WFE’s Clearing and Derivatives Conference 2021

  •  The importance of CCPs for financial stability: a reminder

    • 11:00 - 11:15

      Opening Remarks


      Speakers
      • Nandini
        Nandini Sukumar Chief Executive Officer The World Federation of Exchanges
      • Nandini Sukumar

        Chief Executive Officer The World Federation of Exchanges

        Nandini Sukumar is the Chief Executive Officer of the World Federation of Exchanges, the global association for exchanges and CCPs. The WFE represents more than 250 exchanges and clearing houses globally, educating stakeholders on the vital role played by market infrastructures in the real economy and as a standard setter, finding the consensus on issues among the global membership. WFE exchanges are home to nearly 45,000 listed companies, the market capitalization of these entities is over $82.5 trillion and around $81.8 trillion in trading annually passes through the infrastructures that the WFE members safeguard. Ms. Sukumar is Vice Chair of IOSCO’s Affiliate Members Consultative Committee and Chair of the AMCC’s DLT Workstream.

        Ms. Sukumar has been CEO of the WFE since March 2015. Prior to this, she served as Acting Chief Executive Officer from November 2014, having been recruited by the WFE Board as Chief Administrative Officer in May 2014 to run the Federation on a daily basis and work with its global network of members as a proponent of the benefits of fair, orderly, public markets. Ms. Sukumar came to the WFE after a 14-year career at Bloomberg where she created, grew and ran their coverage of market structure, exchanges and UK regulation.


      • Pedro
        Pedro Gurrola-Perez Head of Research The World Federation of Exchanges
      • Pedro Gurrola-Perez

        Head of Research The World Federation of Exchanges

        Pedro joined the World Federation of Exchanges in October 2019 from the Bank of England, where he led the Financial Market Infrastructures Directorate’s Research Team. He had joined the Bank of England in 2013, after two years at the UK Financial Services Authority. Previously, Pedro spent more than 15 years lecturing and doing research at a range of well-regarded academic institutions, including the University of Barcelona and the Instituto Tecnológico Autónomo de México (ITAM).

        Pedro holds two PhDs: one from the University of Barcelona, Spain, and one from the University of Montpellier, France, and has published across key academic journals, including the Journal of Financial Market Infrastructures, the Journal of Risk, International Finance and the Journal of Futures Markets. His recent work includes research on the economics of distributed ledger technologies (DLT) for securities settlement, on the network structure of settlement fails and on market liquidity risk in CCPs. He has also published research on payment systems, back-testing methodologies and on the structure of interest rate futures markets. In 2007 he received the National Award on Derivatives Research, awarded by the Mexican Derivatives Exchange (MexDer).


    • 11:15 - 12:15

      Coming of age: 21 years after the G20

      Twenty one years after the G20 was created in the aftermath of one financial crisis and 11 years after leaders at the Pittsburgh summit committed to improving over-the-counter markets in the wake of another, it’s time to take stock. While progress has been made, much remains still to be done. As the pandemic-induced volatility rocked markets over the last year, market infrastructures have held the system securely, ensuring resilience and stability. What lessons has the pandemic taught us? And where should we look next? What lies ahead?

      Dr. Urs Rüegsegger, Chair of SIX Swiss Exchange, Chair of Zuger Kantonalbank and Chair of the World Federation of Exchanges in conversation.


      Chair
      • Dr. Urs
        Dr. Urs Rüegsegger Chairman, SIX Swiss Exchange and WFE Chairman
      • Dr. Urs Rüegsegger

        Chairman, SIX Swiss Exchange and WFE Chairman

        Urs Rüegsegger served as the Group Chief Executive Officer of SIX Group AG from 2008 to December 2017. Prior to this he held the position of Head of the Executive Committee of St. Galler Kantonalbank. He joined the bank in 1993 as Head of Controlling, Accounting and Risk Management and was appointed to the Executive Committee in 1997. In 2000 he took charge of the IPO, which was successfully launched in 2001.

        As Head of the Executive Committee he also held various positions with the Association of Swiss Cantonal Banks since 2001.

        After completing a degree in business studies at the University of St. Gallen, Urs Rüegsegger started his career at Swiss Re in the area of IT. He was deeply involved in the development of commercial applications and the restructuring of Swiss Re's service branch. He transferred to St. Galler Kantonalbank in late 1993 after assuming financial responsibility for Audatex, an international subsidiary group of Swiss Re.


      Speakers
      • Marguerite
        Marguerite Soeteman-Reijnen Chairman Executive Board Aon Holdings
      • Marguerite Soeteman-Reijnen

        Chairman Executive Board Aon Holdings

        Marguerite Soeteman-Reijnen is Chairman of the Executive Board of Aon Holdings B.V. and other Holdings entities in the Netherlands since 2016 and Global Chief Marketing Officer of Aon Inpoint since 2014. 

        Aon Holdings BV being the statutory shareholder/parent company of over 400 Aon companies – engaged in international insurance and reinsurance brokerage, pensions and employee consulting as well as risk management advice and services in the field of insurances- in Europe, Middle East, Africa, Asia, Australia Pacific, Canada and Latin America. Aon Inpoint being the management strategic advisory arm of Aon.

        Previously Marguerite was Chief Broking Officer for Aon in EMEA. As a recognized authority in broking, she was instrumental in building the broking strategy in Aon, initiating and operationalizing the Chief Broking Officers organization as from 2008. Marguerite has been with Aon and its predecessors for over 29 years. 

        Marguerite is also Member of the Supervisory Boards of NautaDutilh,  Koninklijke Stichting Defensiemusea and Gelre Ziekenhuizen. In addition she is a Member of the Board of Directors of the American Chamber of Commerce in the Netherlands.  Prior roles include Chairman Supervisory Board Stichting ALS and Supervisory Board  Madurodam, the Netherlands.

        Marguerite received a Master degree in Law from Erasmus University Rotterdam and is an alumna of INSEAD and Harvard Business School. 

        She’s the Chair of the Board of Topvrowen.nl.

      • Alexander
        Alexander Schindler Member of the Executive Board Union Asset Management Holding AG
      • Alexander Schindler

        Member of the Executive Board Union Asset Management Holding AG

        Alexander Schindler became a member of the executive board in January 2004. He is responsible for institutional client business and international business activities. He is also member of the board of directors of BEA Union Investment Management Limited, Hong Kong since 2007. He was elected as the president of EFAMA, the European Fund and Asset Management Association, in June 2015.

        Prior to joining Union Investment, from 1998 to 2003, Alexander was managing director of asset management at Sal. Oppenheim Jr. & Cie KGaA, Cologne, being in charge of domestic and international clients and cooperations. He also worked many years for Commerzbank’s portfolio management in different executive positions.

        Alexander is a qualified banker and lawyer by profession.

