Agenda

Agenda

Benchmark Reform and IBOR Transition

Course agenda

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Live virtual course | Below agenda timing is in BST

Respective time in EDT:

Start: 2pm BST / 9am EDT
Break: 3pm BST / 10am EDT
End: 4.15pm BST / 11.15am EDT

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14:0015:00

Benchmark reform overview

14:00 - 15:00

  • Regulatory changes due to Libor scandal

  • Lessons learned: what could have been done differently?

  • Challenges with the European Benchmark Regulation (BMR)

  • Synthetic Libor and tough legacy

Nabonita Banerjee

Executive director, Libor global programme lead

Nomura

15:0015:15

Break

15:00 - 15:15

15:1516:15

Regulatory requirements

15:15 - 16:15

  • Regulatory pressures

  • Regulatory tests

  • Can Ibor be replaced exactly?

  • Regulatory-favored RFRs

Brenton Henry

Treasury manager, negative rates & benchmark rate reform

TD

14:0015:00

The effect of risk-free rates (RFR)

14:00 - 15:00

  • Challenges and solutions in constructing RFRs 

  • Challenges with term structure

  • Effect on different services

    • Banks

    • Borrowers

    • Investors

Emiliano Papa

Director and head of interest rates, FX, and hybrids

Deutsche Bank

Emiliano has a PhD in Theoretical Physics from University of Oxford.

After graduation he went for a postdoc and later Lecturer at the University of Texas at Austin and Visiting Scholar at Caltech.

Emiliano then moved into quantitative finance and became director at Bank of America.

Since 2014 he has been Director and head of Interest Rates, FX, and Hybrids at Deutsche Bank.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Implementation of RFRs

15:15 - 16:15

  • How are regulators driving the transition? 

  • How to manage balance sheet exposure

  • Calculation processes for SOFR

  • Alternative reference rates

    • Credit sensitive rates

Rei Shinozuka

Head of the benchmark index transition fffice

Federal Home Loan Bank of New York

Rei Shinozuka is the Head of the Benchmark Index Transition Office at the Federal Home Loan Bank of New York, coordinating institutional transition strategy with executive management and representatives from Capital Markets, Marketing, Legal, Accounting, Operations, Technology, Risk and Audit departments.  Prior to this role, Mr. Shinozuka was an MBS strategist at UBS, winning Institutional Investor awards in 2007 and 2008 for Structured Securities ABS strategy.  Before this, he was Director of Fixed Income Quantitative Research at PaineWebber and UBS, whose department created structuring and analytics technology for the #1-ranked Agency CMO issuer of the early 2000s.  He also developed CMO and Mortgage Analytics at Morgan Stanley.  Mr. Shinozuka earned his MBA from the Columbia Graduate School of Business, MS in Computer Science from the Columbia School of Engineering and BA from Columbia College.  He is a CFA® charterholder and Financial Risk Manager certified by the Global Association of Risk Professionals.

14:0015:00

Derivatives and swaps

15:15 - 16:15

  • Hedging using RFR-linked swaps

  • SOFR Futures and swaps

  • ISDA fallbacks vs IBOR derivatives

  • Bifurcation of liquidity over tenors vs. super liquidity in overnight rates

Alex Daminoff

Managing director

Citi

Alex Daminoff is a head of the cross-asset risk and stress testing quantitative development team at Citigroup. He is responsible for all derivatives analytics in support of counterparty credit risk exposure management, credit limit monitoring, risk capital, regulatory and internal product stress testing. Prior to joining Citi in 2011, Alex occupied similar positions at several large International Financial institutions, such as JP Morgan Chase, Inc., Bloomberg LP and Morgan Stanley, Inc.

Alex holds a MEng in control theory from the State Marine Technical University of St. Petersburg, Russia.

15:0015:15

Break

15:00 - 15:15

15:1516:15

The impact on operational risk departments

14:00 - 15:00

  • Implications of fallback language on legal and compliance

  • Looking at the impact of RFRs for all bank departments

  • The important transition decisions and operational requirements

  • Communicating the effects of the transition to clients

Venetia Woo

Principal director & a global Libor transition co-lead

Accenture

Venetia is a Principal Director and leads the Capital Markets Finance & Risk Regulatory Strategy practices that helps corporates and financial institutions plan the adoption of new and emerging regulations, remediate, and navigate their regulatory relationships. She focuses clients when restructuring businesses or entering new markets, businesses, or products. She also advises agency regulators and boards of directors in discharging their duties in the face of new technologies, asset classes and risks. Additionally, she is Accenture’s Global Libor Advisor and participates in global initiatives such as ARRC’s Outreach and Communication Working group. You can reach Venetia at: [email protected].

14:0015:00

Market and counterparty credit risk models

14:00 - 15:00

  • What are the key impacts on the models?

  • Market risk and counterparty credit risk models
  • Do we need to change our model risk management (MRM) policies?

  • What future should be expected?

Maurizio Garro

Model risk manager

Lloyds Banking Group

Maurizio Garro works as a Model risk manager at Lloyds Banking Group, where he works as subject matter expert for implementing model risk management policy, governance and framework and lead the team to implement the activities defined in model risk management framework. He also provides guidance in the identification of models, documentation of model design, assumptions/limitations, administration, output and uses, governance, change management, and input processing.

He has a long-standing experience as an internal auditor, consultant and banker in model risk management and previously worked in the Development and Validation teams of top-tier financial institutions in Europe, U.S., and the U.K. for over 18 years.  

Maurizio is a frequent speaker on various topics in risk management, a member of the Institute of Internal Auditor and the Director of the Global Association of Risk Professional (GARP) London Chapter.

He has been supporting as mentor start-ups involved in the development of AI/Machine learning products.

Maurizio Garro received his Master Degree in Economics from the Bocconi University of Milano and a certificate in Financial Risk Management (FRM) from GARP.

15:0015:15

Break

15:00 - 15:15

15:1516:15

FX and other key challenges

15:15 - 16:15

  • Challenges with current FX benchmarks

  • Methodologies and calculations

  • Market manipulations

  • Effect of external themes

    • COVID-19

    • Central bank reaction

    • Politics

Thomas Braun

Executive director, head of market and treasury risk

UBS