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, Bank of America Merrill Lynch

Lucia Cipolina Kun: VP, Bank of America Merrill Lynch

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
Dynamic IM and XVA'S Via Chebyshev Spectral Decompositon
  • The power of Chebyshev – MoCaX as a Smart interpolation scheme
  • Selection of interpolating points and functions
  • Chebyshev nodes Chebyshev polynomials in the context of Risk Calculations
  • Theoretical basis: three fundamental theorems
  • Example: Parametric Chebyshev interpolation for Risk Calculations
  • Practical cases studies: CVA, CVA on exotics, Accurate MVA, Ultra-fast XVA sensitivities
  • Commercial benefits: reduction of hardware costs, effective computation of risk metrics, hedging regulatory risk
  • Generic AAD for any pricer via Chebyshev Decomposition

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
Topic to be confirmed

Naoufel El bachir:

Executive Director – XVA Quantitative analytics, CIBC Capital Markets

Naoufel El bachir: Executive Director – XVA Quantitative analytics at CIBC Capital Markets

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, Bank of America Merrill Lynch

Lucia Cipolina Kun: VP, Bank of America Merrill Lynch

10.30 - 11.00
Morning Break and Networking Opportunities
Stream Chair:

To be confirmed

11.00 - 11.45
Stream Two: XVA Techniques Stream
Advanced Efficiency Saving Techniques to Improve XVA Calculations
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 - 15.10
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
  • Super early bird discount
    25% until February 8th 2019

  • 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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