    • 12:15 - 13:00

      Keynote speech: Dawn DeBerry Stump, Commissioner, Commodity Futures Trading Commission (CFTC)


      Speaker
      • Dawn
        Dawn DeBerry Stump Commissioner Commodity Futures Trading Commission
      • Dawn DeBerry Stump

        Commissioner Commodity Futures Trading Commission

        Dawn DeBerry Stump was nominated by President Trump to serve as a Commissioner of the Commodity Futures Trading Commission on June 12, 2017.  She was unanimously confirmed by the Senate on August 28, 2018 and sworn into office on September 5, 2018 for the remainder of a five-year term expiring in April 2022.

        Prior to her appointment, Mrs. Stump was President of Stump Strategic, a consulting firm she founded in 2016. Before starting her firm, Mrs. Stump was Executive Director and Senior Vice President of U.S. Policy for the Futures Industry Association (FIA) and Vice President at the New York Stock Exchange.

        During much of her career she also served the public sector in staff positions in both the U.S. Senate and House of Representatives, including six years at the Senate Committee on Agriculture, Nutrition and Forestry where she focused on various farm policy, rural development, and renewable energy matters as well as oversight of the CFTC.  While serving in both Congressional houses, she participated in negotiations of two farm bills, CFTC reauthorization, and the Dodd-Frank Act.  Mrs. Stump is from Olton, Texas and grew up working in the agricultural sector.

        She holds a Bachelor of Science in Agricultural and Applied Economics degree from Texas Tech University. She is married and has two children.


    • 13:00 - 13:15

      Break: Next session will resume at 13:15

    • 13:15 - 14:15

      The Economics of Central Clearing - a conversation

      Author: Albert J. Menkveld (Vrije Universiteit Amsterdam) and Guillaume Vuillemey (HEC Paris)

      This article surveys and takes stock of  the research literature on CCPs in the last decades and provides an overview of the most salient topics: multilateral netting,  protection against counterparty risk, the effect of CCPs on asset prices and fire sales, margins setting, the default waterfall, and CCP governance.


      Speakers
      • Albert J.
        Albert J. Menkveld Professor of Finance Vrije Universiteit Amsterdam
      • Albert J. Menkveld

        Professor of Finance Vrije Universiteit Amsterdam

        Albert Menkveld is Professor of Finance at Vrije Universiteit Amsterdam and Fellow at the Tinbergen Institute. In 2002, he received a Tinbergen PhD from Erasmus University Rotterdam. He was on visiting positions for multiple years at various U.S. schools (NYU, Wharton, and Stanford).

        Albert’s research agenda is focused on securities trading, liquidity, asset pricing, and financial econometrics. He has published in various journals, for example, the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies.

        In 2018 he received a five-year Vici grant from the Netherlands Organization for Scientific Research (NWO), in 2010 a five-year NWO Vidi grant, in 2007 the Pierson medal (“Dutch Bates Clark”) from the Royal Dutch Economic Association, in 2003 a Lamfalussy scholarship from the European Central Bank, and in 2001 the Josseph de la Vega Prize from the Federation of European Exchanges.

        Albert is currently an Associate Editor at the Review of Asset Pricing Studies and a Research Fellow at the Centre for Economic Policy Research (CEPR).  He was a member of the European Finance Association (EFA) Executive Committee in 2014-2016, Group of Economic Advisors of the European Securities and Market Authority (ESMA) in 2011-2014, and a member of the academic council of the Autorité des Marchés Financiers (“French SEC”) since 2004-2016.

      • John
        John Davidson Chief Executive Officer OCC (Options Clearing Corporation)
      • John Davidson

        Chief Executive Officer OCC (Options Clearing Corporation)

        John P. Davidson is the Chief Executive Officer at OCC, the world's largest equity derivatives clearing organization.

        As CEO, Mr. Davidson reports to the OCC Board of Directors, and has oversight responsibilities for OCC's information technology, financial risk management, corporate risk management, legal and compliance functions. He joined OCC in 2017 as President and Chief Operating Officer, where he was responsible for OCC's technology and operations functions. He became CEO in 2019.

        Mr. Davidson has over 35 years of experience in the global financial industry. Prior to joining OCC he served as Chief Compliance Officer at Citigroup. In that role, he led the global 2,400 person, 87 country compliance organization, responsible for proactively identifying, evaluating, mitigating and reporting on compliance, conduct, regulatory and reputation risks across the institution. Previously he served as Citi's Risk Division's Chief Administrative Officer, helping rebuild the risk function during the financial crisis, and subsequently as Head of Enterprise Risk Management, where he was responsible for managing Citi's operational risk across businesses and geographies.

        Before his tenure at Citi, Davidson spent two years as Chief Business Development Officer at CME Group, a global exchange holding company. He spent 12 years at Morgan Stanley, serving as Managing Director for its Institutional Operations Division. He rebuilt the firm's global institutional processing system and opened new processing centers on four continents, away from major financial centers. Early in his career, Mr. Davidson worked for 10 years as head of the CME Clearing House, successfully guiding it through the 1987 stock market crash and leading the initiatives to substantially enhance its financial safeguards based on lessons from that period. Among other accomplishments, he was instrumental in developing and implementing the Standardized Portfolio Analysis of Risk (CME SPAN®) margining system as well as the Globex® Control Center.

        Davidson earned an MBA in financial management and international business from the University of Chicago and graduated with highest distinction from the University of Illinois-Urbana with a bachelor's degree in political science.

    • 14:15 - 15:00

      The impact of derivatives collateralisation on liquidity risk: evidences from the investment fund sector

      Authors: Audrius Jukonis (European Central Bank), Linda Fache Rousová (European Central Bank) and Elisa Letizia (Single Resolution Board)

      Stricter margining requirements for derivative positions have increased the demand for collateral by market participants. At the same time, euro area investment funds which use derivatives extensively have been reducing their liquid asset holdings. Using transaction-by-transaction derivatives data, the research assesses whether the current levels of funds’ holdings of cash and other highly liquid assets would be adequate to meet funds’ liquidity needs to cover variation margin calls on derivatives under a range of stress scenarios.


      Presenter
      • Audrius
        Audrius Jukonis Analyst European Central Bank
      • Audrius Jukonis

        Analyst European Central Bank

        I am an Analyst at the ECB's Stress test modelling division.  Before joining ECB I worked at Bank of Lithuania, Dutch Central Bank and at a front desk of an energy company.

        I hold a master’s degree in Mathematics from University of Amsterdam. My work focuses on market risk and EMIR data.  I am interested in financial mathematics and derivative pricing.


      Discussant
      • Matthias
        Matthias Graulich Member of the Executive Board Eurex Clearing
      • Matthias Graulich

        Member of the Executive Board Eurex Clearing

        Matthias took responsibility for Fixed Income, Funding & Financing Strategy and Development of Deutsche Börse AG in September 2018 and is a Member of the Executive Board of Eurex Clearing AG since August 2014. In his Strategy and Development role he is in charge within Deutsche Börse Group for Strategy, Business and Product Development for listed and OTC derivatives as well as repo and securities lending across trading and clearing. From March 2016 until August 2018 he was in charge of Cross Market Strategy leading the strategy for Eurex Clearing and Clearstream. From April 2013 until February 2016 he established and developed as Chief Client Officer and Global Head of Clients & Markets a dedicated client facing organizational unit of Eurex Clearing. Before that he took responsibility as Head of Clearing Initiatives for the implementation of Eurex Clearing’s strategic project portfolio and regulatory affairs.

