The premier educational
forum for users of equity derivatives, options and volatility products.
Note that due to concerns over the Coronavirus we have decided that cancelling the 2023 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.
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.
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.
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
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
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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
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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
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Dr. Jens Kroeske Presentation
5:00 - 5:15pm
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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
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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
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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
John P. Davidson, Chief Executive Officer, OCC
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1:30- 1:45pm
Session Break
1:45 - 2:30pm
Systematic Long Volatility
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
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
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5:30 - 7:00pm
Cocktail reception, M'UNIQO, Andaz 12th floor - Wine Bar Sponsored by SIG
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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
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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
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Small Cap Index Constitution and Use Cases
Rolf Agather, Managing Director, North American Research, FTSE Russell Indexes
Rolf Agather Presentation
Doug Kramer, Managing Director, Neuberger Berman
Doug Kramer Presentation
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End of Conference
