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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! Book Your Room 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 Video Player is loading. Play Mute Current Time 0:00 / Duration 4:26 Loaded: 3.76% Stream Type LIVE Seek to live, currently playing liveLIVE Remaining Time -4:26 Playback Rate 1x Chapters * Chapters Descriptions * descriptions off, selected Captions * captions settings, opens captions settings dialog * captions off, selected Audio Track * default, selected Fullscreen This is a modal window. Beginning of dialog window. Escape will cancel and close the window. TextColorWhiteBlackRedGreenBlueYellowMagentaCyanTransparencyOpaqueSemi-TransparentBackgroundColorBlackWhiteRedGreenBlueYellowMagentaCyanTransparencyOpaqueSemi-TransparentTransparentWindowColorBlackWhiteRedGreenBlueYellowMagentaCyanTransparencyTransparentSemi-TransparentOpaque Font Size50%75%100%125%150%175%200%300%400%Text Edge StyleNoneRaisedDepressedUniformDropshadowFont FamilyProportional Sans-SerifMonospace Sans-SerifProportional SerifMonospace SerifCasualScriptSmall Caps Reset restore all settings to the default valuesDone Close Modal Dialog End of dialog window. 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 HomeAbout Cboe RMCUpcoming EventsPast ConferencesAgendaSponsorsSponsorship OpportunitiesHotel & TravelContact Stay Tuned Sign up for RMC updates. I agree to the Terms and Conditions for use of Cboe websites. I agree to the terms of Cboe Privacy Notice and Policy and acknowledge that my personal data will be processed in accordance with the policy. I acknowledge that Cboe may contact me about Cboe activities, products, and services. I understand that I can unsubscribe from communications from Cboe at any time. Thank you! Your submission has been received! Oops! 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