**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**

**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)**

**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