Europe’s Only Financial Valuation Summit

Registration Hotline: +44 (0)20 7017 7702 Email: [email protected] the latest programme or to register visit: www.infoline.org.uk/VFI

Europe’s Only Financial Valuation Summit

Register by 22nd February & Save up to £900

With Key Contributions from:

And 45+ Leading Valuation Experts Including:Laurent-Olivier ValignyGlobal Head of Valuation ControlHSBC

Paul Hawkes Head of Group Valuation Governance UBS

Chris KenyonCVA / FVA Quantitative ResearchLLOYDS BANKING GROUP

Damiano Brigo Chair & Head of Mathematical Finance IMPERIAL COLLEGE

Jean-Francois Bessin Global Head of Valuation Control J P MORGAN

Ragveer Brar Head of Valuations & Controls FINANCIAL SERVICES AUTHORITY

Dong Qu Global Head of Quantitative Product GroupUNICREDIT

Moorad ChoudhryTreasurer Corporate BankingROYAL BANK OF SCOTLAND

Andrea PallaviciniHead of EquityFX & Commodity ModelsBANCA IMI

Vikas KarlekarGlobal Head of Valuation ControlBARCLAYS

Thomas SchroederDeputy Head of Capital MarketsEUROPEAN INVESTMENT BANK

Giovanni CesariGlobal Head of CVA Quant TeamUBS

Bertrand CornaireGlobal Head of Valuation ControlUBS

Tanveer BhattiGlobal Head of Valuation Control & AnalyticsCITI

Pablo BlancoHead of Model ValidationSANTANDER

Jan-Philipp HoffmannHead of Value-at-Risk & Pricing ModelsDEUTSCHE POSTBANK

David Annis Head of Trading Model ValidationWELLS FARGO

Michele BonolloHead of IT Risk ManagementBANCO POPULARE

V-FI 2013 highlights

n Meet with 150+ industry peersn Quantitative and valuation control

streams

n Hear from 45+ valuation experts

n Evening cocktail reception

Silver sponsors:

Drinks reception sponsor:

Bronze sponsors:

Elemental Chlorine Free (ECF)

Paper sourced from sustainable forests

Presentations and discussion from leading practitioners including:

n IMPERIAL COLLEGE n J P MORGAN n FINANCIAL SERVICES

AUTHORITY n HSBC n UNICREDIT n MORGAN STANLEYn BARCLAYS n LLOYDS BANKING GROUPn ROYAL BANK OF SCOTLAND n EUROPEAN INVESTMENT

BANK n DEUTSCHE BANK n NORDEAn UBSn DEUTSCHE POSTBANKn CITIn SANTANDERn MUNICH REn WELLS FARGO n STANDARD CHARTERED n BANCO POPOLARE n CREDIT SUISSEn DEUTSCHE PFANDBRIEFBANKn ING BANK n NOMURA n COMMERZBANK n BANCA IMI

Lead sponsor:

14th & 15th May 2013, Bloomsbury Hotel, LondonMedia Partners:

V-FILondon 2013

Valuation of Financial Instruments

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An Informa Company

TECHNICAL WORKSHOPS

Funding Costs and Collateralisation:Risk-Neutral Pricing with Multiple Curves

Workshop • 13th May 2013 • Bloomsbury Hotel

Led by Damiano Brigo & Andrea Pallavicini

Implementing & EmbeddingOIS Discounting Across the Business

Workshop • 16th May 2013 • Bloomsbury Hotel

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Registration Hotline: +44 (0)20 7017 7702 • Email: [email protected] • For the latest programme or to register visit: www.infoline.org.uk/VFI

Day One - 14th May 2013

8.30 Registration

9.00 Chairman’s Opening Remarks

Jean-Francois BessinGlobal Head of Valuation ControlJ P MORGAN

Jean-Francois joined J.P. Morgan in 1999 and has worked since in several countries (UK, France, US and Japan), covering six lines of business through different roles (Market Risk, Valuation Control, COO and CFO). Jean-Francois started covering Equity Derivatives in London within Risk Management before moving to New York to lead a valuation control unit around Mortgage Back Securities and FX Derivatives. In 2001, Jean-Francois was appointed head of Valuation Control for Global Commodities & FX. In 2003, he relocated to Paris, France where he experimented the remote management with teams in London and New York. In 2005, Jean-Francois moved to Tokyo, Japan to become the CFO & COO of Rates & FX for the region. In 2008, he moved back to London to cover initially Global Fixed Income Exotics and Hybrids, before being appointed head of the global Valuation Control team in 2010. Jean-Francois manages a team of 100 valuation experts spread over 6 regional locations. Prior to JP Morgan, Jean-Francois had had experience in Audit and in the automotive industry. He holds Degrees in Economics and in English, along with an Executive MBA from INSEAD.

Latest Policy Developments and Industry Reaction

9.15 Regulatory Perspective: Insights into the On-Going Development of Valuation Regulation

This session will provide an insight into FSA expectations on product control and prudent valuation / valuation uncertainty risk. This will set out the status of the FSA / EBA consultation paper on a regulatory prudent valuation return and the direction of regulatory focus, including its likely impact and what firms can expect in the future:

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n Update on regulatory issues n Prudent Valuation n Key Controls

Ragveer BrarHead of Valuations & ControlsFINANCIAL SERVICES AUTHORITY

Ragveer (Raj) is the head of the FSA’s Valuations and Product Control Team, having previously been responsible for leading the FSA’s thematic review in this area that followed on from the Dear CEO letter issued in August 2008. He has been with the FSA since 2005, initially focusing on reviews of firm’s Market Risk and Product Control practices, including CAD2 Model recognitions. He has a first degree in Mathematics and Statistics and has 14 years of Financial Services experience. He is a member of the ICAEW and trained with PwC. Following his time at PwC, he worked in Internal Audit at HSBC focusing on Investment Banking globally. Prior to joining the FSA, Raj was working in the Internal Audit function of Lehman Brothers focusing on reviews of derivative businesses and the establishment of a Sarbanes Oxley framework.

9.55 Addressing the Future Direction of Valuation Control in Light of Increasing Domestic and International Regulatory Focus

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James Leonard Head of Product Control & Valuation Control Advisory Services DELOITTE

James is the lead Director for the Product and Valuation Control Advisory Group within the UK Banking and Capital Markets audit practice at Deloitte. He is a highly experienced finance and business control professional with over 20 years of relevant capital markets experience. Prior to joining Deloitte, James was the EMEA regional head of the Product and Valuation Control Group at Morgan Stanley.

