World Business StrategiesServing the Global Financial Community since 2000

Conference Day 1: Monday 13th July

9am EDT / 2pm BST / 3pm CET
Keynote: LIBOR Transition in the EU - State of Play

What happens if and when Libor ceases to be published at the end of 2021?

  • Who are the main actors affected by a Libor cessation?
  • What currencies and asset classes are impacted most?
  • Will suitable replacement rates be in place by the end of 2021?

What can the public sector do to help?

  • Legacy rates (who designs them and how can they be embedded in existing contracts?);
    • Statutory fall backs as an alternative?

How fast can any remedies be delivered?

  • Legislative change (amendments to the benchmark rules);
    • Regulatory action.

Tilman Lüder:

Head of the Securities, European Commission

Tilman Lüder: Head of the Securities, European Commission

Tilman Lüder heads the unit developing European policy in the area of investment funds at the European Commission. Policy development in this area involves drafting legislative proposals, implementing acts and conducting pre-legislative impact studies. The unit represents the Commission in negotiations with Council and Parliament as well as with the European Securities and Markets Authority (ESMA). Most recently Tilman was involved in equivalence decisions for share trading venues and also the Delegated acts for MiFID II and the Market Abuse Regulation, and amendments to the regulation on securities markets.

10.15am EDT / 3.15pm BST / 4.15pm CET
Keynote: “Spread Adjustment Methodologies for Cash Products Referencing U.S. Dollar (USD) LIBOR”
  • Overview of various spread adjustment methodologies for cash products considered in the January 2020 consultation.
  • Parallel of these methodologies with ISDA’s spread adjustment methodology for derivatives.
  • Results of the initial consultation for cash products from January 2020 and the need of a  supplemental consultation in May 2020.

Diana Iercosan:

Principal Economist, Federal Reserve Board

Diana Iercosan: Principal Economist, Federal Reserve Board

11.30am EDT / 4.30pm BST / 5.30pm CET
Building your IBOR Transition Programme
  • Building your IBOR Transition Programme
  • Do you need to compress your IBOR Transition Plan to meet the deadline?
  • What’s the best Programme Approach?
  • Programme Essentials
    • Inventories (product, systems, risk models, contracts, etc) – their importance, how to create and prioritise items
    • 3LOD MI & Reporting – exposure analysis, data challenges, impacts on principle risks (inc. capital, liquidity, operational, conduct) ALCO, programme risk assurance and audit
    • Communications & Product Strategy – creating a strategy to minimise conduct and litigation risks
  • Readiness – FTP, NBC & Product Governance Cycle, Valuations, Documentation Taxonomy
  • Programme Complexities
    • Pilot Testing – identify critical paths and load on IT systems, customer journey, Risk MI (VaR, EAD, LGD RWA)
    • What are the intra-business and function dependencies. Can you rely on assumptions?
    • Manging in a multi-rate environment, restructuring, forbearance and delinquencies
    • Are efficiencies possible or are there resource and cost consequences?
  • Key Next Steps
    • Red Flags – Monitoring and Evolving (RAIDs)
    • Advocacy & Awareness (RACIs)

Sharon Freeman:

Managing Director, Antevorta Consultants

Conference Day 2 Tuesday 14th July

9am EDT / 2pm BST / 3pm CET
Interest Rates Benchmark Reform and Options Markets

We examine the impact of interest rates benchmark reform and upcoming Libor transition on options markets. We address various modelling challenges the transition brings. We specifically focus on the impact of the clearing houses’ discounting switch on swaptions, and the consequences of Libor transition on Libor-in-arrears swaps, caps, and range accruals as typical representatives of a very wide range of Libor derivatives.

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

10.15am EDT / 3.15pm BST / 4.15pm CET
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.

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.

11.30am EDT / 4.30pm BST / 5.30pm CET
Pricing of Options and the Transitioning from Libor to RFR Rates
  • Derivatives pricing
  • Application to cap, floor and Swaption pricing in the transition period when booth Libor and OIS co-exist
  • Yield Curve construction

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

Conference Day 3 Wednesday 15th July

9am EDT / 2pm BST / 3pm CET
Case Study Day: SOFR Transition
  • Recent volatility changes in SOFR
    • Day to day fluctuations
    • Monetary policy framework
  • Possible need for a term rate under SOFR
  • Backward looking SOFR
  • SOFR-linked issuance
  • Generating liquidity

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.

