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Latest Conference: The 5th Annual Initial Margin, XVA & KVA Conference: London: 16th, 17th & 18th March 2016

Highlights: Quantitative Research / Model Risk / Regulations Stream

Yi Tang: MD, Head of XVA Quants, Wells Fargo Securities: Enterprise-Level Derivatives Modeling

Samim Ghamami:
Economist, Federal Reserve Board: Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

Peter Carr:
Global Head of Market Modeling, Morgan Stanley: Derivatives Pricing under Bilateral Counterparty Default Risk: Path-Independent Probabilistic Valuation

Andy Kalotay: President, Andrew Kalotay Associates, Inc: TAX-INTEGRATED RISK MANAGEMENT OF MUNICIPAL BONDS

Wujiang Lou:
 SVP, Trader, Structured Finance, HSBC: Coherent CVA and FVA

Ksenia Shnyra: Director of Fixed Income Research and Validation, State Street Global Exchange: Best Practices for CCAR Modeling and Effective Validation Challenge

Attilio Meucci: Chief Risk Officer, KKR: Linear Factor Models: Theory, Applications and Pitfalls

Julien Guyon: 
Quant, Bloomberg LP: Cross-Dependent Volatility

Diana Iercosan: Economist, Federal Reserve Board: Fundamental Review of the Trading Book

Highlights: Operational Risk Management Stream

Bethany Dugan: Deputy Comptroller, OCC: Corporate Governance & Policy

Julian Fisher: Executive Director, Crestrider: Risk Management Standards of Practice 

Mark Abbott: Managing Director, Head of Quantitative Risk Management, Guardian Life: Risk Management Standards of Practice Panelist

Justin McCarthy: Global Chair, PRMIA Board of Directors: Operational Risk Appetite – Are we making progress? 

Mario Mosse: President, MMosse Consulting. Former Head of Operational Risk, Prudential Financial Inc: Operational Risk Scenario Analysis 

Julian Fisher: Executive Director, Crestrider: Risk Management Standards of Practice 

Michael Smith: Senior Vice President and Chief Innovation Executive, AccuWeather Enterprise Solutions: Are Storms Getting Worse? — Emerging Weather Trends and The Economic Impact of Natural Disasters 

Jody R. Westby: Founder and CEO, Global Cyber Risk: Assessing and Managing Cyber Risks

Wednesday May 6: Pre-Conference Workshop Day:

Thursday May 7: Main Conference Day One Streams:

Friday May 8: Main Conference Day Two Streams:

The 2nd Fixed Income & Operational Risk Conference USA in conjunction with PRMIA

The Professional Risk Managers’ International Association (PRMIA) provides an open forum for the development and promotion of the risk profession. With chapters around the world, PRMIA is a non-profit, member-led association dedicated to defining and implementing the best practices of risk management through education, including the Professional Risk Manager (PRM) designation and Associate PRM and Operational Risk Manager certificates; webinar, online, classroom and in-house training; events; networking; and online resources.

PRMIA Members Discount:

Before Friday March 13: 20% Early Bird Discount: $1999.20
PRMIA Member fee: $1499.20

Before Friday April 10: 10% Early Bird Discount: $2249.10
PRMIA Member fee: $1749.10

Main Conference Standard Fee: $2499.00
PRMIA Member fee: $1999.00

Plus register to the Main Conference + Workshop and receive a $300 discount!

The 2nd Fixed Income & Operational Risk Conference USA

The 2nd Fixed Income & Operational Risk Conference USA is a joint conference hosted by WBS Training & PRMIA. The conference will cover all the latest developments in Operational Risk, Quantitative Research, Model Risk & Regulations.

This year's topics include:

  • Operational Risk
  • Wrong-Way Risk
  • Real world risk measures 
  • Enterprise-Level Derivatives Modeling
  • FVA
  • XVA
  • RWA computation
  • Fundamental Review of the Trading Book
  • CCAR

Booking Fees:

Pre-Conference Workshop Day: Wednesday May 6 2015

Workshop Standard fee: $1299.00

The 2nd Fixed Income Conference USA May 7 - 8 2015

Main Conference Standard fee: $2499.00

Early Bird Discount: 20% before March 13 2015. Register to the Main Conference + Workshop and receive a $300 discount!

PRMIA Members & Early Bird Discounts:

Friday  March 13:  20% Early Bird Discount: $1999.20
PRMIA Member fee: $1499.20

Friday April 10: 10%  Early Bird Discount: $2249.10
PRMIA Member fee: $1749.10

Important Notes:

Main Conference presentation files on USB memory sticks will be provided on arrival. The Main Conference files will also be made available for download via a password protected website before the event. Please print out each presentation if you wish to have hard copies before the conference and bring them with you.

