 * Techniques for amelioration of empirical delta
 * Disaggregation of volatility and equity risk-premia
 * Practical strategy implementation, analysis and attribution

Mark Richardson, Portfolio Manager, Janus Henderson

2:30 - 3:00pm

Coffee Break - Sponsored by Goldman Sachs

3:00 - 4:00pm

Systematic Options Strategies: Portfolio Positioning, Benchmarking, and
Implementation

 * Advantages of an allocation to options-based strategies for Institutions
 * Where does an options-based strategy fit within an institutional portfolio?
 * Benchmarking and manager performance evaluation
 * Fully-funded vs. overlay strategies

Moderator: Mandy Xu, Chief Equity Derivatives Strategist, Credit Suisse
Securities

Yanko Punchev, CFA, FRM, Portfolio Manager, TECTA Invest GmbH

Michael Wolfram, CAIA, FRM, Director, bfinance

Alex Zweber, CFA, Institutional Portfolio Manager, Eaton Vance



4:00 - 4:15pm

Session Break

4:15 - 5:15pm

Volatility and Global Macro: Looking Beyond the Trade War

Bhanu Baweja, Global Head of Cross Asset Strategy, UBS Investment Bank

5:30 - 7:00pm

Cocktail reception, M'UNIQO, Andaz 12th floor - Wine Bar Sponsored by SIG

8:00 - 9:00am

Breakfast in The Lonely Broccoli
(breakfast is included in the Group room rate for those staying at Andaz Hotel)

9:00 – 9:30am

Sourcing Liquidity and Tailoring Your Strategies

Hitendra Varsani, Executive Director, Index Research, MSCI Inc.






9:30 - 9:45am

Session Break

9:45 - 10:30am

VIX Replication in a Short Volatility World

Hari P. Krishnan, Portfolio Manager, Doherty Advisors
Hari P. Krishnan Presentation‍

10:30 - 11:00am

Coffee Break - Sponsored by FT Options

11:00 - 12:00pm

Limitations to VIX, How Low Can It Go and Looking at Intraday Variance

Dr. Mikhail Krayzler, Director, Portfolio Manager, Allianz Global Investors

Stefan Wintner, Vice President, DUNN Capital
Stefan Wintner Presentation

12:00 - 1:00pm

Small Cap Index Constitution and Use Cases

 * Russell 2000 focus - fundamental knowledge, unique characteristics
 * Performance vs other benchmarks
 * RUT volatility compared, arbitrage and trade ideas
 * Cross-asset opportunities

Rolf Agather, Managing Director, North American Research, FTSE Russell Indexes
Rolf Agather Presentation

Doug Kramer, Managing Director, Neuberger Berman
Doug Kramer Presentation

1:15 pm

End of Conference

KEYNOTE speaker

Edward O. Thorp
Math Professor, Inventor, Best-Selling Author and Hedge Fund Manager
View edward's bioview all Speakers
2019 RMC Europe Featured Sponsors
A special thank-you to our sponsors who help make the Cboe Risk Management
Conference possible
Gold Sponsors

Silver Sponsors

General Sponsors

Exhibitors

MEDIA SPONSORS

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