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Benchmark Rates Reform: Valuations, Discounting and Forward Risk - marcus evans european conference event
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Benchmark Rates Reform: Valuations, Discounting and Forward Risk

Prepare for the impact of the shift from Libor and Eonia on derivatives valuations and legacy inventory

13-15 March 2019
Hilton London Metropole, London, United Kingdom

Conference Workshop

Joint modelling of interest rate curves for risk

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.

Workshop Moderator: Andrey Chirikhin, Quantitative Recipes

Company: Founder

Why You Should Attend

Benchmark Rates Reform: Valuations, Discounting and Forward Risk

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
  • Previous Attendees Include

    ABSA Capital
    Banca IMI
    Banco Sabadell
    Bank of England
    Barclays Capital
    BNP Paribas Ltd
    Daiwa Capital Markets
    Deutsche Bank
    Federal Reserve Bank of New York
    Global Valuation Limited
    JP Morgan
    Jyske Bank
    Lloyds Banking Group
    National Australia Bank
    Nomura International PLC
    Royal Bank Of Canada
    VTB Capital PLC

    Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Event Sponsors
    d-fine is a leading European consulting firm with offices in Frankfurt, London, Zurich and Vienna. The focus of our activities is in the area of risk and finance for banks, insurers, industrial companies and asset managers. Our 800+ highly trained specialists all have a uniquely strong quantitative, technological background, enabling them to transform market and regulation challenges into working, lean solutions fostering the underlying business.
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    Practical Insights From

    Yingbo Bai
    Global Head of Valuations Methodologies

    Huib Verbeek
    Global Head of Relative Value Trading

    Bernard Delcour
    Head of Rates Trading Europe

    Chris McHugh
    London Institute of Banking and Finance

    Jeremy Vice
    Managing Director, Head of CVA Trading

    Tilman Luder
    Head of Securities Market
    European Commission

    Massimo Morini
    Head of Interest Rate and Credit Models
    Banca IMI

    Jesper Thye-Oestergaard
    Co-Head of XVA Trading and Funding

    Click Here For Full Agenda

    Voice of Our Customers
    • “Good conference on a different/developing/evolving topic. Please continue to organise this event annually” Quantitative Analytic Manager, Wells Fargo
    • It was well-organised and professionally delivered” Quantitative analyst, Mizuho
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Constandinos Vinall

    marcus evans (Europe) Ltd
    PO Box 24797
    1304 Nicosia, Cyprus

    +357 22849 380
    Fax: +357 22849 394
    Email: constandinosv@marcusevanscy.com