Agenda

Agenda

Agenda

Agenda timing is in BST
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Session one - 2pm BST / 9am EDT
Session two - 3.15pm BST / 10.15am EDT
End - 4.15pm BST / 11.15am EDT
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02:0003:00

CCPs and their risk management framework

02:00 - 03:00

  • Central counterparties and financial stability
  • The evolution of CCP's
  • CCP clearing - benefits to efficiency and risk management
  • Impact of recent market volatilities
Atsushi Maruyama

Senior director and deputy head of clearing risk

ICE Clear Europe

Atsushi Maruyama is a Senior Director and Deputy Head of Clearing Risk at ICE Clear Europe, part of Intercontinental Exchange (ICE). Prior to joining ICE in 2013, he worked as Head of Risk at Unipec UK and Mitsui & Co. Energy Risk Management Ltd, among other commodity trading risk roles. He holds CQF, ERP and MSc in Finance from London Business School with concentration in quantitative finance.

03:0003:15

Break

03:00 - 03:15

03:1504:15

CCP risk management practices in volatile markets

03:15 - 04:15

  • Reconciling competing objectives relating to market structure
  • Stress testing and mutualisation of resources
    • margin v GF
  • Sizing the default fund
  • Non-default losses and disclosure
  • Differing liquidity risk profiles
Yen Kim Brunt

Credit director, CCPs, exchanges and intermediaries

Lloyds Banking Group

A credit director with over 17 years of experience in CCPs/Exchanges and Banking risk management practice. YB joined the Financial Products team, specialised in Equity Arbitrage / P&L Analyst after her graduate training scheme at CIBC World Markets. She moved on to work as senior risk analyst at the London Clearing House (LCH) specialised in equity & equity derivatives. Before joining Lloyds in 2011, YB spent two years at the clearing broker Newedge Group (now SocGen) where she lead the counterparty risk team, covering all products and clearing services for customers. Since joining Lloyds, YB has acted as the key SME in clearing and trading risk when dealing with CCPs and Exchanges. She has been involved in a number of projects putting in place clearing infrastructure to various CCPs in the US and in Europe. She has been actively providing feedback, directly and via working group, to a number of ESMA consultation papers on CCPs and Rulebook changes at CCPs over the past 10 years. 

02:0003:00

Initial margin and CCP margin buffers

02:00 - 03:00

  • Understanding initial margin models
  • What are the common clearing risks in OTC derivatives?
  • Explaining the margining process
  • Regulatory minimums for initial margin requirements
  • Methods to prevent procyclicality
Alex Daminoff

Director, counterparty risk

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.

03:0003:15

Break

03:00 - 03:15

03:1504:15

Default management process

02:00 - 03:00

  • Detailing the structure and participants in default management auctions
  • CCP membership eligibility and the debate on client participation in default auctions
  • Liquidation group set-up and characteristics
  • Simulation of a crisis scenario
Marco Ossanna

CRO, US FCM

HSBC

Marco Ossanna is Senior Vice President and Chief Risk Officer for the Futures Commission Merchant at HSBC Securities USA Inc.  Mr.Ossanna has worked as subject matter expert of Central Clearing Counterparties (CCPs) at HSBC since June 2014 advising the FCM on establishing risk appetite and managing exposure towards Clearing Houses.

From 2011 to 2013, Mr. Ossanna, was Executive Director at Chicago Mercantile Exchange, in charge of Clearing Membership, Risk Management and Default Management for Over-the-Counter Derivatives.

From 2000 to 2010, Mr. Ossanna was Executive Vice President and Global Risk Officer of Structured Equity Derivatives at Intesa Sanpaolo, supervising teams in New York and London. In 1990's he worked in the Research Department of Banca Commerciale Italiana in Milan, Italy, publishing market wide bank sector analysis and bank's strategic papers supporting the CEO.

