Speakers

BIANCHETTI Marco

Marco Bianchetti joined the Financial and Market Risk Management area of Intesa Sanpaolo in 2008. His work covers pricing and risk management of financial instruments across all asset classes, with a focus on new products development, model validation, model risk, fair value adjustments, interest rate modelling, funding and counterparty risk, Quasi Monte Carlo simulations. Since Nov. 2015 he is the head of the Fair Value Policy Office, in charge of the global fair/prudent valuation and IPV policies of Intesa Sanpaolo group. Previously he worked for 8 years in the front office Financial Engineering area of Banca Caboto (now Banca IMI), developing pricing models and applications for interest rate and inflation trading desks. He is the author of a few research papers, adjunct professor of Interest Rate Models at University of Bologna since 2015, and a frequent speaker at international conferences and trainings in quantitative finance and risk management. He holds a M.Sc. in theoretical nuclear physics and a Ph.D. in theoretical condensed matter physics.

Abstract
Once upon a time there was a classic financial world where all the interest rates were equal and considered a good proxy of the ideal risk-free rate required as basic building block of no-arbitrage pricing theory. In the present financial world after the credit crunch, multiple yield curves and volatility cubes are required to price financial instruments.  The current global reform of interest rate benchmarks is radically changing the scenario, adding more and more interest rates, with important consequences for pricing and risk management of financial instruments, but could also lead us back to a future financial world based again on a classic single-curve (and few volatilities) framework.  In particular, valuation adjustments (XVAs) play a fundamental role in the picture, allowing, under appropriate hypotheses, to smooth some valuation impacts of the transition.

DUFFIE Darrell

Darrell Duffie is the Dean Witter Distinguished Professor of Finance at Stanford University's Graduate School of Business. He is also Professor (by courtesy) in the Department of Economics, Senior Fellow of the Stanford Institute for Economic Policy Institute, and Senior Fellow (by courtesy) of the Hoover Institution at Stanford University.

Duffie is a Fellow of the Econometric Society, a Research Fellow of the National Bureau of Economic Research, and a Fellow of the American Academy of Arts and Sciences. He was the 2009 president of the American Finance Association. From October 2008 to April 2018, Duffie was a member of the board of directors of Moody’s Corporation. From 2013-2017, he chaired the Financial Stability Board’s Market Participants Group on Reference Rate Reform.

Duffie’s research focuses on the design and regulation of capital markets. His research is published in Econometrica, Journal of Political Economy, and Journal of Finance, among other journals.  His books include How Big Banks Fail (Princeton University Press, 2010), Measuring Corporate Default Risk (Oxford University Press, 2011), and Dark Markets (Princeton University Press, 2012).

Abstract:
I review some of the key upcoming steps in the transition from LIBOR (and EURIBOR) reference rates to new reference rates.  These challenges include the impact of changes in market value associated with the announcement of the LIBOR cessation date. I show that, within the scope of feasible announcement dates for a given cessation date, earlier announcement reduces the volatility of changes in market value caused by the announcement. I review some of the financial products, especially option-embedded products, that  call for new fallback and pricing approaches. In the absence of deep markets for long-term LIBOR swaps and for long-term new-rate swaps, I present an auction-compression approach for converting legacy LIBOR swaps to new-rate swaps.

HENRARD Mark



Marc Henrard is Managing Partner at muRisQ Advisory and visiting professor at University College London.

Over the last 20 years, Marc has worked in various areas of quantitative finance including risk management, trading, software development, and quantitative research. He is also Head of Quantitative Research at OpenGamma and has previously been Head of Interest Rate Modelling for Dexia Group, Deputy Head of Treasury Risk at the Bank for International Settlements (BIS) and Head of Quantitative Research and Deputy Head of Interest Rate Trading also at BIS.

Marc's research focuses on interest rate modelling and risk management. More recently he focused his attention on market infrastructure (initial margin, product design, quantitative impacts of regulation).  He authored two books: The multi-curve framework: foundation, evolution, implementation and Algorithmic Differentiation in Finance Explained.

KAINTH Dherminder

Dherminder Kainth is part of SRS at the PRA, working in part on the RFR transition at the Bank of England. He joined the PRA in 2018. Before this he was Head of Model Risk at RBS for 17 years, working on the range of models across the organisation focusing on derivative pricing, traded risk measurement, XVA and latterly stress testing. Dherminder is a physicist by training holding a degree/Phd/Postdoctoral work from Cambridge University.

Abstract:
The talk would discuss:

  • Background – why the transition away from Libor needs to happen
  • An introduction to SONIA – the sterling markets choice of risk free rate
  • Discussion of how UK authorities are supporting the transition and elements of Regulatory Strategy (Dear CEO letter)

NEALE Jon

Jon Neale is a past graduate of Cass Business school, graduating from the Financial Mathematics programme. He works as an actuary, focussing on financial reporting and ALM. He is a member of the IFoA LIBOR reform working party.

Abstract

While focus has been primarily within the banking community and derivatives space, LIBOR reform is also critical to insurers. In addition to derivatives for hedging, investments in floating rate assets, LIBOR is used across the industry and changes will have widespread impacts for insurers and the actuaries who work in them

PATEL Hetal

Hetal Patel is an Investment Director responsible for investment strategy of the With Profits Fund of a large UK Life Insurer. He has over 15 years’ experience working in finance and investment spanning across banking, pensions and insurance sectors. He is an actuary and the Deputy Chair of the IFoA LIBOR reform working party.

Abstract

While focus has been primarily within the banking community and derivatives space, LIBOR reform is also critical to insurers. In addition to derivatives for hedging, investments in floating rate assets, LIBOR is used across the industry and changes will have widespread impacts for insurers and the actuaries who work in them