London Marriott Hotel
London Marriott Hotel, 22 Hertsmere Rd, Canary Wharf, London E14 4ED, UK

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Event Date Wed May 22 BST - Fri May 24 BST (over 2 years ago)
In your timezone (EST): Wed May 22 12:00am - Fri May 24 12:00am
Location London Marriott Hotel
22 Hertsmere Rd, Canary Wharf, London E14 4ED, UK
Region EMEA

The counterparty risk management landscape has changed drastically over the last few years by the enforcement of central clearing and new initial margin rules. Whether trades are centrally cleared or bilateral, there are new considerations that were not issues a few years ago, and CCR methodologies need to change as a result of this. In order to manage initial margin applied to a cleared and non-cleared trade, banks have to go beyond the modeling, and venture into the space of portfolio risk and optimisation challenges. That is not to say the modeling of initial margin is done, it is in fact far from that, as banks still struggle to replicate the models of their clearer. After that comes the challenge of knowing what the costs attached to a clear and uncleared trade is and having capability to post this cost into a trade. Such decisions are being made with the backdrop of Brexit, which is adding another layer of complexity, completely changing clearing trends and activity.

This marcus evans conference will show banks how to develop a counterparty risk methodology which minimises the implications of CCP default and bilateral initial margin through strategic risk management. The conference will look at the margin and capital costs of CCPs and IM and what clearing activities will look like following Brexit.

Key Topics
• Manage exposure to CCP risk through strategic risk management decisions in CCR
• Understand the implications of initial margin reforms for CCR
• Understand the margin and capital costs of CCPs and IM, and relating this back to CCR
• See what clearing activities will look like following Brexit


2019 Speakers

Chetan Joshi
UMR Brexit Delivery, Standard Chartered

Eric Saloman
Head of Counterparty Credit Risk Projects, Natixis

Hansjorg Schmidt
Principal Supervisor, Internal Models Counterparty Risk, European Central Bank

Mourad Berrahoui
Head of Counterparty and Credit Risk Modelling, Lloyds Banking

Nicolas Cerrajero
Head of Counterparty Risk Methodologies, Deutsche Bank

Alejandro Gisbert
Head Research Country Risk and Financial Counterparty Risk, Caixabank

Anders Oksendal
Risk Advisory, DNB Markets

Nicholas Lincoln
Head, Market Risk

Maurizio Garro
Senior Audit Manager – Market, Credit and Model Risk

Sponsors & Partners

2019 Sponsors and Partners

• International Finance
• Global Risk Community
• Asset-Backed Alert