Agenda

Agenda

Agenda

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

CCPs and their risk management framework

02:00 - 03:00

  • Evolution of CCPs
  • Benefits to efficiency
  • Risk management
  • Impact of market volatilities
  • Regulatory rules
Arthur Laichtman

Americas head of counterparty risk

UBS

03:0003:15

Break

03:00 - 03:15

03:1504:15

CCP risk management practices in volatile markets

03:15 - 04:15

  • Typical CCP’s risk waterfall
    • Variation
    • Initial margins
    • Default fund
    • Layers of defence
  • Stress testing
  • Non-default losses and disclosure
Arthur Laichtman

Americas head of counterparty risk

UBS

02:0003:00

Dynamic initial margin

02:00 - 03:00

  • Understanding initial margin models
  • Dynamic initial margin within counterparty risk
  • New margin rules
  • Forecasting for the future
  • Clearing for derivatives
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

Modelling counterparty credit risk (CCR)

02:00 - 03:00

  • Challenges in modelling CCR
  • How to reflect initial margin in CCR
  • Impacts of Basel IV
  • Transition to risk free rates
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.

02:0003:00

Mandatory clearing in counterparty risk

02:00 - 03:00

  • When will it come into effect?
  • Impacts of mandatory clearing
  • Complex structures
  • Default waterfall
  • How to calculate exposures
Harsh Prasad

Vice president

Morgan Stanley

Harsh currently works with Morgan Stanley in Quant Analytics Group. He started his career as a programmer focussed on developing data driven algos in the areas of speech recognition, image processing and bioinformatics. He then moved to financial risk management and over the last 12 years has worked in various roles through the life cycle of models, most notably as market risk methodology developer. In these roles, he has been continuously enthusiastic to applying machine learning in problems related to behavioural assumptions, data quality, recommender systems, model benchmarking and text analytics. His current role requires him reviewing models from a third line of defence perspective across all model types including Machine Learning models used by the firm and providing direction to shaping AIML governance framework and strategy. He is also a visiting lecturer with universities and training institutions. 

03:0003:15

Break

03:00 - 03:15

03:1504:15

Default management process

03:15 - 04:15

  • 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 crisis scenario
Vincent Prepin

Default management design

Eurex Clearing

02:0003:00

CCP resolution frameworks

03:15 - 04:15

  • Differences in regulation for banks/clearing houses
  • How the resolution frameworks are set up to 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
  • Impact on traditional trading models
  • Transitioning 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.