  • Structures and incentives


    • 11:00 - 11:45

      The market structure of dealer-to-client interest rate swaps

      Author: Aref Bolandnazar, Ph.D. Candidate in Finance, Columbia Business School, Columbia University.

      Using proprietary data on cleared interest rate swaps (IRS) transactions and the dealers' daily margin requirements, the paper develops an equilibrium model of IRS markets with imperfect competition among capital constrained dealers.


      Presenter
      • Aref
        Aref Bolandnazar Ph.D Candidate in Finance Columbia Business School
      • Aref Bolandnazar

        Ph.D Candidate in Finance Columbia Business School

        Aref Bolandnazar is a Ph.D Candidate in Finance at Columbia Business School. Next Fall 2021, he will start as an assistant professor of Finance at the Mays Business School, Texas A&M University.

        Aref's research interests include market microstructure, nancial intermediation, and asset pricing.

        During his PhD, he worked as an intern at the Commodity Futures Trading Commission (CFTC).

      Discussant
      • Jorge
        Jorge Alegria IOMA Chairman (2011-2014)
      • Jorge Alegria

        IOMA Chairman (2011-2014)

        With more than 35 years of experience in the financial sector, he is currently an International Advisor to Financial Markets Infrastructures and Exchanges in Latam and Asia, and Senior Advisor to the President of CME Clearing. Previously he served as Chief Executive Officer of MexDer (Mexican Derivatives Exchange) and as Sr. MD of Markets Operations and Data Services of the Mexican Stock Exchange (BMV) until May 2015. Before that he was CEO of ABN AMRO Securities (Mexico) and Executive Vice President at Scotiabank Inverlat Mexico.

        He served as Chairman of the International Options and Futures Markets Association (IOMA) a division of the World Federation of Exchanges (WFE) for more than three years starting in 2011.

        Mr. Alegría graduated in Finance from the ITAM (Mexican Autonomous Technological Institute), where he is also a part-time professor. He has taken and taught several advanced courses and seminars in México and abroad, specialized in capital markets, Fintech and financial derivatives.

    • 11:45 - 12:45

      How market structures are changing

      In the last five years, clearing services have become more concentrated, new products and asset classes have come into the cleared environment, new technologies are permeating the post-trade space and clearing itself has become more fragmented. How will these trends, and others still to come, change clearing and financial market infrastructure?


      Moderator
      • Umesh
        Umesh Gajria Global Head of Index-Linked Products Bloomberg
      • Umesh Gajria

        Global Head of Index-Linked Products Bloomberg

        Umesh Gajria is the Global Head of Index-Linked Products at Bloomberg, overseeing index derivative products and analytics. In addition, he leads the firm’s efforts in the transition to Risk Free Rates (RFRs) including ISDA fallbacks. Earlier he served as COO for Bloomberg’s Enterprise Product business, after joining the firm in 2017. Previously, Mr. Gajria was an Executive Director of Global Business Development at CME Group where he led growth initiatives for the Financial Products business. Before that he worked in various roles at US Bank, JP Morgan and Lexis Nexis.

        Mr. Gajria holds a B.S. in industrial engineering from the University of Wisconsin-Madison.


      Panellists
      • John
        John Fennell Executive Vice-President & Chief Risk Officer OCC (Options Clearing Corporation)
      • John Fennell

        Executive Vice-President & Chief Risk Officer OCC (Options Clearing Corporation)

        John J. Fennell is Chief Risk Officer of OCC, the world's largest equity derivatives clearing organization.

        In this role, Mr. Fennell is responsible for implementing OCC's Risk Management Strategy, which includes Enterprise Risk Management, Model Risk Management, Security Services, Business Continuity and Third-Party Risk Management areas.

        Since joining OCC in 1993, the vast majority of Mr. Fennell's career has been spent in the firm's Risk Management Department, where most recently he served as Executive Vice President, Financial Risk Management and was responsible for Financial Risk Management, which included market, credit and liquidity risk, default management, customer margin methodologies and model development. Prior to that, Mr. Fennell served as Senior Vice President, Risk Management & Treasury Operations, overseeing Financial Risk Management and custodial operations related to all margin and clearing fund securities deposits with OCC. Mr. Fennell currently serves as the North American Chair of the World Federation of Exchanges' Enterprise Risk Management Committee and as an Affiliate Member with IOSCO as well as other industry margin and risk management committees.

        Mr. Fennell graduated with an M.B.A. in Finance from DePaul University and a B.S. from Northern Illinois University. Mr. Fennell completed the Certified Regulatory and Compliance Professional program at the FINRA Institute at the Wharton School of the University of Pennsylvania.

      • Vikram
        Vikram Kothari Managing Director National Securities Clearing Corporation Limited (NSCCL)
      • Vikram Kothari

        Managing Director National Securities Clearing Corporation Limited (NSCCL)

        Mr. Vikram Kothari has worked in areas of product development, operations, risk management, sales in the stock exchange, custody, clearing and banking space for more than 20 years.

        Prior to his current role as Managing Director of NSE Clearing Limited (formerly known as National Securities Clearing Corporation Limited (NSCCL)) in India, he worked with organizations like JP Morgan Chase, HSBC, and NSE in various capacities. He joined NSE Clearing Limited in November 2017.

        He is a graduate from Mumbai University and a Member of the Institute of Chartered Accountants of India.

      • Erik Tim
        Erik Tim Müller Chief Executive Officer Eurex Clearing AG
      • Erik Tim Müller

        Chief Executive Officer Eurex Clearing AG

        Erik Tim Müller, CEO of Eurex Clearing AG, has over 20 years of experience in Capital Markets and is a member of the Executive Board of Eurex Clearing AG since April 2013. He is also a member of the Management Board of Eurex Deutschland, represents Eurex on the CFTC Global Markets Advisory Committee and serves on the Board of Directors of the International Swaps and Derivatives Association (ISDA).

        As Managing Director of Deutsche Börse Group, he has been previously responsible for Corporate Strategy and Mergers & Acquisitions (M&A) for many years. Since the IPO of Deutsche Börse in 2001, Erik Tim Müller has been a manager of Deutsche Börse Group. He has been responsible for Group Treasury and Investor Relations, including all treasury activities of the two bank licensed businesses of Deutsche Börse Group, Eurex Clearing in Frankfurt/Main and Clearstream in Luxembourg since 2008.

        Erik Tim Müller holds a dual degree MBA from Goethe University in Frankfurt/Main, Germany and the Fuqua Business School in North Carolina, USA.