Industry Practitioners:

Mark ErskineActing Head of Pricing UnitROYAL BANK OF SCOTLAND

Mark qualified as an accountant with Deloitte and Touche in 1996 before spending 4 years in the product control function at the hedge fund D.E. Shaw. Mark then moved to RBS in 2001 and has spent the last 11 years working in the valuation and model control functions mainly in the Delta Rates, Rates Options and Exotics, FX and Hybrids areas.

Mudasir Kazi Global Head of Valuation Control STANDARD CHARTERED Mudasir Kazi joined Standard Chartered in 2007 as Head of FX Product Control

and is currently appointed as Global Head of Valuation Control. In his current role, he leads a team of valuation professionals across London and Singapore and was instrumental in the setup of the valuation control function at Standard Chartered. Prior to Standard Chartered, Mudasir held various roles in Trading, Valuation, Middle Office and Market Risk in the US and Canada.

Troels JakobsenHead of Product Control FX & MMNORDEA

Troels is Head of the Risk Management and Product Control function within Nordea Markets with broad experience in most aspects of Money Markets and FX products. Team leader for a Product Control team of 5 employees. He holds a Master of Science (M.Sc.) in Business Administration and Management Science, Economics, Finance and Mathematics at Copenhagen business school.

Mark WashtellDirector, Product ControlBARCLAYS

Mark is a Director in Independent Valuation Control at Barclays with 12 years experience in the Investment Banking Industry. Mark is a member of the Chartered Institute of Management Accountants and holds a Bachelors degree in Economics.

Regulatory Perspective:

Ragveer BrarHead of Valuations & ControlsFINANCIAL SERVICES AUTHORITY

10.45 Refreshment Break

11.05 Benchmarking Approaches to Prudent Valuation Best Practice and Recovery and Resolution Plans

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Industry Practitioners:

Alberto ElicesHead of Equity Model ValidationSANTANDER

Alberto earned a PhD in Power Systems Engineering at Pontificia Comillas University (Madrid, Spain) and a Masters in Financial Mathematics at the University of Chicago. He joined Santander after spending two years in a hedge fund in New York. He is currently head of Equity Model Validation of Risk Methodology at Santander in Madrid.

Laurent-Olivier ValignyGlobal Head of Valuation ControlHSBC

Laurent-Olivier started as a consultant in a financial software company (Concept); he moved to Societe Generale in 1991 as a floor manager in the Treasury trading department; he then pursued various positions in the areas of proprietary trading and market risk management in the fixed income, credit derivatives and foreign exchange departments; Laurent-Olivier joined HSBC in 2005, in charge of market risk and valuation control in Paris; he became Global Head of Valuation Control in 2009. Laurent-Olivier is a member of PRMIA Board, Paris Chapter and a regular lecturer in numerous French Universities and Forums.

Steve HattonDirector, Product ControlBARCLAYS

Steve Hatton joined Barclays in 2008, initially running the commodity valuations team and more recently the credit area, including counterparty risk. Following a PhD in Cosmology and several years in academia, he started his finance career as a quant at Enron in 2001. Since then has worked in a number of quantitative roles across credit risk, fixed income analytics, and credit structuring at several institutions.

Savraj DhillonExecutive Director Valuation GovernanceUBS

Sav is in the Valuation Governance team at UBS. He also sits on various IVSC working parties.

Regulatory Perspective: Ragveer Brar

Head of Valuations & ControlsFINANCIAL SERVICES AUTHORITY

11.55 Lunch

Basel 3 Capital, CVA, DVA & FVA

1.10 Examining the Inter-Relationship Between CVA, DVA and FVA and the Impact on Capital

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n Credit, collateral and funding n A simplistic view with adjustments: CVA. DVA and FVA n Beyond adjustments: a consistent framework with

interacting risks

Damiano BrigoChair & Head of Mathematical Finance IMPERIAL COLLEGE

Formerly Managing Director and Global Head of the Quantitative team in Fitch Solutions, Damiano was also Visiting Professor at Imperial College. Damiano published more than 60 works in top journals for Mathematical Finance, Systems Theory, Probability and Statistics, and books for Springer Verlag and Wiley that have become field references in stochastic interest rate and credit modeling. Damiano is Managing Editor of the International Journal of Theoretical and Applied Finance, he is a member of the NumeriX Advisory Board and is part of Scientific committees for academic conferences occurring at MIT and other institutions. Damiano’s interests include pricing, risk measurement, credit and default modeling, counterparty risk, and stochastic dynamical models for commodities and inflation. Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam.

1.50 Addressing the Impact of Basel 3 Capital Requirements on Pricing

This unique joint session will contain two separate presentations covering the impact of Basel 3 and Capital on pricing practice. The first session will layout the issues and the second session will provide a possible solution:

FVA and the Valuation Paradigm Shift

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dy n FVA – does it exist n The valuation paradigm shift - Pricing before and after the crisis - The law of one price - Price vs. values - Is FVA part of fair value

n Do quants protest too much Andrew Green

Head of CVA / FVA Quantitative ResearchLLOYDS BANKING GROUP

Andrew is responsible for development of models for Credit Valuation Adjustment (CVA) and models for unsecured funding costs in derivative valuation (FVA). He leads a team of 6 quants and quant developers building asset-liability models and models to estimate deal lifetime cost of capital under Basel II / III. He is leading an effort to develop a new strategic system for calculating CVA across multiple asset classes and products. He is also a member of the management team for global derivatives.

2.30 CDS Pricing under Basel III: Capital Relief and Default Protection

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Basel III introduces new capital charges for CVA. These charges and the Basel 2.5 default capital charge can be mitigated by CDS. This session will assess a CDS pricing model to include:

n CDS pricing model with three legs: premium, default protection and capital relief

n If markets are complete n If these conditions do not hold n Pricing in the capital relief with CDSs n Bounds on the CDS-implied hazard rates when markets

are incomplete n 20% to over 50% of observed CDS spread could be due

to be priced in capital relief n Given that this is different for IMM and non-IMM banks

will we see differential pricing

Chris KenyonCVA / FVA Quantitative ResearchLLOYDS BANKING GROUP

Previously Chris was head quant for counterparty risk at Credit Suisse and the post-crisis head of structured credit valuation at DEPFA Bank. He is active in developing responses to the new financial landscape in topics from multi-curve discount / Libor pricing, to CVA at the firm level. He has published in Risk Magazine, Quantitative Finance, Operations Research, and presented at numerous conferences including Bachelier and C.R.E.D.I.T.

