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.
Neil Fowler: Managing Director, WBS Training
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. To register click here!
Conference Programme: Click here to download
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
Pre-Conference Workshop Day: Wednesday 16th October
Workshop day Schedule: 09.00 - 18.00
Attend one of the 4 following workshops and receive a 1 hour complimentary round table as part of the workshop day. The round tables are only for delegates attending the workshops!
Workshops Schedule: 09.00 - 16.45:
Funding, Credit, Debit & Capital Adjustments: Unravelling Present Issues In Pricing by Massimo Morini: Head Of Interest Rate & Credit Models,Coordinator Of Model Research, Banca IMI
Constructing and Calibrating Long Dated Heavily Multifactor Models for CVA/PFE in Risk Neutral and Real World Measure by Alexander Sokol: CEO and Head of Quant Research, CompatibL
Collateral Management and Measuring the Real Cost of a Derivatives Business by Gordon Lee: Director, CVA Quant, UBS & Rade Plavsic: Consultant, formerly Executive Director, Fixed Income Trading, UBS
Discounting, Funding, Collateral: From clean theory to practical model implementations (with source code and exercises) by Christian Fries: Head Of Model Development, DZ Bank & Jörg Kienitz: Head Of Quantitative Analytics, Deutsche Postbank
Pre-Conference Workshop Day:
New Roundtables:
New for this year as part of the workshop day on Wednesday 16th October delegates attending the workshop day will be able to attend 1 of 4 complimentary Roundtables on a first come first served basis. So sit down relax have a glass of wine and chat informally to the experts.
Roundtable Schedule: 17.00 - 18.00
Roundtable 1: Examining the Latest Techniques for Collateral, Discounting & Funding: Vladimir Piterbarg: Global Head Of Quantitative Analytics Group, Barclays
Roundtable 2: Reviewing Current Issues of CVA & FVA Pricing:
Massimo Morini: Head Of Interest Rate & Credit Models, Banca IMI
Roundtable 3: Latest Practical Quantitative CVA Advancements:
Andrew Green: Head Of Quantitative Research, CVA/FVA, Lloyds Banking Group
Roundtable 4: Current Developments in Multi Curves & Interest Rate Modelling: Marc Henrard: Quantitative Research, OpenGamma
This year's leading industry experts include:
Jesper Andreasen: Global Head of Quantitative Research, Danske Bank
Alexander Antonov: Senior Vice President, Quantitative Research, Numerix
Andrey Chirikhin: Head of CVA Quantitative Analytics, Markets, RBS
Moorad Choudhry: Professor, Department of Mathematical Sciences, Brunel University
Stéphane Crépey: Professor, Department of Mathematics, University of Evry
Dariusz Gatarek: Risk Methodology Specialist, Unicredit
Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group
Marc Henrard: Quantitative Research, OpenGamma
Stefan Jaschke: Head of Quantitative Analysis Munich RE
Milena Imamovic-Tomasovic: Head of CVA, DVA and Funding Methodology, Deutsche Bank
Alex Lipton: Co-Head of Global Quantitative Group Bank of America Merrill Lynch
Massimo Morini: Head of Interest Rate & Credit Models, Banca IMI
Vladimir Piterbarg: Global Head of Quantitative Analytics Group, Barclays
Dmitry Pugachevsky: Director of Research, Quantifi
Michael Pykhtin: Senior Economist, Federal Reserve Board
Riccardo Rebonato: Head of Rates & FX Analytics, PIMCO
Dan Rosen: CEO, R2 Financial Technologies
Alexander Sokol: CEO and Head of Quant Research, CompatibL
Igor Smirnov: Head of Fixed Income Quantitative Research Europe, Banco Santander
Full Confirmed & Invited: Speaker List
Dariusz Gatarek from UniCredit's CVA team & Juliusz Jablecki of The National Bank of Poland will be presenting a new model for default correlation. The Federal Reserve Board Senior Economist Michael Pykhtin's new research focuses on systemic wrong way risk and Andrey Chirikhin Head of CVA and CCR(IMM) Quantitative Analytics at RBS looks at big compute vs big data in counterparty risk analysis.
As the FVA debate moves forward presentations this year look at a more technical side of the debate. Alexander Antonov from Numerix examines the theory and practice of FVA general instruments. Andrew Green , Head of Quantitative CVA/FVA Research at Lloyds Banking Group) will also focus on the more technical aspects of FVA. Milena Imamovic-Tomasovic , Head of CVA, DVA and Funding Methodology, Deutsche Bank asks What is next for CVA, DVA, and FVA? Collateral also focuses heavy at this year conference Vladimir Piterbarg the Global Head of Quantitative Analytics Group at Barclays talk examines optimal posting of sticky collateral. Whilst Claudio Albanese of Kings College London reviews the market inefficiencies and collateral trading strategies. Igor Smirnov Head of Fixed Income Quantitative Research Europe at Banco Santander discusses capital & liquidity factors in derivative pricing and Stefan Jaschke Head of Quantitative Analysis, Munich RE looks at Interest rate risks for reinsurance contracts; discounting and assessment of interest rate risks for long-term reinsurance contracts.
Interest rate modelling, stochastic volatility and curve building will also be discussed. Marc Henrard of OpenGamma presents on Multi-curves with stochastic spread focusing on STIR futures and their options. Riccardo Rebonato Head Of Rates & FX Analytics at PIMCO presents two session the first on A New Class of PCA-inspired affine models and secondly reviews what the practical implementation of the LMM-SABR Model can offer. Jesper Andreasen Global Head of Quantitative Research at Danske Bank asks what delta to use in a world with stochastic volatility? Stéphane Crépey Professor of Mathematics at the University of Evry presents his new model on a shifted Lévy HJM multiple curve model and applications and Stefan Schulz of UniCredit Bank from the Quantitative Cross Asset Research team presents a new stochastic model to evolve the yield curve in the real-world measure.
