World Business StrategiesServing the Global Financial Community since 2000

Friday 15th March

08.30 - 09.00
Morning Welcome Coffee
09.00 - 09.45
Both Streams
Efficient Calculation Techniques for Credit Exposure in the Presence of Initial Margin
  • Modeling collateralized exposure
  • Producing exposure on a daily simulation time grid without daily revaluations or daily IM calculations
  • Reducing simulation noise in the presence of IM
  • Alternatives to calculating IM along simulation paths

Michael Pykhtin:

Manager, Quantitative Risk, U.S. Federal Reserve Board

Michael Pykhtin: Manager, Quantitative Risk, U.S. Federal Reserve Board

Michael Pykhtin is a manager in the Quantitative Risk section at the U.S. Federal Reserve Board. Prior to joining the Board in 2009 as a senior economist, he had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael has edited “Counterparty Risk Management” (Risk Books, 2014) and “Counterparty Credit Risk Modelling” (Risk Books, 2005). He is also a contributing author to several recent edited collections. Michael has published extensively in the leading industry journals; he has been an Associate Editor of the Journal of Credit Risk since 2007. Michael is a two-time recipient of Risk Magazine’s Quant of the Year award (for 2014 and 2018). Michael holds a Ph.D. degree in Physics from the University of Pennsylvania and an M.S. degree in Physics and Applied Mathematics from Moscow Institute of Physics and Technology.

09.45 - 10.30
Both Streams
An Enhanced Initial Margin Methodology to Manage Warehoused Credit Risk
  • The CVA profile after collateralization: an array of zeros
  • The problem of lliquid CDS’s and warehoused credit risk
  • A methodology to improve Initial Margin for warehoused Credit Risk
  • Consistency of the methodology with the current CVA framework
  • Examples of practical implementation

(joint work with Ignacio Ruiz and Mariano Zeron)

Lucia Cipolina Kun:

VP, Morgan Stanley

Lucia Cipolina Kun: VP, Morgan Stanley

10.30 - 11.00
Morning Break and Networking Opportunities
Stream Chair:

Ignacio Ruiz:

Founder & CEO, MoCaX Intelligence

Ignacio Ruiz: Founder & CEO, MoCaX Intelligence

Ignacio Ruiz has been the head strategist for Counterparty Credit Risk, exposure measurement, for Credit Suisse, as well as the Head of Risk Methodology, equities, for BNP Paribas. In 2010, Ignacio set up iRuiz Consulting as an independent advisory business in this field. In 2014, Ignacio founded iRuiz Technologies to develop and commercialise MoCaX Intelligence.

Ignacio has several publications in the space of quantitative risk management and pricing. He has also published a comprehensive guide to the subject of XVA Desks and Risk Management.

He holds a PhD in nano-physics from Cambridge University.

11.00 - 11.45
Stream One: MVA & Initial Margin
Vitamin B, Chebyshev Polynomials, Homocysteine and… Dynamic Initial Margin
  • The power of Chebyshev Polynomials. Exponential convergence of Chebyshev methods: why is it so fast?
  • Theoretical basis
  • Live demo of how they work
  • Application to simulation of Initial Margin inside Monte Carlo simulations
  • Examples: swaps, swaptions and beyond
  • Comparison to regression and AD methods
  • Numerical results
  • Chebyshev is to Dynamic Initial Margin what Vitamin B is to Homocysteine
  • Options for free software available for inhouse testing and implementation

Ignacio Ruiz:

Founder & CEO, MoCaX Intelligence

Ignacio Ruiz: Founder & CEO, MoCaX Intelligence

Ignacio Ruiz has been the head strategist for Counterparty Credit Risk, exposure measurement, for Credit Suisse, as well as the Head of Risk Methodology, equities, for BNP Paribas. In 2010, Ignacio set up iRuiz Consulting as an independent advisory business in this field. In 2014, Ignacio founded iRuiz Technologies to develop and commercialise MoCaX Intelligence.

Ignacio has several publications in the space of quantitative risk management and pricing. He has also published a comprehensive guide to the subject of XVA Desks and Risk Management.

He holds a PhD in nano-physics from Cambridge University.

