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Modern Interest Rate Modelling with Collateral, Funding and Credit (Part 2)

 
00:00

Improved Pricing Structure for The New Financial Year 2015/16: All Video Workshops £99.00

Video Lectures


Modern Interest Rate Modelling with Collateral, Funding and Credit: Section 1 (Running Time: 1:26:55)


Modern Interest Rate Modelling with Collateral, Funding and Credit: Section 2 (Running Time: 1:33:26)


Modern Interest Rate Modelling with Collateral, Funding and Credit: Section 3 (Running Time: 1:28:37)


Modern Interest Rate Modelling with Collateral, Funding and Credit: Section 4 (Running Time: 1:34:17)


Modern Interest Rate Modelling with Collateral, Funding and Credit: Section 5 (Running Time: 48:55)


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Modern Interest Rate Modelling with Collateral, Funding and Credit (Part 2)

Presenter: Massimo Morini: Head of Interest Rate & Credit Models,Coordinator of Model Research, Banca IMI

Summary:

This course is aimed at:
Calibrating a plurality of term structures - Pricing interest rate derivatives with multicurves - Understand the reasons for the current multicurve market - Complete the missing market information about multicurve dynamics - Modelling the dynamics of the current plurality of term structures - Hedging in a multicurve world

Fixed Income Modeling with Multicurves

  • Interest rate modeling: from basics to advanced
  • Advanced Multicurve Modeling, the three approaches:
    • Hull&White
    • HJM framework
    • BGM Libor Market Model
  • The market standard model for CSA discounting and tenor basis pricing
  • The advanced solutions with stochastic basis
  • Adapting volatility to tenor and correlating tenor curves
  • Implementation, derivatives pricing, hedging (mis- and super-hedging) 

Rates with Credit and Funding

  • Counterparty and Wrong way Risk for Rates derivatives
  • The credit spread hidden in today rates
  • Current relation between spot and forward
  • Credit, liquidity, funding to explain the basis
  • A credit model that replicates the tenor basis

Cutting Hedge in Fixed Income

  • Negative rates
  • Cost of clearing, initial margin and Fra-Futures basis
  • Cross currency and collateral
  • Constructing curves when curves are missing
  • Rates in Regulatory risk models
  • Pricing Bermudans and Model Risk

 References:

  • Interest Rate Modelling after the Financial Crisis.   M. Bianchetti and M. Morini, Risk Editions
  • Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes.   D. Brigo, M. Morini and A. Pallavicini, Wiley
  • Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators.   M. Morini, Wiley Finance

Topic

Interest Rates

Published date

4 March 2014

Price

£99.00

Presenter Bio

Massimo Morini

Massimo Morini is Head of Interest Rate and Credit Models at IMI Bank of Intesa San Paolo, where he also coordinates modelling research. He has been a consultant to the World Bank and other supranational institutions. Massimo is Professor at Bocconi University and MSc Director at Milan Polytechnic, and he was Research Fellow at Cass Business School, London. He delivers advanced training worldwide and is regularly an invited speaker at main derivatives conferences. He has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives, and is the author of "Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators" and other books on credit, funding and interest rate modelling. Massimo holds a PhD in Mathematics and an MSc in Economics.

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