Industry Response:

Paul HawkesHead of Group Valuation GovernanceUBS

Paul Hawkes is a Managing Director at UBS where he is Head of Group Valuation Governance, based in Zurich. In this role Paul primarily focuses on the Investment Bank and Group Treasury functions, dealing with Fixed Income, Structured Credit, Equity and Exotic Products as well as Hedging Activities in Group Treasury. Paul has previous experience in Accounting Policies, Large System Implementations, Legal and Regulatory Reporting, as well as playing a major part in the introduction of the Euro at his previous Bank. Paul has over twenty years experience in the Banking Industry, and has only worked for two major Banking organisations; UBS for over nine years, and JP Morgan prior to this. Paul is a Chartered Accountant, having trained with one of the Big 4. He is also a Chartered Management Accountant and holds a Masters Degree in Mathematics from Oxford University. Paul recently completed the Certificate in Quantitative Finance (CQF) to technically reinforce his role in Valuations.

3.20 Fixing – The Gold Standard Benchmark creation in all asset classes is under scrutiny

across the globe, and the highest accuracy and integrity is demanded by the Regulatory Authorities. Achieving these demands requires a re-think of the governance applied and careful consideration and mitigation of the legal, reputational and confidentiality risks which are potentially increased by the greater requirement for the disclosure of accurate information.

n Governance n Accuracy n Proof n Timeliness n Risk-mitigation

Kevin MilneGlobal Chief Executive OfficerRVS QED


4.20 Global Heads Round Table: Assessing the Strategic Direction of the Valuation Department in 2013 and Beyond

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n Creating a framework to manage valuation uncertainty and understanding banks risk appetite

n Challenges experienced with multiple regulatory / market changes

Global Heads:

Dong QuGlobal Head of Quantitative Product GroupUNICREDIT

V-FILondon 2013

Valuation of Financial Instruments 14th & 15th May 2013,

Bloomsbury Hotel, London


Dong Qu is currently the global head of quants at UniCredit Group. His main work has been on the quantitative pricing and hedging models for structured derivative business across major asset classes, including equity, fixed income, property, credit and FX. He has been focused on the practical aspects of the derivative business, in particular the derivative products within trading and risk management infrastructures. He previously worked at banks including HSBC, Nikko and Santander. He has a PhD in Statistical Optics from Imperial College London.

Vikas KarlekarGlobal Head of Valuation ControlBARCLAYS

Vikas Karlekar joined Barclays Capital in 2009 as the Global of Head of Commodities Product Control, based in London, leading a team of 100 professionals across London, New York, Houston, Singapore and Sweden. Prior to this he had spent 13 years at UBS, and at the point of leaving was the Global Head of Product Control for Fixed Income Rates Flow and Exotics, FX, Financing, and CVA/DVA/own Credit. During his time there, Vikas had spent two years in New York as the regional product control head for a internal UBS hedge fund, two years in Financial Control and one year in product control projects. Prior to UBS, Vikas had worked at KPMG, qualifying as a chartered accountant. He holds a BSc degree in Management Sciences from the London School of Economics. In 2011, Vikas was appointed the Global Head of Independent Valuation Control at Barclays, covering the Corporate and Investment bank, leading a team of 100 professionals across London, New York and Singapore.

Bertrand CornaireGlobal Head of Valuation ControlUBS

A highly experienced market risk manager/valuation expert with more than a decade of international experience in the UK, Germany and Asia. Currently based in London as Managing Director in Valuation at UBS. Combines leadership with operational, technical delivery. Driven by continuous professional development and business learning of risk management/valuation standards and processes. Highly adaptive management style and cross-functional team leader. Proven track record in talent management and change management in fast moving and multi-cultural environments. Speaks fluent English and German, native French.

Tanveer BhattiGlobal Head of Valuation Control & AnalyticsCITI

Tanveer Bhatti heads up the Valuation Control & Analytics group in Citi. Prior to joining Citi, he was Chief Risk Officer of Emirates Bank’s private banking, retail banking and asset management businesses where he was responsible for all aspects of market, credit, operational and reputation risk management. Before embarking on this endeavour, Tanveer had a 12 year career at J.P.Morgan. Immediately preceding this he worked as Controller for Specialised Derivatives Group at HSBC in London having qualified as a Chartered Accountant with KPMG in their London main office. Before entering finance, Tanveer was a research scientist having earned his undergraduate and postgraduate mathematics and physics degrees at Cambridge University.

Hereward Taylor Head of EMEA Valuation Review Group MORGAN STANLEY Hereward has been at Morgan Stanley for over 16 years where he is Managing

Director and heads up the EMEA valuation review group. Hereward started his career at Coopers & Lybrand having graduated from Durham University with a BA in Mathematics & Economics.


5.15 Chairman’s Summation

5.30 Start of Cocktail Reception

Hosted by:

Day Two - 15th May 2013

8.30 Refreshments

9.00 Chairman’s Opening Remarks and Recap of Day 1


FVA and Funding

9.10 Tackling the New Challenges in Pricing Derivatives under Collateral and Funding Constraints

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Pricing and hedging derivatives is moving from using highly sophisticated models for single trades, to a portfolio view which enable firms to consider the cost of counterparty exposure, cost of collateral, and cost of funding. This introduces new challenges to the financial industry. This talk will examine the interaction between CVA, DVA, and FVA and the effect it has on the business.

Giovanni Cesari Global Head of CVA Quant Team UBS

Giovanni Cesari is Managing Director at UBS. He heads the portfolio-quant group, a front office team within the Investment Bank, responsible for building models to compute and hedge Counterparty Valuation Adjustment (CVA). Giovanni graduated from the University of Trieste, Italy, and earned a PhD from Eidgenössische Technische Hochschule Zurich (ETHZ). Giovanni co-authored the book Modelling, Pricing, and Hedging Counterparty Credit Exposure (Springer Finance, 2010).

9.40 Multiple Curve Modelling in Collateralised Markets

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dy n Funding, collateral and hedging n Inspecting market quotes: IRS, FX, CCS n Multiple curve HJM framework n Calibration and pricing issues

Andrea Pallavicini Head of Equity FX & Commodity Models BANCA IMI

Andrea Pallavicini obtained a Degree in Astrophysics in 1995, and a Ph.D. in Theoretical and Mathematical Physics in 1999 from the University of Pavia for his research activity on LEP2 physics at CERN. Since 2011 he has been at Banca IMI in Milan as Head of Equity, FX and Commodity Models. Since 2012 he has been Visiting Professor at the Department of Mathematics of the Imperial College London. Over the years he published several academic and practitioner-oriented articles in financial modeling, theoretical physics and astrophysics journals. He has taught professional training courses and Master and Ph.D. courses in finance at different Universities and private institutions. Main contributions in finance concern dynamical loss models, risk neutral evaluation of counterparty risk, interest-rate smile modelling, and pricing of exotic derivatives.

