World Business StrategiesServing the Global Financial Community since 2000

Friday 6th March 2020

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
Impact of IBOR on Risk Metrics and Models
  • Risk Data
  • Risk Metrics
  • Risk Calculation
  • Model Governance
  • Product Governance

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
The Challenges for Volatility Products post IBOR

Presenter to be confirmed

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
Swaptions Modelling in a World Transitioning from IBOR References to SOFR Style Indices

Dominique Bang: 

Director, Head of Interest Rates Vanilla Modelling, Bank of America Merrill Lynch

Dominique Bang: Director, Head of Interest Rates Vanilla Modelling, Bank of America Merrill Lynch

Dominique Bang received his PhD from Observatory of Paris (2002) in the field of ‘Mathematical Methods applied to Celestial Mechanics’. He moved into quantitative finance in 2006. Dominique has since been working in Bank Of America Merrill Lynch in the Interest Rates Quantitative Team. As a Director, he is now more focusing on Interest Rates Vanilla and Quasi-Vanilla products.

11.45 - 12.30
Tractable and Arbitrage Free Smile Interpolator
  • Lamperti Transform for local volatility models
  • Drift reduction and measure change
  • Application to piecewise linear local volatility

Elias Daboussi:

Quantitative Analyst, Bank of America Merrill Lynch

Elias Daboussi: Quantitative Analyst, Bank of America Merrill Lynch

Elias Daboussi is a quantitative analyst at Bank of America since 2016. After graduating from University Paris-Diderot and Supelec in 2014, he has specialized in the Rates and Hybrids area, first in the Model Risk Management Group, and now as part of the Quantitative Strategies Group.

12.30 - 13.30
Lunch
13.30 - 14.15
‘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.

14.15 - 15.00
Consider the Challenges of Constructing a Curve for Derivatives Discounting
  • 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

 

Rishaar Rawal:

Director, Valuations Methodology, RBC Capital Markets

Rishaar Rawal: Director, Valuations Methodology, RBC Capital Markets

15.00 - 15.15
Afternoon Break and Networking Opportunities
15.15 - 16.00
Review The Modelling Frameworks for Risk Free Rates Replacing LIBOR

Presenter to be confirmed

  • 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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