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
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?