Agenda

Agenda

Previous Course Agenda

Agenda timing is in BST
----------------------------------------------------
Session one - 2pm BST/ 9am EST
Session two - 3.15pm BST/ 10.15am EST
End - 4.15pm BST/ 11.15am EST
----------------------------------------------------

14:0015:00

CCPs and their risk management framework

02:00 - 03:00

  • The evolution of CCPs
  • CCP clearing − benefits to efficiency and risk management
  • Regulatory requirements applicable to CCPs
  • How to manage CCP and client risk
  • How to treat CVAs under FRTB rules

15:0015:15

Break

03:00 - 03:15

15:1516:15

CCP risk management practices in volatile markets

03:15 - 04:15

  • Reconciling competing objectives relating to market structure
  • Typical CCPs risk waterfall
    • Variation
    • Initial margins
    • Default fund
    • Layers of defence
  • Stress testing and mutualisation of resources
    • Margin vs. GF contribution
  • Non-default losses and disclosure
  • Differing liquidity risk profiles
Gabriel Medina

Head of model risk management

ICE Clear Europe

14:0015:00

Collateral management and optimisation

02:00 - 03:00

  • Trends in collateral and derivatives market space
  • Impact of margin regulation and settlement changes on
    • Collateral management
    • Central clearing market
  • Eligible collateral and settlement time
  • Collateral vs. CVA charges
  • Market adoption and lessons learnt

15:0015:15

Break

03:00 - 03:15

15:1516:15

Uncleared margin rules

02:00 - 03:00

  • Impact on traditional trading models
  • Transitioning to regulatory compliance
  • On boarding challenges
    • Self-disclosure: who is in the scope?
    • Rule selection: which rule applies and how to break down and allocate them to different functions?
  • Cross border implications
  • Impact on buy-sides and sell-sides
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 was also responsible for FRTB implementation for the business sitting on cross business committees, industry working groups and initiatives. 

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. 

14:0015:00

Global regulatory landscape of IM

02:00 - 03:00

  • Main requirements for the mandatory exchange of the IM
  • Global regulatory perspectives and firm impact
  • IM and industry advocacy
  • Transaction and counterparty scope of IM
  • Third party vs. triparty custodian models

15:0015:15

Break

03:00 - 03:15

15:1516:15

Initial margin and CCP margin buffers

03:15 - 04:15

  • Common clearing risks in OTC derivatives
  • Explaining the margining process
    • Liquidity risk and initial margin threshold
    • Bilateral vs. cleared
  • Regulatory minimums for initial margin requirements
  • Types of documentation needed to implement IM: who needs what?
  • 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.

14:0015:00

Preparing for the final stages of initial margin phase-in

03:15 - 04:15

  • Understanding the qualitative and quantitative impact
  • Key takeaways and lessons learnt from the previous phases
  • Setting expectations of management, clients, and counterparties
  • Back testing and monitoring
  • Best practices in efficient and control in margin call, collateral posting, administration, and solutions

15:0015:15

Break

03:00 - 03:15

15:1516:15

ISDA SIMM background and model implementation

03:15 - 04:15

  • ISDA SIMM outline and approach, and regulatory requirements
  • Understanding the IM models – SIMM vs grid
  • Key risk factors, sensitivities, and measures
  • Incorporating ISDA SIMM into derivative infrastructures
  • Challenges in implementing SIMM
Alexandre Cappe

Head of OTC collateral processes

Société Générale