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Financial Engineering Workshop - Nicholas Burgess (XP Investments)
Online Event
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Registration is now closed (this event already took place).
Details
Abstract
Throughout the discussion we aim to expose the audience to interest rate markets, both the theory and practice. The primary function of interest rate markets is to bring together borrowers and lenders to facilitate the finance of government and corporate projects. It is a market that facilitates more than USD 370 trillion of loan, mortgage and other rates transactions globally. The financing of large-scale projects bears many risks. We explain these risks and introduce the wide variety of swap instruments available in the financial marketplace created to manage them. Secondary to this, interest rate markets are undergoing notable change and reform and we discuss the current state of interest rate markets to understand the impact of these changes on existing market protocols.
An overview of linear interest rate products will be presented, including interest rate swaps, overnight indexed swaps, risk-free indexed swaps, tenor basis and cross currency basis swaps, asset swaps as well as credit default swaps to complete the picture. We will touch upon yield curve modelling as it is an essential requirement to be able to price interest rate products. We will also introduce advanced topics and hot industry trends, such as the use of Automatic Adjoint Differentiation (AAD) for ultra-fast curve construction and efficient risk calculations. Whilst presenting products and models we endeavour to reflect upon the impact of ongoing market changes being brought about by LIBOR benchmark reform.
Bio
Nicholas has a breadth of practitioner experience accumulated from having worked on trading floors internationally as a Quant for many large investment banks, hedge funds and financial institutions including Citigroup, UBS, Credit Suisse, Bank of America, CQS Hedge Fund, Deutsche Bank, Commerzbank, Société Générale, ANZ, MUFG, Mizuho, HSBC and currently XP Investments. This has allowed the author to gain broad insight and exposure to the trading, pricing and risk management of interest rates, fixed income, equities, credit, commodities, FX, hybrids & exotics, inflation and XVA. Recently he worked as the Head of Quant Research and Analytics for Mizuho specializing in electronic swaps trading, low latency pricing and risk analytics. Currently he manages the core Quant teams covering FICC, Equities and XVA at XP Inc in Brazil.
He is well-qualified having read financial strategy at Saïd Business School, University of Oxford with post-graduate research in machine learning and algorithmic trading strategies. He also read quant finance at Henley Business School and Mathematics at the University of Manchester. He enjoys researching the latest trends in financial markets. Over the course of his professional and academic career the author has written and published many quantitative and finance research papers, see https://ssrn.com/author=1728976 for more information
The Financial Engineering Workshop will take place in-person and online via Zoom.
To access the link to the online seminar, please register the day before the seminar, otherwise you will not be given access.