WBS 2nd Fixed Income Conference

4 May 2015 - 6 May 2015

Quantifi presented 'Cost of Collateral for Clearing'. This fixed income conference also covered the latest developments in quantitative research, operational risk, and model risk & regulations including model risk, stress testing, counterparty risk and collateral optimisation

'Cost of Collateral for Clearing'

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



Dmitry Pugachevsky, Director of Research, Quantifi