10.20 Funding Valuation Adjustments (FVA) – Evaluating the Difference Between Theories

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Co-Head of Emerging Market Structured TradingROYAL BANK OF SCOTLAND

Stephen Laughton is currently The Royal Bank of Scotland’s Co-Head of Emerging Market Structured Trading and Business Architect within their Derivative Products & Solutions team. Stephen has previously held various roles within Structuring and Structured Product Trading at both RBS and ABN AMRO, having begun his career as a Gilt Trader at Salomon Brothers. Stephen holds a PhD in Theoretical Physics from Oxford University and has written on DVA in Risk Magazine.

Jan-Philipp HoffmannHead of Value-at-Risk & Pricing ModelsDEUTSCHE POSTBANK

Jan-Philipp Hoffmann studied mathematics and economics at University of Göttingen and received his PhD in mathematics in 2004. Afterwards he joined the pricing model validation and market risk methodology team at Landesbank Baden-Württemberg (LBBW) covering the model approval and risk factor model development of ird exotics. In 2010 he joined Deutsche Postbank where he is leading the validation team of pricing models and value-at-risk methodology (ec & rc models).

Thomas SchroederDeputy Head of Capital MarketsEUROPEAN INVESTMENT BANK

Thomas’s area of responsibility is funding in Sterling and most other European and African currencies. Recently, he has been working on counterparty credit risk issues in the context of liability hedging with derivatives. Thomas also has been teaching as an Adjunct Professor of Finance at John F. Welch College of Business, Sacred Heart University. Prior to joining EIB he worked as a management consultant with McKinsey & Company, Frankfurt. Thomas studied at the universities of Cologne, Heidelberg and Keele an holds Ph.D. degrees in both physics and economics.

Peter Whitehead Director Group Valuation Oversight DEUTSCHE BANK Peter Whitehead is Director, Group Valuation Oversight, at Deutsche Bank. Prior

to joining Deutsche Bank in 2009, Peter was European and Asian Head of Model Validation at Lehman Brothers with responsibility for the independent validation of front office pricing models as well as the independent validation of market and credit risk models. Peter holds a PhD in mathematical finance from Imperial College.

Paul JonesHead of Regulatory Modelling MARKIT

Paul has over 15 years experience in financial engineering. This includes experience on both sides of the fence at Brady, Lehman Brothers, Algorithmics, QuIC Financial Technology and Markit. Paul heads the regulatory modelling team.

Tony LawsonHead of Independent Model Control BARCLAYS

Tony has for the last 3 years been Head of Independent Model Control. Previously he was at Merrill Lynch where he was Head of FICC Product Valuation Group. Mark holds a Master of Science (M.Sc.), in mathematical trading and finance from Cass Business School


Discounting

11.30 Identifying Best Practice Approaches to the Discounting of Uncollateralised Instruments

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on n Understanding the Impact of the Use of Multi Currency

Collateral on Valuations n True option value n UK Legal issues n Breaks Moderated by: Professor Moorad Choudhry

Treasurer Corporate BankingROYAL BANK OF SCOTLAND

Moorad Choudhry is Head of Treasury, Corporate Banking Division, Royal Bank of Scotland. Prior to this he was Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products and Vice-President, Structured Finance at JPMorgan Chase Bank. Moorad is Visiting Professor at the Department of Mathematical Sciences, Brunel University, and Visiting Teaching Fellow at the Department of Management, Birkbeck, University of London. He is a Fellow of the Chartered Institute for Securities & Investment and a Fellow of the ifs-School of Finance.

Steven TaitDirector, Independent Model ControlBARCLAYS

Steven is a Director in the Independent Model Control group within the Valuations area of Product Control at Barclays Capital in London. Prior to joining Barclays Capital in 2010, Steven was a Senior Manager at KPMG, where he gained the experience of working with a number of different organisations in both Market Risk and Product Control related areas.

Stefan JaschkeHead of Quantitative AnalysisMUNICH RE

Stefan Jaschke heads the Quantitative Methods department within the Financial Solutions division of Munich Re. The team’s main activities are the modeling, pricing and structuring of life reinsurance, especially of variable annuities. Stefan has over 12 years experience in the banking and insurance industry, including a stay with the German regulator, designing and negotiating the internal model regulation for Solvency II.

Rachid Lassoued Head of Financial Engineering BLOOMBERG VALUATION SERVICE

Rachid Lassoued currently heads Bloomberg’s Financial Engineering Group in charge of BVAL Derivatives cross-asset valuation and risk services worldwide. For the last seven years, Rachid managed the European Financial Engineering group at Societe Generale Securities that provided cross-asset independent valuation and risk services for OTC derivatives and structured exotics to sell-side and buy-side institutions. Prior to that, he held quantitative analyst positions in various institutions working on equity, interest rates and FX exotic derivatives.

Giovanni CesariGlobal Head of CVA Quant TeamUBS

Model Risk and Validation

12.15 Addressing the Evolution of the Model Validation Function and the Assessment of Model Risk and Model Controls

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on n Increasing regulatory expectations for governance and controls

n End-to-end implementation of models used for valuations and risk measurements

n Cross functional methodologies and processes to control and manage model risk

Joint Presentation and Moderators:

Tim Thompson Partner & Head of Risk Consulting Group DELOITTE

Tim is the lead Partner in the Risk Consulting Group at Deloitte and his primary focus is in providing client advisory services on models and methodology development for market, credit and counterparty credit risk valuations and assessments. His team has completed engagements reviewing, developing and enhancing VaR based measures as well as model control framework and governance activities.

James Leonard Head of Product Control & Valuation Control Advisory Services DELOITTE

Industry Response:

Pablo BlancoHead of Model ValidationSANTANDER

Pablo holds a BSc in Mathematics from the University of Oviedo and a masters in Quantitative Finance from AFI (Analistas Financieros Internacionales). He is the Head of Valuation Models of Risk Methodology at Santander and his interests include complex product modeling of different asset classes, control and mitigation of model risk and calculation of risk metrics.