    • 12:45 - 13:15

      Break: Next session will resume at 13:15

    • 13:15 - 14:00

      Model risk at central counterparties: Is skin-in-the-game a game changer?

      Authors: Wenqian Huang (Bank of International Settlements) and Előd Takáts (Bank of International Settlements)

      The authors investigate empirically how the balance sheet characteristics of central counterparties affect their modelling of credit risk. They find that higher skin-in-the-game is significantly associated with more prudent modelling, in contrast to profits and forms of capital other than skin-in-the-game.


      Presenter
      • Előd
        Előd Takáts Principal Economist Bank for International Settlements
      • Előd Takáts

        Principal Economist Bank for International Settlements

        Előd Takáts is a principal economist at the Bank for International Settlements. He has extensive experience in studying how macroeconomic and financial developments interact. As a member of the Financial Systems and Regulation unit, he provides analytical support for the international regulatory reform agenda. He also represents the BIS on the Basel Committee's Macroprudential Supervision Group, and on the Financial Stability Board's working groups, including the Derivatives Assessment Team. Furthermore, a visiting fellowship at the London School of Economics allows him to combine academic and policy work. He also holds a honorary professorship at his alma mater, Corvinus University. 

        Previously, he helped to organise the BIS's bimonthly and other meetings for central banks. His policy work has focused on emerging markets, particularly those of central and eastern Europe. Before joining the BIS in 2009, his career at the International Monetary Fund covered several departments and countries, the last one being China. He took part in surveillance and program missions, and in financial sector assessments. He earned his PhD in finance at Princeton University.

      Discussant
      • John
        John McPartland Director of Research Hidden Road Partners LP
      • John McPartland

        Director of Research Hidden Road Partners LP

        John McPartland is Director of Research at Hidden Road Partners, a quantitative investment firm.  He spent the entirety of his professional career in the derivatives industry in the roles of commercial banker, broker, FCM executive, exchange member, CCP executive and until his recent retirement, Senior Policy Advisor in the Financial Markets Group of the Federal Reserve Bank of Chicago.  In that capacity, he participated in influencing public policy germane to high frequency trading, market structure, CCP default waterfall components, and market concentration issues.  He is a graduate from the University of Minnesota and a US Air Force veteran.

    • 14:00 - 15:00

      Skin Skin Skin

      Skin-in-the-game (SITG), the part of the CCP's own capital included in the pre-funded default waterfall,  is not intended to be meaningful as a loss-absorbing component but rather to signal the CCP’s strong incentive to perform consistently prudent risk management. While research has shown increasing SITG could provide the wrong incentives for clearing members in a default in addition to increasing the costs of clearing across the financial sector, the sizing and structure of SITG continues to be the focus of a debate. Can we reconcile these different and often conflicting interests?  Is there a case for revisiting its structure? Why does its calibration vary?  Is there an optimal outcome in the trade-off between SITG and the cost of clearing?


      Chair
      • John
        John McPartland Director of Research Hidden Road Partners LP
      • John McPartland

        Director of Research Hidden Road Partners LP

        John McPartland is Director of Research at Hidden Road Partners, a quantitative investment firm.  He spent the entirety of his professional career in the derivatives industry in the roles of commercial banker, broker, FCM executive, exchange member, CCP executive and until his recent retirement, Senior Policy Advisor in the Financial Markets Group of the Federal Reserve Bank of Chicago.  In that capacity, he participated in influencing public policy germane to high frequency trading, market structure, CCP default waterfall components, and market concentration issues.  He is a graduate from the University of Minnesota and a US Air Force veteran.

      Panellists
      • Dr. David
        Dr. David Murphy Visiting Professor, Department of Law London School of Economics (LSE)
      • Dr. David Murphy

        Visiting Professor, Department of Law London School of Economics (LSE)

        David Murphy is a Visiting Professor at LSE and senior advisor in the Prudential Policy Directorate at the Bank of England where he focusses on derivatives and quantitative risk management issues. He is the author of numerous articles on central clearing, risk management, financial regulation and OTC derivatives. He co-chaired the FSB’s Derivatives Assessment Team and has written three books on CCPs, financial stability and risk management.

        His prior roles include Global Head of Risk at ISDA, where he was responsible for all of ISDA’s activities relating to capital, risk management and accounting standards as well as leading ISDA’s research effort.

        Before that, Dr. Murphy was the Chief Operating Officer at Merrill Lynch’s Reinsurance Group, and he has had held a number of other senior risk management roles in leading banks and broker/dealers.


      • Juan A.
        Juan A. Blackwell Senior Principal, Head of Credit and Counterparty Risk Management Ontario Teachers’ Pension Plan Board
      • Juan A. Blackwell

        Senior Principal, Head of Credit and Counterparty Risk Management Ontario Teachers’ Pension Plan Board

        Juan leads Credit and Counterparty Risk Management (CCRM) at Ontario Teachers’, a pioneering pension plan that invests globally via derivatives and other alternative investments.

        CCRM at Teachers’ entails using market implied metrics and fundamental analysis to assess the probability of default for a global portfolio of the largest and most complex financial institutions, measuring PFEs and then structuring collateralized derivative and securities financing agreements to ensure losses given failure are de minimis after accounting for entity-specific default probabilities.

        Prior to joining Teachers’ in May 2013, Juan spent eight years at the Toronto-Dominion Bank and TD Securities. As a Vice-President in corporate and investment banking, he led lenders focused on direct, margin, toe-hold, and structured financings.

        Juan’s global experience includes structured financings in Colombia, Mexico and India, OTC transactions in Peru and Chile, as well as institutional clients in North America.

        Born in Venezuela, raised in Toronto and Central America, Juan studied Economics at Ave Maria University’s campus in Nicaragua and obtained his MBA from L’ École des Hautes Études Commerciales (HEC) de Montréal. Juan pursues global views of capital markets, market infrastructures and investment risks.


      • Marcelo
        Marcelo Carvalho Managing Director, CCP Chief Risk Officer B3 - Brasil Bolsa Balcão
      • Marcelo Carvalho

        Managing Director, CCP Chief Risk Officer B3 - Brasil Bolsa Balcão

        Since 2021 he is responsible for the CCP risk management. Before that he was responsible for risk modeling, with responsibility for CCP risk measure methodology. He joined B3 (BM&FBovespa) in 2015. Between 2010 and 2015, he was CRO at Polo Capital, where he also acted as co-portfolio manager of a quantitative fund (2014-15). Previously, Marcelo was a researcher at the Institute for Financial Research (SIFR) in Stockholm, Sweden (2007-09). Prior to that, he worked at Galanto Macroeconomic Consultancy (2003-04). He holds a PhD (ABT) in Finance from the Stockholm School of Economics (2009) and a BSc in Economics from the Pontifical Catholic University of Rio de Janeiro (2003).

