An event hosted by:
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
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
Executive director, Libor global programme lead
15:00 - 15:15
15:15 - 16:15
Can Ibor be replaced exactly?
Treasury manager, negative rates & benchmark rate reform
Challenges and solutions in constructing RFRs
Challenges with term structure
Effect on different services
Director and head of interest rates, FX, and hybrids
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.
How are regulators driving the transition?
How to manage balance sheet exposure
Calculation processes for SOFR
Alternative reference rates
Credit sensitive rates
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.
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 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.
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
Principal director & a global Libor transition co-lead
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].
What are the key impacts on the models?
Do we need to change our model risk management (MRM) policies?
What future should be expected?
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.
Challenges with current FX benchmarks
Methodologies and calculations
Effect of external themes
Central bank reaction
Executive director, head of market and treasury risk