This presentation summarizes the investment strategy, risk management practices, and performance of a commodity trading advisor (CTA). The CTA uses systematic trading programs developed through extensive research testing multiple algorithms over many years of market data. Portfolios are diversified across over 40 global futures markets and risk is controlled through stop losses on all trades and adjusting position sizes based on volatility. While past performance is not indicative of future results, the CTA has achieved annualized returns of over 16% since inception with balanced winning and losing months.
Challenges in Practical Market Risk Management - a presentation by Anshuman Prasad, Director, Risk and Analytics at CRISIL GR&A made at the 15th Annual GARP Risk Management Convention, New York.
Operational Risk Loss Forecasting Model for Stress TestingCRISIL Limited
Presentation on ‘Operational Risk Loss Forecasting Model for Stress Testing – A Three-Stage Approach’ made by Dr. James Lu, Director, Risk & Analytics, CRISIL Global Research & Analytics (GR&A) at The 17th Annual OpRisk North America 2015, New York
Challenges in Practical Market Risk Management - a presentation by Anshuman Prasad, Director, Risk and Analytics at CRISIL GR&A made at the 15th Annual GARP Risk Management Convention, New York.
Operational Risk Loss Forecasting Model for Stress TestingCRISIL Limited
Presentation on ‘Operational Risk Loss Forecasting Model for Stress Testing – A Three-Stage Approach’ made by Dr. James Lu, Director, Risk & Analytics, CRISIL Global Research & Analytics (GR&A) at The 17th Annual OpRisk North America 2015, New York
Solving the FRTB Challenge: Why You Should Consider an Aggregation SolutionFIS
Many banks face multiple challenges around market risk, with outdated infrastructure, fragmented systems, and inflexible reporting tools. And now FRTB raises the stakes. The Fundamental Review of the Trading Book is the biggest change in market risk rules that we’ve seen in a generation.
The answer to the FRTB challenge is a centralized aggregation solution that allows you to source required prices from one or more front-office and risk engines, perform bank-wide FRTB calculations using those inputs, and combine the results with intermediate data and expose inputs via reporting and analysis tools.
View our slideshow to learn more about aggregation challenges and why you should consider an external solution.
Bovill - the UK financial services regulatory consultancy - runs regular briefings. These are the slides from the February briefing on anti-money laundering. For more information visit http://www.bovill.com/FinancialCrime.aspx.
Information on the event is below:
Taking a company-wide approach to money laundering
“The FCA has made it very clear that responsibility for the overall culture of firms sits at the top. We need leaders and senior managers within the industry to set the tone for how their staff behave.”
Tracey McDermott, Director of Enforcement and Financial Crime, FCA
The regulator has recently reiterated their intention to carry out further thematic and enforcement work in financial crime. However, many firms still have a fragmented approach to managing the risks of money laundering.
The responsibility for preventing financial crime is shared across the firm from the back office to the boardroom. Firms need to take a company-wide approach to tackling money laundering to ensure they are complying with regulation and managing risks effectively.
Bovill’s briefing looked at Anti-Money Laundering (AML), covering:
• Governance arrangements: as the foundation for effective communication and issue resolution
• Risk management: the difficulties of negotiating the right level of due diligence for higher risk customers and what tools can be used to help with this process
• Systems and controls: ensuring that these are fit for regulatory purpose and are appropriately maintained within your firm.
everis Marcus Evans FRTB Conference 23Feb17Jonathan Philp
everis was Gold Sponsor of the Marcus Evans Conference ‘4th Edition: Impact of the Fundamental Review of the Trading Book’ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
CH&Cie - Fundamental Review of the Trading BookC Louiza
Arbitrage opportunity Banking book vs Trading book • The classification of assets between the banking book and trading book was unclear allowing arbitrage opportunity for RWA
Stock Market Course With Placement: Technical analysis, Share Market Institute, Indian Stock Market Courses In India, risk management, and other areas of Best Stock Market Courses In India methods are all covered in-depth in this top-notch program. Additionally, they offer opportunities for practical training that include access to data analytics software, simulated trading environments, and live trading terminals.
Investment Bank - Viewing M&A Advisory from the Service Operations PerspectiveSarang Bhutada
sarang.bhutada@gmail.com - A view on investment banking - M&A Advisory - operations from the services
management perspective. Uses a DEA (Data Envelopment Analysis) and an AHP
Model to arrive at some conclusions. Contact for
further details.