      • Suzanne
        Suzanne Sprague Managing Director, Credit & Liquidity Risk, Risk Policy, & Banking CME Group
      • Suzanne Sprague

        Managing Director, Credit & Liquidity Risk, Risk Policy, & Banking CME Group

        Suzanne Sprague serves as Managing Director, Credit Risk, Banking & Solutions of CME Group. She is a member of the team responsible for managing CME Clearing’s exposure to counterparty risk, risk management policy, collateral services, and financial operations.

        Suzanne joined the company in 2002 and has held numerous roles and leadership positions in Financial Management and Risk Management since that time. During her tenure, she has played a key role in the company’s development of risk management policy, including credit risk, liquidity, collateral acceptance, and regulatory response.

        She earned a bachelor’s degree with concentrations in finance and international business from Indiana University and a master’s degree in financial markets from the Illinois Institute of Technology.

  • Dealing with events at the end of the tail... and beyond


    • 10:45 - 11:00

      Keynote speech: Eva Hüpkes, Head of Regulatory and Supervisory Policies, Financial Stability Board (FSB)


      Speaker
      • Eva
        Eva Hüpkes Head of Regulatory and Supervisory Policies Financial Stability Board (FSB)
      • Eva Hüpkes

        Head of Regulatory and Supervisory Policies Financial Stability Board (FSB)

        Eva Hüpkes is Adviser on Regulatory Policy and Cooperation at the Financial Stability Board (FSB), a position she assumed shortly after the FSB’s creation in 2009. Prior to that she served as Head of Policy and Regulation at the Swiss Financial Market Supervisory Authority FINMA and FINMA’s predecessor organization, the Swiss Federal Banking Commission (SFBC), which she joined in 1999. Previously she worked at the International Monetary Fund in Washington D.C.

        She has played a pivotal role in promoting effective resolution of financial institutions as Co-Chair of the Basel Committee Working Group on Cross-Border Bank Resolution, as Secretary to the FSB’s groups working on resolution and as a member of the Advisory Panel of the International Association of Deposit Insurers. As a senior member of the Secretariat she contributed substantially to the formulation of the FSB’s overall strategy and policies to address threats to stability posed by systemically important financial institutions, including the development and implementation of the global standard on resolution (“Key Attributes of Effective Resolution Regimes”).

        Eva Hüpkes is a Doctor of Law and a member of the New York Bar. She studied at the Graduate Institute of International Studies and the University of Geneva, the University of Berne in Switzerland, at Georgetown University in Washington DC and at the University of Passau in Germany. She is a Member of the Committee on International Monetary Law of the International Law Association and a Lecturer in international financial regulation at the University of Zurich.

    • 11:00 - 12:00

      Recovery and resolution: the parable of the incentives

      As we design risk management strategies to deal with tail events, everyone agrees that it's crucial to ensure that incentives across the CCP ecosystem are aligned in a way that promotes financial stability -- including in extreme situations. What are the elements of this design? How do we ensure the market gets the certainty it needs and under what scenarios? While we have never reached the end of the modern waterfall, if ever we do -- what is the optimal strategy to maximise the probability of a successful resolution? At what point should the resolution authorities intervene? What impediments, both legal and operational, should we account for? How do we ensure incentives stay adequately aligned at times of crisis?


      Moderator
      • Diana
        Diana Chan Independent Director Euroclear SA/NV
      • Diana Chan

        Independent Director Euroclear SA/NV

        Diana Chan is an Independent Director of Euroclear SA/NV.  Prior to that, she was Chief Executive of European Central Counterparty Limited and European Central Counterparty N.V. (EuroCCP) from 2007 to 2018.  Since the start of pan-European equities CCP clearing in 2007, Diana has played an instrumental role in its transformation by advocating dynamic efficiency.  She built EuroCCP to become the largest equities CCP in Europe: by 2012, when competitive clearing was introduced through four-way interoperability, EuroCCP cleared over 50% of all equities trades.  When she left EuroCCP in 2018, it had become the most connected central counterparty for equities trades, with access to around 30 national stock exchanges and multilateral trading facilities where nearly 90% of equities trades are executed.

        From 2003 to 2015, Diana was an active member of various industry expert groups set up by the European Central Bank, European Commission and European Securities and Markets Authority to consult and advise on post-trade issues.

        Prior to 2007, Diana worked at Euroclear Operations Centre, JP Morgan, Bank of New York, and Citi. At these institutions, she had a variety of global and regional management roles in Europe, America and Asia, with responsibilities for strategy, market policy, product management, network management and financial control.

        Diana was born in The People’s Republic of China and is a graduate of the University of Hong Kong and Harvard Business School.

      Panellists
      • Robert
        Robert Steigerwald Senior Policy Advisor, Financial Markets Federal Reserve Bank of Chicago
      • Robert Steigerwald

        Senior Policy Advisor, Financial Markets Federal Reserve Bank of Chicago

        Robert Steigerwald is a senior policy advisor in the financial markets group at the Federal Reserve Bank of Chicago, where his work focuses upon public policy issues relating to financial market regulation and payment, clearing and settlement infrastructures.

        Steigerwald began his legal career with Kirkland & Ellis, an international law firm based in Chicago, where he represented clients including the Board of Trade of the City of Chicago, the Board of Trade Clearing Corporation and National Futures Association. He later served as legal counsel for a clearinghouse for foreign currency transactions and was instrumental in developing the global multicurrency settlement system for foreign exchange before joining the Chicago Fed in 2000.

        He currently represents the Federal Reserve Bank of Chicago as a member of the U.S. Commodity Futures Trading Commission’s Market Risk Advisory Committee and has participated in the work of the Over the Counter Derivatives Regulators’ Forum, an international forum for information sharing and regulatory cooperation among central banks, prudential supervisors and securities and markets regulators.

        Steigerwald is a graduate of the State University of New York at Stony Brook with a B.A. and University of San Francisco School of Law, J.D., cum laude.


      • Simon
        Simon Gleeson Partner Clifford Chance
      • Simon Gleeson

        Partner Clifford Chance

        Simon Gleeson joined Clifford Chance in 2007 as a partner in the firm's Financial Regulation group, where he specialises in financial markets law and regulation. He has advised Governments, regulators and public bodies as well as banks, investment firms, fund managers and other financial institutions on a wide range of regulatory issues., and has worked with regulators and governments around the world on the establishment of regulatory regimes.  He has been a member of the Financial Markets Law Committee, chairs the Institute of International Finance's Committee on Cross-Border Bank Resolution, has written numerous books and articles on financial regulation, and is the author of International Regulation of Banking and Bank Resolution and Crisis Management, both published by Oxford University Press. He was a visiting Professor at Edinburgh University and a visiting fellow of All Souls College Oxford.

