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What are Quants Hub Workshop Days?


Quantshub.com is now live!

The Quants Hub offers workshop days in London, Frankfurt and New York where the presenter will be filmed (not the audience) for the forthcoming website. The events will be "quiet" workshops with the focus being on the presenter and all questions reserved for a Q&A session included at the end of each presentation. On the Quants Hub members website you will have access to the video of the workshop and the corresponding forum!

Quants Hub delegates receive extra benefits when they attend Quants Hub workshop days:

  • Free life membership to the Quants Hub website

  • The workshop presentation video you attend

  • The specific workshop presentation slides

  • Access to the corresponding Quants Hub closed forum & Webinar for follow up questions moderated by the presenter

  • Any additional software available as part of the learning experience

For those not attending the workshop days, Quants Hub also serves as a portal for distance learning of quantitative research techniques, where you will be able to purchase our online training video products and learn at your leisure.

Quants Hub includes interactive closed individual forums for each specific workshop to include your distance learning questions going forward. Quants Hub delegates who purchase distance learning products shall automatically become a lifelong member of the Quants Hub benefiting from future webinar offers and other special events.

All this for only £799.00 + UK VAT. 

This is a new training concept in our fast moving world, give it a go!

Monday 23rd June: Liquidity Risk Management (Part 1) by Antonio Castagna

Liquidity Risk Management (Part 1)

Presenter: Antonio Castagna, Partner, IASON

Liquidity and Banking Activity

  • The origin of the new financial environment
  • A Journey into Liquidity: Liquidity interrelations between banks and G-SIFI RegulationLiquidity interrelations between banks and G-SIFI Regulation:

                 Different types of liquidity
                 Vicious and virtuous effects
                 The role of central banks

  • Liquidity interrelations between banks and G-SIFI Regulation
  • New Regulation on Liquidity Risk

Monitoring Liquidity Risk

  • A Taxonomy of Cash-Flows
  • Liquidity Options
  • Quantitative Liquidity Risk Measures
  • The Term Structure of Expected Liquidity
  • Cash-flows-at-Risk

Liquidity Buffer and Term Structure of Funding

  • Liquidity Buffer and Counterbalancing Capacity . . . . . . 183
  • Causes of the Liquidity Buffer: Maturity Mismatch, Derivative Collateral, Off-Balance Sheet Commitments
  • Basel III Regulation and Liquidity Buffer

Workshop Schedule: 09:00 – 17:30

Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30

Tuesday 24th June: Liquidity Risk Management (Part 2) by Antonio Castagna

Liquidity Risk Management (Part 2)

Presenter: Antonio Castagna, Partner, IASON

Models for Market Risk Factors

  • Stock Prices and FX Rates
  • Interest Rate Models
  • Default Probabilities and Credit Spreads
  • Expected and Minimum Liquidity Generation Capacity of Available Bonds
  • Fair Haircut for Repo Transactions and Collateralised Loans
  • Adjustments to the Value of Illiquid Bonds

Behavioural Models

  • Prepayment Modelling
  • Sight Deposit and Non-Maturing Liability Modelling
  • Credit Lines Modelling

The Links between Credit Risk and Funding Cost

  • Cash-flows Fair Values and Discounting
  • Critique of the Debit Value Adjustment
  • The DVA for Derivative Contracts
  • Dynamic Replication of the DVA
  • Accounting Standard and DVA
  • The Distinction between Price and Value

Cost of the Liquidity and Fund Transfer Pricing 535

  • Principles of Transfer Pricing
  • The Funding and the Banking Activity
  • Building the Funding Curve
  • Including the Funding Cost into the Loan Pricing
  • Monitoring of the Funding Costs and Risk Control of the Refunding Risk
  • Funding Costs and Asset/Liability Management
  • Internal Fund Transfer Pricing System
  • Best Practices and Regulation

Liquidity Risk and the Cost of Funding in Derivatives Contracts

Workshop Schedule: 09:00 – 17:30

Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30

Details

Location:

Radisson Blu Portman Hotel
22 Portman Square
London W1H 7BG
Hotel Website

Flight details:

All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.

Sponsorship:

World Business Strategies offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 201352

Disclaimer:

World Business Strategies command the rights to cancel or alter any part of this programme.

Cancellation:

By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.

Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.