Quantifi's 3rd annual risk conference, at the Vintners' Hall, London, attracted delegates from across the industry for a compelling afternoon of unique insights and discussion on 'The Dynamics Driving OTC Markets' including regulation, clearing, pricing and valuation, and risk management
In his opening remarks, the conference chair, Moorad Choudhry, mentioned how relevant the event was from a balance sheet management and risk management perspective and very topical whether the firm is a user of derivatives from the banking side, for hedging or market making perspective, or from the buy side and a user from a 'customer perspective'.
Jon covered the challenges in XVA pricing and valuation taking into account regulation, quantification, usage and overlaps. He emphasised how pricing and risk management of OTC derivatives has been a large field, covering many products and has become more complex in recent times.
View Presentation - Jon Gregory
Dennis provided a perspective on central clearing including how new regulatory mandates have increased volumes in clearing and how the market is searching for improved capital and netting that. Dennis also explained how CCPs transform a credit challenge into a liquidity challenge via concentration risk.
The panel discussed how the market is being transformed, with regulation and clearing the two main drivers. The panel discussed how firms are preparing for MiFID2 from a clearing perspective. Relating to xVA, they explored the impact on clients from an xVA desk viewpoint in terms of clearing.
- Prof. Moorad Choudhry, Deputy CEO, Habib Bank AG Zurich
- Jon Gregory, Independent Consultant
- Miles Courage, JPS, COO, J.P. Morgan Asset Management
- Prasun Mathur, Deputy Head of Investment Risk & ALM Strategy, Phoenix Group
- Antonello Russo, Director, Risk Management, BlackRock
- Patrick Trew, Chief Risk Officer, CQS
- Dennis McLaughlin, Chief Risk Officer, LCH Clearnet
- Rohan Douglas, CEO, Quantifi
- Moises Gerstein-Alvarez, Director, CVA and Funding (FVA) trading Desk, ING Investment Bank
- Ian Morris, Head of Product Development, OTC Clearing, Commerzbank
- Tushit Sen, EMEA Head, OTC Clearing and Fixed Income Prime Brokerage Risk, Deutsche Bank