News

This short webinar introduces you to the Open Source Risk Project and Open Source Risk Engine (ORE). Roland Lichters, co-founder and CTO of Quaternion, walks you through ORE’s history and mission, project and analytics scope and shows how to quickly get your hands on running ORE. For more detail, please visit https://www.opensourcerisk.org.

• Detailed walkthrough of financial impacts for sample derivatives portfolio
• Identification of most important CSA factors
• Funding cost assumptions
• Live Q&A

Visit our YouTube page to see an excerpt of Donal Gallagher’s panel discussion at AcadiaSoft Virtual Forum on 08 October. He highlights the importance of valuing a CSA considering the full lifetime of the derivatives portfolio, especially in the time of Libor Transition and UMR re-papering.

This 30 min video continues our series of introductory web seminars on the Open Source Risk Engine (ORE).

Dr. Roland Stamm, a Partner at Quaternion, presents the current state of the transition away from IBOR rates to the new risk-free benchmarks like €STR and SOFR. He then shows how ORE XML has been made ready for representing products based on the new rates, and where these changes are reflected in the ORE User Guide. For an introduction on ORE XML see our first video on the topic by our Principal Scott Sobolewski.

This webinar will focus on Contract Analysis and CSA Fair Value Pricing Analysis for IBOR transition
Has your firm identified all of the CSAs that will be affected by the transition to alternate reference rates?  Have you calculated the potential financial impact of the change in CSA discounting?

Join Quaternion Risk Management and AcadiaSoft for a comprehensive webinar that provides expert advice and insight into how your firm can deploy a turnkey solution:

• The challenges that market participants face
• Key steps and tips in addressing these challenges
• How the process works
• Advantages of leveraging the AcadiaSoft eco-system

Speaker line up:

• Mark Demo, Head of Community Development – AcadiaSoft
• Richard Barton, Head of Product Management – AcadiaSoft
• Roland Stamm, Partner, Quaternion Risk Management

This short video is the first in a series of introductory webinars that introduce various aspects of the Open Source Risk Engine (ORE). Scott Sobolewski, Principal at Quaternion, walks you through the ORE XML trade detail specification, which serves as the primary input into ORE’s pricing and risk calculations. ORE XML captures the individual trade economics for any type of OTC derivatives instrument – for more detail, please visit https://www.opensourcerisk.org/xml/

Quaternion has announced a partnership with Wipro, the leading global information technology, consulting and business process services company, to provide joint SIMM-related consulting services to clients covered by Uncleared Margin Rules (UMR). Our “SIMM-in-a-box” offering will allow financial institutions to calculate trade sensitivities, generate CRIF (Common Risk Interchange Format) files, and calculate initial margin in-house, in addition to other benchmark and validation-relation solutions.

For more information, please find the press release here. 

The standardization of the way the Over-The-Counter bi-lateral derivatives industry records and digitizes trade details is hugely important. But the process of achieving those methods of standardization is anything but simple. The brand new episode of our ‘Ahead of the Curve’ #podcast series sees our panel of experts discuss why data standardization in OTC Derivatives is so vital and how the industry can look to prepare.

To get under the skin of this highly topical issue, Fred Dassori and Richard Barton from AcadiaSoft are joined by Donal Gallagher, Chief Executive at Quaternion Risk Management, who shares his outlook for standardization: “The industry is ready for standardization, but in practise I think firms need to allow more time. I think they need to start earlier on this journey of preparedness to allow more time for testing, to allow more time for processes to bed in and to understand what standardization needs to be put in place”.

Listen to the full discussion, tune in to the latest episode ‘Crunch-time: why data standardization in OTC Derivatives matters’

In February 2020, the COVID-19 pandemic began to sweep across the world, sparking a global shutdown and ushering in the beginning of a steep recession and potentially ushering in an indeterminate period of global economic uncertainty. Selloffs in the Equity, Bond, and Commodity markets began to produce losses ranging from 35% to 40% from their all-time highs, leading to volatility levels not seen since the recession in 2008. The OTC derivatives market had its share of volatility as well, seeing high yield CDS indices reaching new highs in March. As the volatility picked up, so did collateral swings and movements across all markets, including the OTC derivative market, prompting Central Counterparties (CCPs) to adjust their margin models mid-stream to account for collateral shortfalls. The impact of the COVID shutdown also prompted regulators across the globe to delay the margin rules for bilateral OTC derivatives by one year.The Recent Volatility and ISDA SIMM™