Mr. Ossanna received a Laurea in Economics from the Universita' degli Studi di Pavia in 1991 and he is a Certified European Financial Analyst. He is also an active member of industry groups and periodically represent HSBC at meetings with Regulators on matters concerning derivatives and clearing.

02:0003:00

Counterparty credit risk management and exposures for banks

02:00 - 03:00

  • Developing effective SA-CCR management systems
  • Measuring counterparty credit exposure
  • Standardised approach vs internal model approach for measuring counterparty credit risk
  • The impacts on derivatives pricing
Irina Ursachi

Independent consultant

Irina Ursachi is an independent Risk Management consultant. She has over eight years of experience in the banking industry, managing international projects in various European jurisdictions such as UK, France, and Germany. Her expertise covers the design and specification of business processes as well as the implementation of regulatory requirements, trading systems, and valuation models. Mrs. Ursachi is an active contributor to research projects and publications in the area of Risk Management. Prior to becoming an independent consultant, she has worked for the consulting companies d-fine and KPMG. She holds a Master’s degree in Mathematics from the University of Kaiserslautern.

03:0003:15

Break

03:00 - 03:15

03:1504:15

Modelling counterparty credit risk (CCR)

03:15 - 04:15

  • What are the challenges in modelling CCR?
  • How to reflect initial margin in CCR
  • What are the potential impacts of FRTB and ibor/libor transition on CCR?
Irina Ursachi

Independent consultant

Irina Ursachi is an independent Risk Management consultant. She has over eight years of experience in the banking industry, managing international projects in various European jurisdictions such as UK, France, and Germany. Her expertise covers the design and specification of business processes as well as the implementation of regulatory requirements, trading systems, and valuation models. Mrs. Ursachi is an active contributor to research projects and publications in the area of Risk Management. Prior to becoming an independent consultant, she has worked for the consulting companies d-fine and KPMG. She holds a Master’s degree in Mathematics from the University of Kaiserslautern.

02:0003:00

CCP resolution frameworks

03:15 - 04:15

  • Differences in regulation for banks/clearing houses
  • How the resolution frameworks are set up and operate
  • Assessing CCP financial resources
  • How to treat CCP equity in resolution
  • Clearing as a systemic risk
Darryl Abdoelgafoer

recovery and Resolution planning specialist

Eurex Clearing

Darryl F. Abdoelgafoer is responsible for the recovery and resolution planning at Eurex Clearing. Prior to joining Eurex Clearing, Darryl worked for over 3 years at De Nederlandsche Bank, the Dutch Central Bank and National Resolution Authority. Here he was responsible for the resolution planning of Dutch (significant) banks and was part of resolution colleges of foreign banks. Besides that, Darryl was also responsible for policy topics, e.g. valuation in resolution, continued access to FMIs, and data requirements. 

03:0003:15

Break

03:00 - 03:15

03:1504:15

Uncleared margin rules

03:15 - 04:15

  • Understanding initial margin models – SIMM vs grid
  • The impact on traditional trading models and implications to best execution
  • The transition to regulatory compliance
  • Liquidity risk and initial margin threshold
  • Bilateral vs cleared
Dipak Chotai

Managing director

JD Risk Solutions

Dipak Chotai is the founder of a specialist consultancy firm, JD Risk Solutions, and is a veteran of risk management. He was most recently a Managing Director at UBS reporting into the Global Head of FX, Rates and Credit as the Head of Risk Management for the fixed income business, and was part of the IB leadership team. 

Dipak’s team was responsible for approving all bilateral legal documentation for UMR, and was integral in optimising the business for the Uncleared Margin regulation including running roadshows for clients globally on uncleared margin and mandatory clearing.

Throughout his 17-year tenure at UBS, Dipak has occupied roles within technology, middle office, and front office. Notably, Dipak was a senior trader on the XVA desk during the financial crisis. 

Dipak has also served on CCP Risk Committees and Default Management Committees, and on the boards of OTCDerivNet and CreditDerivClear.