Details

Market practitioners face several challenges when pricing OTC derivatives in the current complex environment. Chief among these are determining how to price under multi-currency credit support annexes (CSAs), achieve accurate swaps valuations and manage trading strategies in light of differences in basis spreads seen at various exchanges.

Join FINCAD’s Dr. Richard Weeks and guest speakers, Phil Hermon and Pierre-Olivier Baudot, for a seminar on best practices around model building and OTC clearing. Understand how to improve OTC derivatives pricing precision under a multi-currency framework with a detailed example illustrating the modeling of the LCH-CME basis. Also get insight into how a flexible multi-currency curve framework can help you achieve more accurate hedging, reduce trading costs and maximize the profitability of your trading strategies. Specific areas to be covered will include:

• How to construct cheapest-to-deliver multi-currency curves
• Evaluation of the LCH-CME basis
• Improving the accuracy of OTC derivatives portfolio valuation
• Insight into performing dual-curve calibration

Speakers

Dr. Richard Weeks, Quantitative Analyst, FINCAD
Dr. Richard Weeks is a Quantitative Analyst in FINCAD’s Client Services team. He is responsible for assisting clients in the design, development and implementation of quantitative models to enable them to address their valuation and risk analytics needs. Richard has 10 years of experience helping Financial and Energy sector organizations implement effective risk solutions. Prior to joining FINCAD’s Client Services team, Richard was a Quantitative Analyst in the FINCAD Research & Development group.

Phil Hermon, Senior Director, OTC Products,, CME Group
Phil Hermon serves as Senior Director of OTC Products at CME Group and is based out of London. He is responsible for marketing, developing and executing OTC products for both CME Inc. and CME Clearing Europe. Before joining CME Group, Phil most recently worked in Sales for OTC & ETD Clearing and Prime Brokerage at RBS. He previously served in various roles in OTC client solutions, derivative operations and relationship management at Morgan Stanley. Prior to his career in finance, Phil was a Captain in the Royal Tank Regiment within the British Army and holds a bachelor’s degree in business studies from the University of Sheffield.

Pierre-Olivier Baudot, CEO, Baudot Patrimony
Pierre-Olivier Baudot is an alternative investment manager in fine art and collectibles who founded Baudot Patrimony in London, for investors seeking transparency and diversification in fine art and collectibles. Pierre is also founder and chief executive of a multi-family office in London which advises wealthy families and institutional clients on real estate, financial assets such as bonds and equities, and alternative investments. Before launching Baudot Patrimony, Pierre worked in his father’s art auction house in Paris. Prior to that he was Head of Competitive and Market Intelligence for JPMorgan’s Trust Bank in London and Hong Kong and worked as a consultant for six years at Cap Gemini Ernst & Young in Paris, London, The Netherlands and Singapore. Pierre graduated from Ecole Centrale de Marseille and holds an MBA from the University of Michigan in the U.S.