The Future of Models in Risk Capital

The authors of “Modern Derivatives Pricing and Credit Exposure Analysis” – Roland Lichters, Roland Stamm and Donal Gallagher, all Partners of Quaternion Risk Management, launched their book at a well attended event run by QRM at The Marriott in Canary Wharf on Monday 29th February 2016.
The event was kicked off with a Panel discussion by a selection of well known industry figures, moderated by Ms. Laura Noonan, Investment Banking Correspondent of the Financial Times. The Panel included:

  • Dr. Fabrizio Anfuso – Head of Collateralized Exposure Modelling at Credit Suisse
  • Dr. Ronnie Barnes – Principal at Cornerstone Research
  • Dr. Paul Burnett – Global Head of Traded Risk Analytics at HSBC
  • Dr. Giovanni Cesari – XVA Analytics Ltd.
  • Dr. Andrew Green – Head of CVA/FVA Quantitative Research at Lloyds Banking Group
  • Mr. Stéphane Boivin – Senior Policy Expert, European Banking Authority

Panel discussion:

After a period of rapid innovation in risk modelling driven by the twin pressures of XVA and regulatory change, we now live in a new environment where large scale simulation (for XVA and Capital), more advanced cross-asset class models (e.g. stochastic vol and basis), AAD (fast Greeks), GPU acceleration and Dynamic Initial Margin have emerged to become the norm rather than the exception . At the same time, regulatory pressure (e.g. SA-CCR, FRTB and the proposed implementation of a floor linked to the standard capital requirements) seems to be pointing in the direction of more standardised add-on based approaches. What does the future hold for risk modelling and where will we see innovation or standardisation?

The authors of "Modern Derivatives Pricing and Credit Exposure Analysis"

The authors of “Modern Derivatives Pricing and Credit Exposure Analysis”

Roland Lichters adding comments to Fabrizio Anfuso's presentation of the book, and announcing more to come...

Roland Lichters adding comments to Fabrizio Anfuso’s presentation of the book, and announcing more to come…

Impressed by the table of contents...

Impressed by the table of contents…