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Discounts & Incentives:

Early Bird Discount: 20% Before 27th June. Plus register to the Main Conference + Workshop and receive a £150 discount. 

Location: The Hotel Condes de Barcelona

This year is the 10th anniversary of The Fixed Income Conference and to celebrate we are heading to wonderful city of Barcelona. Hosting the conference at The Hotel Condes de Barcelona. The hotel is ideally located on Paseo de Gracia, the main commercial artery of the city, in the heart of modernist Barcelona and opposite Gaudí’s La Pedrera. A few minutes away is Plaza Cataluña and the historic centre of the city, as well as other places of interest that make Barcelona one of Europe’s most attractive and cosmopolitan cities. The main conference tapas lunches will be served on the hotel terrace and on the Thursday evening all delegates will be invited to our traditional gala dinner. 

Pre-Conference Workshop Day: Wednesday 24th September:

The Future Impact of Central Counterparties and Mandatory Margin Rules by Jon Gregory: Partner, Solum Financial Partners

Multi-Curve Framework: Foundations, Evolution and Implementation by Marc Henrard: Head of Quantitative Research, OpenGamma

A History of XVAs by Ignacio Ruiz: iRuiz Consulting

Quantitative Methods for CCR Capital Management by Fabrizio Anfuso: Head of IB CCR Backtesting, Credit Suisse & Dimitris Karyampas: Director, IB Exposure Measurement, UBS

Selected Topics:

  • The Impact of Incoming Regulatory Changes on a best-practice IMM Exposure Framework for OTC Derivatives
  • Overestimation of XVA and Regulatory Capital by Models Without Mean Reversion Skew
  • The Impact of Ring-Fence Regulation on the Management of XVAs
  • Multifactor Models in CVA and PFE Calculations
  • Computing Counterparty Risk Measures: Quasi Monte Carlo vs Pseudo Monte Carlo 10-1
  • New Regulation: Model Foundations of the Non-Internal-Model Method (NIMM) 
  • Economic / Regulatory capital calculation
  • Fundamental Review of the Trading Book - Outlook
  • Uncleared IA
  • Mandatory Clearing
  • Raising long-dated funds through structured product bond issuance 
  • Replacement Valuation Adjustment
  • Backtesting Counterparty Credit Risk Models 
  • Ultra-Sparse Finite-Differencing For Arbitrage-Free Volatility Surfaces
  • Model Independent Valuation & Hedging Of Cross Currency Swaps In Non-Exotic Fixed Income Desks
  • Exotics Pricing With Conditional Monte Carlo
  • Calculating Implied Volatility In A Low Rate Environment

Confirmed & Invited Presenters:

Fabrizio Anfuso, Head of CCR Backtesting Methodology Team, Credit Suisse
Alexander Antonov: Senior Vice President, Quantitative Research, Numerix
Philippe Balland: Global Head Of Rates, Currency & Credit Analytics, UBS
Martin Baxter: Analyst, Fixed Income Quant, Group, Nomura International
Marco Bianchetti: Head Of Financial Modelling & Validation, Intesa Sanpaolo
Alexandre Bon: Head of Credit Risk, Murex
Andrea Buzzigoli: Manager, Portfolio Analytics, HSBC
Vladimir Chorniy: Head of Risk Methodology and Analytics, Group Risk Management, BNP Paribas
Moorad Choudhry: Professor, Department of Mathematical Sciences, Brunel University
Rohan Douglas: CEO, Quantifi
Eduard Giménez: Head Of Model Development Group, Caixabank
Andrew Green: Head of Quantitative Research, CVA/FVA, Lloyds Banking Group
Andrei Greenberg: Green Burgundy Consulting
Jon Gregory: Partner, Solum Financial Partners
Norbert Hari: Head of Quantitative Development Team, ING Bank 
Marc Henrard: Quantitative Research, OpenGamma
Pierre Henry-Labordère: Senior Quant, Global Markets Quantitative Research Team, Societe Generale
Peter Jaeckel: Deputy Head Of Quantitative Research, VTB Capital & Managing Director, OTC Analytics
Dimitris Karyampas: Director IB Exposure Measurement, UBS
Peter Left: Director, Lloyds Banking Group
Roger Lord: Head of Quantitative Analytics, Cardano 
Jörg Lotze: Technical Lead & Co-Founder, Xcelerit
William McGhee: Head of Hybrid and FX Options Quantitative Analytics Markets, RBS
Massimo Morini: Head of Interest Rate & Credit Models, Banca IMI
Luis Manuel García Muñoz: Head of Interest Rates, Credit and CVA Quant Teams, BBVA
Vladimir Piterbarg: Global Head of Quantitative Analytics Group, Barclays
Dmitry Pugachevsky: Director of Research, Quantifi
Michael Pykhtin: Manager, Quantitative Risk, Federal Reserve Board
Ignacio Ruiz: Independent Consultant, iRuiz Consulting
Robert Dargavel Smith: Managing Director, Head of CVA, Santander
Igor Smirnov: Head of Fixed Income Quantitative Research Europe, Banco Santander
Alexander Sokol: CEO and Head of Quant Research, CompatibL

The Fixed Income Conference is now in its 10th year and in 2014 we are heading to Spain and the wonderful and exciting city of Barcelona. The pre-conference workshop day now boasts three options, as well as three roundtables which are available complimentary to all delegates attending the workshop day.