Solving the FRTB Challenge: Why You Should Consider an Aggregation SolutionFIS
Many banks face multiple challenges around market risk, with outdated infrastructure, fragmented systems, and inflexible reporting tools. And now FRTB raises the stakes. The Fundamental Review of the Trading Book is the biggest change in market risk rules that we’ve seen in a generation.
The answer to the FRTB challenge is a centralized aggregation solution that allows you to source required prices from one or more front-office and risk engines, perform bank-wide FRTB calculations using those inputs, and combine the results with intermediate data and expose inputs via reporting and analysis tools.
View our slideshow to learn more about aggregation challenges and why you should consider an external solution.
Bovill - the UK financial services regulatory consultancy - runs regular briefings. These are the slides from the February briefing on anti-money laundering. For more information visit http://www.bovill.com/FinancialCrime.aspx.
Information on the event is below:
Taking a company-wide approach to money laundering
“The FCA has made it very clear that responsibility for the overall culture of firms sits at the top. We need leaders and senior managers within the industry to set the tone for how their staff behave.”
Tracey McDermott, Director of Enforcement and Financial Crime, FCA
The regulator has recently reiterated their intention to carry out further thematic and enforcement work in financial crime. However, many firms still have a fragmented approach to managing the risks of money laundering.
The responsibility for preventing financial crime is shared across the firm from the back office to the boardroom. Firms need to take a company-wide approach to tackling money laundering to ensure they are complying with regulation and managing risks effectively.
Bovill’s briefing looked at Anti-Money Laundering (AML), covering:
• Governance arrangements: as the foundation for effective communication and issue resolution
• Risk management: the difficulties of negotiating the right level of due diligence for higher risk customers and what tools can be used to help with this process
• Systems and controls: ensuring that these are fit for regulatory purpose and are appropriately maintained within your firm.
everis Marcus Evans FRTB Conference 23Feb17Jonathan Philp
everis was Gold Sponsor of the Marcus Evans Conference ‘4th Edition: Impact of the Fundamental Review of the Trading Book’ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
CH&Cie - Fundamental Review of the Trading BookC Louiza
Arbitrage opportunity Banking book vs Trading book • The classification of assets between the banking book and trading book was unclear allowing arbitrage opportunity for RWA
Stock Market Course With Placement: Technical analysis, Share Market Institute, Indian Stock Market Courses In India, risk management, and other areas of Best Stock Market Courses In India methods are all covered in-depth in this top-notch program. Additionally, they offer opportunities for practical training that include access to data analytics software, simulated trading environments, and live trading terminals.
Investment Bank - Viewing M&A Advisory from the Service Operations PerspectiveSarang Bhutada
sarang.bhutada@gmail.com - A view on investment banking - M&A Advisory - operations from the services
management perspective. Uses a DEA (Data Envelopment Analysis) and an AHP
Model to arrive at some conclusions. Contact for
further details.
Compliance Risk Assessment Fall 2016 Class 4 Stephen Paine.docxaryan532920
Compliance Risk Assessment
Fall 2016 Class 4
Stephen Paine
Compliance Risk Assessment
Overview
Recap of Class 1
Pfizer Case Study and Compliance Risks
Legal and Regulatory Incentives/Conflicts of Interest
Political Failure of Controls
Reputational Recidivism
Point of Sale/Distribution
Definitions
Compliance Risk is the risk of failing to comply with applicable legal or regulatory requirements resulting in a material loss (financial or reputational) or legal/regulatory sanction
A Compliance Risk Assessment is a framework to enable the evaluation and analysis of the overall Compliance risk (both inherent risks and control effectiveness) associated with a particular business area
Recap of Class 2
The Five Elements of an Effective Compliance Program
Tone at the Top
Enron Chronology: July 1985 Enron established through merger and by November 2006 entire senior management team has either been indicted or convicted with Enron and Arthur Andersen no longer operating
Corporate Culture and Communication
Codes of Conduct set the values for employees to follow and those values are based on Compliance Risk.
