Thursday 21st October (All times are BST)
09.00 - 10.00
“SABR Smiles for RFR Caplets”
- Pricing of caplets on compounded overnight rates
- Natural extension of the market standard SABR model to account for the volatility decay in the accrual period
- Allows to look at backward and forward-looking smiles in normalized units
Sander Willems:
SRT Quants, RBC Capital Markets
Sander Willems: SRT Quants, RBC Capital Markets
Sander Willems is a Quantitative Analyst in the Structured Rates Quant team at RBC Capital Markets in London. Prior to joining RBC, he was working in the Pricing Model Risk team at NatWest Markets in London. Sander holds a Ph.D. in Mathematical Finance from the Swiss Federal Institute of Technology in Lausanne (EPFL), where he was also affiliated with the Swiss Finance Institute. His academic research on derivative pricing has been published in leading peer-reviewed journals. Prior to his doctoral studies, he received a Master of Science in Mathematics from Ghent University and an Advanced Master in Quantitative Finance from Solvay Brussels School of Economics and Management (ULB).
10.00 - 11.00
LIBOR Reform and the ICE LIBOR Swap Rate Fixing
Oscar Arias:
Head of Structured Rates Quantitative Analytics, NatWest Markets
Oscar Arias: Head of Structured Rates Quantitative Analytics, NatWest Markets
Oscar did his undergraduate education in Harvard University, where he studied Applied Mathematics and graduated in 2003. He then obtained an MSc in Statistics from the London School of Economics and in 2005 started his professional career at ABN AMRO, working in the interest rate quant team in London. He joined the Royal Bank of Scotland with the merger in 2008 and has been the head of Structured Rates Quantitative Analytics in Natwest Markets since 2015.
11.00 - 11.30
Morning Break and Networking Opportunities
11.30 - 12.30
Industry Progress and Operational Readiness Towards the Transition
Erik Vynckier:
Interim Chief Executive, Foresters Friendly Society
Erik Vynckier: Interim Chief Executive, Foresters Friendly Society
Erik Vynckier is board member of Foresters Friendly Society and chair of the Investment Committee, following a career in investment banking, insurance, asset management and the petrochemical industry. He has been Chief Investment Officer and Chief Executive Officer and frequently consults in investment management, quantitative risk management and derivatives.
He co-founded EU initiatives on high performance computing and big data in finance and co-authored “High-Performance Computing in Finance” and “Tercentenary Essays on the Philosophy and Science of Leibniz”. Erik graduated as MBA at London Business School and as chemical engineer at Universiteit Gent.
12.30 - 13.30
Calibrating the SOFR Term Structure and Other Modelling Challenges
- Daily compounding and payment in arrears
- SOFR futures
- Calibrating SOFR curves
- SOFR rates for FRN’s and loans
- Lookbacks and lockouts
- Challenges for XVA simulations
Dmitry Pugachevsky:
Director, Research, Quantifi
Dmitry Pugachevsky: Director, Research, Quantifi
Dr Dmitry Pugachevsky is responsible for managing Quantifi’s global research efforts. Prior to joining Quantifi in 2011, Dmitry was Managing Director and a head of Counterparty Credit Modeling at JP Morgan. Before starting with JPMorgan in 2008, Dmitry was Global Head of Credit Analytics at Bear Stearns for seven years. Prior to that, he worked for eight years with the analytics groups of Bankers Trust and Deutsche Bank. Dmitry received his PhD in applied mathematics from Carnegie Mellon University. He is a frequent speaker at industry conferences and has published several papers and book chapters on modeling counterparty credit risk and pricing derivatives instruments.
14.30 - 15.30
Modelling and Calibrating Volatility Decay Factors
Fabio Mercurio:
Global Head of Quant Analytics, Bloomberg L.P.
Fabio Mercurio: Global Head of Quant Analytics, Bloomberg L.P.
Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio is also adjunct professor at NYU. He has jointly authored the book ‘Interest rate models: theory and practice’ and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.
15.30 - 16.00
Afternoon Break and Networking Opportunities
16.00 - 17.00
SOFR/LIBOR Transition Impact on Markets Fallbacks
Jonathan Rosen:
Product Manager, Quantitative Analytics, Fincad
Jonathan Rosen: Product Manager, Quantitative Analytics, Fincad