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

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