      • Christopher S.
        Christopher S. Edmonds Global Head of Clearing and Risk Intercontinental Exchange
      • Christopher S. Edmonds

        Global Head of Clearing and Risk Intercontinental Exchange

        Chris Edmonds is the Global Head of Clearing & Risk at Intercontinental Exchange. In this role, Edmonds provides executive oversight for all six ICE clearing houses. These duties include regulatory engagement for clearing related matters, operational and risk management oversight and clearing member education. Edmonds was previously Senior Vice President of Financial Markets with responsibility for all client-facing activities for the fixed income, credit and commodities asset classes. Prior to that, Edmonds was President of ICE Clear Credit, ICE’s wholly-owned credit default swap clearing house. 

        Prior to joining ICE, Edmonds was CEO of the International Derivatives Exchange Group (IDCG) a clearing house for interest rate swaps. Prior to IDCG, Edmonds was the Chief Development Officer for ICAP Energy. Edmonds held a variety of positions at ICAP between 2002 and 2008, and at APB Energy between 1997 and 2002. 

        Edmonds earned a Bachelor of Arts degree in Political Science from the University of Alabama at Birmingham and is Series 3 and Series 30 licensed.

      • Richard
        Richard Metcalfe Head of Regulatory Affairs The World Federation of Exchanges
      • Richard Metcalfe

        Head of Regulatory Affairs The World Federation of Exchanges

        Richard Metcalfe is Head of Regulatory Affairs at the World Federation of Exchanges (WFE). Before taking up his WFE post in March 2018, he worked on MiFID implementation at the Markets Division of BNY Mellon in London. He also has extensive experience in wholesale financial services and policy issues, with particular emphasis on derivatives and central clearing; and on asset management. In addition to working at ISDA and the IA, he has worked for SWIFT. 

        Earlier in his career, he wrote for and edited various financial publications. He lives in London and studied languages at university.

    • 12:00 - 12:45

      Fireside chat


      Speakers
      • Nandini
        Nandini Sukumar Chief Executive Officer The World Federation of Exchanges
      • Nandini Sukumar

        Chief Executive Officer The World Federation of Exchanges

        Nandini Sukumar is the Chief Executive Officer of the World Federation of Exchanges, the global association for exchanges and CCPs. The WFE represents more than 250 exchanges and clearing houses globally, educating stakeholders on the vital role played by market infrastructures in the real economy and as a standard setter, finding the consensus on issues among the global membership. WFE exchanges are home to nearly 45,000 listed companies, the market capitalization of these entities is over $82.5 trillion and around $81.8 trillion in trading annually passes through the infrastructures that the WFE members safeguard. Ms. Sukumar is Vice Chair of IOSCO’s Affiliate Members Consultative Committee and Chair of the AMCC’s DLT Workstream.

        Ms. Sukumar has been CEO of the WFE since March 2015. Prior to this, she served as Acting Chief Executive Officer from November 2014, having been recruited by the WFE Board as Chief Administrative Officer in May 2014 to run the Federation on a daily basis and work with its global network of members as a proponent of the benefits of fair, orderly, public markets. Ms. Sukumar came to the WFE after a 14-year career at Bloomberg where she created, grew and ran their coverage of market structure, exchanges and UK regulation.


      • Tajinder
        Tajinder Singh Acting Secretary General IOSCO
      • Tajinder Singh

        Acting Secretary General IOSCO

        Tajinder Singh joined the IOSCO General Secretariat in January 2010 as Deputy Secretary General; since 26 February 2021 he is Acting Secretary General. Before joining IOSCO, Tajinder was head of International Affairs & Human Resource Development at the Securities and Exchange Board of India (SEBI), where he also served as advisor to the chairman. Tajinder was a member of the Indian Administrative Service (IAS) and held various positions in the Indian Government including in the Ministry of Finance. He has 30 years of experience in senior leadership positions at different organizations dedicated to regulation, finance, and administration.
        Tajinder has a Bachelor's degree in Electrical and Electronics Engineering from the Indian Institute of Technology, Kanpur and a Master's degree in Systems Science and Automation from the Indian Institute of Science, Bangalore.

    • 12:45 - 13:15

      Break: Next session will resume at 13:15

    • 13:15 - 14:00

      Intermediation networks and market liquidity: evidence from CDS markets

      Author(s): Mark Paddrik (Office of Financial Research, U.S. Department of Treasury) and Stathis Tompaidis (McCombs School of Business, University of Texas at Austin)

      Using supervisory data between 2010-16 for the OTC CDS market, the research empirically tests several predictions and evaluates how changes in intermediation networks are related to the liquidity of dealers and the market.


      Presenter
      • Mark
        Mark Paddrik, PhD Senior Research Economist, Office of Financial Research U.S. Department of the Treasury
      • Mark Paddrik, PhD

        Senior Research Economist, Office of Financial Research U.S. Department of the Treasury

        Mark Paddrik is a Senior Research Economist at the Office of Financial Research, U.S. Department of the Treasury. Mark’s research focuses on the microstructure of electronic and OTC markets, macroprudential stress testing, and central counterparties. 

        His research has been published in leading journals such as the American Economic Review, Management Science, and the Journal of Financial Stability, and been has been featured in the press, including the Financial Times, Wall Street Journal and Bloomberg. 

        He received a Ph.D. in Systems Engineering and a B.A. in Economics from the University of Virginia.

      Discussant
      • Christer
        Christer Rydberg Head of Risk Policy Singapore Exchange
      • Christer Rydberg

        Head of Risk Policy Singapore Exchange

        Prior to SGX, Christer was the Global Head of Financial Market Infrastructure Risk at HSBC, and Head of Quantitative Analytics at LCH-SwapClear. Before moving to the financial industry, Christer started and built his career in the semiconductor industry. He holds a PhD in Physics.

    • 14:00 - 14:45

      Keynote speech: Rent-Seeking Platforms


      Speaker
      • Rod
        Rod Garratt Maxwell C. and Mary Pellish Chair in Economics University of California, Santa Barbara
      • Rod Garratt

        Maxwell C. and Mary Pellish Chair in Economics University of California, Santa Barbara

        Rod Garratt holds the Maxwell C. and Mary Pellish Chair in Economics at the University of California, Santa Barbara. He has served as a Technical Advisor to the Bank for International Settlements, a Research Advisor to the central banks of Canada and England, and is a former Vice President of the Federal Reserve Bank of New York. 

        Garratt received his B.A. from the University of Waterloo and Ph.D. from Cornell University. His research areas include payments economics, monetary theory, financial network analysis and auctions. He has published in the top economics journals including Econometrica, the American Economic Review and the Journal of Political Economy. 

        He is an Associate Editor of the Journal of Financial Market Infrastructures, the Journal of Network Theory in Finance and Digital Finance.


  •  Mitigating risk in the system


    • 11:00 - 12:00

      Margin procyclicality or ecosystem fragilities?

