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World Business StrategiesServing the Global Financial Community since 2000

Friday 26th February: Day 5

Transition ESTR/EONIA / Transition from LIBOR to SONIA

EST: 08.00
GMT: 13.00
CET: 14.00

Navin Rauniar:

Partner & Director PRMIA

Navin Rauniar: Partner & Director PRMIA

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.

Future Challenges of LIBOR Transition

EST: 09.00
GMT: 14.00
CET: 15.00

Presenter to be Confirmed

Libor Transition - Transitioning to where and how?

EST: 10.00
GMT: 15.00
CET: 16.00

  • Strategic use of derivatives settled against Libor
  • Rates benchmarks in an international context
  • Transition the legacy book
  • Rates benchmarks for funded products

Erik Vynckier:

Interim Chief Executive, Foresters Friendly Society

Erik Vynckier: Interim Chief Executive, Foresters Friendly Society

Erik Vynckier is interim Chief Executive of Foresters Friendly Society, chair of Research and Thought Leadership at the Institute and Faculty of Actuaries and senior adviser to derivatives and capital markets software vendor FiNCAD, following a career in investment banking, insurance, asset management and the petrochemical industry.

He co-founded EU initiatives on high performance computing and big data in finance and co-authored “High-Performance Computing in Finance” and “Tercentenary Essays on the Philosophy and Science of Leibniz”.  Erik graduated as MBA at London Business School and as chemical engineer at Universiteit Gent.

Panel: Interest Rate Reform

EST: 11.00
GMT: 16.00
CET: 17.00

  • 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.?

Moderator:

Navin Rauniar:

Partner & Director PRMIA

Navin Rauniar: Partner & Director PRMIA

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.

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    15% until 22nd January 2021

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