Introducing the Bloomberg Short Term Bank Yield Index (BSBY)
- An introduction to BSBY, its construction and use cases for the market
- Distribution and timing for BSBY
- More information on BSBY derivatives
- Regulation and governance
- Q&A session with market participants
Speakers
Bruno Dupire
Head of Quantitative Research
Bloomberg
Bruno Dupire is head of Quantitative Research at Bloomberg, which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. He is running the Bloomberg Quant (BBQ) seminar, the largest monthly event of this kind.
Dan Ashe
Head of Index Governance & Regulatory Policy
Bloomberg
Mr. Ashe leads our index governance and oversight regime, focusing on the structure, strategy and culture of responsible benchmark stewardship. As regulatory and commercial counsel to the index business since 2014, Mr. Ashe led the design, implementation and maintenance of our regulatory framework beginning with the implementation of the IOSCO Principles through to authorization under the EU benchmark regulation. Mr. Ashe holds a bachelors in Philosophy from Loyola Marymount University with a JD from Fordham Law School.
DAVID MULLEN
Senior Index Business Manager
BLOOMBERG/ 731 LEX
David Mullen is a senior business manager in Bloomberg Index Services Limited. In this role he is responsible for developing the firm’s tools for analyzing Index-Linked products, macro trading strategies and developing the Bloomberg index ecosystem. Mr. Mullen has been with the firm for over 20 years and prior to his current role, he was responsible for developing BSKT – the ETF market’s first electronic Creation/Redemption platform. In addition he has developed FI ETF analytics on the Bloomberg system as well as other credit market tools for relative value analysis, price discovery and key fixed income functionality. Prior to that role he was responsible for developing Bloomberg’s Fixed Income Electronic Trading platform (FIT). He has also functioned as a fixed income Application Specialist and spoken at many industry conferences on how to find value in the fixed income markets. Before joining Bloomberg, he spent several years as a fixed income trader and salesperson at several Wall Street firms including Deutsche Bank, Donaldson Lufkin and Jenrette and Prudential Securities.
UMESH GAJRIA
Head of Index-Linked Products
BLOOMBERG/ 731 LEX
Umesh Gajria is Global Head of Index-Linked Products at Bloomberg, overseeing index derivative products and analytics. In addition, he leads the firm’s efforts in the transition to Risk Free Rates (RFRs) including ISDA fallbacks. Earlier he served as COO for Bloomberg’s Enterprise Product business, after joining the firm in 2017. Previously, Mr. Gajria was an Executive Director of Global Business Development at CME Group where he led growth initiatives for the Financial Products business. Before that he worked in various roles at US Bank, JP Morgan and Lexis Nexis. Mr. Gajria holds a B.S. in industrial engineering from the University of Wisconsin-Madison.