CCR, Collateral and Central Clearing agenda
We've got a whole stream of content focused on CCR, Collateral and Central Clearing on Tuesday 14 May. Key topics under discussion include:
- The problem of IMM fallback - AKA how to value a derivative trade without a pricer and allocate collateral
- Implementing the alternative approach to SIMM to achieve lower initial margins posted under the regulatory rules
- IM for CCR and CVA capital: how to calculate future IM requirements to determine exposure to default for CCR and CVA
- The value of convexity: implied and realised convexity for long dated bonds
- Repo convexity: utilising bond-derivative basis volatility to model repo rates
- Convexity with collateral switch/floor options, semi-analytic approach
- Collateralized networks
Hear from the leading experts in CCR, collateral and central clearing
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Monday 13 May 2019
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