This is a full recording of the seminar held in London on May 28th, 2014 in partnership with the Wilmott Forum.
Session Content
| (60mn) | Risk-Aware OTC Pricing – Adapting the Risk Neutral Paradigm – Justin Clarke, Edu-Risk |
| (30mn) | Coping with the Tsunami of Compute Load – Hicham Lahlou, CEO Xcelerit |
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Overview
Since the financial crisis of 2008, financial institutions have radically shifted their focus towards active management of the risks associated with OTC contracts. Front office pricing is now tightly connected to traditional middle-office/back-office tasks and parameters such as credit risks, funding costs, and capital costs need to be accounted for in the valuation of the trade.
Achieving this requires a fundamental change in the way that a bank prices and assesses the risk of derivatives. Differing degrees of netting set and portfolio aggregation need to be done to sensibly value and analyse the XVA components. Incremental risk measures may need to be calculated and attributed at the individual trade, netting set and bank-wide level. The traditional over-night approach to risk computation now needs to be changed to a near real-time calculation.
All of this requires new algorithms (CVA, FVA… XVA), greater computing power and very fast turnaround on risk calculations.
Xcelerit in conjunction with Wilmott are offering clients a briefing session on the changes facing bank’s risk departments, the computations required and the software and hardware infrastructure that will be needed to respond to these new challenges.
The headline speaker is the renowned risk trainer Justin Clarke who will outline the forces driving these changes in banking practice. He will draw from his extensive experience working with banks in Europe, the US and Asia in describing the types of calculations that will be required and the consequent compute load.
Justin’s talk will be followed by a session with Xcelerit’s CEO, Hicham Lahlou who will demonstrate how the calculations needed for this analysis can be achieved with the turnaround times that will be required. Hicham will show how risk calculations can be accelerated dramatically without requiring major modifications to the existing codebase and will show how these new requirements can be met with minimum disruption to a bank’s existing infrastructure.