As market volatility increased, risk models in the cleared OTC markets adjusted rapidly to ensure firms were adequately covering risk, but on the bilateral OTC side, firms exchanging margin using the ISDA SIMM model (SIMM) had experienced something entirely different. SIMM is the initial margin model used by all firms that are in scope for the non-cleared margin rules to exchange regulatory initial margin. SIMM is by design a model that is intended to avoid procyclicality. It was conservatively built to ensure it could withstand market shocks to allow firms who use the model to cover their risk without making adhoc adjustments, even through a highly volatile market period of stress. During the initial volatility period of February through March 2020 many industry experts questioned whether SIMM was built to be able to withstand these shocks. By all intents and purposes, SIMM did withstand the period of stress and volatility based on the data and evidence that we will demonstrate in this study.In addition, SIMM does have a robust governance structure in place to ensure that if there are observations of exceedances produced by the model due to new periods of stress, they are identified and the model is altered accordingly to ensure risk is being appropriately captured and that the model remains conservative enough to avoid future events of procyclicality.

In this data study we explore exactly how SIMM performed during the period of January through mid-April 2020. We will look to see what, if any, exceedances took place across asset classes and compile benchmark data to illustrate how SIMM performed against Value-at-Risk (VAR) models during other periods of stress. We will also look to make recommendations based on the data observed to any changes we believe could benefit the model.

Acadia QRM SIMM Data Study 2020

Quaternion’s ORE XML trade format standard is being widely adopted by the industry through client subscriptions to our partnership with AcadiaSoft for risk-related initial margin (SIMM) compliance solutions, along with steady open source adoption. While the AcadiaSoft Services have certainly experienced certain mild growing pains referenced in the article, industry-wide adoption of ORE XML will lead to greater standardization in the OTC derivatives market, and potentially bring with it even greater synergies and cost reductions as we look to offer more value-added risk services to the industry.

Read the full article on RISK.net

Unsecured short-term interbank funding in the IBOR market (“InterBank Offered Rates”) has declined dramatically following the 2012 rate-fixing scandals and its integrity has been openly called into question. In July 2017, the UK’s Financial Conduct Authority declared that it would no longer persuade or compel banks to submit their interbank borrowing rates after 2021. While central bank-led working groups have been convening since 2014 to establish appropriate Alternative Reference Rates (“ARRs”) for each IBOR currency, the FCA’s triggering event has solidified the need for financial market participants to prepare for the impending cessation of IBORs. Given outstanding uncertainties in the working groups’ determination of ARRs per currency, calculating IBOR exposures and establishing a transition plan is critical in advance of 2021 while there still remains sufficient time to proactively manage the market, accounting, and legal risks. This White Paper describes Quaternion’s IBOR-related services aimed at helping financial market participants prepare for 2021:

1. Evaluation of existing IBOR exposures and hedge effectiveness, including stress testing
2. Portfolio compression of IBORs, while maintaining the same duration-adjusted exposure
3. Quantitative support during legal renegotiations of derivative and loan documentation
4. Calculation of go-forward spread and tenor adjustments to equalize ARRs and LIBORs

Download the Whitepaper

At the end of 2018, the financial industry has still not yet established a consensus methodology for calculation of Margin Value Adjustment (MVA) on non- centrally cleared derivatives. MVA represents the expected funding cost of initial margin over the lifetime of a trade/portfolio, and is particularly relevant today due to BCBS-IOSCO 261 – more commonly referred to as the “Swaps Margin Rules”, it requires financial entities to exchange sufficient collateral to cover potential losses over a 10-day period with 99% confidence, and is complementary to the margin typically used to settle daily mark-to-market changes (variation margin), phasing-in to cover most derivatives market participants by September 2020. MVA is the most recent valuation adjustment (“xVA”), joining similar calculations for counterparty credit risk (CVA), the funding cost of variation margin (FVA), and the cost of capital (KVA), among others. MVA is particularly difficult to calculate due to the requirements for trade sensitivities along each Monte Carlo simulation path as inputs to ISDA’s Standard Initial Margin Model (SIMM). AD provides the most efficient and robust calculation of these in-simulation sensitivities.

Download the Whitepaper

Quaternion sponsors an Open Source Risk User Meeting in Frankfurt on Friday 23rd November 2018 at Fleming’s Hotel, Frankfurt City, Eschenheimer Tor 2.