      During the most challenging days of March 2020, we saw volatility spike to levels above those of the Global Financial Crisis and, as a consequence of that heightened risk, margin calls also peak. As analysis of these events progresses, it is clear the liquidity demands experienced can only be explained by looking at the complex set of interactions and interdependencies across the financial system as a whole. So -- is the procyclicality of margin models really the issue or should participants just be better prepared? What are the trade-offs involved in risk models? What would be the costs and benefits of less procyclical but less sensitive models? Are there other ways of contributing to remediate system-wide fragilities?


      Chair
      • Froukelien
        Froukelien Wendt Independent Member of the CCP Supervisory Committee The European Securities and Markets Authority (ESMA)
      • Froukelien Wendt

        Independent Member of the CCP Supervisory Committee The European Securities and Markets Authority (ESMA)

        Froukelien Wendt is an Independent Member of the CCP Supervisory Committee at the European Securities and Markets Authority (ESMA). In this role, she is responsible for the supervision of third country CCPs and convergence in the supervision of EU CCPs. Previously, she worked at the IMF and led missions in the area of CCPs, central securities depositories and payment systems in the context of IMF Financial Sector Assessment Program (FSAP) and Technical Assistance projects. She also worked at the World Bank as a Senior Securities Settlement Expert and at De Nederlandsche Bank, where she was responsible for oversight of payment and securities settlement systems, and CCPs. Froukelien started her career at Euronext N.V., where she worked in the strategy and cash market development departments. She holds a master in Economics from the RijksUniversiteit Groningen, and a master in Financial and Investment Analysis from the Universiteit van Amsterdam.

      Panellists
      • Pedro
        Pedro Gurrola-Perez Head of Research The World Federation of Exchanges
      • Pedro Gurrola-Perez

        Head of Research The World Federation of Exchanges

        Pedro joined the World Federation of Exchanges in October 2019 from the Bank of England, where he led the Financial Market Infrastructures Directorate’s Research Team. He had joined the Bank of England in 2013, after two years at the UK Financial Services Authority. Previously, Pedro spent more than 15 years lecturing and doing research at a range of well-regarded academic institutions, including the University of Barcelona and the Instituto Tecnológico Autónomo de México (ITAM).

        Pedro holds two PhDs: one from the University of Barcelona, Spain, and one from the University of Montpellier, France, and has published across key academic journals, including the Journal of Financial Market Infrastructures, the Journal of Risk, International Finance and the Journal of Futures Markets. His recent work includes research on the economics of distributed ledger technologies (DLT) for securities settlement, on the network structure of settlement fails and on market liquidity risk in CCPs. He has also published research on payment systems, back-testing methodologies and on the structure of interest rate futures markets. In 2007 he received the National Award on Derivatives Research, awarded by the Mexican Derivatives Exchange (MexDer).


      • Ananda
        Ananda Radhakrishnan Vice President, Bank Derivatives Policy American Bankers Association (ABA)
      • Ananda Radhakrishnan

        Vice President, Bank Derivatives Policy American Bankers Association (ABA)

        Ananda is Vice President, Center for Derivatives Policy at the American Bankers Association. In his role, his responsible for legal and advocacy support for sensible risk-based regulation of derivatives activity by banks of all sizes. He was previously a partner at a global law firm where he focused his practice on all matters relating to United States commodities and derivatives law and regulations.  

        Ananda served for 12 years at the Commodity Futures Trading Commission (CFTC). He was the founding Director of the CFTC’s Division of Clearing and Risk for 3 years after having served as the Director of the former Division of Clearing and Intermediary Oversight for 6 years. Ananda was instrumental in implementing key provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act. Specifically, Ananda drafted the statutory provisions that contain the core principles for derivatives clearing organizations, the regulations implementing the core principles, the clearing determinations issued by the CFTC, the regulations governing clearing member risk management, the regulations governing the investment of customer funds, the regulations mandating the straight-through-processing of swaps executed on futures exchanges and swap execution facilities, and the regulations enhancing the protection of customer funds. 

        During his tenure at the CFTC, Ananda testified twice before the United States Congress on clearing related matters and has made numerous presentations to foreign regulatory authorities and industry panel discussions on the CFTC's program for the oversight of clearing organizations and the protection of customer funds. He was also the CFTC's lead representative on the international body that set the standards for the supervision of financial market infrastructures. 

        Prior to joining the CFTC is 2002, Ananda worked for 7 years at the CME Clearing House division where he was responsible for strategic planning, business development, pricing and project management. 

        Ananda is licensed to practice law in the District of Columbia and the State of New York.  

      • Vicky
        Vicky Hsu Head of European Counterparty Risk BlackRock
      • Vicky Hsu

        Head of European Counterparty Risk BlackRock

        Vicky Hsu, Head of European Counterparty Risk, is a member of BlackRock's Risk and Quantitative Analysis (RQA) Group, responsible for Counterparty Risk Management within EMEA. As part of RQA's Counterparty Risk team, she is responsible for the identification, assessment and management of the firm's and its clients' counterparty credit risks.

    • 12:00 - 12:45

      A CBA of APC

      Authors: David Murphy (London School of Economics) and Nicholas Vause (Bank of England)

      The authors propose a cost measure that allows them to  perform a cost benefit analysis (‘CBA’) of the different antiprocyclicality  (APC) measures. To illustrate this, they  use a commonly-used type of initial margin model, filtered historical simulation value at risk, presenting the costs and benefits of applying a number of different APC mechanisms to this model, including those defined in in EU legislation.


      Presenter
      • Nicholas
        Nicholas Vause Advisor in the Financial Stability Directorate Bank of England
      • Nicholas Vause

        Advisor in the Financial Stability Directorate Bank of England

        Nicholas Vause is an advisor in the Financial Stability Directorate of the Bank of England, where he works on assessment of risks to the UK financial system and the design of policies to mitigate them.  He has a particular interest in derivatives and collateral.

      Discussant
      • Ron
        Ron Berndsen Independent Director of LCH Ltd. and LCH SA, and Professor of Financial Market Infrastructures Tilburg University
      • Ron Berndsen

        Independent Director of LCH Ltd. and LCH SA, and Professor of Financial Market Infrastructures Tilburg University

        Ron Berndsen is the senior independent director on the board of LCH Ltd and SA and he serves as chair of LCH Limited and LCH SA’s Risk Committees. He is also member of the Audit, Nomination and Operational Resilience Committees.

        Ron is Professor of Financial Market Infrastructures and Systemic Risk, Tilburg School of Economics and Management at Tilburg University, on a part-time basis. 

        He is editor-in-chief of the Journal of Financial Market Infrastructures and a member of the Advisory Council of the SWIFT Institute.

        Ron has held several high profile roles at De Nederlandsche Bank since 1992, in Economic and Monetary Policy, Head of Oversight of Payment and Securities Settlement Systems and most recently acting as Head of Market Infrastructures Policy.

        He has also served as a Member of the Committee on Payments and Market Infrastructures and the ECB’s Market Infrastructure Board. He co-chaired the FSB Group on Cross-Border Crisis Management for Financial Market Infrastructures.

