World Business StrategiesServing the Global Financial Community since 2000

Friday 6th March 2020

08.30 - 09.00
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
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
Analytic Pricing of Options on Compounded Rates
  • Extension of Hull-White framework to address compounded rates
  • Derivation of analytic pricing kernel
  • Application to cap, floor and swaption pricing
  • Options on averaged SONIA payoffs

Colin Turfus:

Quantitative Analyst, Deutsche Bank

Colin Turfus: Quantitative Analyst, Deutsche Bank

Colin Turfus has worked for the last twelve years as a financial engineer, mainly analysing model risk for credit derivatives and hybrids. More recently his interest has been in the application of perturbation methods to risk management, finding efficient analytic methods for computing, e.g., CVA, VaR and model risk. He is currently working in Global Model Validation and Governance at Deutsche Bank. He also taught evening courses on C++ and Financial Engineering at City University for seven years. Prior to that Colin worked as a developer consultant in the mobile phone industry after an extended period in academia, teaching applied maths and researching in fluid dynamics and turbulent dispersion.

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
Pitfalls of ISDA Protocol
  • ISDA Benchmark Supplement and Protocol amendments
  • Controversies around pre-cessation trigger: ISDA, FCA and ICE prospective
  • Potential complications with bilateral trades

Sasha Polishchuk:

Director, Product Control Regulatory Initiatives, RBC

Sasha Polishchuk: Director, Product Control Regulatory Initiatives, RBC

With 20 years of Experience in Capital Markets, Sasha spent 8 years in RBC’s valuation function covering wide range of financial products including interest rate derivatives. Most recently he has been involved with RBC’s enterprise-wide IBOR transition program as a part of his Regulatory Initiatives responsibilities within Middle Office. His prior experience included 10 years with mortgage securitization group of a leading private US mortgage lender.

11.45 - 12.30
Term Rates vs Overnight RFRs: Mind the Risk!

Abstract:

The transition from term interbank offer rates (IBOR) to alternative overnight benchmarks, so-called risk-free rates (RFR), has generated much debate and several industry consultations. We revisit term rates and associated forward rate agreement systems in two situations: a) when perfect liquidity is assumed, and b) when there is uncertainty about the availability of tenor-based term rates. We shall discuss the potential impact on borrowing costs and investment returns when only overnight risk-free interest rate benchmarks (RFRs) are available. It turns out, RFRs give maximum exposure to roll-over risk.

Andrea Macrina:

Reader in Mathematics, University College London (UCL)

Andrea Macrina: Reader in Mathematics, University College London (UCL)

Andrea holds a PhD in Mathematics from King’s College, University of London, and an MSc in Physics from the University of Bern, Switzerland. He is a Reader in Mathematics and the Director of the Financial Mathematics MSc Programme in the Department of Mathematics, University College London. He also holds an Adjunct Professorship at the University of Cape Town in the African Institute of Financial Markets and Risk Management (AIFMRM). Andrea is one of the principle developers of information-based asset pricing, a framework for the pricing of a variety of asset classes including credit, fixed-income, equity, and insurance-linked assets. He speaks at seminars and conferences where he presents research findings to academics and industry professionals. He is the co-founder of the Financial Mathematics Team Challenge (FMTC), an annual research student workshop held in Cape Town and Rio de Janeiro. Andrea’s research benefits from fruitful collaborations with international researchers, doctoral students, and practitioners of the financial service industry. He is a member of the London Mathematical Society, the American Mathematical Society, the Bernoulli Society for Mathematical Statistics and Probability, and the Bachelier Finance Society. Aside from projects in applied probability and stochastic modelling, a significant part of Andrea’s current research focuses on the transition from interbank offered rates (IBOR) to so-called risk-free rate (RFR) benchmarks.

Personal web site: https://amacrina.wixsite.com/macrina

12.30 - 13.30
Lunch
13.30 - 14.15
Post-IBOR Convexity Correction

• 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

Jérôme Bonneton:

Head of Rates & Credit Quantitative Research, Lloyds Bank

Jérôme Bonneton: Head of Rates & Credit Quantitative Research, Lloyds Bank

14.15 - 15.00
IBOR Transition and Model Uncertainty
  • How the IBOR transition impacts other models
  • Definition of model uncertainty
  • ML techniques to deal with uncertainty propagation through the model inventory

 

Jos Gheerardyn:

Co-founder and CEO, Yields.io

Jos Gheerardyn: Co-founder and CEO of Yields.io

Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques on imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven.

15.00 - 15.15
Afternoon Break and Networking Opportunities
15.15 - 16.00
“LIBOR through a FRTB lens”
  • Program Overlap
  • Technical overall
  • At the model/data level NMRF etc where the two can help each other

Satinder (Sid) Jandu:

Managing Director, Viewset limited

Satinder (Sid) Jandu: Managing Director, Viewset limited

16.00 - 16.45
Review the Modelling Framework for Risk Free Rates Replacing Libor
  • What are the key impacts on the models?
  • Do we need to change our MRM policy?
  • What approach?
  • What future should be expected?

Maurizio Garro:

Senior Lead – IBOR Transition programme, Lloyds Banking Group

Maurizio Garro: Senior Lead – IBOR Transition programme, Lloyds Banking Group

Maurizio Garro works as a Senior Lead BA for the IBOR Transition programme at Lloyds Banking Group, where he is leading the delivery of the changes required for models, curves and products for the transition to the alternative risk-free rates for the Front and Back book. His background is in quantitative risk management, Model Risk, Market Risk, Counterparty Credit Risk, Pricing, Liquidity and Stress Testing.

He has a long-standing experience as an internal auditor, consultant and banker in model risk management and previously worked in the Development and Validation teams of top-tier financial institutions in Europe, U.S., and the U.K. for over 15 years.

Maurizio is a  frequent speaker on various topics in risk management, a member of the Institute of Internal Auditor and the Director of the Global Association of Risk Professional (GARP) London Chapter.

Maurizio Garro received his Master Degree in Economics from the Bocconi University of Milano and a certificate in Financial Risk Management (FRM) from GARP.

  • 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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