The Rise of the Derivatives Risk Manager, Hosted by Global Association of Risk Professionals

On Thursday, 12 May from 12:00 P.M. - 1:15 P.M. CDT, firm partner Michael W. McGrath will be speaking on a virtual panel for the Global Association of Risk Professionals (GARP) called "The Rise of the Derivatives Risk Manager."

As the US Funds Industry prepares for Rule 18f-4 under the Investment Company Act of 1940 there are many questions and potential grey areas to address before the compliance date of August 19 2022. The requirements to compute fund level Value-at-Risk (“VaR”) adhere to associated limits and complete stress testing and back-testing marks the first time that US registered fund regulation dictates the use of predictive models. Will this new regulatory playbook change how US registered funds use derivatives to achieve portfolio risk and return objectives?

Derivatives risk management or leverage risk management? Convergence of buy-side and sell-side regulations? Harmonization of US and European regulations? Will carving out purchased options incentivize product innovation? Rarely does a new regulation in the US asset management industry generate so many questions and collaboration by the risk-taking side (e.g. portfolio management trading) and risk management side (e.g. risk compliance and legal) as well as Fund Boards of Trustees.

GARP’s Chicago chapter has put together a distinguished panel of experts to discuss three key aspects of the rule:

1. The history of the regulatory framework and scope of the new rule including differentiation of a limited derivatives user
2. Leverage risk infrastructure such as VaR model calibration and back testing
3. Risk governance such as fund board oversight and formalized requirements of a derivatives risk manager(s) and new derivatives risk management program

Spoiler Alert: Don’t be surprised when you learn buying call to actions may not be considered a derivatives transaction.

Intended audience: Risk Officers and GARP FRM Holders Buy Side Risk Professionals Portfolio Managers Members of Compliance Legal and Board Trustees fund counsel regulators vendors consultants attorneys and asset owners.

Agenda:

• Welcome/introduction: 12:00 – 12:05 P.M. Central
• Presentation: 12:05 – 12:45 P.M. Central
• Q&A: 12:45 – 1:00 P.M. Central

Attendees qualify for 1 GARP CPD credit.