Sanja HukovicExecutive Director Model ReviewUBS

Sanja Hukovic holds Ph.D. in Mathematics from Brown University and an MBA from University of Rochester’s Simon School of Business. Sanja was an Assistant Professor at the Department of Mathematics at the University of Massachusetts-Amherst. Since 2003, Sanja has worked for UBS Risk Control. She first worked in mortgage model valuation and now heads Quantitative Risk Standards focusing on accurate and uniform risk capture across UBS IB.

David AnnisHead of Trading Model ValidationWELLS FARGO

David is a financial services professional with twelve years broad experience in problem solving, including quantitative analysis of credit, market, and operational risk management. He manages diverse projects involving data analysis, statistical and quantitative models for use in decision making, pricing and regulatory capital calculations. Specialties include: statistics, operations research, mathematical modeling, optimisation.

Dirk Scevenels Head MRMB Trading Model Validation & Quantitative Analytics ING BANK

Dirk Scevenels obtained a PhD in Mathematics from the Katholieke Universiteit Leuven (Belgium) in 1994. After spending some years in academic research, he joined ING’s market risk management department in 2000, working as a quantitative analyst and specialising in interest rate modelling. In 2008 he became the head of the Model Validation and Quantitative Analytics team. This team has a global responsibility for pricing model validations, development of market risk models and methodologies, and providing quantitative advice to ING’s market risk management department.

1.00 Lunch

V-FILondon 2013




V-FILondon 2013



Stream A: Quantitative Modelling2.10 Stream Chairman’s Opening Remarks

2.20 The Price-Rate Duality: Theory of Basis Spreads

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After the Subprime Crisis of 2007, basis spreads quoted for swaps and cross currency swaps rose. Until that moment, these spreads could be considered negligible from a pricing point of view and, as a consequence of this, valuation systems did not include these spreads as relevant variables. The model proposed in this session postulates the existence of a Price-Rate duality in the swap market in order to get a deeper understanding of this phenomenon. Furthermore, this model establishes a new way of reducing the number of curves that the multi-curve model needs.

n Introduction n Previous considerations n The multi-curve model n Rate perspective n Price perspective n Price-rate duality n Results n Conclusions

Eulogio Cuesta Yustas Head of Fixed Income & FX Model Validation Team SANTANDER

Eulogio started as a Quant at Santander. For the last 2 years Eulogio has been Head of FI and FX Model Validation. He holds a PhD in finance from Universidad Complutense de Madrid.

3.00 Examining Practical Quantitative Elements of FVA Implementation: Modelling, Risk Management and Valuation Methodology

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n FVA definition n The rationale behind FVA n FVA methodology n Funding curves n Collateral arrangements n Capital implications

Alexei Kondratyev Managing Director

Head of Risk Analytics, Structured Credit Trading STANDARD CHARTERED

Alexei graduated from the National Tara Shevchenko University in theoretical physics and holds a masters in mathematical physics. Alexei has over 15 years of experience in financial services. Laden Thalmann Securities, Caesar, Dresdner, Barclays where he was director of credit risk analytics. He is now MD and Head of Risk Analytics in Structured Credit Trading at Standard Chartered.

3.20 Impact of Finite Liquidity on Pricing

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The liquidity of the underlying is ignored in the Black-Scholes framework. However, in many practical cases liquidity plays a role that should be taken into account in the pricing and managing of a derivative. The session will address these issues:

n Impact of liquidity and relation to gamma n Impact of liquidity on overnight delta adjustment n Smoothing of: - European vanillas - European digitals - Asian digitals - Smoothing of barriers Ignacio Ariño Ros

Quantitative AnalystSANTANDER

Ignacio obtained a PhD in experimental high energy physics from the University of Barcelona. He also holds a masters in mathematics for financial products from the Autonomous University of Barcelona and is a CFA charterholderIgnacop has worked at Banco Santander since 2001. In 2003 he joined the FO as a quantitative analyst, where he develops valuation models for equity and hybrid derivatives.


4.00 Evaluation Issues in CVA and EPE Estimation: From Theoretical Principles to Effective Software Implementation

This session will consider the practical issues in implementing CVA and EPE estimation for a whole book of derivatives:

n CVA and EPE: regulatory framework n Historical probability vs. risk neutral probability n Montecarlo diffusion vs. historical simulation: hybrid

models n How to take in to account illiquid counterparties or

illiquid market parameters

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n From the deal to the portfolio: coherent multidimensional scenarios: mapping / regression or PCA

n An efficient numerical technique: the quantisation approach

n Some practical examples

Michele BonolloHead of IT Risk ManagementBANCO POPOLARE

From 1998 to 2004 Michele worked as an Executive in Engineering Ltd., which is the biggest Italian SW and consulting company. His job included acting as an analyst for SW development and pre-sales covering the following topics: derivatives pricing, middle office systems, operational risk systems, market and credit risk. Michele worked as an Executive at Protemeia from 2005 to 2006. Protemia is the most celebrated Italian company for consulting and methodology in ALM, market risk and liquidity. His focus was on market risk as an analysit for sw development, pre-sales and as project leader. Since 2007, Michele has been on the Executive at Banco Popolare Group. He leads the IT team (> 50 people) that develops solutions for the risk management and control processes. He is involved in market risk, credit risk, counterparty risk, ALM, ICAAP, and Pillar III. The team developed very appealing solutions with ‘make’ approach, supported by some tools, mainly: QlikView as a business intelligence (computation, drill down, reporting) tool, FDM by fermat as ORACLE repository. He is currently engaged on all the Basel III and ‘Basel 2.5’ matters.

4.40 Practical Experience of Real Time CVA Risk Management

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n The Problem: - Real Time Counterparty Credit Risk Management n The Solution: - Adjoint Algorithmic Differentiation (AAD) - Pathwise derivative method - Algebraic adjoint approaches - Adjoint algorithmic differentiation (AAD) - AAD and the pathwise derivative method: adjoints

made easy n The Benefits: - All the risk you want for lower cost of computing the

portfolio - Over 100x speed ups n Conclusions Luca Capriotti

Head of Quantitative Strategies Global Credit ProductsCREDIT SUISSE

Luca Capriotti is a Director at Credit Suisse Group, Investment Banking Division, where he works in the Quantitative Strategies Group (QS, formerly known as GMAG). Luca works in the New York city office where is regional head for Global Credit Products. He is currently focusing on modeling in the areas of Flow and Structured Credit, Risk Management of a Bank’s own credit, Contingent Convertibles pricing and Risk Management, Risk Weighted Assets reduction strategies and Counterparty Credit Risk Management. He is also working on developing efficient and general multi-asset Monte Carlo engines supporting fast calculation of Greeks for which he has a Patent pending. Previous to this role, he has worked in Commodities Exotics in New York and London and in the cross-asset modeling R&D group of GMAG in the London office. His current research interests are in the field of Credit Models and Computational Finance, mainly focusing on efficient numerical techniques for Derivatives Pricing and Risk Management.

