The 9th Fixed Income Conference, Sofitel Munich Bayerpost
16th, 17th & 18th October 2013

Pre-Conference Workshop Day: Wednesday 16th October: Workshop day Schedule: 09.00 - 18.00 
Attend one of the following 4 workshops and receive a 1 hour complimentary round table as part of the workshop day. 

Workshops Schedule: 09.00 - 16.45: 
Funding, Credit, Debit & Capital Adjustments: Unravelling Present Issues In Pricing by Massimo Morini:  
Constructing & Calibrating Long Dated Heavily Multifactor Models by Alexander Sokol 
Collateral Management and Measuring by Gordon Lee & Rade Plavsic 
Discounting, Funding, Collateral by Christian Fries & Jörg Kienitz

Roundtable Schedule: 17.00 - 18.00 
Roundtable 1: Examining the Latest Techniques for Collateral, Discounting & Funding with Vladimir Piterbarg 
Roundtable 2: Reviewing Current Issues of CVA & FVA Pricing with Massimo Morini
Roundtable 3: Latest Practical Quantitative CVA Advancements with Andrew Green
Roundtable 4: Current Developments in Multi Curves & Interest Rate Modelling with Marc Henrard

Main Conference Streams:
Thursday 17th October 
The Latest Practical CVA & Counterparty Credit Risk Advancements 
New Techniques in Collateral & Funding 
Interest Rate Modelling, Multi Curves & Volatility 
Friday 18th October: 
The Latest Practical CVA & Counterparty Credit Risk Advancements 
New Techniques in Collateral & Funding 
Interest Rate Modelling, Multi Curves & Volatility

The Fixed Income Conference is now in its 9th year and in 2013 we are heading to Bavaria and the wonderful city of Munich. The pre-conference workshop day now boasts 4 options, as well as 4 Roundtables (new for this year) which are available complimentary to all delegates attending the workshop day.


Our 3 streamed main conference format remains a firm favourite as the longer sessions allow presenters to develop their quants ideas and present detailed case studies. Delegates can enjoy longer breaks in an informal environment, which is ideal for networking opportunities, and relax in the evening at our traditional Bavarian complimentary gala dinner . 


In recent years the quants world has been relatively quiet with a particular focus on implementing new regulations, capital charges and disputing over FVA. However, this year's conference is the most technical for a number of years with numerous new models and extensions being showcased. So join us this October at one of world's most informative, insightful and heavily debated quants events. 


Early Bird discount: 20% before Friday 28th June. Receive an extra 5% discount when booking 3 or more delegates. Plus Register to the Main Conference + Workshop and receive a £150 discount. A total saving of £650.00.

Latest Practical CVA & FVA Advancements 
Pricing, Hedging, Computational, Trading and Modelling
(Tackling the latest challenges faced by your CVA function)
London: 24th & 25th June 2013

Day 1: Andrey Chirikhin (The Royal Bank of Scotland) focuses on the theory through to implementing the latest practical advancements of your CVA/FVA function. Attendees will get exposure to the state of art modelling methods of CVA and CCR from pure economic view on CVA/FVA to the practical aspects of designing and implementing CVA and CCR models.


Day 2: Reviews the latest practical CVA & FVA techniques. The day starts with Claudio Albanese (King's College London) reviewing the latest hedging strategies for CVA Books, followed by a presentation on CVA and counterparty risk trading techniques.


The afternoon session opens with a panel discussion looking at the latest thoughts on trading techniques, emerging markets and the on-going FVA debate, followed by Milena Imamovic-Tomasovic (Deutsche Bank) reviewing the latest thinking and examining what is next in the CVA, DVA & FVA debate. Giovanni Cesari's (UBS) concluding session begins with a short talk to introduce some key questions on CVA/FVA/RWA, followed by an informal round table discussion on; CVA prices with other front office valuations, CVA and RWA computation, collateralized transactions, the role of clearing houses and different views on FVA computation.


Register to both days of the workshop and receive a £200 discount.

Collateralization & Funding:
The Latest Pricing, Modelling & Trading Techniques (Tackling the latest challenges faced in a Collateral Sensitive Environment), London: 8th & 9th July 2013

Day 1: Rade Plavsic (Consultant, formally UBS) will present on trading Interest Rate Derivatives in a Collateral Sensitive Environment. This will take delegates through the collateral set up and collateral model via a step-by-step guide to building multiple discount curves and building a front to back model on trading collateralized derivatives. Zlatko Filipovic (UBS) will move this topic forward in the afternoon session by: Introducing the overlay of uncollateralization; Examining CVA , DVA, Cost of Funding (FVA) and cost of collateral; Introducing Credit Exposure & Counterparty Exposure Computation Techniques and CVA Computation. Case studies will highlight novation of trades in practise taking into account CVA, DVA and FVA.

Day 2: Andrea Pallavicini's (Banca IMI) 3 hour morning presentation will focus on pricing in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects & CCP Clearing. It will review the relationship between hedging strategies and banks liquidity policies and moving on to understand interest rate and FX modelling for funding and collateralised products. 

The afternoon session on day two will review practical approaches to funding, pricing, trading and modelling in collateralized markets. Claudio Albanese (King's College London) will examine collateral trading Strategy and FVA Optimization, followed by an informal round table discussion with collateralization and funding expert Igor Smirnov (Banco Santander) on practical approaches to funding, pricing, trading and modelling in collateralized markets. In summary, this event will examine the impact of collateral on interest rate products, by reviewing recent modelling advancements on collateral and derivatives pricing.  

Register to both days of the workshop and receive a £200 discount.