DETAILS

Building curves that reflect the market isn't trivial - particularly when the market behaves in ways you don't expect it to or as modelling practices evolve. Whether accounting for basis between LCH and CME, adopting best practices with OIS curves, handling dual curves and multi-currency or making other adjustments, your curve building framework needs the agility to adapt quickly.

Accurate curves can result in competitive advantage.

1. You avoid lag time of assessing multiple dealer quotes (and have the confidence to challenge quotes)
2. Produce independent prices on which you can rely with the transparency that you need
3. Report the most accurate P&L
4. Protect capital and funding costs using multiple curves and currencies for the CTD
5. Get a holistic view of risk across your portfolios and organisation

In this workshop we will demonstrate how F3 empowers you with full curve building flexibility in a single framework to generate trading alpha, price accurately, run risk across your trading book, and re-project risk for hedging ideas. F3 handles all the subtleties and nuances that make the difference.

Agenda
16.30-17.00: Registration
17.00-17.45: Impact of EMIR/Dodd Frank Clearing and Margin Rules on derivatives pricing
17.45-18.35: Flexible curve building in F3 to meet real-world challenges
18.35-19.30: Drinks & Canapés

Speakers

Dr. Richard Weeks, Quantitative Analyst, FINCAD Client Services
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.

Subbu Loganathan, Consultant, Kramerica Consulting
Subbu Loganathan is a Regulatory Strategy and Risk Management consultant with over 13 years of experience in assisting banks, brokerages and asset managers with derivatives regulations and structural reform. He specializes in defining firm strategy and developing long-term solutions for credit, market, funding and liquidity risk regulations such as Dodd Frank and EMIR, as well as structural rules such as Basel III/CRD IV, AIFMD and Solvency II.