11.45 - 12.30
Stream One: MVA & Initial Margin
Accelerated MVA in the Probability Matrix Method
  • Introduction to the Probability Matrix Method
  • Simulating IM using full SIMM and CCP formulas
  • Practical examples and benchmarks
    Live demo

Presenter to be confirmed

12.30 - 13.30
Lunch
13.30 - 14.15
Stream One: MVA & Initial Margin
Advanced Techniques for SIMM-MVA Calculations
  • Initial margin (IM) and its projection to the future; MVA as a future IM interest
  • Complexity of the MVA: one needs(exotic) portfolio sensitivities calculation for each scenario and observation data
  • Particular difficulties with structured products: brute force MVA calculation time is unacceptably long
  • An efficient method for the exact MVA calculation based on the future differentiation and its comparison with known approximations
  • Numerical experiments for a Bermudan Swaption MVA: massive acceleration using the new method with respect to the brute force

Alexandre Antonov:

Director, Standard Chartered Bank

Alexandre Antonov, Director, Standard Chartered Bank

Alexandre Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997. He worked for Numerix during 1998-2017 and recently he has joined Standard Chartered bank in London as a director.

His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA/FVA/MVA. AA is a published author for multiple publications in mathematical finance and a frequent speaker at financial conferences.

He has received a Quant of Year Award of Risk magazine in 2016.

14.15 - 15.00
Stream One: MVA & Initial Margin
Multivariate Gaussian Process Regression for Derivative Portfolio Modeling: Application to CVA

Abstract

Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all the trades with each counter- party under both market and credit risk. We present a multi-Gaussian process regression for estimating portfolio risk, which is well suited for OTC derivative portfolios, in particular CVA computation. Our spatio-temporal modeling approach avoids nested MC simulation or simulation and regression of cash ows by learning a ‘kernel pricing layer’. The pricing layer is exible – we model the joint posterior of the derivatives as a Gaussian over function space, with the spatial covariance structure imposed only on the risk factors. Monte-Carlo (MC) simulation is then used to simulate the dynamics of the risk factors. Our approach quanties uncertainty in portfolio valuation and CVA arising from the Gaussian process approximation. Numerical experiments demonstrate the accuracy and convergence properties of our approach for CVA computations.

Joint work with: Matthew Dixon: Assistant Professor in the Department of Applied Mathematics, Illinois Institute of Technology, Chicago.

Stéphane Crépey:

Professor of Mathematics, University Of Evry

Stéphane Crépey: Professor of Mathematics, University Of Evry

Stéphane Crépey is professor at the Mathematics Department of University of Evry (France), head of Probability and Mathematical Finance and head of the Engineering and Finance branch (M2IF) of the Paris-Saclay Master Program in Financial Mathematics. His research interests are financial modeling, counterparty and credit risk, numerical finance, as well as related mathematical topics in the fields of backward stochastic differential equations and partial differential equations. He is the author of numerous research papers and two books: “Financial Modeling: A Backward Stochastic Differential Equations Perspective” (S. Crépey, Springer Finance Textbook Series, 2013) and “Counterparty Risk and Funding, a Tale of Two Puzzles” (S. Crépey, T. Bielecki and D. Brigo, Chapman & Hall/CRC Financial Mathematics Series, 2014).

He is an associate editor of SIAM Journal on Financial Mathematics, International Journal of Theoretical and Applied Finance, and a member of the scientific council of the French financial markets authority (AMF). Stéphane Crépey graduated from ENSAE and he holds a PhD in applied mathematics from Ecole Polytechnique and INRIA Sophia Antipolis.

15.00 - 15.10
Quick Afternoon Break
15.10 - 15.50
Both Streams
Closing Talk: The Current FRTB Regulations on XVA’s 

Satinder (Sid) Jandu:

Risk Management Consultant, Morgan Stanley

Satinder (Sid) Jandu: Risk Management Consultant, Morgan Stanley

End of Conference

Friday 15th March

08.30 - 09.00
Morning Welcome Coffee
09.00 - 09.45
Both Streams
Efficient Calculation Techniques for Credit Exposure in the Presence of Initial Margin
  • Modeling collateralized exposure
  • Producing exposure on a daily simulation time grid without daily revaluations or daily IM calculations
  • Reducing simulation noise in the presence of IM
  • Alternatives to calculating IM along simulation paths

Michael Pykhtin:

