Many fixed income managers employ derivative overlay strategies to help them manage multiple risk factors affecting their portfolios. While these overlay strategies can be very effective in reducing exposure to an unwanted risk, or in gaining exposure to a desired risk, they introduce additional risks into the overall risk picture.

 

For example, with the recent US government shutdown and debt ceiling debate, the treasury market, and hence the collateral and repo markets, experienced significant turbulence. These events caused credit default swaps on US debt to widen while yields on T-bills, the most common asset class pledged as collateral in the OTC derivatives space, rose by 30bps and triggered margin calls as collateral values declined. These events highlight the need for proactive stress testing across all potential risk factors including risks which affect the collateral accounts of derivative portfolios.

 

Join PRMIA Ireland & Numerix on Tuesday, April 15th at 5:30pm GMT as Satyam Kancharla, SVP of Numerix’s Client Solutions Group, discusses recent market events and their impact on investment portfolios and supporting collateral. He advocates a holistic approach to managing fixed income market risk and discusses the advantages of conducting historical and scenario stress testing across investment, derivative and collateral portfolios.

 

Mr. Kancharla will cover:

• Lessons learned from past financial crises
• Recent market events impacting fixed income portfolios
• Fixed income portfolio stress testing best practices
  • Basis risk and collateral risk
• Case studies
• Analyzing interest rate, credit, and FX risks

Just Confirmed! New Speaker - Following this talk John Looby will give a presentation titled Two Thoughts.

 

Attendance is complimentary for registered invitees of Numerix using the registration link provided on this page. Don't Wait! - Register Today to Secure Your Spot!

 

 

 

Satyam Kancharla, SVP Client Solutions Group, Numerix
Mr. Kancharla is currently the head of Numerix’s Client Solutions Group, which is responsible for Product Management, Financial Engineering and Client Services. Prior to this, he has served in various roles in Quantitative Software Development, Financial Engineering and Pre-Sales at Numerix.

 

Before joining Numerix in New York, he was the CTO for Numerix Japan LLC in Tokyo, heading the Pre-Sales and Financial Engineering teams for Asia. Earlier in his career, Mr. Kancharla also worked with Merrill Lynch and GE Capital in Quantitative Finance and Product Development roles. He holds an MBA degree, an MSc degree in Applied Statistics and Informatics, a BSc in Mathematics and Computers, and CFA and FRM certifications.

 

John Looby, Equity Fund Manager, Setanta Asset Management
John Looby re-joined Setanta Asset Management in 2007 having previously been with the firm from its foundation in 1998 to 2003. John is currently lead manager of the Setanta Global Equity Fund, manager of the Global Telecom Services and Utilities sector and co-manager of the Setanta Pension Managed Fund. He has over 20 years'experience in financial markets in roles spanning fixed income, absolute return and equities. With a primary degree in economics from UCD, he also has post-graduate qualifications in statistics and international relations from TCD and DCU, respectively.

 

 

 

 

 

 

 

 

Attendance Details

When April 15th, 2014 5:30 - 8:30 PM GMT

Cost Attendance is Complimentary for Registered Numerix Invitees Using this Registration Link.

Location Westin Dublin Guinea & Florin Room Westmoreland Street Dublin, Ireland

PRMIA Chapter Ireland