Preparing for November 1st LIBOR Transition with PORT and MARS
• Learn how to obtain sensitivities and scenarios relative to risk-free-rates.
• Learn how the transition will be managed for portfolio models.
• Construct user defined instruments with cash flows dependent on risk-free-rates.
Speakers
Changxiu Li
Fixed Income Portfolio Analytics
Bloomberg
Changxiu (Sue) is a Portfolio modeler in the Fixed Income Portfolio Analytics group. In this role, she is responsible for developing the portfolio analytics, risk models and performance attribution models that power Bloomberg fixed income portfolios. Prior to joining Bloomberg, Sue worked as a quantitative modeler and desk strategist at Lehman Brothers, Morgan Stanley and Barclays, specializing in fixed income asset classes.
Seth Bittker
PORT Product
Bloomberg
Seth Bittker is a Product Manager on PORT specializing in Yield Curves, Scenario Analysis, and Securitized Products. Prior to joining Bloomberg, Seth was a Product Manager on Barclay’s POINT portfolio analytics tool and a salesperson for Citi’s Yield Book portfolio analytics tool.
Leila Sadiq
Global Head of Front Office Risk Product
Bloomberg
Leila Sadiq is Global Head of Front Office Risk Product at Bloomberg LP. Based in London, Mrs Sadiq oversees Front office risk management product development and strategy globally to deliver risk solutions to clients on the sell-side investment banks and buy-side hedge funds and asset managers. Prior to joining Bloomberg, Leila has spent more than 10 years in a Tier 1 investment bank. She was a Director at Barclays where she held various roles. She was running globally the Macro energy Quant team and prior to that she was a senior Foreign Exchange and Interest Rates Hybrid Exotics Quant managing research and development as well as integration with strategic technology risk platforms at Barclays. Leila Sadiq holds a Master in Advanced Mathematical Studies from Cambridge University in the United Kingdom as well as the French Engineering School Ecole Centrale de Paris.
Jonathan Fuss
Portfolio & Risk Analytics Product Manager
Bloomberg LP
Jonathan Fuss is a member of the Fixed Income Portfolio Analytics and Performance Product team at Bloomberg LP. Based in New York, Mr. Fuss works on our user defined instruments (UDIs), full valuation scenario analysis, mortgage analytics and portfolio administration tools. Prior to joining the Product team, Jonathan spent more than 13 years at Bloomberg LP. During his tenure he has held multiple leadership positions within our Portfolio Analytics, Mortgage Analytics and Sales Team, most recently as Sales COO for our Terminal business in the Americas. Jonathan holds a Master in Business Administration from Columbia University and Bachelor of Science in Business Administration with concentrations in Finance and Information Systems from Boston University.