Financial Engineering Workshop - Stefano Iabichino (UBS)

Presenter: Stefano Iabichino (UBS)

Presentation title: Funding, Wealth Transfer and Financial Stability in the post-LIBOR Era

Abstract: Recent events in the financial landscape showed that if, on the one hand, a robust lending ground for the LIBOR transition is far from being reached, on the other, funding risk still threatens the financial system. We will discuss the transition's hidden opportunity to shield banks from funding risk. The proposed solution would optimise a stressed bank's balance sheet while preserving volumes without external intervention, as it provides clients with optimal allocation incentives to safeguard their financial intermediation channel.

Bio: Stefano Iabichino is a Quantitative Investment Solutions team director at UBS. He worked at J.P. Morgan as a Quant in the Counterparty Credit Risk division and as a Quant Researcher at Global Valuation Ltd. His research focuses on funding risk, stress testing and model risk, and he has published several papers in these areas. He holds a PhD in Quantitative Finance from TorVergata University (Rome).

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