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6-10 December 2021
Hotel Fairmont Barcelona Rey Juan Carlos IBarcelona

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

Why Not Also Attend:

QuantTech Summit

Monday 13 May 2019

Position yourself to take the next disruptive financial steps by learning specific applications of the latest game-changing innovations that directly impact the quant function.

Key focuses of the summit will include practical applications of quantum computing, machine learning, blockchain and high performance computing.