Quantifi’s London Risk Conference Provides Unique Insight on ‘The Dynamics Driving OTC Markets’

October 9, 2014
  • Speakers from Deutsche Bank, ISDA, Nomura, Lloyds, UniCredit, Blackrock and Eurex Clearing, AXA-IM and JPS, J.P. Morgan Asset Management
  • 140+ attendees from across the financial industry

London and New York (9th October 2014) - Quantifi, a specialist provider of analytics, trading and risk management solutions recently hosted its 2nd annual London risk conference. Over 140 delegates, from across the industry including banks, asset managers, hedge funds, clearing houses and industry bodies, gathered for a compelling afternoon of unique insights and sharing of best practices on ‘The Dynamics Driving OTC Markets’. Chaired by Prof. 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.

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. The second presentation, delivered by Lee McCormack, Executive Director, OTC Clearing, Nomura, focussed on central clearing of OTC derivatives and the associated collateral, margin and capital requirements. Mr McCormack also emphasised how regulations are unbundling traditional OTC derivatives markets and consequently creating threats and opportunities for different market participants.

 


 

"The sell-side panel, moderated by Milena Imamovic-Tomasovic, Head of CVA, Funding & Equity Methodology, Deutsche Bank, 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."


 

The sell-side panel, moderated by Milena Imamovic-Tomasovic, Head of CVA, Funding & Equity Methodology, Deutsche Bank, 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. The panellists discussed the diversity in pricing and price discrepancies in the market and how, from a quantitative perspective, getting to grips with the impact of capital on pricing is challenging. One other key talking point was how hedging XVA is transitioning from the front-office to a central risk group as it is more optimal given the netting benefits of capital, credit and funding.

Pierre Sarrau, Managing Director, Blackrock moderated the buy-side panel as they debated the broader influence of market reforms on the buy-side community. A key topic of discussion was the impact of clearing on different aspects including counterparty risk, OIS pricing and CRD IV.

Marshall Bailey, President, ACI – The Financial Markets Association, delivered the keynote address on ‘Ethical conduct in the wholesale financial markets - latest developments, and what you should be doing about it’. Mr. Bailey spoke about how the financial markets, as well as individual behaviours, have evolved to protect against risk, in particular conduct risk. He also stressed the importance of the market working with the regulator to ensure that regulations that do not make sense are not imposed on the market.

Conference videos may be viewed here