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Webinar Information
Date: June 14, 2018
Time: 10:00 to 11:00 a.m. EDT
Session Length: 1 hour
About This Webinar
With Bilateral Initial Margin regulations impacting almost all sell-side and buy-side players by September 2020, its implications are starting to sink in: an expensive drain on liquidity, challenging implementation hurdles and complexity in modelling its funding cost over the life of the underlying trades.
Join us as we discuss some of the key impacts of Bilateral Initial Margin regulations & MVA including:
- The regulatory context around Bilateral Initial margin and SIMM™
- Day-1 implementation challenges
- Quantifying the risk-reduction benefits of Initial Margin: CVA, PFE & Capital
- Funding costs of Initial Margin: enter Margin Valuation Adjustment (MVA)
- Review of MVA modelling approaches
- Computation challenges for SIMM-based MVA
- Practical business and technology challenges of MVA
Speakers
Alexandre Bon, Senior Solution Architect, Murex, is based in Singapore and advises Murex customers on solutions design and implementation approaches. He looks after the positioning and go-to-market strategy of Murex product solutions. Since joining Murex in 2000, Alexandre has held product and client management roles with a focus on Market and Credit risk, previously driving the development of the MX.III CVA management module.
Johann Eschmann, xVA Product Manager, Murex, has been working with Murex for thirteen years in various roles of product development, project implementations and client support. Before that, he was a consultant on IT infrastructure projects.
Moderated by: Ignacio Ruiz, PhD, iRuiz Consulting, is an independent adviser, where he provides a range of services in Quantitative Risk Analytics, with a focus in the XVA space and capital. He works designing risk methodologies, building risk analytics frameworks, assessing current risk management setups and advising senior management on XVAs, risk management and capital in tier-1 universal financial institutions, investment banks, corporates, hedge funds, asset managers and regulators.
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