5.20 Stream Chairman’s Summation and Close of Conference

2.10 Stream Chairman’s Opening Remarks

2.20 Optimising Efficiencies and Processes when Automating the Valuation Control Function

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n Effectively communicating and reporting IPV internally and externally

n Development choices: buy vs build, modular vs front-to-back, traditional vs rapid development

n The big trade off: balancing control, efficiency and flexibility n Intangible benefits: what we learn when we build an

automated system n The people challenge

Tom FlintoffHead of IPV MethodologyROYAL BANK OF SCOTLAND

Thomas is Senior finance executive and chartered accountant with over 15 years experience working at top tier UK, Swiss and European investment banks. He has extensive experience of building valuation control and governance processes, managing regulatory relationships and enhancing financial statement disclosure.

3.00 Practical Solutions to Combat the Continued Existence of Rogue Traders

n Profile of a rogue trader n Institution capture of such profiles in monitoring processes n What contribution do business and control structures within

institutions play in promoting such activity n Role of complexity - products, models , systems, regulation n Most desirable skill set for various control functions n Organisational and functional culture play as a contributor n Proposed solutions

Paul YoungAssociate DirectorGRANT THORNTON

Highly accomplished CFO/Risk Director within Investment Banking, equipped with a commanding international track record which includes appointments in UK, USA and Australia. Paul possesses recognised skills in finding innovative solutions to financial problems and gaining acceptance through careful communications/skilled negotiations internally and externally with management, Auditors and Regulatory bodies. Paul joined GT to lead the FS - Finance and Risk Management function with particular emphasis on Enterprise Risk Management frameworks. The team advises on organisational re-engineering to achieve best in class ERM structures. This has included advisory roles concerned with economic capital allocations aligning risk drivers and behaviours to help embed a risk culture across the organisation


4.00 Successfully Integrating and Managing Valuation, Risk and Accounting Processes: P&L Explain

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In light of the financial crisis, valuation has become a contentious issue central to the smooth running of a firm. As a result, it must now be managed efficiently as part of a firms’ accounting and risk functions. This session will cover:

n Incorporating valuation into risk and accounting n Projection methodologies n Auditability of judgements n Senior management buy-in

Speaker to be confirmed

4.40 Hedge Accounting in a Multi-Curve Setup: Remaining Effective

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The new paradigm to price derivatives off an OIS curve poses a challenge not only for valuation and risk areas but also for finance: A lot of derivatives are used in fair value hedge accounting. This session will look at the implications of this change on hedge effectiveness and will answer the following questions:

n What is the difference in hedging OTC vs with a clearing

house n What are the right curves in foreign (i.e. not the funding)

currencies n What are the implications on risk measurement n How does the valuation of the underlyings of hedge

relationships change n How does hedge effectiveness measurement change

Roland StammHead of Risk Methods / ValuationDEUTSCHE PFANDBRIEFBANK

Dr. Roland Stamm is Head of Risk Methods and Valuation at Deutsche Pfandbriefbank, where he is responsible (among other things) for the development of new pricing models, model set up, validation and calibration, CVA adjustments and market risk methodology. He was previously Head of Valuation at HRE Group, and has also held positions as Head of Market Risk Products, Head of IT Development and Project Manager, all at DEPFA Bank. He holds a PhD in Mathematics (Algebraic Topology) from the Westfälische Wilhelms-Universität, Muenster. He is co-author of the book: Discounting, LIBOR, CVA and Funding from Palgrave MacMillan.

5.20 Stream Chairman’s Summation and Close of Conference

Stream B: Valuation Controls


V-FILondon 2013

Valuation of Financial Instruments 13th May 2013,


TECHNICAL WORKSHOPPre-Conference Workshop Session: 13th May 2013

Funding Costs and Collateralisation: Risk-Neutral Pricing with Multiple Curves

WORKSHOP LEADERS Damiano Brigo Chair & Head of Mathematical Finance IMPERIAL COLLEGE

Prof. Damiano Brigo is Chair and co-Head of Mathematical Finance at Imperial College, London, consistently ranked among the top 10 world universities, and Director of the Capco Research Institute in the industry. Damiano’s previous roles include Gilbart Professor and Head of Group at King’s College, Managing Director and Quantitative Innovation Global Head in Fitch, Head of Credit Models in Banca IMI and Fixed Income Professor at Bocconi. Damiano published more than 70 works in top journals for Mathematical Finance, Systems Theory, Probability and Statistics, and books for Springer and Wiley that became field references in stochastic interest rate and credit modelling (H-index 24). Damiano is Managing Editor of the International Journal of Theoretical and Applied Finance. Damiano’s interests include pricing, risk measurement, counterparty credit risk collateral and funding, stochastic commodities and inflation modelling, exponential and mixture manifolds and nonlinear filtering. Damiano holds a PhD in stochastic filtering with differential geometry.

Andrea Pallavicini Head of Equity, FX & Commodity Models BANCA IMI

Andrea Pallavicini obtained a Degree in Astrophysics in 1995, and a Ph.D. in Theoretical and Mathematical Physics in 1999 from the University of Pavia for his research activity on LEP2 physics at CERN. In 1999 he moved to mathematical modelling at FMR Consulting, a company specialised in numerical libraries for aerospace industries and financial institutions. In 2004 he moved to financial modelling at Banca IMI in Milan, where his activities are chiefly focused on exotic derivatives pricing and on the design and implementation of numerical libraries. In 2008 he moved to Banca Leonardo in Milan as Head of Financial Engineering. In 2011 he moved to Mediobanca in Milan as Head of Financial Models. Since 2011 he has worked at Banca IMI in Milan as Head of Equity, FX and Commodity Models. Since 2012 he has been Visiting Professor at the Department of Mathematics of the Imperial College London. Over the years, he published several academic and practitioner-oriented articles in financial modelling, theoretical physics and astrophysics journals. He taught at professional training courses and at Master and Ph.D. courses in finance at different Universities and private institutions. Main contributions in finance concern dynamical loss models, risk neutral evaluation of counterparty risk, interest-rate smile modelling and pricing of exotic derivatives.

