WBS 4th Interest Rate Conference

17 Mar 2015 - 19 Mar 2015

Quantifi presented 'Cost of Collateral for Clearing'. The 4th Interest Rate Conference covered a number of key areas relating to the rates market including pricing, modelling techniques, funding ratio, liquidity, leverage ratio and collateral optimsation


'Cost of Collateral for Clearing'

  • Initial and Variation Margin Costs (IMC/VMC)
  • Real world risk measures
  • Accounting for FVA, Capital/KVA
  • Fundamental Review of the Trading Book
  • Model risk
  • Stress testing
  • DFAST, PPNR Forecasting


Rohan Douglas, CEO, Quantifi