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:

LIBOR Transition Lead, HSBC

Navin Rauniar: LIBOR Transition Lead, 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:

LIBOR Transition Lead, HSBC

Navin Rauniar: LIBOR Transition Lead, 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:

Global Head of Market Data Strategy & Analytics, Deutsche Bank

Adolfo Montoro: Director, Global Head of Market Data Strategy & Analytics, Market Valuation Risk Management Deutsche Bank

Adolfo Montoro FRM, is a Director within Deutsche Bank’s Market Risk Management & Risk Methodology department in London. He currently leads the Market Data Strategy and Analytics team and represents DB 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 Terms Rates Replacing LIBOR
  • A quick overview of the LIBOR transition
  • Introducing the concept of extended zero coupon bond
  • Defining and modeling in-arrears rates
  • Modeling both forward-looking and backward-looking forward rates
  • Modeling general forward-rate dynamics
  • Introducing the generalized Forward Market Model (FMM)
  • Differences between the FMM and the classic LMM
  • The valuation of vanilla derivatives in the FMM
  • Numerical examples

Presenter to be confirmed

Fabio Mercurio: 

Head of Quant Analytics at Bloomberg L.P.

Fabio Mercurio: Head of Quant Analytics at 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.

14.15 - 15.00
Looking Forward to Backward-Looking Rates: A Modeling Framework for Terms Rates Replacing LIBOR
  • Assess the need for a discounting curve associated with the risk free rates and the difficulties creating one.
  • Consider the lack of available data to hand , and the difficulties this causes: The chicken and egg problem
  • Assess the problems with proxies and over-extrapolation in constructing an effective discounting curve
  • Consider methodologies to safely deal with these difficulties

Presenter to be confirmed

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.  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.

15.00 - 15.30
Afternoon Break and Networking Opportunities
15.30 - 16.15
Post-LIBOR Convexity Adjustments

• An overview of the background of convexity adjustments
• Assess the transition from LIBOR to risk-free rates payoffs
• Convexity adjustments arising from referencing adjusted rates
• Consider the differences in average versus compounding

Diana Ribeiro: 

Deputy Head of Rates Quantitative Research, CB Markets, Lloyds Banking Group

Diana Ribeiro: Deputy Head of Rates Quantitative Research, CB Markets, Lloyds Banking Group

16.15 - 17.15
Panel: Interest Rate Reform

Navin Rauniar:

LIBOR Transition Lead, HSBC

Navin Rauniar: LIBOR Transition Lead, 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: 

Deputy Head of Rates Quantitative Research, CB Markets, Lloyds Banking Group

Diana Ribeiro: Deputy Head of Rates Quantitative Research, CB Markets, Lloyds Banking Group

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:

Global Head of Market Data Strategy & Analytics, Deutsche Bank

Adolfo Montoro: Director, Global Head of Market Data Strategy & Analytics, Market Valuation Risk Management Deutsche Bank

Adolfo Montoro FRM, is a Director within Deutsche Bank’s Market Risk Management & Risk Methodology department in London. He currently leads the Market Data Strategy and Analytics team and represents DB 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.

Piotr Karasinski:

Senior Advisor, EBRD

Piotr Karasinski: Senior Advisor, EBRD

Piotr Karasinski is a pioneering quantitative analyst, best known for the Black–Karasinski short rate model which he co-developed with the late Fischer Black. His contributions to quantitative finance include models for interest rates, equity and hybrid products[1] and random volatility.[2]

He is currently Senior Advisor at the European Bank for Reconstruction and Development. He is on the editorial board of the journalQuantitative Finance[1] Previously, he has held a number of positions at leading firms in New York and London including: Managing Director at HSBC, Director and Head Derivatives Research at Citibank, MD at Chemical Bank, Director at Deutsche Bank and Vice President at Goldman Sachs.

He studied physics at Warsaw University (MSc 1978) and earned his PhD at Yale University (1984).

  • Discount Structure
  • Super early bird discount
    25% until 24th January 2020

  • Early bird discount
    15% until 14th February 2020

  • 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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