WORKSHOP AGENDA

BACKGROUNDAccording to the credit support annex holding between counterparties, collaterals are introduced as risk-free assets kept in a segregate account. They can only be used upon default occurrence to net exposure, or as assets which can be lent or re-hypothecated before default occurrence, thus making the party who posted collateral an unsecured creditor. The on-going financial crisis has led the Basel Committee to revisit the guidelines for over-the-counter derivatives transactions. During the crisis roughly two-thirds of losses attributed to counterparty credit risk were due to CVA losses and only about one-third were due to actual defaults. Therefore good procedures for CVA mark-to-market have become paramount.

OBJECTIVESThis workshop will provide delegates with an arbitrage-free valuation framework for bilateral counterparty risk adjustments, inclusive of collateralisation and funding costs.

Attend this workshop to:• Understand general model independent formulae for the

adjusted pay-out

• Appreciate bilateral collateralised credit valuation adjustments for default risky investor and counterparty exchanges

• Include margining and funding costs in pricing formulae

• Assess the relationship with hedging strategies and banks’ liquidity policies

• Recognise fund transfer pricing procedures as part of business strategy

• Discover the impact on funding costs

• Understand interest-rate and FX modelling for collateralised products margining and funding

Who Should Attend• Quantitative Risk • Finance • Treasury • Reporting • Operations • Risk Valuations • Product Control • Internal Audit • Accounting

WORKSHOP STYLE The course will consist of a series of practical applications and recommendations designed to be as interactive as possible. Case studies and exercises, often taken from real-life scenarios, will be extensively used.

WORKSHOP TIMINGS9.00am Registration9.30am Workshop Commences5.00pm Workshop Closes

Part One: Pricing Counterparty Credit Risk

Risk-Neutral Pricing of Counterparty Risk• General pricing formula

• Unilateral CVA and DVA

• Bilateral counterparty risk

• The first-to-default effect

• Close-out evaluation

Restructuring Counterparty Risk• Payoff risk

• DVA hedging

• Contingent credit default swaps

• Floating margin lending

• Global valuation

Applications in Different Asset Classes• Modelling approach

• Interest rate swaps

• Commodity swaps

• Credit default swaps

• Equity return swaps

Part Two: Collaterals and Funding Costs

Pricing under ISDA Master Agreement• ISDA documentation

• Re-hypothecation liquidity risk

• Dispute resolution

• Margining practice

• Close-out netting rules

Funding Risk and Liquidity Policies• Funding, collateral and hedging

• CVA desk and bank structure

• A formulation in continuous time

• Fund transfer pricing

• Gap risk and default contagion

Collateralised Interest-Rate Derivatives• Single-currency products

• Multi-currency products

• Bootstrapping basis curves

• Multiple tenors and currencies

• Collateralised multi-tenor models


V-FILondon 2013

Valuation of Financial Instruments 16th May 2013,


TECHNICAL WORKSHOPPost-Conference Workshop Session: 16th May 2013

Implementing & EmbeddingOIS Discounting Across the Business

KNOWLEDGE PRE-REQUISITESA sound knowledge of the base legislation, regulation and risk management is essential. This workshop is broad-based and designed to appeal to a wide cross-section of specialist.

WORKSHOP TIMINGS9.00am Registration9.30am Workshop Commences5.00pm Workshop Closes

WORKSHOP LEADERChristian Thornaes MSc MBA (INSEAD)

Christian is an international specialist in traded markets, derivatives, risk management and operations. He has delivered hundreds of programmes across the world to investment and corporate bankers, fund managers and specialists in the legal and IT sectors needing an insight into the financial markets. He is fluent with audiences from front, middle and back-office. Early in his career, Christian worked as an investment banker and financial engineer in both London and Hong Kong for a UK merchant bank with Scandinavian roots. His main responsibilities were to structure and sell new financial products to clients on both the issuer and the buy side. He has trained organisations as diverse as Deutsche Bank, Merrill Lynch, Lehman Brothers, Barclays Capital, Dresdner/Commerzbank, Euroclear, IBM, Genpact, Credit Agricôle / Amundi Asset Management, BNP Private Bank, Morley / Aviva Asset Management and many more.

WORKSHOP AGENDA

BACKGROUNDChanging to OIS discounting requires change on so many levels and in many ways that the front office is the least of the problems facing institutions.

The changes that started with the Lehman Brothers default are reverberating across the industry and will be felt for many years to come. Function after function, department after department will be changing the way they do business. For 40 years we have believed the assumption of arbitrage-free pricing to be true. It seems we were wrong.

OBJECTIVESThe course is designed to provide the participants with an understanding of the key areas where OIS discounting will be felt and where work will be needed to catch up.

Attend this workshop to:• Find out what is holding up OIS discounting implementation

• Be able to explain the problem of dual discount curves

• Understand the problem of counterparty collateral switches

• Discover the problem of NPV jumps in portfolio valuation

• Project time-lines for changes to financial libraries

• Understand what the accounting sense of ‘fair value’ means under OIS / CSA

• Specify areas where risk models will be vulnerable

• Describe quant / non-quant staffing requirements in different areas of the organisation

Who Should Attend• Accounting• Finance• Treasury• Reporting • Operations• Risk Valuations• Product Control• Internal Audit

WORKSHOP STYLE The course will consist of a series of practical applications and recommendations designed to be as interactive as possible. Case studies and exercises, often taken from real-life scenarios, will be extensively used.

Market Issues

• Slow market transition• CSA dependent fair value calculations• Non-IR derivatives• Non-CSA counterparties

Case Study / Exercise: What are the 10 most important market issues with OIS discounting

Methodological Issues

• Pricing trades under CSA• Multiple curve issues• Pricing trades without CSA• Funding curve construction

Case Study / Exercise: What are the key CSA issues to focus on

Liquidity and Collateral Management Issues

• Collateral currency arbitrage• CSA conditions for haircut, margin, currency• Internal deals with other Group entities• Dealing with varied collateral requests from

counterparties

Case Study / Exercise: Explain the benefits in collateral currency arbitrage

ALM Issues

• Revisit hedge accounting methodology• Basis risk between bond and swap legs• Dealing with large NPV jumps• Renegotiating hedges after OIS discounting switch

Case Study / Exercise: What is the source of large NPV jumps

IT Issues

• Ensuring financial libraries are multiple curve compliant

• Configuring multiple curve bootstrapping• Trade entry and processing to be CSA compliant• Firm-wide systems integration to avoid ‘two

systems, two prices’ problems

Case Study / Exercise: Find 10 IT systems weak points preventing multiple curve use

Accounting Issues

• IAS39 and FRS26 definitions of fair value• Defining multilateral consensus of CSA-based value

• Managing industry-wide project initiatives for CSA-based derivatives accounting