Our three streamed main conference format remains a firm favourite as the longer sessions allow presenters to develop their quants ideas and present detailed case studies. Delegates can enjoy longer breaks in an informal environment, which is ideal for networking opportunities, and relax in the evening at our gala dinner.

Neil Fowler: Managing Director, WBS Training

Fixed Income Conference Testimonials:

Executive Director, Nomura
"I did enjoy the conference thank you, I thought it was very well organised and successful."

Managing Director, BBVA
“A very good event to follow the new trends with the best specialists.”

Market Risk Management, ING Bank
"Best regards and thanks for the great conference!"

Director, BMO Capital Markets
“Thanks to WBS for organizing a conference that was very useful and informative.”

Director, Deutsche Bank
“Thank you for a great conference and for looking after everyone so well.”

Managing Director, Santander
“The organizers help create a friendly atmosphere which is conducive to professionals meeting each other and swapping hints and tips...Thoroughly recommended!”

Quantitative Analysis, Mizuho International
“The event was really well organized and the quality of presentations and speakers was of a very high standard.”

Risk Model Validation, BNP Paribas
“The event was well organised and had a great mixture of expertise and networking. It was pleasant to be there.”

Main Sponsor: Numerix

Numerix is the leading provider of analytics software and services for structuring, pre-trade pricing and analysis, trade capture, valuation, and risk management, with support for commodities, credit, equities, fixed income, foreign exchange, inflation, and hybrid instruments. Founded in 1996, Numerix has over 700 clients and 50 partners across more than 25 countries.

Gold Sponsor: CompatibL

CompatibL is a software integrator and consultancy specializing in CVA/FVA/PFE, limits, and Basel compliance. CompatibL’s unique blend of expertise in quantitative and engineering aspects of the project makes us an ideal partner for complex implementations involving advanced Monte Carlo analytics and complex trade, market, and reference data. Our customers are some of the most respected firms in the financial industry including 4 dealers, 3 supranationals, over 20 central banks, and 3 major financial technology vendors.

For more information visit:

Gold Sponsor: Quantifi

Quantifi Solutions

Quantifi is a leading provider of analytics and risk management software for the global OTC markets. Winner of Risk Magazine’s 2012 Risk Management Product of the Year, we are trusted by the world's most sophisticated financial institutions, including five of the six largest global banks, to help them better value, trade and risk manage their exposures.

Quantifi Counterparty Risk is a next generation counterparty risk system designed from the ground up to uniquely satisfy the rapidly evolving needs of regulatory compliance, corporate reporting and CVA trading and hedging. Incorporating the market’s most advanced, high performance Monte Carlo engine combined with super-scalable grid computing, Quantifi Counterparty Risk can support even the largest, most complex portfolios including those with significant wrong-way risk.

Learn how Quantifi, with first to market support for the latest innovations like Funding Valuation Adjustments (FVA), can help you today.

Gold Sponsor: Xcelerit

Xcelerit is a leading software provider of cross-platform acceleration tools for financial services, engineering, and research. Xcelerit technology allows Quantitative Analysts to unlock the performance of accelerators (GPUs and multi-core) with minor modifications to their existing source code. Our partnerships with leading hardware vendors and systems integrators have enabled us to deliver a full solution from initial consultancy, training, hardware integration and software acceleration. Our satisfied customers include the leading firms in investment banking, asset management, and insurance.

For more information visit:

Gold Sponsor: Murex

Rich of its 25-year experience in capital markets, Murex has developed an unmatched competence in the design and implementation of integrated and cost effective solutions offering best-in-class features horizontally – across asset classes - and vertically, from the front office to the back office. Murex offers a suite of risk management solutions for banks, hedge funds, asset managers, prime brokers, exchanges, corporate treasuries, utilities, oil groups, trading organisations and other institutions.

Leveraging on MX.3, Murex’s latest world-class front-to-back office and enterprise risk management platform, the MX CVA Module provides an integrated solution for CVA calculations, pricing, accounting, risk management and hedging.

For more information visit:

Silver Sponsor: Wiley

Over the years, financial professionals around the world have looked to Wiley and the Wiley Finance series with its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley continues to respond.

With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

Silver Sponsor: CEEMarketWatch

CEEMarketWatch is a specialized information provider and fully-integrated analytical network, recognized for its superb quality and from-the-source economic & political reports. We offer macroeconomic and political coverage of 74 emerging markets in Central& Eastern Europe, the Middle East, Africa and Latin America and the Eurozone.

We have a team of professional economists, positioned in the local markets, in-house editors and local contributors to deliver daily economic and political news, macroeconomic analysis, economic forecasts and reports, election coverage, press reviews and clipping services.