Norwell, MA, and Dublin, Ireland August [2], 2018 – AcadiaSoft Inc., the leading industry provider of margin automation solutions worldwide, and Quaternion Risk Management Ltd., a leading risk analytics firm, today announced the formation of a partnership to provide risk services for firms subject to initial margining requirements for non-centrally-cleared derivatives. The initiative couples AcadiaSoft’s proven capabilities in automation with Quaternion’s extensive quantitative expertise and will enable AcadiaSoft clients to access a range of services via the secure environment of the AcadiaSoft Hub.

“Combining AcadiaSoft’s existing infrastructure with our risk analytics tools presents opportunities to create new products that will greatly benefit both the smaller players in the non-centrally-cleared market facing near-term hurdles, as well as larger, established institutions looking to reduce spend on functions that have become ‘business-as-usual’ and could now be more efficiently outsourced and standardized,” said Donal Gallagher, chief executive officer at Quaternion.

Initially, the partnership will focus on helping firms with non-centrally cleared derivatives portfolios meet the operational and regulatory challenges associated with margin requirements. On September 1, 2016, the largest banks that trade non-centrally cleared derivatives were required to post and collect initial margin (IM) due to a new margin framework established by the Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO), and each year since, and through 2020, those requirements touch a growing set of sell-side and buy-side firms.

“We expect to be able to significantly cut the burden placed on market participants by the non-cleared margin rules and make achieving compliance a straightforward process – even for relatively small firms,” said Fred Dassori, head of Risk Services and corporate development at AcadiaSoft. “After collaborating with the team at Quaternion on a range of projects over the past year, we’re excited to now be formalizing our partnership, and we’re looking forward to working together to greatly expand the set of tools we offer and give our clients a simple and efficient path forward.”

By offering these future services through the same platform as AcadiaSoft’s existing Initial Margin Exposure Manager and MarginManager products, which sit at the heart of the current IM calculation, reconciliation, and collateral messaging processes, AcadiaSoft and Quaternion aim to make their new risk services as seamlessly-integrated into existing industry workflows as possible.

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About AcadiaSoft, Inc.

AcadiaSoft, Inc. is a financial industry collaborative that is uniquely focused on delivering margin automation and standards for counterparties engaged in collateral management. AcadiaSoft’s Advisory Groups, Best Practice Forums and Working Groups provide a unique framework for integrating the thought leadership and capabilities of over 650 market participants, market infrastructures and key service providers across the industry.

Owned and backed by the investment of 17 major industry participants and infrastructures, the AcadiaSoft community has grown to more than 650 client firms exchanging approximately $400B (billion) of collateral on daily basis. The Company’s growth has been driven by regulatory change in the derivatives industry that is increasing the demand for automated, transparent and verifiable collateral management.

AcadiaSoft is headquartered outside of Boston in Norwell, MA and has offices in London, Tokyo and New York.

For more information, see www.acadiasoft.com.

About Quaternion Risk Management

Quaternion Risk Management Limited is a capital markets consulting practice advising on and implementing complex projects with a focus on the quantitative aspects of risk management, trading and finance. Quaternion has worked with some of the world’s leading financial institutions. The firm is headquartered in Dublin, Ireland with offices in London, Dusseldorf and New York. Quaternion partners with Columbia University on systemic risk projects and launched Columbia University’s Fintech Lab in late 2016. opensourcerisk.org is Quaternion’s open source contribution to the risk community.
For more information on Quaternion, see www.quaternion.com

Press Contacts:

Eleis Brennan
Intermarket
+1 212-754-5610
ebrennan@intermarket.com

Laura Craft
AcadiaSoft
+44 20 3954 0196
laura.craft@acadiasoft.com

Neil Ryan
Quaternion Risk Management
+353 1 678 7922
neil.ryan@quaternion.com

In this paper we represent a financial system using a weighted directed graph model. We simulate and analyze the impact of financial regulations regarding the collateralization of derivative trades on systemic risk, employing a novel open source risk engine. The analysis finds that introducing collateralization does reduce the costs of resolving a financial system in crisis. It does not, however, change the distribution of risk in the system. The implications of the analysis highlight the importance of scenario based testing using hands on metrics to quantify the notion of system risk.

View Paper

The introduction of mandatory margining for non-cleared portfolios has major implications for the pricing and risk measurement of OTC derivatives. In particular, a model for estimating future initial margin requirements is necessary to enable the calculation of pricing adjustments (MVA), net counterparty credit exposures and credit capital (RWA). Existing literature on the topic suggests a model which makes use of regression techniques, but little detail is available on the predictive quality of these models within a Monte Carlo simulation framework. We review these regression-based initial margin models in detail and compare their output against the actual margin requirements measured by the ISDA SIMM methodology. We observe that the models generally perform well for single trades but show some degradation for single option products and larger diversified portfolios. We investigate potential extensions and improvements to the model, along with examining some additional “conservatism” features that may have application in the context of credit exposure measurement. The Initial Margin modelling approaches discussed here are similarly applicable to centrally cleared or exchange-traded portfolios.