New Conference Discount for 2013: 20% Early bird Before 28th June!
Location: Sofitel Munich Bayerpost
Gala Dinner: Augustiner Keller
Last year's Fixed Income Conference: Testimonials
Managing Director, UBS:
"Thanks for the conference. It has been excellent!"
Director, BMO Capital Markets:
"Thanks to WBS for organizing a conference that was very useful and informative."
Director, Deutsche Bank:
"Thank you for a great conference and for looking after everyone so well."
Managing Director, Santander:
"The organizers help create a friendly atmosphere which is conducive to professionals meeting each other and swapping hints and tips...Thoroughly recommended!"
Quantitative Analysis, Mizuho International:
"The event was really well organized and the quality of presentations and speakers was of a very high standard."
Managing Director, BBVA:
"A very good event to follow the new trends with the best specialists."
Risk Model Validation, BNP Paribas:
"The event was well organised and had a great mixture of expertise and networking. It was pleasant to be there."
Conference: Sponsors
Conference Bookings: Discount Structure:
- Early Bird Discount: 20% Before 28th June
- Early Bird Discount: 10% Before 30th August
- Main Conference + Workshop (£150 Discount)
- Receive an extra 5% discount when booking 3 or more delegates
- 70% Academic Discount (FULL-TIME Students Only)
As always, delegates are not restricted to attend single streams on the main conference. You have the opportunity to hop around the different streams and attend the presentations that benefit you the most. All stream presentation times will run concurrently with each other.
Important notes:
Main Conference presentation files on USB memory sticks will be provided on arrival. The Main Conference files will also be made available for download via a password protected website a week before the event. Please print out each presentation if you wish to have hard copies before the conference and bring them with you.
Also, Wi-Fi access will be available at the hotel venue to view presentations on laptops, iPads etc.
Click here to view the PDF programme for The 8th Fixed Income Conference: Vienna, October 2012.
Main Sponsor: Numerix
Numerix is the leading provider of analytics software and services for structuring, pre-trade pricing and analysis, trade capture, valuation, and risk management, with support for commodities, credit, equities, fixed income, foreign exchange, inflation, and hybrid instruments. Founded in 1996, Numerix has over 700 clients and 50 partners across more than 25 countries.
www.numerix.com
Gold Sponsor: Quantifi
Quantifi is a leading provider of analytics, trading and risk management software for the global OTC markets. Winner of Risk Magazine’s 2012 Risk Management Product of the Year, we are trusted by the world's most sophisticated financial institutions, including five of the six largest global banks, to help them better value, trade and risk manage their exposures.
Quantifi’s next generation counterparty risk system is designed from the ground up to uniquely satisfy the rapidly evolving needs of regulatory compliance, corporate reporting and CVA trading and hedging. Incorporating the market’s most advanced, high performance Monte Carlo engine combined with super-scalable grid computing, Quantifi can support even the largest, most complex portfolios including those with significant wrong-way risk.
Learn how Quantifi, with first to market support for the latest innovations like Funding Valuation Adjustments (FVA), can help you today.
www.quantifisolutions.com
Gold Sponsor: Xcelerit
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Xcelerit is a leading software provider of cross-platform acceleration tools for financial services, engineering, and research. Xcelerit technology allow Quantitative Analyst and Financial Engineers to unlock the performance of high-end processors (multi-core CPUs and GPUs) with minor modifications to their existing source code.
For more information visit: www.xcelerit.com
Gold Sponsor: CompatibL
CompatibL is a software integrator and consultancy specializing in CVA/FVA/PFE, limits, and Basel compliance. CompatibL’s unique blend of expertise in quantitative and engineering aspects of the project makes us an ideal partner for complex implementations involving advanced Monte Carlo analytics and complex trade, market, and reference data. Our customers are some of the most respected firms in the financial industry including 4 dealers, 3 supranationals, over 20 central banks, and 3 major financial technology vendors.
For more information visit: compatibl.com
Gold Sponsor: Aquantec
Aquantec AG is a specialist in the area of software and quantitative development for the financial industry. We offer integrated solutions for pricing and trading, portfolio and risk management to financial institutions and service providers as well as corporate treasurers.
For more information visit: www.aquantec.com
Gold Sponsor: Deloitte
Deloitte provides audit, tax, consulting, and financial advisory services to public and private clients spanning multiple industries. With a globally connected network of member firms in more than 150 countries, Deloitte brings world-class capabilities and high-quality service to clients, delivering the insights they need to address their most complex business challenges. Deloitte has in the region of 200,000 professionals, all committed to becoming the standard of excellence.
For more information visit: Financial Risk Solutions
Silver Sponsor: OpenGamma
OpenGamma helps financial services firms unify their calculation of analytics across the traditional trading and risk management boundaries.
The company’s flagship product, the OpenGamma Platform, is a transparent system for real-time, cross-asset-class risk management and analytics. Provided under an open source license, the Platform contains tools for pre-trade and 'what-if' risk calculations, stress testing and scenario analysis, and risk aggregation across asset classes, strategies and portfolios.
Used by hedge funds, banks, asset managers, clearing houses, insurance companies and other market participants, the Platform brings a new standard of transparency to the industry, and enables users to gain more insight into their overall exposures and respond faster to changing market conditions.
For more information, visit www.opengamma.com
Silver Sponsor: Wiley
Over the years, financial professionals around the world have looked to Wiley and the Wiley Finance series with its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley continues to respond.
With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.
For further information please contact: finance_uk@wiley.co.uk
www.wiley.com
www.wileyglobalfinance.com