IBOR to Risk Free Rates London

Learn how the transition from IBOR to Risk Free Rates is affecting leading financial services firms. Covering essential basis of the changes around risk management, hedge accounting, modelling the operations function and also looking at approaches to practically dealing with the transition. .

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IBOR to Risk Free Rates

London, 25 - 26 September 2019

Course Agenda     Pricing & Registration

After two hugely successful events earlier in 2019, this Risk Training course is returning to London to again provide attendees with best practice approaches to dealing with the implications of the transition to risk free rates. Key concerns such as adapting the operations function, defining and modelling rates, accounting for loans and the wider impacts on risk management will all be considered.

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What will you learn?
  • Global Ibor to RFR context and progress so far
  • About the Eurozone benchmark reform, similarities and differences to UK markets
  • Ways to manage ALM and liquidity under the new rate structure
  • Methods for adapting the operations function, looking at necessary changes to business and front office
  • An overview from LCH on the central counterparty perspective 
  • Best practice for dealing with the transition, from programme set up through to governance with case studies from Goldman Sachs and Swiss Life
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Who should attend

This course has been designed for anyone in financial services who is working in, and affected by the transition to risk free rates. Relevant departments may include but are not limited to:

  • Financial markets
  • Regulation
  • Counterparties
  • Treasury
  • Risk managers
  • Derivatives
  • Market infrastructure and policy 
  • Ibor transition
  • Benchmark and control

Alan Farrell

executive director, corporate treasury

Goldman Sachs

Alan is an Executive Director within Corporate Treasury, responsible for Libor Transition in EMEA. Previously he worked on the Investment Grade Syndicate desk within the Investment Banking Division. From 2004 to 2016 Alan worked on the Short Term Interest Rate desk, trading both Corporate and Government debt markets. Alan joined Goldman Sachs in 2001.

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Paul Brooks

head of market risk GM

Bank of Ireland

Paul’s background is in Theoretical Physics, but he has spent the last 12 years working in financial markets, in risk-taking and quantitative roles. He spent the bulk of that time as a prop trader in rates derivatives and bond markets, but in 2016 he founded the XVA desk at BoI, consolidating their approach to the management of VAs, and driving a mandate to reduce XVA related costs and improve capital efficiency. More recently, he made the jump from front to middle office, becoming head of Traded Market Risk. Paul studied for his PhD at Durham, focussing on mathematical aspects of quantum field theory. He lives in Dublin with his wife and son.

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Agathi Pafili

senior regulatory policy advisor

EFAMA

Agathi Pafili, is a Senior Policy Advisor in the European Fund and Asset Management Association (EFAMA). She joined EFAMA in September 2012 and is currently member of the Regulatory Affairs team and the Public Policy Affairs team. She is based in Brussels and is in charge of the EU and international regulatory landscape for the asset management industry, with a focus on alternative and long-term investment funds, benchmarks and financial indices, anti-money laundering policies and the use of credit ratings. She is also a member of the Steering Committee of Euribor and of the ECB’s WG on the creation of a new unsecured overnight transactions rate.

Prior to joining EFAMA, Ms. Pafili was working in the European Parliament as member of the Vice President’s cabinet, dealing with the Economic and Monetary Affairs Committee’s (ECON) legislative work on financial services and monetary policy. From 2004 to 2009 Ms. Pafili worked in the European Parliament as an accredited assistant in the ECON Committee and in the cabinet of the Chair of the Culture and Educations Affairs Committee.

Ms. Pafili graduated from Law School of National and Kapodistrian University of Athens with a Master’s Degree in international and European law. She started her career in 2002 as a trainee lawyer in Commercial Bank of Greece. She is currently member of the Athens Bar Association.

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Philip Whitehurst

head of service development

LCH

Philip Whitehurst is Head of Service Development for LCH’s Rates business which includes SwapClear, the market-leading swap clearing service it operates.

