The practitioners lecture series is an initiative aimed at familiarising students with timely topics from the industry that are usually not covered in the regular MSc curricula. It also facilitates the opportunity to exchange ideas with experts from the field and get involved in cutting edge developments in the respective topics.
The first edition of this series is around:
''The Impact of Financial Regulations on Counterparty Credit Exposure''
The first talk is a light and easily accessible introduction to Couterparty Credit Modelling. It is particularly targeted at MSc students but it is open to all. Previous knowledge is not required. The second talk presents some of the latest developments in the area. There will be plenty of opportunities for questions and discussions after each talk. Welcome!
Programme: 18:00-19:30 (Break: 18:30-18:45)
Foreword by Medan Gabbay (Quod Financial)
Speaker 1: Gordon Lee (UBS)
Title: The Importance of Being (Ernestly) Collaterized
Abstract: This talk gives an introduction to the increasing importance that collateral agreements plays in various XVA and Credit Risk Exposure computation in finance. We will go through the interplay between collateral agreements and pricing, also looking at the future problems that need to take these issues into account.
About the speaker: Gordon is an Executive Director within UBS Investment Bank, working in the Portfolio Quantitative Analytics team. He is an experienced XVA and Basel 3 Capital quantitative analyst, with extensive experience in designing and building large enterprise wide counterparty credit risk and valuation adjustment systems. He is the co-author of Modelling, Pricing and Hedging Counterparty Exposure, published by Springer in 2009. Gordon studied Mathematics in University of Cambridge.
18:30-18:45 Tea break, time for discussions
Speaker 2: Nikolai Nowaczyk (Quaternion Risk Management)
Title: A Data Science Approach to Predict the Impact of Collateralization on Systemic Risk
Abstract: Since the financial crisis in 2007/08, there has been a vigorous discussion on whether or not the regulation of the interbank derivatives market needs to change. Several new rules have been implemented already or are currently beeing phased in - most prominently, the requirement to post initial margin. However, the question on whether or not those changes are sufficient to protect the financial system against the next crisis is far from being settled. Answering systemic questions using quantitative methods is notoriously difficult: All of the trade data is proprietary and even where it is available, the gap between micro- and macro-economic metrics makes it hard to arrive at coherent results, which could be of practical use in regulatory interventions. In the talk, we present a data science approach to systemic risk that rests on a technology, which simulates entire financial systems, from a single trade to the whole interbank market, and the impact of regulation on their risks. We apply this method to recent regulation around the collateralization of derivatives and discuss the results.
About the speaker: Nikolai is a Senior Consultant at Quaternion Risk Management and author of a number of research articles around collaterization. Nikolai studied Mathematics at the University of Bonn and Regensburg and was visiting postdoctoral researcher at Imperial College London prior to joining Quaternion Risk Management.
19:15-19:30 Questions and discussions