10.15am EDT / 3.15pm BST / 4.15pm CET
Case Study Day: Discounting Big-Bang: Quant Perspective and Convexity Adjustments

Discounting Big-Bang: Quant Perspective and Convexity Adjustments

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.

11.30am EDT / 4.30pm BST / 5.30pm CET
Case Study Day: Transition ESTR/EONIA / Transition from LIBOR to SONIA

Case Study Day: Transition ESTR/EONIA / Transition from LIBOR to SONIA

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.

Conference Day 4 Thursday 16th July

9am EDT / 2pm BST / 3pm CET
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.

10.15am EDT / 3.15pm BST / 4.15pm CET
Model Risk in IBOR Transitions

Model Risk in IBOR Transitions

Gavin Xu:

Global Head of Credit and Balance Sheet Management Models, HSBC US

Gavin Xu: Global Head of Credit and Balance Sheet Management Models, HSBC US

11.30am EDT / 4.30pm BST / 5.30pm CET
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

Sebastien Viguie:

CTO of Yields.io

Sebastien Viguie: CTO of Yields.io

Senior quantitative analyst professional with extensive knowledge of mathematical modeling. Sebastien received his M.Sc. in financial mathematics from Stanford University in 2006 before spending more than ten years developing his expertise between Brussels and London within the BNP Paribas Front Office research team. Knowledge of various programming languages and software technologies. Currently, Sébastien works on the product technical development of Chiron, Yields.io’s platform from the belgian offices.

Conference Day 5 Friday 17th July

9am EDT / 2pm BST / 3pm CET
IBOR Transition and linkage to the Risk & Capital Framework
  • Introduction
  • Interaction of IBOR transition and Prudential Regulation
    • Current Models
    • Upcoming major changes in the Risk & Capital framework
    • Review of some practical use cases
    • Elements of Market Data Strategy to cope with common requirements
  • Industry pipeline

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.

10.15am EDT / 3.15pm BST / 4.15pm CET
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

Sharon Freeman:

Managing Director, Antevorta Consultants

11.30am EDT / 4.30pm BST / 5.30pm CET
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.?

Other Panellists to be Confirmed

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.

Moorad Choudhry:

Independent Non-Executive Director on the Board of Recognise Financial Services Ltd

Moorad Choudhry: Independent Non-Executive Director on the Board of Recognise Financial Services Ltd

Professor Moorad Choudhry is an Independent Non-Executive Director on the Board of Recognise Financial Services Ltd. Previously he was Treasurer, Corporate Banking at The Royal Bank of Scotland, Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products and vice-president in structured finance services at JPMorgan Chase Bank. He began his career at the London Stock Exchange in 1989.

At KBC FP Moorad led the team that designed, originated and structured Picaros Funding LLP, the world’s first multi-SPV synthetic asset-backed funding vehicle, and later winner of the Euromoney Structured Finance Deal of the Year award for 2005.

Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the Institute of Directors, a Fellow of the London Institute of Banking and Finance and a Freeman of the Worshipful Company of International Bankers. He is on the Editorial Boards of the Journal of Structured Finance, Qualitative Research in Financial Markets, and American Securitization. He is author of The Principles of Banking.

Jonathan Schachter:

Independent Consultant, Natixis North America

Jonathan Schachter: Independent Consultant, Natixis North America

Jonathan Schachter, Ph.D is an independent consultant at Natixis North America in New York, part of the French bank conglomerate BPCE.  He has more than twenty years of Wall Street experience, including pricing and risk quant positions at Goldman Sachs, Morgan Stanley, State Street, and the Deloitte and Touche financial institution practice. Since 2010, Dr. Schachter has focused on learning the lessons of the Great Recession, working on the Lehman bankruptcy, the London Whale episode at JP Morgan, and the tightening of standards for risk in mathematical finance models (e.g., Fed SR 11-7).  At Natixis for nearly two years, he is a primary force behind the LIBOR transition at both its US (SOFR) and Paris (ESTR and Euribor) head offices.  He has given talks and guest-lectured in the NYC metropolitan area at Columbia, Cornell, Fordham, Stevens Institute of Technology, and the International Association of Quantitative Finance.   A frequent contributor to LinkedIn on regulatory quant matters, including founding the Regulatory Quant discussion group, Dr. Schachter tweets as @regquant.  Prior to Wall Street, he was a research scientist in the astronomy department at Harvard, and a team member on the Chandra X-ray Observatory.

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