Manager, Quantitative Risk, U.S. Federal Reserve Board

Michael Pykhtin: Manager, Quantitative Risk, U.S. Federal Reserve Board

Michael Pykhtin is a manager in the Quantitative Risk section at the U.S. Federal Reserve Board. Prior to joining the Board in 2009 as a senior economist, he had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael has edited “Counterparty Risk Management” (Risk Books, 2014) and “Counterparty Credit Risk Modelling” (Risk Books, 2005). He is also a contributing author to several recent edited collections. Michael has published extensively in the leading industry journals; he has been an Associate Editor of the Journal of Credit Risk since 2007. Michael is a two-time recipient of Risk Magazine’s Quant of the Year award (for 2014 and 2018). Michael holds a Ph.D. degree in Physics from the University of Pennsylvania and an M.S. degree in Physics and Applied Mathematics from Moscow Institute of Physics and Technology.

09.45 - 10.30
Both Streams
An Enhanced Initial Margin Methodology to Manage Warehoused Credit Risk
  • The CVA profile after collateralization: an array of zeros
  • The problem of lliquid CDS’s and warehoused credit risk
  • A methodology to improve Initial Margin for warehoused Credit Risk
  • Consistency of the methodology with the current CVA framework
  • Examples of practical implementation

(joint work with Ignacio Ruiz and Mariano Zeron)

Lucia Cipolina Kun:

VP, Morgan Stanley

Lucia Cipolina Kun: VP, Morgan Stanley

10.30 - 11.00
Morning Break and Networking Opportunities
Stream Chair:

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.

11.00 - 11.45
Stream Two: XVA Techniques Stream
Using Machine Learning to Manage Model Risk in XVA
  • Leveraging ML in model risk management
  • Data quality analysis with deep neural networks
  • Building benchmark models using reinforcement learning
  • Measuring cross-sectional performance
  • Surrogate models for ongoing monitoring

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.

11.45 - 12.30
Stream Two: XVA Techniques Stream
"XVA from the Beginning"

Abstract

We use a single period structural model of a dealer balance sheet to study the impact of regulatory capital requirements on the marginal fair value and shareholder indifference price of a new derivative. As expected the former does not change. The latter is reduced by a capital valuation adjustment, which depends on the financing method used by the dealer. Finally we show that if the dealer hedges the derivative, then the indifference price is related to the cost of setting up the hedge.

Mats Kjaer:

Head of Quant XVA Analytics Bloomberg LP

Mats Kjaer: Head of Quant XVA Analytics Bloomberg LP

12.30 - 13.30
Lunch
13.30 - 14.15
Stream Two: XVA Techniques Stream
Practical Issues Surrounding XVAs (to be confirmed)
  • Problems in symmetric FVA calculations for liability heavy portfolios
  • Discounting derivatives for non-cash collateral
  • Discounting and risk managing cross currency swap portfolios in presence collateralised discounting
  • Cross gamma effects on multi collateral portfolio
  • How to address interbank collateral assumptions versus external funding curve assumptions
  • Does DVA still exist?
  • MVA: CCP vs bilateral Margin Valuation Adjustments
  • KVA issues with leverage / RWA

Rishaar Rawal:

Director, Valuations Methodology, RBC Capital Markets

Rishaar Rawal: Director, Valuations Methodology, RBC Capital Markets

14.15 - 15.00
Stream Two: XVA Techniques Stream
Analytic Calculation of Wrong-Way Risk on Interest Rate Swaps
  • Analytic rates-credit pricing kernel
  • Analytic pricing of CVA on a portfolio of IR swaps
  • Adjustment for collateral update schedule
  • Extension to multi-currency case
  • Impact of FX rate jump at default

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.

15.00 - 15.10
Quick Afternoon Break
15.10 - 15.50
Both Streams
Closing Talk: The Current FRTB Regulations on XVA’s 

Satinder (Sid) Jandu:

Risk Management Consultant, Morgan Stanley

Satinder (Sid) Jandu: Risk Management Consultant, Morgan Stanley

End of Conference
  • Discount Structure
  • Early bird discount
    10% until March 1st 2019

  • Special Offer
    When two colleagues attend the 3rd goes free!

  • Conference + Workshop
    £150 Discount

  • 70% Academic Discount
    (FULL-TIME Students Only)

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