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
Why Not Also Attend:
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.