Agenda

Agenda

Day one - Monday 2 December 2019

08:30

Registration and Refreshments

09:00

CCP clearing – benefits to efficiency and risk management

  • Is the regulatory insistence on CCP’s a good thing?
  • Regulatory technical standards for CCP’s
  • Regulatory overview, aligning CCP with other regulations and benchmark reform: part one
  • The evolution of CCP’s

Udesh Jha, global head of risk research, executive director, CME Clearing

10:30

Morning Break

10:45

Initial margin and CCP margin buffers

  • Initial margin models
  • Clearing risks in OTC derivatives
  • Margining process
  • Regulatory minimums for initial margin requirements
  • Methods to prevent procyclicality
  • Possible approaches

Atsushi Maruyama, deputy head of clearing risk, ICE Clear Europe

12:00

Lunch

13:00

Risk management of CCP’s

  • Looking at CCPs as a counterparty
  • How banks assess CCP risk management frameworks
  • Credit risk appetite process for CCPs
  • CCP risk management frameworks: industry observations

Siddique Khan, head of traded risk CCPs, HSBC

14:30

Afternoon break

15:00

Default management process

  • The structure and participants in default management auctions
  • Liquidation group set-up
  • Similar risk characteristics within a liquidation group
  • Simulation of a crisis scenario
  • Hedging and liquidation mechanisms

Marat Kadir, deputy head of default management, Eurex Clearing House

16:30

End of Day One

Day two - Tuesday 3 December 2019

08:30

Morning Refreshments

09:00

Counterparty credit risk management and exposures for banks

  • Developing effective SA-CCR management systems
  • Measuring counterparty credit exposure
  • Standardised approach vs internal model approach for measuring counterparty credit risk
  • Mitigating counterparty credit risk
  • Impacts on derivatives pricing
  • Dealing with credit, concentration and wrong-way risk

Bravo Bessa, counterparty risk specialist , NBK Consulting group 

10:30

Morning Break

10:45

CCR and model risk

  • Case study - what are the challenges in modelling CCR
  • How to reflect initial margin in CCR 
  • What are the potential impacts of FRTB and Ibor transition on CCR?

Maurizio Garro, senior manager, market, credit and model risk, Llyods banking group

12:00

Lunch

13:00

CCP risk management: best practice approaches

  • Membership requirements
  • Product eligibility
  • Margining (diversification, procyclicality, concentration, liquidity, WWR, JTD)
  • Stress testing and mutualisation of resources (margin v GF)
  • Non-default losses and disclosure

Gabriel Medina, director, clearing risk & validation, ICE Clear Europe

14:30

Afternoon Break

15:00

Uncleared Margin Rules - How to accelerate & transform?

  • Outlining the key steps of getting ready for Uncleared Margin Rules (BCBS261) for Initial Margin.
  • Explaining the collaborative ecosystem to simplify the transition to regulatory compliance, new collateral requirements and the volume of documents and collateral calls to process.
  • Looking at the operational impacts and hot topics around eligible collateral & IM models


Chetan Joshi, founding partner, Margin Reform

16:30

End of Course