Also, Wi-Fi access will be available at the venue to view presentations on laptops and mobile devices.

Conference Bookings: Discount Structure:

  • Early Bird Discount: 20% Before 13th March
  • Main Conference + Workshop ($300 Discount)
  • Receive an extra 5% discount when booking 3 or more delegates
  • 70% Academic Discount (FULL-TIME Students Only)

2014 Testimonials

Massimo Morini: Head of Interest Rate & Credit Models, Banca IMI

"Thanks to the very detailed talks and well-planned panels, the Fixed Income Conference in Barcelona has been the most vibrant and interesting event on XVAs I have seen this year."

Fabrizio Anfuso: Head of CCR Backtesting Methodology Team, Credit Suisse

"Many thanks for the invitation and the great organisation! I have been now 6y in the industry attending conferences on a regular basis. This was by far the best event I have taken part to!"

Eirik Berg: Risk manager, DNB Markets 

"Thanks for organizing a very useful and inspiring conference. For me most of the topics were directly related to things I work on"

Nick Haining: Chief operating Officer, CompatibL  

"Once again WBS maintained their ability to bring advanced practitioners together in a great environment conducive to both social and technical discussion. They really excel at this.”

Philippe Balland FX, Rates & Credit Quant

"Thank you for inviting me to the Barcelona event. I have truely enjoyed the conference. The organisation and location of the event were fantastic! It was a great occasion to catch up on the latest developments in a very relaxed and collegiate atmosphere."

Risk Manager

"Thank you very much for a great conference. Well organized, with top speakers, good discussions, nice ambiance, the conference was very informative and inspiring. I also liked the venue a lot – good hotel at great location. Hope to be back!"

Ignacio Ruiz: iRuiz Consulting

"Nice event last week! Very well organised."


"Thanks again for a great event in Barcelona!"

Manager, Portfolio Analytics

"The organization was very good, thanks for the invite."

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: Quantifi

Quantifi Solutions

Quantifi is a specialist provider of analytics, trading and risk management solutions. Founded in 2002, Quantifi has over 140 clients across 16 countries including 5 of the 6 largest global banks, 2 of the 3 largest asset managers, leading hedge funds, pension funds, insurers, brokers, clearing members, corporates and other financial institutions. The client base is evenly divided between the sell and buy-side. Quantifi has offices in London, New York, Frankfurt, Paris, New Jersey, and Sydney.

Quantifi re-invests significantly into research and development each year. We work closely with clients, market experts, and industry participants to drive our products. Reflecting this long term commitment, Quantifi has an unparalleled track record of being first-to-market for all of the most significant innovations in the OTC markets including CVA, FVA and OIS/CSA Discounting. Quantifi is also a leader in financial technology with early adoption of key technologies that give our clients advantages in terms of speed, scalability, and usability including being the first commercial native .NET analytics library and the first financial software vendor to support the Intel TBB multi-core API.

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.

Gold Sponsor: Global Valuation

Global Valuation Ltd. (GVL) is a software firm based in London. GVL’s two products are Esther, a software-hardware solution for the simulation of large OTC portfolios and mega-models for CVA-FVA-DVA, and Athena, a data service for calibrated models in collaboration with ICAP. GVL also partners with TriOptima in the delivery of triCalculate, a hosted risk analytics service for OTC portfolios.

Gold Sponsor: Sungard

SunGard is one of the world’s leading software and technology services companies, with annual revenue of about $2.8 billion. SunGard provides software and processing solutions for financial services, education and the public sector. SunGard serves approximately 16,000 customers in more than 100 countries and has more than 13,000 employees.

Gold Sponsor: AccuWeather Enterprise Solutions

Serving over 240 of the Fortune 500 companies and thousands more, AccuWeather Enterprise Solutions - the commercial weather services division of AccuWeather, Inc. - delivers mission-critical weather-driven enterprise solutions to assist businesses, government, media, and institutions, protecting people, property, and profits worldwide. AccuWeather enterprise products and services include the most accurate, site-specific and customized severe weather warnings, short- and long-range forecasts, legal forensics, and weather-triggered analytics, providing actionable insights from the world's largest weather media company.

Gold Sponsor: Xcelerit


Xcelerit is a leading provider of acceleration solutions for Quantitative Finance. Our portfolio of solutions addresses a range of computational challenges from algorithmic optimisation to software acceleration. Xcelerit is the maker of the award-winning toolkit that allows Quantitative Analysts to unlock the performance of accelerators (GPUs and many-core) with minor modifications to their existing source code.

Xcelerit has received recognition as a finalist in the Red Herring Europe Top 100 award, the Red Herring Top 100 Global award, and a two-time winner of HPC Wire’s “Best use of High Performance Computing in Financial Services” award. Our satisfied customers include the leading firms in investment banking, asset management, and insurance.