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January 6, 2016

New training course: OTC margin and the true cost of clearing

Central clearing and bilateral margining for OTC derivatives have a significant impact on both valuation and risk management. With the mandatory clearing deadlines now less than a year away, this training course is for practitioners keen to understand more about the quantitative impact of these changes, with a particular focus on Interest Rate products.

New training course: OTC margin and the true cost of clearing

Tuesday 23rd February 2016: Prospero House, 241 Borough High Street, London SE1 1GA

Central clearing and bilateral margining for OTC derivatives have a significant impact on both valuation and risk management. With the mandatory clearing deadlines now less than a year away, this training course is for practitioners keen to understand more about the quantitative impact of these changes, with a particular focus on Interest Rate products.

The training will be led by Marc Henrard, head of quantitative research at OpenGamma and author of Interest Rate Modelling in the Multi-curve Framework. Marc is Visiting Professor at University College London where he teaches a course on interest rate modeling. Marc is experienced in risk management, quantitative analysis, trading, and software development and has senior management experience in bank and financial technology. He is regularly invited to speak at major international practitioner and academic conferences (with 7 appearances so far since 2013), and is an advisor and consultant in quantitave finance, providing training on multi-curve framework, CCPs methodologies, and algorithmic differentiation.

Marc has 50 publications in finance, including a book on multi-curve framework and is ranked by SSRN as being among the top 0.5% of social scientists in terms of readership. Publications include international journals, both as a referee and author. You can find more information about Marc's recent books and publications by visiting his blog.

Key concepts featured in this one-day course are: 

  • OTC Margin: terminology and fundamentals
  • OTC Clearing / margin / capital: a regulatory time table
  • Multi-curve valuation (foreign currency/ non-cash collateral)
  • OTC CCP initial margin methodologies: LCH, CME, Eurex
  • OTC CCP comparisons  (treatment of currency risk, CME/LCH basis) 
  • Bilateral margin: regulatory requirements
  • ISDA(R) SIMM proposal (comparison with HVaR)
  • Cost of clearing over the full life: future IM estimation, MVA

The location of the event is below; attendance costs £400 (inc VAT), and you can find out more and register by contacting Pamela Blamey directly.

About OpenGamma

OpenGamma is a new breed of fintech firm combining the best of ‘build’ and ‘buy’. We are the only ones that give customers full control with open source technology backed by strategic investment from the financial services industry. In response to increased demand for better analytical capabilities across different CCP risk regimes, we are focused on developing software that helps clients optimize their capital across all business lines and clearing venues. We recently worked with Eurex to produce the Eurex Clearing Prisma Margin Estimator (PME), which is based on the OpenGamma Margining Eurex Clearing Module.


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