View Paper

International Swaps and Derivatives Association highlights Open-Source as future of technology infrastructure.

Download the Whitepaper

By Donal Gallagher, Roland Lichters, Sharyn O’Halloran, and Roland Stamm

The non-cleared over-the-counter (OTC) derivative market is estimated at $493 trillion notional [1]. One of the central triggers of the 2008 Financial Crisis was financial institutions’ excessive exposure to counterparty risk. These exposures peaked at over $4.5 trillion in 2008 [1]. The response of the global regulatory community to the financial crisis has been to introduce regulations and standards aimed at reducing the amount of counterparty credit risk in the financial system. These initiatives gave rise, for example, to the introduction of mandatory clearing for certain common classes of derivatives (cleared derivatives) and more recently the introduction of similar standards for non-cleared derivatives [2]. The primary means promoted to mitigate risk are mandatory variation margin (collateral against today’s value) and mandatory initial margin (collateral against the change in valuation in the event of default). The total amount of initial margin introduced as a result of these changes is estimated at $315 billion for US banks alone [3]. The regulatory expectation is that most derivatives classes will ultimately be subjected to mandatory clearing; however, the current volume and the slow rate of convergence toward mandatory clearing suggest that large volumes of derivative contracts will continue to be subject to the non-cleared OTC regime for the foreseeable future.

Download the Paper

Authors

• Andreas Boldin, Credit Suisse AG
• Roland Lichters, Quaternion Risk Management
• Andre Suess, Credit Suisse AG
• Markus Trahe, Credit Suisse AG

November 16, 2016

Abstract

The tenor basis phenomenon became significant with the 2007 financial crisis and has altered the traditional way of one-curve pricing and risk management to a multi-curve phenomenon. The stochastic nature of basis spreads between curves particularly poses a challenge for forward looking applications like XVA or real world measure exposure analytics. This paper presents a Two- factor Gaussian approach for modelling multiple fixing curves and basis spreads in the risk neutral and spot measure, shows the impact on basis swap exposure, investigates the correlation structure and discusses the pros and cons of interpreting as a spread or multi curve model respectively.

Download the paper here.

Quaternion Risk Management announces the launch of opensourcerisk.org – the first end-to-end open source risk application. opensourcerisk.org will provide complex risk analytics for financial institutions through a series of releases.

Continue to follow our journey as, today, we launch our contribution to the development of next generation global risk standards. We welcome your contribution to our opensourcerisk.org framework as its evolves.

Quaternion recently sponsored a September 14th Risk.net webinar discussion on the evolution of XVAs. Participants included Scott Sobolewski (Principal Consultant at Quaternion), Yann Coatanlem (MD, Head of Multi-Asset Quantitative Analysis at Citigroup,
Massimo Morini (‎Head of Interest Rate and Credit Models, Banca IMI), and ‎Peter Zeitsch (Solution Architect at Calypso Technology).

The list of valuation adjustments banks must apply when pricing a derivative has grown exponentially and given rise to an alphabet soup of new valuation adjustments. The term XVAs has been coined to describe the entire family, namely funding valuation adjustment (FVA), capital valuation adjustment (KVA), and now, margin valuation adjustment (MVA). The sheer volume of these adjustments coupled with the impact on profitability has led banks to compute the capital required to support them through the life of the trade. This has considerably increased the computational complexity as well as placed demands for real time calculation of all of this information. Needless to say, dealers attempting to manage their XVAs are finding the process extremely challenging and a few have joined-up in an effort to curb their XVAs, under the banner of optimisation and trade compression.

Discussion topics included:

• What is MVA and how does it interact with the other XVAs?
• How complex is MVA, relative to other adjustments?
• In practical terms, where is the industry on MVA at this point?
• Do you expect MVA to follow the same evolutionary path that we’ve seen for other XVAs?
• Interaction between MVA, KVA, CVA, DVA, FVA
• Rank order of the different XVAs, once IM regime has been fully implemented
• What are the key regulations that will determine the correct MVA/XVA treatment for a trade?
• What are the practical / implementation challenges?
• Given all of this, what timeline is likely for MVA to start showing up in pricing?
• How much pricing dispersion is it likely to produce?
• Can MVA already be seen for cleared trades with CCPs?
• Accounting treatment for MVA (IFRS 9, 13)
• What does the blending / blurring of XVAs mean for the way they are managed? What is the right organisational structure?

