Liquidity & Collateralized Lending: Reviewing the Liquidity Component in Margin Calculation
Join us to hear a panel of senior industry practitioners discuss industry developments, the effects of regulation on best practices, and the lessons learned from recent liquidity challenges.
Discussion Topics
- Evolution of liquidity risk management frameworks since 2007
- The role of evolving and developing regulation in defining best practices
- Recent liquidity events and challenges
- Accurately incorporating liquidity risk into assessing haircuts on repo and securities lending transactions and potential pitfalls
Speakers
Bradley Foster
Head of Content (Enterprise Data) at Bloomberg L.P.
Bloomberg L.P.
Brad Foster joined Bloomberg in June 2017 and currently manages the Data Content group within Enterprise Data. In his role, Brad has a global remit that includes Bloomberg Evaluated Pricing for all cash products (BVAL) including GSAC, Municipal Bonds & Securitized Products, Regulatory & Accounting Products, Liquidity Assessment (LQA) and all Reference Data. Prior to joining Bloomberg Brad spent almost 20 years on the sell-side in multiple locations including London, Tokyo and New York. He worked at Deutsche Bank as a Managing Director in trading and was responsible for various front office desks across debt, FX and credit trading, front office risk management where he managed a team that built cross-product risk, margin and portfolio analytics and looked after regulatory initiatives including Basel III / CRD IV and Dodd-Frank Uncleared Margin. Prior to Deutsche Bank he was at Credit Suisse First Boston in the market risk management group.
SYLVAIN IMBERT
Executive Director/Senior Risk Manager Prime Services Risk Management at Goldman Sachs
GOLDMAN SACHS INTERNATIONAL
Sylvain Imbert is an Executive Director at Goldman Sachs, where he serves as a Senior Risk Manager as part of the Prime Services Risk Management team. In his current role, Sylvain focuses on risk management of fixed income and multi-strategy portfolios, as well as an advisor on margin methodology enhancements and margin adequacy for Prime Services. Prior to joining Goldman Sachs, Sylvain spent 12 years working as a trader and portfolio manager at various firms, including Morgan Stanley, Citigroup and hedge funds Peloton Partners and Portman Square. In these roles, he focused on convertible bond arbitrage, volatility and capital structure arbitrage. Sylvain holds a Master's in Applied Mathematics from Institut Elie Cartan and a Civil Engineer diploma from Ecole des Mines.
Dimitrios Papathanasiou
Head of EMEA Treasury and Liquidity Risk at Credit Suisse
Credit Suisse
Dimitris Papathanasiou is the Head of EMEA treasury and liquidity risk in Credit Suisse since 2016. Before that he was the Head of the Front Office for 6 years and acting Group Treasurer for 7 months in Coca Cola HBC. Earlier he has worked as risk manager and portfolio manager in Kaupthing Bank. At the early stages of his career he had various roles as treasury auditor and equity analyst. Dimitris holds an MSc in Finance and Investments and is a Chartered Financial Analyst.
THIERRY CISZEWSKI
Senior Risk Manager, HSBC Asset Management
HSBC GLOBAL ASSET MANAGEMENT LTD.
Thierry Ciszewski is the Subject Matter Expert on Liquidity Risk and Model Risk at HSBC Asset Management, responsible for the design, implementation and enhancement of the global liquidity risk model across all investment classes and covering both asset and liability stress testing capabilities. He runs the Asset Management Model Oversight forum providing guidance as well as challenging individual models. As part of his role, he participates at industry body working groups and engage regularly with regulators (e.g. SEC, FSB, FCA). Prior to joining HSBC, he led the Solvency II and ICAAP risk quantification at AXA IM, designed a challenger model for vendor pricing and CAPM pricing at Natixis Asset Management. He co-developed the Powertrain System Analysis Toolkit (PSAT) in Matlab to optimise fuel consumption (e.g. hybrid, hydrogen, and fuel cell) for the US department of Energy at Argonne National Laboratory. Thierry has Masters in management from HEC Paris and in engineering from Ecole Superieure d’Aeronautique and San Diego State University.
Michael Wilson
Fixed Income Pricing Specialist
Bloomberg L.P.
Heading up our EMEA team of Risk & Valuations solutions specialists, Michael has 14 years of experience working closely with Bloomberg's clients to help develop, advise and deliver on a range of Award winning Risk and Valuation data solutions. Michael's background is in fixed income pricing, data and risk/liquidity analysis.
Zane Van Dusen
Global Head of Risk & Investment Analytics
BLOOMBERG/ 120 PARK
Zane Van Dusen manages Bloomberg's suite of Risk and Investment Analytics products globally. In this role, he works with quants and engineers to build data-driven analytics that address a wide range of client needs from investment research to portfolio construction to regulatory reporting. Prior to this role, Zane managed the implementation of risk management, stress testing and reporting systems for Credit Suisse's Treasury and Liquidity Risk Management groups.