3. Compliance Risk Assessment
4. Testing and Monitoring
5. Chief Compliance Officer
Case Study: HSBC
Financing drug cartels
Permitting sanctioned regimes to process dollar payments
Claw back of compensation (including Compliance Officers)
Criminal charges for “failure to maintain an effective AML program”
Recap of Class 3
Compliance Tools/Controls
Advisory Function
Coverage of Front Office and Technology, Finance and Operations
Conflicts of Interest -- A Deep Dive
Conflicts of interest are inherent in the financial services business
Historical success of the industry has been managing these conflicts by eliminating or disclosing them
Top to bottom review of business operations to address conflicts of interest of every kind
Risk Assessments
Follow-Up
Policies and Procedures
Education and Training
Compliance Surveillance and Business Unit Review and Testing
‹#›
In the News This Week
The Wells Fargo Cross-Selling Matter
Consent Order
Unauthorized Deposit Accounts and Simulated Funding
Unauthorized Credit Cards
Unauthorized Enrollments into Online Banking
Unauthorized Debit Cards
Independent Consultant’s Remit
Pay Redress Costs to Customers
$185 Million in Civil Penalties and Fines
Compliance Monitoring (page 23)
John Stumpf, Wells Fargo CEO, Appears before Senate Committee on Banking
http://www.cnn.com/videos/cnnmoney/2016/09/21/elizabeth-warren-wells-fargo-ceo-cnnmoney.cnn
‹#›
Our Journey So Far
Class 1
Class 2
Class 3
Tonight . . . finally
Compliance Risk
Compliance Program
Compliance Controls
Compliance Risk Assessment
Compliance Risk Assessment
A Compliance Risk Assessment is a framework to enable the evaluation and analysis of the overall Compliance risk (both inherent ri ...
Due Diligence requirement for MF Distributorsaditya72
DDQ is not meant only for the select few ; it is a minimum compliance set to be followed by every Mutual Fund distributor, to shape up a perfect business model
This presentation provides a highlight of the key issues in the management of Market Risk. It touches briefly some of the elements of the Basel 2 Accord with respect to Market Risk
How a New Insurance Company Hit the Ground Running Using KyribaKyriba Corporation
In January of 2016, MetLife announced plans to spin off a substantial portion of its US retail business (Brighthouse Financial – “BHF”). MetLife engaged EY to support efforts with due diligence and day 1 operational readiness support, that culminated with the completion of the separation on August 4th, 2018. However, the journey to becoming a self-operating company would take another 10 months, that started months before the official separation. BHF went through a thorough assessment of infrastructure inventory at MetLife to determine critical systems required to be self-sustainable and exit aggressive TSA timelines, whilst becoming a low cost provider to the market. As part of that effort, BHF identified Treasury technology as a critical path solution. Following a detailed assessment of business requirements and accelerated market scan/selection process, Brighthouse Financial chose Kyriba as their preferred Treasury Management System vendor. The main challenge BHF faced was to standardize a custom legacy solution that MetLife had been using for 20+ years that included 40+ interface connections from various mainframe systems through a highly customized solution providing cash visibility and a centralized payment control process. Brighthouse successfully implemented Kyriba in June of 2018, and are now full live with visibility of cash activity across 500+ accounts. The purpose of this session will be to walk through BHF’s journey from design through deployment, and provide an overview of the mythology they used to provide control across a program that saw 150+ solutions “Go Live” in parallel to Kyriba.
Robert Tarola, President of Right Advisory LLC, presented "CFO as Advisor" to the Innovation Summit sponsored by the MACPA in Baltimore, MD on June 16, 2014. It outlines how finance professionals can enhance their value to an organization by providing the appropriate context to their insights and advice.
Right Advisory LLC's services include helping finance professionals, executives and boards understand their organization strengths and challenges.
Webinar Deck: Efficient Methods for Managing Global Cash in Today's Regulator...Kyriba Corporation
Check out our powerpoint for Efficient Methods for Managing Global Cash in Today's Regulatory Regime where the expert speakers explored proven liquidity and intercompany cash management strategies, as well as tax/treasury collaborative initiatives that can help optimize global cash in an ever-changing complex environment.
Webinar Deck: Efficient Methods for Managing Global Cash in Today's Regulator...
True Portfolio Diversification
1.