Listen to the webinar here.

Scott Sobolewski, a Principal Consultant in our Boston office, recently published an article in Treasury & Risk Magazine titled “How Do Dealer Banks Price Derivative Products?”. The article helps corporate treasurers, asset managers, and other end-users of over-the-counter (OTC) derivatives understand the various components of bank regulatory and capital charges currently built into dealer pricing. Most users have grown comfortable with concepts like CVA and FVA, though newer valuation adjustments for initial margin (MVA) and regulatory capital (KVA), as well as Basel’s new initial margin rule taking effect on September 1, 2016, make it more important than ever to keep pace with new regulation. The market environment necessitates that risk managers at large financial institutions and end-user treasury functions understand how bank pricing has evolved in the wake of Dodd Frank and Basel III, not only for regulatory compliance exercises like reporting or stress testing, but for proactive risk management. By facilitating increased understanding on both sides of a derivatives trade, Quaternion hopes to increase liquidity within the shrinking uncleared OTC derivative market and reduce overall systemic risk across the financial system.

The full Treasury & Risk Magazine article can be found here, and the manuscript is also available here.

Quaternion sponsored a QuantLib User Meeting at the Chartered Accountants’ Hall, One Moorgate Place, London EC2R 6EA on Tuesday 12th July 2016.

A top-class panel of risk experts from banks, universities and audit companies discussed the current state and the future of standard approaches, risk factor models, simulation and regulation on May 3rd 2016 in Frankfurt.
While a South Korean delegation was getting into the mood for the annual meeting of the Asian Development Bank at the Grandhotel Hessischer Hof, many risk managers from banks and other companies arrived in the room next door. The setting was perfect for the eclectic mix of experts, who maintained an interesting discussion for more than an hour. Roland Stamm, Partner at Quaternion Risk Management, was responsible for the organization of the evening and moderated the panel. The discussion was very dynamic and marked by both unanimously agreed and opposed analyses of various aspects of the status quo in risk modeling.

Roland Stamm’s welcome address

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Roland Lichters, Roland Stamm, Donal Gallagher

Modern Derivatives Pricing and Credit Exposure Analysis: Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting

The past 10 years have see an incredible change in pricing financial products, driven by the credit crisis which started in 2007 with the near bankruptcy of Bear Sterns, reaching a first climax with the implosion of the US housing market and the banking world’s downfall, and then turning into a sovereign debt crisis in Europe. A major change to have affected the landscape has been the increasing complexity in the valuation of derivatives – multi-curve pricing , various value adjustments (XVAs) using Monte Carlo simulation of markets through time , credit risk measurement and capital allocation – all based on increasingly complex mathematical and IT machinery.

Published in November 2015, Modern Derivatives Pricing and Credit Exposure Analysis is a comprehensive, practical guidebook for modern derivatives pricing and credit analysis, written with the practitioner in mind. Theoretically rigorous but focused on market practice, it provides a detailed and consistent toolkit of pricing and risk methods to cope with the increasing complexities of today’s derivatives management. The presented risk factor evolution models for six different asset classes allow efficient computation of various value adjustments (XVAs) and risk measures in a competitive and increasingly regulated environment. The text bridges the gap between the risk-neuraland real-world measure for backtesting purposes and explains different methods for speeding up XVA computation in order to allow fast calculations of margin adjustment or XVA greeks.

Written to provide sound theoretical detail with practical implementation, this book provides readers with both an overview and deep dive into valuation and risk methods applied in the industry today.

See the book at the Palgrave Macmillan website.

Authors

• Fabrizio Anfuso, Credit Suisse Securities (Europe) Limited
• Daniel Aziz, Credit Suisse Securities (Europe) Limited
• Paul Giltinan, Quaternion Risk Management
• Klearchos Loukopoulos, Credit Suisse Securities (Europe) Limited

January 15, 2016

Abstract

The introduction by regulators of mandatory margining for bilateral OTCs is going to have a major impact on the derivatives market, particularly in light of the additional funding costs and liquidity requirements that large financial institutions will face. Fabrizio Anfuso, Daniel Aziz, Paul Giltinan and Klearchos Loukopoulos propose in the following a simple and consistent framework, equally applicable to non-cleared and cleared portfolios, to develop and backtest forecasting models for Initial Margin.

