Chaired by Moorad Choudhry, Department of Mathematical Sciences, Brunel University, the conference explored the impact of regulations, the changing landscape of the OTC derivatives market with respect to valuation and risk management, the role of central clearing, and the trend towards centralised XVA desks.
Lee focussed on central clearing of OTC derivatives and the associated collateral, margin and capital requirements. He also emphasised how regulations are unbundling traditional OTC derivatives markets and consequently creating threats and opportunities for different market participants.
Moderated by Milena Imamovic-Tomasovic, the panel reflected on the impact of market changes on XVA pricing and modelling methodology, how banks are dealing with a regulatory divergence in the market and centralised XVA processes
George Handjinicolaou, Deputy CEO, ISDA provided an overview of the structural changes to the OTC markets in response to the G20 reforms designed to reduce systemic risk and increase transparency across global financial markets.
“This session from Quantifi was excellent, it was very engaging, the quality of speakers was exceptional. The audience was engaged right from the beginning to the end”
- Prof. Moorad Choudhry, Department of Mathematical Sciences, Brunel University
- George Handjinicolaou, Deputy CEO ISDA
- Milena Imamovic-Tomasovic, Head of CVA, Funding & Equity Methodology, Deutsche Bank
- Steven Marshall, MD, Cross Asset Products, Nomura
- Jeremy Vice, MD, Head of CVA Trading, UniCredit
- Andrew Green, Head of CVA/FVA Quantitative Research, Lloyds Banking Group
- Lee McCormack, Executive Director, OTC Clearing, Nomura
- Pierre Sarrau, MD, Blackrock
- Ricky Maloney, Head of Buy Side Sales and Relationship Management, Eurex Clearing
- Fiona Southall, CAIA, Senior UK LDI Solutions Manager, AXA-IM
- Miles Courage, COO, JPS, J.P. Morgan Asset Management
- Marshall Bailey, President, ACI International, (The Financial Markets Association)