Based in London, Philip has over 25 years' experience in the OTC Derivatives markets in a range of functions and firms. Following initial roles trading GBP and DEM interest rate swaps and options, Philip spent more than 10 years structuring fixed income derivatives solutions for institutional and retail clients the APac and EMEA regions for the major international investment banks.

Philip joined LCH in 2009 to lead SwapClear’s Product Management function, and has been heavily involved in the design & development of many of LCH’s recent initiatives including SwapClear’s client clearing models, its compression services and the nascent extension into non-cleared OTC derivatives. He has most recently been representing LCH in industry forums, such as ARRC, established to address the challenge of Benchmark Reform.

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John Ewan

director

Benchmark Advisory Services

John has spent his career working around all aspects of market data and benchmarks.  He cut his teeth working at FTSE, carrying out reviews of their indices and working with their independent committees.

He then ran LIBOR for the British Bankers Association, working with the private and public sector to put in place the first sets of reforms to the operation and governance of the benchmark.

John then moved to Thomson Reuters – now Refinitiv – to develop their portfolio of benchmarks across all asset classes and territories, including the LBMA Sliver Price and WM Reuters FX benchmarks, which were two of the first regulated benchmarks.

John was a founder member of three of the first oversight committees for regulated benchmarks and sits on various public and private sector bodies that govern and develop benchmarks. 

He now works as a consultant, helping industry meet the challenges of *IBOR transition, benchmark regulation, the FX Global Code and other related matters.

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Costantino Peiser

managing director

DekaBank

Costantino Peiser holds the position of a Managing Director at DekaBank, heading the market risk management team within the Treasury. Before joining DekaBank in 2008 he has worked for various financial services, consulting and energy companies including Commerzbank, Reliant Energy, Reech Capital, and Deutsche Pfandbriefbank. His skills range from derivative product development to risk and portfolio management. He has helped customers throughout Europe as a consultant and by providing structured solutions to their debt and asset management problems. Within his current role he is combing the market risk management of bank’s loan portfolios with the interest rate management of the banking book.

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Dr. Annelis Lüscher Hämmerli

chief risk officer

Swiss Life Asset Managers

Annelis Lüscher Hämmerli is Chief Risk Officer of Swiss Life Asset Managers and member of the extended executive committee of Swiss Life Asset Managers. She is responsible for the risk framework, risk monitoring and advising on risk related matters for the Swiss Life balance sheet assets (>CHF170bn) as well as the third party assets (>CHF79bn) with the goal to preserve the capital base, to provide transparency and to support strategic decision taking. Before that she ran the asset liability management and optimization team for the Swiss Life balance sheet assets.

Since 2019, Annelis is also a board member at a Swiss bank (Cantonal Bank of Berne).After a PhD in evolutionary biology at Max Planck Institute of Limnology in Plön, DE, she earned a Master in Advanced Studies in Finance of the ETH in Zurich. After that, in 2004, she started her professional career at Swiss Life heading the credit and market risk modelling team. She is also a certified IFRS accountant.

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Mark Spencer

financial services accounting advisory leader

BDO LLP

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Tom Hicks

managing partner

Dantum Consulting

Tom Hicks has over 15 years experience in the finance and banking sector and has a track record of delivering complex business and regulatory change projects.  He has a detailed understanding of products and front to back process flows, having run a Fixed Income desk and set up an Algorithmic Hedge Fund.  Tom has delivered numerous regulatory change projects including Volcker, EMIR, MAR and MiFID II, translating regulatory requirements into compliant business solutions.  He helped shape the IBOR Transition proposition at KPMG and He is currently a Managing Partner at Dantum Consulting.  He is project managing the issuance and transition work streams on IBOR transition at a major top tier bank.  He holds a 1st class Masters degree in Engineering from Warwick University.  Tom is also the chairman of the STA (Society of Technical Analysts).

25 September 2019
2019-09-25 08:45:00 +0100