Download the paper here.

Authors

• Marco de Innocentis, Credit Suisse Securities (Europe) Limited
• Roland Lichters , Quaternion Risk Management
• Markus Trahe, Quaternion Risk Management

February 8, 2016

Abstract

This paper describes a procedure for efficiently simulating a multi asset Heston model with an arbitrary correlation structure. Very little literature can be found on the topic (e.g. Wadman (2010) and Dimitroff et al. (2011)), the latter being very restrictive on correlation assumptions. The scheme proposed in this text is based on Andersen’s Quadratic Exponential (QE) scheme (2008) and operates with an arbitrary input correlation structure, which is partially decorrelated via a Gaussian copula approach to fit the single asset QE prerequisites. Given a long term horizon, it is shown numerically that, in the multi asset QE (MQE) scheme, all combinations of terminal correlations converge quickly to the true terminal correlations for decreasing Monte Carlo time step size, if the input correlation matrix is interpreted as the system’s instantaneous correlation matrix. Convergence of vanilla and spread option prices is investigated, in order to verify the appropriate behaviour for higher moments of the marginal and the joint distribution under MQE. Finally, the superiority of MQE vs. Taylor based schemes is shown by comparing convergence of the empirical PDF, calculated with Monte Carlo, to the “exact” function calculated via Fourier inversion.

Download the paper here.

Authors

• Donal Gallagher, Quaternion Risk Management
• James P. Gleeson, University of Limerick, Ireland
• Chris Kenyon, Lloyds Banking Group
• Roland Lichters, Quaternion Risk Management

September 15, 2009

Abstract

Unlike tranches of synthetic CDOs, that depend only on the defaults of the underlying securities, tranches of cashflow CDOs also depend on the interest cash flows from the coupons of the securities. Whilst fast, accurate, (semi-)analytic methods exist for pricing synthetic CDO tranches (Hull and White 2004), no equivalent methods exist for pricing cashflow CDO tranches because of their dependence on both principal and interest waterfalls. We introduce an analytical approximation that renders cashflow CDOs amenable to (semi-)analytic pricing. The complication of needing the joint distribution of interest and outstanding notional is reduced to needing only their marginal distributions. We show that our analytic approximation is globally valid with bounded errors that are small in most cases. Furthermore, our approach can be extended to more detailed structural features such as interest coverage tests and over-collateralization tests. We present results from realistic cashflow CDO examples.

Download the paper here.

Wall Street Meets FinTech: Interactive Visualization of Simulations of Systemic Financial Market Risk Conditional on Policy Interventions was the subject of a recent demo at Columbia University’s Data Science Day where Quaternion Risk Management (QRM) announced a new research partnership with the faculty of Columbia University in New York. The event was designed to foster collaboration between innovators in academia and industry through demos and lightning talks by Columbia University researchers presenting their latest work in data science. “This partnership launches the inaugural collaboration within the ‘Financial Risk Analytics and Regulation Innovation Lab’ at Columbia’s School of Professional Studies,” says Sharyn O’Halloran (George Blumenthal Professor of Political Economics and Professor of International and Public Affairs).
Continue Reading…

The authors of “Modern Derivatives Pricing and Credit Exposure Analysis” – Roland Lichters, Roland Stamm and Donal Gallagher, all Partners of Quaternion Risk Management, launched their book at a well attended event run by QRM at The Marriott in Canary Wharf on Monday 29th February 2016.
The event was kicked off with a Panel discussion by a selection of well known industry figures, moderated by Ms. Laura Noonan, Investment Banking Correspondent of the Financial Times. The Panel included:

• Dr. Fabrizio Anfuso – Head of Collateralized Exposure Modelling at Credit Suisse
• Dr. Ronnie Barnes – Principal at Cornerstone Research
• Dr. Paul Burnett – Global Head of Traded Risk Analytics at HSBC
• Dr. Giovanni Cesari – XVA Analytics Ltd.
• Dr. Andrew Green – Head of CVA/FVA Quantitative Research at Lloyds Banking Group
• Mr. Stéphane Boivin – Senior Policy Expert, European Banking Authority

Continue Reading…

Quaternion Risk Management (Quaternion), the Quant consultancy risk and pricing specialists, are delighted to present an afternoon workshop in Frankfurt on Tuesday 9th June 2015 at 16.00 at Grandhotel Hessischer Hof, Friedrich-Ebert-Anlage 40, 60325 Frankfurt am Main, followed by drinks. Continue Reading…