World Business StrategiesServing the Global Financial Community since 2000

Thursday 5th March 2020

08.00 - 09.00
Registration and Morning Welcome Coffee
Conference Chair

Navin Rauniar:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.

Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.

Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.

09.00 - 09.45
Ibor to RFR – Overview and Recap
  • Context – financial markets affected
  • The wider benchmark reform agenda
  • Types of term benchmark rate
  • ARR methodologies/jurisdictions
  • Global progress – EU vs. UK vs. US

Navin Rauniar:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.

Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.

Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.

09.45 - 10.30
A Quant Perspective on LIBOR Fallback
  • The current status on fallback
  • Potential difficulties with the proposed options
  • Value transfer in the fallback
  • The RFR term rates

Marc Henrard:

Managing Partner muRisQ Advisory and Visiting Professor, University College London

Marc Henrard: Managing Partner muRisQ Advisory and Visiting Professor, University College London

Over the last 20 years, Marc has worked in various areas of quantitative finance. Marc’s career includes Head of Quantitative Research at OpenGamma, Global Head of Interest Rate Modeling for Dexia Group, Head of Quantitative Research and Deputy Head of Interest Rate Trading at the Bank for International Settlements (BIS) and Deputy Head of Treasury Risk also at BIS.

Marc’s research focuses on interest rate modeling and risk management. More recently he focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design, regulatory costs). He publishes on a regular basis in international finance journals, and is a frequent speaker at academic and practitioner conferences. He recently authored two books: The multi-curve framework: foundation, evolution, implementation and Algorithmic Differentiation in Finance Explained.

Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has been research scientist and university lecturer in Belgium, Italy, Chile and the United Kingdom.

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
Focusing on the Quantitative Impacts and Challenges on Risk Models

Maria R Nogueiras:

Head of Collateral Risk Analytics, Global Risk Analytics, HSBC

Maria R Nogueiras: Head of Collateral Risk Analytics, Global Risk Analytics, HSBC

11.45 - 12.30
IBOR Transition and linkage to the Risk & Capital Framework

Adolfo Montoro:

Director, Global Market Risk Analytics, Bank of America

Adolfo Montoro: Director, Global Market Risk Analytics, Bank of America

Adolfo Montoro FRM, is a director in the Global Market Risk Analytics, Bank of America in London. Previously he lead the Market Data Strategy and Analytics team and represented Deutsche Bank in the Industry FRTB Working Group supporting elements of the FRTB implementation and advocacy for the Bank over the last five years. Previously he has been in charge of the Strategic implementation of Full Revaluation-based suite of VaR model ensuring as well the adequacy of quantitative methodologies used for market risk management and regulatory purposes (Pillar I and II). He has earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honours) from Universita’ della Calabria, Italy. He has earned his Financial Risk Manager (FRM) certification in 2005. Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee.

12.30 - 13.30
Lunch
13.30 - 14.15
“Looking forward to backward-looking rates: A Modeling framework for rates replacing IBORs”
  • Introducing backward-looking rates
  • Extending classic framework to model both forward- and backward-looking rates
  • Modeling generalized forward rates using Forward Market Model (FMM)
  • Completing FMM using Markovian HJM extension
  • Implementing the new modeling framework
  • Numerical examples

Andrei Lyashenko:

Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.

Andrei Lyashenko: Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.

Andrei Lyashenko is the head of Market Risk and Pricing Models at the Quantitative Risk Management (QRM), Inc. in Chicago.  His team is responsible for research, implementation and support of pricing and risk models across multiple asset classes.  In November 2019, he was awarded the prestigious Quant of the Year award, jointly with Fabio Mercurio from Bloomberg, L.P., for their Risk Magazine paper on modeling backward-looking rates.

Andrei is also adjunct professor at the Illinois Institute of Technology.  Before joining the QRM in 1997, Andrei was on the mathematical faculty at the University of Illinois at Chicago and Iowa State University.  Prior to coming to the US, he conducted academic research in applied math in Russia, Japan and Italy and published numerous research papers in the area of fluid stability in major mathematical journals.  He holds a BSc in Mathematics from the Novosibirsk State University, Russia and a PhD in Mathematics from the Russian Academy of Science.

14.15 - 15.00
‘Practical Implications from the changes to €STR and what will happen to Euribor’

Antoine Bouvet:

Senior Rates Strategist, ING

Antoine Bouvet: Senior Rates Strategist, ING

Antoine is a Senior Rates Strategist covering developed rates markets. He bases his views on macro developments spanning economics, central banks, supply, and cross-markets dynamics, and finds the optimal way to implement them using quantitative methods. He previously worked at Mizuho international as a Rates Strategist and at MUFG as a Rates Trader.

