Tuesday 08 November 2011

8:00

Registration and coffee

8:50

Welcome address

9:00

Executive address:

Sequential calibration

• Defining sequential calibration
• Advantages of sequential calibration
• Recognising when calibration can be sequential
• Examples of sequential calibration

Peter Carr, Managing Director, Global Head of Market Modelling, MORGAN STANLEY; Executive Director, Masters in Math Finance Program, Courant Institute, NEW YORK UNIVERSITY  (Risk Awards 2003, Quant of the Year)

9:40

Plenary address: Close-out conventions and collateral in CVA modeling

• Impact of closeout conventions
• Neglecting first to default risk?
• Impact of collateral and re-hypothecation
• Wrong way risk

Damiano Brigo, Gilbart Chair of Financial Mathematics, KING'S COLLEGE, LONDON

10:20

Morning break and an opportunity to network

STREAM ONE:  Innovations in derivatives and market risk modelling 

STREAM TWO: Credit & Counterparty Risk

10:50

Chairman's opening remarks. Marcello Minenna, Head of the Quantitative Analysis Unit, CONSOB

Chairman's opening remarks. Claudio Albanese, Visiting Professor, KING'S COLLEGE LONDON

11:00

Understanding and managing model risk

• Identifying Model Risk: model uncertainty, consensus change, accountancy and regulators
• Practical examples: the pitfalls of common market models in Rates and Credit
• Quantifying model risk, benchmarking and computing provisions

Massimo Morini, Coordinator of Model Research, BANCA IMI

Dr Alex Langnau, Global Head of Quantitative Analytics, ALLIANZ INVESTMENT MANAGEMENT 

11:40

Inflation-linked derivatives: supply/demand dynamics and pricing features in the post-crisis world"

• Appropriate discount curves
• Asset swaps of linkers as the main source of inflation swap supply
• The rapid growth of the inflation option market
• Vol smile and skews and links to end user flows
• Natural hedges for vol exposure

Dariush Mirfendereski, Former Managing Director, Head of Inflation Linked Trading Rates/Fixed Income, UBS

Interest rates after the credit crunch: markets and models evolution

• The market across the credit crunch
• Classical versus modern market practices and modelling
• OIS discounting versus CSA discounting
• Switching towards CSA discounting in practice

Marco Bianchetti, Senior Quant & Risk Manager, INTESA SANPAOLO

12:20

** New Paper Series"
Variance Swap Premium under Stochastic Volatility and Self-Exciting Jumps

• Variance Swap Premium: stochastic volatility or jump risks?
• Volatility surface dynamics under self exciting jump diffusion and stochastic vol
• Calibration of self exciting jump diffusion with stochastic vol to stock and optionprices

Ser-Huang Poon, Professor, MANCHESTER BUSINESS SCHOOL

Mark Ke Chen, Graduate Teaching Assistant, MANCHESTER BUSINESS SCHOOL

Asymptotics of implied volatility in affine stochastic volatility models

• Closed-form formulae for the large-maturity implied volatility smile in affine stochastic volatility models (with jumps)
• Generalised SVI-type formula for stochastic volatility models
• Asymptotic comparison of stochastic volatility models
• Tests of numerical accuracy
• Calibration methodology based on these asymptotic formulae
  

Antoine Jacquier, Lecturer in Mathematics, Imperial College London

Consistent valuations with bilateral counterparty risk and funding 

• Introduction to bilateral counterparty risk
• choices of own debt instruments for funding and hedging
• Pde and feynman-kac representations of the total derivative value
• The funding adjustment and the windfall at own default

Mats Kjaer, Vice President, Quantitative Analytics, BARCLAYS CAPITAL

13:00

Lunch and an opportunity to network

14:00

Valuing basket options on smile and correlation skew

• Multi-asset options must be priced consistent with asset smiles and correlation skew
• Choice of instrument to mark implied correlation smile is asset class specific. We consider equity and especially FX assets
• We provide a simple (semi-)analytic formula for pricing baskets consistent with all smiles
• Numerical results show good agreement with heavier models

Peter Austing, Quatitative Analytics Group, Barclays Capital

Calibrate to the dynamics

• Robust calibration of multi-factor jumpy stochastic volatility models
• Capture the volatility term structure and smile dynamics
• Use multi-factor time-changed lévy processes
• Calibrate to the time series of volatility surfaces
• Use scenario analysis techniques for model construction
• Adjust the derivatives prices to comply with the vanilla prices
• Assess quantitative trading strategies

Péter Dobránszky, Head of Risk Model Validation, BNP Paribas

14:40

SPECIAL ADDRESS: How to complete the price information in complex products

• The Price of a Financial Product as a mean of a risk-neutral probability distribution
• Simple products: low dispersed, symmetrical probability distribution;
• Complex products: highly dispersed, skewed probability distributions;
• Loss of significance of the mean information;
• Recovering information with finite partitions of the probability distribution:
  • Losing or Gaining: the Trajectory by Trajectory Technique
  • Assessing the Value of Time and the Consistency with markets conditions: the Superimposition technique

Marcello Minenna, Head of the Quantitative Analysis Unit, CONSOB

Comprehensive framework for bilateral collateralized CVA and funding costs

• Trading under ISDA master agreement
• Re-hypothecation liquidity risk
• Collateral margining and close-out netting rules
• Funding risk and liquidity policies
• Risk-neutral pricing of CVA including cost of funding

Andrea Pallavicini,  Head of Financial Models, MEDIOBANCA

15:20

Afternoon Break

15:50

Parametric and non-parametric local volatility models

• Calibration of local stochastic volatility methods using pde methods
• Including jumps in model dynamics
• Stochastic interest and dividend rates
• Illustrations

Artur Sepp, Vice President, Equity derivatives analytics, BANK OF AMERICA MERRILL LYNCH

Margin Lending and securitization of Counterparty Credit Risk

• CVA and beyond
• Global portfolio modelling
• Cash waterfalls and cumulative loss distributions
• Transferring CVA VaR risk and default risk
• Margin lending structures
• Securitization
• Regulatory environment

Claudio Albanese, Visiting Professor, KING'S COLLEGE LONDON

16:30

Pricing Coco Bonds : The Derivative Approach

• Rule of thumb pricing from an equity to credit perspective
• Pricing coco bonds: the derivatives approach
• Dynamics and risk management of cocos
• Structuring of cocos and determining the issue size to avoid death spiral effect

Wim Schoutens, Financial Engineering Professor and Independent Consultant, CATHOLIC UNIVERSITY OF LEUVEN

Calibrating capital charges

• Financial Stability, leverage and securitization
• Systemic risk and Sovereign CDS
• Fixed capital charges for fluctuating risks?
• Contingent capital and dynamic regulation

Serge Goossens, Senior Quantitative Analyst, Financial Markets, Dexia Bank Belgium

17:10

Chairman's Closing Remarks

17:20

CHAMPAGNE ROUND TABLES

A chance to discuss the latest issues of contingent capital, volatility, credit , inflation risk, regulation and liquidity with leading experts over a glass of champagne

Interest rate modelling: Vladimir Piterbarg, Managing Director, BARCLAYS CAPITAL

Derivative modelling in high volatility & high correlation environment:  Dong Qu, Head of Quantitative Product Group, UNICREDIT  

Derivative pricing: Dilip Madan, Professor of Mathematical Finance, Robert H.Smith School of Business, UNIVERSITY OF MARYLAND

Evaluating model risk: John Crosby, Visiting Professor in the Centre for Economic and Financial Studies, GLASGOW UNIVERSITY; Managing Director, GRIZZLY BEAR CAPITAL

18:00

Cocktail reception. End of day one