Financial Engineering Workshop - Fabrizio Anfuso (Traded Risk Measurement, PRA, Bank of England)
Bayes Business School, 106 Bunhill Row
Room 2005 (second floor)
106 Bunhill Row, London EC1Y 8TZ, UK
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CCR Stress Testing, WWR and Leverage: a Monte Carlo simulation based framework
Abstract
The recent defaults & near defaults events (LDI criss / LME Nickel, Archegos, CS, SVB…) brought greater focus on the need of effective CCR stress testing, as well as on the complexity of modelling highly levered and WWR counterparties. Building up on recent analytical progress, we show possible ways to use production Monte Carlo CCR implementations to compute realistic stressed exposures.
Bio
Fabrizio is a leading expert in developing complex risk analytics, quantitative modelling and financial regulations. He has an extensive track-record of heading quant teams onshore and offshore, as well as of taking part in firm-wide programs, such as IMM, BCBS-IOSCO Margin Requirements and IBOR transition. In his present and previous roles, Fabrizio has gained a comprehensive knowledge of the full model development cycle, including the model design, the validation of model performance, the IT implementation and the attainment of regulatory compliance. His main areas of expertise are Counterparty credit risk, Monte Carlo simulations, Internal Models for the trading book (IMM and IMA), derivatives pricing, CCPs & collateral modelling, Initial Margin methodologies and regulatory capital. Fabrizio is chairing the master’s courses in Counterparty Credit Risk and Advance Portfolio Valuations of the ETH / University of Zurich and taught a number of advanced professional trainings in topics such as CCR, capital management and Initial Margin methodologies. As part of his academic activities, he has authored numerous research articles in the fields of quantitative finance and condensed matter physics. Fabrizio holds a Ph.D. in Theoretical Physics from the Chalmers University of Technology (Gothenburg, Sweden).
Dress Casual (jeans ok)
Food Provided (Tea/coffee and biscuits)
Where
Bayes Business School, 106 Bunhill Row
Room 2005 (second floor)
106 Bunhill Row, London EC1Y 8TZ, UK