15.00 - 15.30
Afternoon Break and Networking Opportunities
15.30 - 16.15
Pricing of Options and the Transitioning from Libor to RFR Rates
  • Yield Curve construction
  • Derivatives pricing
  • Application to cap, floor and Swaption pricing in the transition period when booth Libor and OIS co-exist

Emiliano Papa:

Director – Quantitative Analyst, Deutsche Bank

Emiliano Papa: Director – Quantitative Analyst, Deutsche Bank

  • Director – Quantitative Analyst, Deutsche Bank
  • PhD in Theoretical Physics Oxford
  • Lecturer at University of Texas at Austin
16.15 - 17.00
Panel: Interest Rate Reform
  • There is a lot of rhetoric issued by the BoE and Fed on using backward looking rates – how are you coping with the modelling challenge around moving from forward to backward looking rates?
  • Are you finding different functions within your institutions adopting different approaches?
  • Globally we receive conflicting messages where BoE says no to RFR + CS and Fed being open to RFR + CS. The same applying to backward vs. forward looking – are we heading to multi rate environment where no single discounting curve will take precedence? Does this not just increase the level of systemic risk to the economy, alongside the idiosyncratic risks that currently exist

 

  • For SONIA the data goes back to 1997 and makes it easier to model given the existence of this RFR. Nevertheless, there is a lot of debate around the construction of SOFR. From a quant perspective, is SOFR viable in the long run?
  • Given the Sept spike in SOFR, does SOFR represent a real risk free rate?
  • So we did not see the spikes in Dec, but we hear much rhetoric about the US economy slowing (coronavirus, trade wars, etc), how do we see SOFR behaving over the next year or so? From a quant perspective have you modelled this?
  • If we do reach that economic stress point, do we see “SOFRgeddon” occurring i.e. SOFR heads south?
  • And risk is not just about looking forward, but looking backwards – how about modelling the time series for SOFR? Are we comfortable taking o/n LIBOR and applying spread adjustment, or what about FF or Prime?

 

  • In summary, given what we have talked about, have you as a client, started modelling for alternatives such as AMERIBOR, ICE BYI, SONET, AONIA? How about an IR with a CS component added e.g. ITRX FIN, etc.?

 

  • And if not, how about modelling the dreaded Zombie LIBOR post 2022?

Navin Rauniar:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.

Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.

Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.

Vladimir Piterbarg:

MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets

Vladimir Piterbarg: MD, Head of Quantitative Analytics and Quantitative Development at NatWest Markets

Diana Ribeiro: 

Quant Director, Citi

Diana Ribeiro: Quant Director, Citi

Diana Ribeiro joined Citi in May 2022 to lead the CCR RWA Front Office team. She joined from Lloyds Banking group where she was the Deputy Head of FO Pricing Models. She started her career in quantitative research at Lehman Brothers in 2005 and has built extensive technical and leadership expertise in Interest Rates and Inflation since then. She is a regular speaker at international conferences, where she both presents her research work and serves as chair. Diana holds a PhD and a MSc in Financial Mathematics from the University of Warwick.

Nirmal Radhakrishnan:

Senior Product Manager, Global Trade and Receivables Finance, HSBC

Nirmal Radhakrishnan: Senior Product Manager, Global Trade and Receivables Finance, HSBC

Clive Tucker:

MD, Head of Structured Rates Trading Europe & Asia, RBC Capital Markets

Clive Tucker: MD, Head of Structured Rates Trading Europe & Asia, RBC Capital Markets

 

Adolfo Montoro:

Director, Global Market Risk Analytics, Bank of America

Adolfo Montoro: Director, Global Market Risk Analytics, Bank of America

Adolfo Montoro FRM, is a director in the Global Market Risk Analytics, Bank of America in London. Previously he lead the Market Data Strategy and Analytics team and represented Deutsche Bank in the Industry FRTB Working Group supporting elements of the FRTB implementation and advocacy for the Bank over the last five years. Previously he has been in charge of the Strategic implementation of Full Revaluation-based suite of VaR model ensuring as well the adequacy of quantitative methodologies used for market risk management and regulatory purposes (Pillar I and II). He has earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honours) from Universita’ della Calabria, Italy. He has earned his Financial Risk Manager (FRM) certification in 2005. Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee.

  • Discount Structure
  • Special Offer
    When two colleagues attend the 3rd goes free!

  • Conference + Workshop
    £300 Discount

  • 70% Academic Discount
    (FULL-TIME Students Only)

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