Overview
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.
Day 1: 09.00 - 12.30 Trading Interest Rate Derivatives in a Collateral Sensitive Environment
Trading Interest Rate Derivatives in a Collateral Sensitive Environment
Presenter: Rade Plavsic: Consultant, formerly Executive Director, Fixed Income Trading, UBS
09.00 - 10.30: A Step-by-Step Guide to Building Multiple Discount Curves
- Introduction
- Market Instruments
- Single Currency model
- Multiple discount curves; simplified model
- Blended curves; final model
- Q&A
10.30 - 10.45: Break
10.45 - 12.30: Trading Collateralised Derivatives: A Front to Back Model
- Merging the short end and the long end of the curve
- Multiple discount model with a unified curve
- Risk origination, segregation and aggregation
- Existence of the bank-internal markets
- Collateral management, secured funding and repo markets
- Q&A
12.30 - 13.30: Lunch
Day 1: 13.30 - 17.30 Trading Interest Rate Derivatives in a Collateral Sensitive Environment
Trading Interest Rate Derivatives in a Collateral Sensitive Environment
Presenter: Zlatko Filipovic: Executive Director, CVA Quant team, UBS
13.30 - 15.15: Counterparty Credit Exposure
Introduction:
- Desk Organization
- Definitions and basic concepts
Introduction to Credit Exposure:
- Basic exposure concepts
- Typical exposure measures: PFE, EPE, Expected Shortfall
Counterparty Exposure Computation Techniques:
- Add-ons
- Semi analytical formulas
- Monte Carlo framework and scenario consistency
- Simple simulation models for vanilla products
- AMC framework
- Computing exposure for simple products
Portfolio Modelling:
- Netting vs. no-netting
- Break clauses vs. callability
- Triggers
15.15 - 15.30: Break
15.30 - 17.30: CVA , DVA, Cost of Funding (FVA) and Cost of Collateral
Introduction to CVA:
- Definition and basic concepts
- Default probabilities : Historical vs. Implied
CVA Computation:
- Methodology: Link with EPE
- C-CDS representation
- CVA example computation
- CVA sensitivity to market risks
Cost of Funding (FVA):
- Relationship between FVA, DVA and cost of collateral
- DVA, Own credit
Case Studies:
- Novation of trades in practise taking into account CVA, DVA and FVA
- One-way ins
- One way outs
- Assymetric CSAa
- Fully collateralised
- Uncollaterlised
CVA, FVA Desk Organization
Day 2: 09.00 - 12.30 Pricing in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects, CCP Clearing
Pricing in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects, CCP Clearing
Presenter: Andrea Pallavicini: Head of Equity, FX & Commodity Models, Banca IMI
09.00 - 12.30:
Funding, Collateral and Hedging
- Pricing under the ISDA Master Agreement
- Gap Risk and Default Contagion
- Funding Risk and Liquidity Policies
- CVA Desk, Treasury and Bank's Structure
Collateralized Interest-Rate and FX Derivatives
- Inspecting Money Market Quotes
- Multiple-Curve Collateralized HJM Framework
- Pricing Uncollateralized Deals
- Funding in Different Currencies
Central Counterparty Clearing
- Pricing Over-Collateralized Deals
- Funding Initial Margins
- Margin Period of Risk and Settlement Liquidity Risk
- Evaluating Haircuts
10.30 - 10.50: Break
12.30 - 13.30: Lunch
Day 2: 13.30 - 16.45 Practical Approaches to Funding, Pricing, Trading & Modelling in Collateralized Markets
Practical Approaches to Funding, Pricing, Trading & Modelling in Collateralized Markets
13.30 - 14.45: Reviewing Collateral Trading Techniques:
Claudio Albanese: Professor, Department of Mathematics, King’s College London
Collateral Trading Strategy and FVA Optimization
- Why the FVA on variation margin should theoretically be zero
- Why the FVA on variation margin is not zero
- Structuring REPO contracts with derivatives as general collateral
- FVA on initial margin
- Transfer pricing and collateral rate discounting
- FVA modeling and hedging
14.45 - 15.30:Collateralization & Funding Round Table:
Practical Approaches to Funding, Pricing, Trading & Modelling in Collateralized Markets
Igor Smirnov: Head of Fixed Income Quantitative Research Europe, Banco Santander
15.30 - 15.45: Break
15.45 - 16.45: Examining the Impact of Collateral on Interest Rate Products:
Reviewing Recent Modelling Advancements on Collateral and Derivatives Pricing
Presenter to be confirmed
Details
Flight details:
All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.
Sponsorship:
World Business Strategies offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 201352
Disclaimer:
World Business Strategies command the rights to cancel or alter any part of this programme.
Cancellation:
By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.
Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.
Booking
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Fees: £1099 per day
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