Hilton London Metropole
Hilton London Metropole, 225 Edgware Rd, Paddington, London W2 1JU, UK

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Event Date Wed Mar 13 GMT - Fri Mar 15 GMT (over 2 years ago)
In your timezone (EST): Wed Mar 13 4:00am - Fri Mar 15 1:00pm
Location Hilton London Metropole
225 Edgware Rd, Paddington, London W2 1JU, UK
Region EMEA

An interactive workshop focusing on joint modelling of interest rate curves for risk, detailing the background and market evolution, including IR curves as risk factors and the challenges of modelling rates, proceeding to a more granular treatment of modelling.

Why you should attend?
This marcus evans conference will serve as a platform to prepare banks for the impact of the shift from Libor and Eonia on derivatives and swaps valuations and legacy inventory. The countdown has begun–in less than two years, Europeans banks will need to switch to a new benchmark to price billions of euros of fixed income derivatives. In the wake of the alleged rigging scandals over Libor, and EMMI’s admission in February that the Eonia rate may not meet compliance checks under the benchmark regulation for 2020, the pricing paradigm faces enormous disruption. With Eonia and Libor facing extinction, the industry is collectively determined to move towards a new, more robust type of benchmark reflective of real trades. Yet many crucial issues are still opaque, with authorities are still pondering which risk-free rate to choose for the official fixing. What can be said is there is a lot to play for—the challenges extend from the details of the replacement rates, to the repapering of legacy contracts, construction of new curves and management of risk exposure.

Key Topics:
• Societe Generale address the end of Libor and the details of new RFRs
• Santander discuss the possibility of a secured rate based on repo lending
• Deutsche Bank investigate the creation of multi-curve modelling systems
• Barclays explore the impacts of benchmark rates reform on FRTB risk modelling
• Royal Bank of Canada explain the impact of benchmark rates reform on derivatives portfolios


2019 Speakers

Yingbo Bai
Global Head of Valuations Methodologies, UBS

Huib Verbeek
Global Head of Relative Value Trading, Rabobank

Bernard Delcour
Head of Rates Trading Europe, ING

Chris McHugh
Lecturer, London Institute of Banking and Finance

Jeremy Vice
Managing Director, Head of CVA Trading, UniCredit

Tilman Luder
Head of Securities Market, European Commission

Massimo Morini
Head of Interest Rate and Credit Models, Banca IMI

Sponsors & Partners

2019 Sponsor

• D-Fine