World Business StrategiesServing the Global Financial Community since 2000

Friday 20th November: Regulations

13.00 - 14.00
IBOR Transition and linkage to the Risk & Capital Framework

Presenter to be confirmed

14.00 - 15.00
Latest ESG Strategies

Antonia Lim:

Head of Quantamental Investments, Schroders

Antonia Lim: Head of Quantamental Investments, Schroders

Antonia joined Schroders in 2019 to lead their new initiative in quantamental investments, melding quantitative techniques with fundamental expertise and insight. Prior to Schroders, Antonia was Global Head of Quantitative Research for Barclays UK, designing its asset allocation policy, products and investment tools. She has two decades of experience in investment management, is a CFA charterholder and is on the management committee of the not-for-profit organization London Quant Group. Antonia holds a Masters in Physics from the University of Oxford where she was awarded an academic scholarship. Happy lending intuition, pragmatism and curiosity to the real, abstract and complex, Antonia enjoys cross-disciplinary ideas and making those ideas useful.

15.00 - 16.00
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

16.00 - 17.00
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.

Sponsor: Yields.io

17.00 - 18.00
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.?