2. This presentation does not constitute an offer or solicitation of an offer for the purchase or sale of any securities. The risk of loss in trading commodities can be substantial. You should therefore carefully consider whether such trading is suitable for you in consideration of your overall financial condition. The high degree of leverage that is often obtainable in commodity trading can work against you as well as for you. The use of leverage can lead to large losses as well as gains. In some cases, managed commodity accounts are subject to substantial charges for management and advisory fees. It may be necessary for those accounts that are subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the commodity trading advisor (CTA). The regulations of the Commodity Futures Trading Commission (CFTC) require that prospective clients of a CTA receive a disclosure document at or prior to the time an advisory agreement is delivered and that certain risk factors be highlighted. This document is readily accessible from the CTA. This brief statement cannot disclose all of the risks and other significant aspects of the commodity markets. Therefore, you should proceed directly to the disclosure document and study it carefully to determine whether such trading is appropriate for you in light of your financial condition. You may request delivery of a hard copy of the disclosure document, which will be provided to you at no cost. The CFTC has not passed upon the merits of participating in this trading program nor on the adequacy or accuracy of the disclosure document. Other disclosure statements are required to be provided before a commodity account may be opened for you. Past performance is not necessarily indicative of future results. 1 1
21. Systems Research and Technology Crude Oil Buy System Executive Summary Investment Strategy Systems Research and Technology Risk Management Performance Management Biographies Terms and Contact Information Our unique filter disallows the acceptance of trade entry signals when market conditions are not favorable (red bars). The red “dotted” line represents stop levels where the trade will exit. 5
22. Systems Research and Technology Crude Oil Sell System Executive Summary Investment Strategy Systems Research and Technology Risk Management Performance Management Biographies Terms and Contact Information In this “sell” or short system, the filter allows trade signals during the periods shown as red bars. Again, the red dotted line represents the buy stop levels to exit the short trade. 6
27. Risk Management Intrinsic diversification among markets Executive Summary Investment Strategy Systems Research and Technology Risk Management Performance Management Biographies Terms and Contact Information 8
28. Risk Management Zinc Systems - 2008 Executive Summary Investment Strategy Systems Research and Technology Risk Management Performance Management Biographies Terms and Contact Information We traded 26 different systems for Zinc in 2008. The return for each profitable system is less than 0.20% and some systems produced a small loss. When aggregated, however, the overall return was over 1.4% (green bar). This diversification within each market is designed to produce superior returns, while minimizing the negative contribution from lagging systems. There is risk of loss with trading commodities. Past performance is not necessarily indicative of future results. 9
37. Performance Lexington Keystone Trading Program Executive Summary Investment Strategy Systems Research and Technology Risk Management Performance Management Biographies Terms and Contact Information Performance is presented after all fees and expenses. Inception to Date Annualized Return 16.45% Average Winning Month 5.13% Average Losing Month -3.11% Largest Winning Month 22.90% Largest Losing Month -8.10% # of Winning Months/Losing Months 20/16 Annualized Sortino Ratio 1.49 Calmar Ratio 1.02 Past performance is not necessarily indicative of future results. 11
38. Performance Executive Summary Investment Strategy Systems Research and Technology Risk Management Performance Management Biographies Terms and Contact Information Past performance is not necessarily indicative of future results. 12
39. Performance Executive Summary Investment Strategy Systems Research and Technology Risk Management Performance Management Biographies Terms and Contact Information Total Return and Maximum Drawdown, Oct., 2006 - May, 2009 Past performance is not necessarily indicative of future results. 13
40. Management Biographies Rob Hounshell, CFA - President Rob has been a hands-on investment portfolio manager for over 20 years with various large financial institutions. He oversees and participates in all areas of Lexington Asset Management, and is also the principal trader. Rob is a graduate of Wake Forest University with a B.S. in Business, earned his MBA from Xavier University and holds the Chartered Financial Analyst (CFA) designation. Executive Summary Investment Strategy Systems Research and Technology Risk Management Performance Management Biographies Terms and Contact Information Mark Helweg – Chief Research and TechnologyOfficer Markhas been involved in futures trading, trading system development and CTA management since 1988. His engineering background serves as a foundation for the quantitative research methodology he uses to design and test superior trading systems. Mark has authored books and several articles regarding systematic futures trading. He is a graduate of the University of Memphis and earned a B.S. in Mechanical Engineering and a minor in Mathematics. Sam Varner – Chief Marketing Officer Samhas performed various duties during his extensive managed futures career, including commodities research, new business development and administration. Sam’s focus with Lexington Asset Management is client acquisition and retention. Sam is a graduate of the University of Mississippi with a B.A. in Marketing. Drew Day - Chief Operations Officer Drew leads the operational activities of Lexington Asset Management. He is responsible for compliance and operations management, human resources, accounting, and annual audits. He also assists with business development initiatives. He started his investment career with Landmark Asset Management in 2003. He also has served as a relationship manager and trainer for personal bankers at Branch Banking & Trust Co. Drew is a graduate of Union University with a Bachelor of Sciences in Business Administration degree in Management. 14
51. Current Assets Under Management $30 millionContact Information Rob Hounshell, CFA rob@lexingtonam.com 919.325.1819 Office 919.414.8678 Cell www.lexingtonam.com 15