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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:

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. 

Learn more about the summit