• What is an ‘accepted economic methodology’

Case Study / Exercise: Dealing with book / market / model value discrepancies

Risk Management Issues

• P&L estimation nightmares• Aligning with CCP valuation methods• CVA and DVA methods to estimate capital

requirement• How will risk models adapt to the new reality

Case Study / Exercise: Marking an IRS to market under CSA

General Management Issues

• General management changes required• Why parallel projects can seem like fire-fighting• Adjustments to firm-wide risk vocabulary• How quant dependent will business functions

become

Case Study / Exercise: Rolling out the project


Lead SponsorWho we are: RVS is a Financial Markets focused service company providing industry governed end of day benchmark rate points, curves and surfaces that are independent, transparent and consistent with every trading centres’ regulatory requirements. RVS an industry outsourced utility run for profit, with an industry self-governance model.What we do: Increasingly regulation requires greater independent sourcing of

the data used by banks and those that fail to comply will face a greater capital impost.RVS has developed a unique industry based operating model that will provide a range of efficiencies to the industry and individual organisations to ensure compliance with the new regulatory regime. At the same time RVS will reduce capital overhead and reduce operating costs.

Drinks Reception Sponsor

About Fitch Solutions

Fitch Solutions provides a range of industry-leading products and professional

development services to the global financial community. In addition to offering proprietary market-based content, we distribute the ratings, research and financial data of Fitch Ratings through a variety of flexible platforms. With innovation and experience behind every solution we bring to market, our offerings are designed to meet the diverse needs of the fixed-income markets. Drawing upon a wealth of expertise, skills, and market insight, Fitch Solutions provides financial professionals worldwide with the intelligence they need to make more informed risk management and investment decisions. Fitch Solutions is part of the Fitch Group, a jointly owned subsidiary of Fimalac, S.A. and Hearst Corporation. For additional information, please visit www.fitchsolutions.com.

Silver Sponsors

About Deloitte LLP and Deloitte Touche Tohmatsu LimitedDeloitte LLP offers professional services to the UK and European market. With over 13,500 exceptional

people in 28 offices in the UK and Switzerland, Deloitte has the broadest and deepest range of skills of any business advisory organisation. We provide professional services and advice to many leading businesses, government departments and public sector bodies, and publish many influential studies and thought leadership pieces. Our annual revenues reached £2,329m for the financial year ended 31 May 2012.Deloitte LLP is the UK member firm of Deloitte Touche Tohmatsu Limited, a UK private company limited by guarantee, and its network of member firms, each of which is a legally separate and independent entity.Deloitte provides audit, tax, consulting, and financial advisory services to public and private clients spanning multiple industries. With a globally connected network of member firms in more than 150 countries, Deloitte brings world-class capabilities and high-quality service to clients, delivering the insights they need to address their most complex business challenges. Deloitte has in the region of 200,000 professionals, all committed to becoming the standard of excellence.

We help businesses by providing advisory services related to derivative contracts in two particular areas:- Derivative risk management and advising on the appropriateness of derivative strategies - Valuations of vanilla and exotic derivatives.Derivative Risk Management The use of

derivatives has increased considerably in recent years as companies in a variety of markets seek effective ways to mitigate financial risks. Grant Thornton’s Actuarial & Risk team has considerable expertise in helping companies understand how derivatives can be used in this way. Valuations In addition to ensuring that an appropriate model is used to value a derivative, the selection of the assumptions which are input into the model is also critical, as they are key drivers of the value of the derivative. We use our experience in performing and auditing valuations to ensure that the assumptions to be used in the valuation models are appropriate and supported by robust rationale.

Markit Totem provides the major market makers in OTC derivatives with definitive consensus market prices.

The monthly sell-side service provides market makers in OTC derivatives with consensus-based prices to check their trading book valuations. The service encompasses the equity, interest rate, currency, commodity, credit, property and bond markets, providing matrices of vanilla prices and a wide selection of exotic products.Accepted by auditors and regulators worldwide, the Markit Totem Service enables institutions to ensure that they are valuing their derivatives positions accurately.Markit Totem works closely with its contributing banks to ensure the valuations data satisfies the ever increasing regulatory and audit requirements for book valuations and day one P&L.

Bloomberg is the world’s most trusted source of information for financial professionals and businesses. Combining innovative technology with unmatched analytics, data, news and tools, Bloomberg delivers critical information via the Bloomberg Professional®

service and multimedia platforms. Bloomberg Enterprise Solutions provides leaders in corporations, finance and government with a dynamic network that allows them to access, integrate, distribute and manage information and technology across organizations more efficiently and effectively.

Bronze Sponsors

DeriveXperts is the strategic risk control partner for financial institutions and delivers a High-

Performance Valuation service that offers its clients an objective measure of financial returns and risks. This High-Performance Valuation is a key factor in ensuring the security, transparency and confidence crucial to long-term growth in financial markets.DeriveXperts has been operating for 10 years in financial markets, with particular focus on innovative financial products. Our offer is based on a deep-seated conviction that these products represent key investment vehicles for financial institutions

Duff & Phelps is the largest independent valuation company globally and a trusted advisor to 1000s of institutions. Our

professionals bring practical experience, responsiveness and a collaborative approach to satisfy our clients’ needs with the rigour and independence that the market demands. With over 1,300 employees serving clients through 32 offices globally across North America, Europe and Asia, Duff & Phelps is committed to delivering insightful advice and service of exceptional quality, integrity and objectivity. Our Complex Asset Solutions group is composed of experts in the pricing of illiquid and exotic financial securities. These include market and product experts who use their extensive connections to gain insight into market pricing colour and market practice. Alongside teams of quantitative analysts, who write and review pricing and risk models for financial products including derivatives and structured notes. This mix provides us with a unique blend of market insight and deep quantitative modelling capabilities allowing us to advise our clients on best market practice and methodologies for financial products valuations and risk analysis.

About our Sponsors

Sponsor this Forum!

If you are interested in accessing the senior level audience at this cutting edge industry forum, available solutions include:

• Speaking Opportunities • Brand exposure

• Hosting a drinks reception • Booking an exhibition space

For more information contact Russell Tumath on: Tel: +44 (0)20 3377 3278 or email: [email protected]

V-FILondon 2013



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Valuation of Financial Instruments £199 (+VAT @ 20%) Pre-Conference Workshop: Funding Costs and Collateralisation £199 (+VAT @ 20%) Post-Conference workshop: OIS Discounting Across the Business £199 (+VAT @ 20%)

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Europe’s Only Financial Valuation Summit