        He was awarded a doctorate of Tilburg University in 1992 for his PhD thesis in the area of Economics and Artificial Intelligence.


    • 12:45 - 13:15

      Break: Next session will resume at 13:15

    • 13:15 - 14:00

      Systemic stress testing under central and non-central clearing

      Authors: Barbara Casu (Cass Business School, City, University of London), Elena Kalotychou (Cyprus University of Technology), and Petros Katsoulis ( Cass Business School, City, University of London),

      By developing a stress-testing network model of the largest market participants the authors compare defaults due to counterparty and liquidity risks and systemic losses in the regime with and without non-central clearing.


      Presenter
      • Petros
        Petros Katsoulis PhD Candidate in Finance The Business School (formerly Cass), City, University of London
      • Petros Katsoulis

        PhD Candidate in Finance The Business School (formerly Cass), City, University of London

        Petros Katsoulis is a PhD Candidate in Finance at The Business School (formerly Cass). His research interests lie in macroprudential regulation and financial stability, focusing on the empirical assessment of the contribution of financial institutions to systemic risk, by looking at their interactions with market-based finance. 

        During his studies he has worked as a PhD intern at the Central Bank of Ireland where he developed An Lonn Dubh, the Bank's macroprudential stress testing framework for investment funds, and conducted research on Irish exchange-traded funds. He has also interned at the Bank of England where he worked on the calibration of the price impact of asset sales from UK banks to improve the Bank's fire sale models, and conducted research on the effects of macroprudential regulation on the UK repo market.

      Discussant
      • Dr. Alicia
        Dr. Alicia Greenwood Chief Executive Officer, JSE Clear and Member of the Executive Board Johannesburg Stock Exchange (JSE)
      • Dr. Alicia Greenwood

        Chief Executive Officer, JSE Clear and Member of the Executive Board Johannesburg Stock Exchange (JSE)

        Alicia joined the JSE in February 2016, as Head of Post Trade Services. Alicia is responsible for risk management, clearing and settlement of central order book equity and bond transactions, and managing the Group’s derivatives clearing CCP, JSE Clear.

        Alicia’s business career spans more than 20 years working in management consulting, investment banking and capital markets. Her experience has been acquired in some of South Africa’s leading companies in these fields, including Accenture, Discovery and Standard Bank. Alicia has worked extensively in strategy, risk and capital management, both in South Africa and across numerous African countries. She has experience in portfolio optimisation and regulatory transformation, and has overseen large-scale business and IT projects, and joint ventures.

        Alicia holds a PhD from the University of Cape Town, having majored in Chemistry and Mathematics, and is published in various scientific journals.

    • 14:00 - 15:00

      How CCPs Can Manage Climate-Related Financial Risks

      Climate change, the world agrees, is a great and looming risk to the stability of the global financial system. It affects every facet of the economy and the health & survival of the human race. The role of financial market infrastructure is to enable systemic stability, manage risk and bring transparency to markets. So - what is the role of financial market infrastructure in managing climate-related financial risks? How can they diminish financial system stress and boost resilience? What kind of data can and should FMI’s provide to bring greater understanding of these risks? How can FMI’s provide practical solutions to the problems caused by climate change? How can they support the financial system in the transition to the net-zero economy? What kind of policy and regulatory levers need to be adopted, and in what time frame, for that to happen?


      Chair
      • Bob
        Bob Litterman Chairman of the Climate-Related Market Risk Subcommittee Commodity Futures Trading Commission (CFTC)
      • Bob Litterman

        Chairman of the Climate-Related Market Risk Subcommittee Commodity Futures Trading Commission (CFTC)

        Robert Litterman is a founding partner of Kepos Capital; a New York City based systematic global macro firm, and the Chairman of the Kepos Capital Risk Committee. Prior to joining Kepos Capital in 2010, Dr. Litterman enjoyed a 23-year career at Goldman Sachs & Co., where he served in research, risk management, investments and thought leadership roles. He oversaw the Quantitative Investment Strategies Group in the Asset Management division.

        While at Goldman, Dr. Litterman also spent six years as one of three external advisors to Singapore's Government Investment Corporation (GIC). Dr. Litterman was named a partner of Goldman Sachs in 1994 and became head of the firm-wide risk function; prior to that role, he was co-head of the Fixed Income Research and Model Development Group with Fischer Black. During his tenure at Goldman, Dr. Litterman researched and published a number of ground breaking papers in asset allocation and risk management. He is the co-developer of the Black-Litterman Global Asset Allocation Model, a key tool in investment management, and has co-authored books including The Practice of Risk Management and Modern Investment Management: An Equilibrium Approach (Wiley & Co.).

        Dr. Litterman earned a Ph.D. in Economics from the University of Minnesota and a B.S. in Human Biology from Stanford University. He was inducted into Risk Magazine's Risk Management Hall of Fame and named the 2013 Risk Manager of the Year by the Global Association of Risk Professionals. In 2012, he was the inaugural recipient of the S. Donald Sussman Fellowship at MIT's Sloan School of Management. In 2008, Mr. Litterman received the Nicholas Molodovsky Award from the CFA Institute Board as well as the International Association of Financial Engineers/SunGard Financial Engineer of the Year Award. Mr. Litterman serves on a number of boards, including Commonfund, where he was elected Chair in 2014, the Niskanen Center, Resources for the Future, Robert Wood Johnson Foundation, Ceres, World Wildlife Fund, the Sloan Foundation, the Woodwell Climate Research Center, and the Climate Leadership Council, where he serves as co-chair of the Board.  Dr. Litterman also chaired the CFTC Climate-Related Market Risk Subcommittee, which published its report, “Managing Climate Risk in the U.S. Financial System,” in September 2020.

      Panellists
      • Alessandro
        Alessandro Cocco Vice President and Head of Financial Markets Group Federal Reserve Bank of Chicago
      • Alessandro Cocco

        Vice President and Head of Financial Markets Group Federal Reserve Bank of Chicago

        Alessandro Cocco is Vice President at the Federal Reserve Bank of Chicago. He oversees the Financial Markets Group, a multidisciplinary team that analyzes public policy issues in global financial markets. The group’s research on financial market institutions, technology and infrastructure helps foster stable and efficient monetary, financial and payments systems. Cocco plays a key role in communicating the team’s findings to senior Federal Reserve officials, other regulators, industry leaders and the general public.

        Cocco brings 25 years of legal, financial services and leadership experience to this position. Most recently, he served as managing director and associate general counsel at J.P. Morgan Chase, where he managed a wide range of efforts related to financial services regulation, futures, swaps, clearing, financial technology, and compliance. He has wide-ranging international experience in financial markets and regulation in the U.S., Europe and Asia. Alessandro is qualified to practice law in the U.S., U.K. and Italy.

      • Pauline Engelberts

        Global Chief Operations Officer ABN Amro Clearing
      • Adrian
        Adrian Farnham Chief Executive Officer LME Clear
      • Adrian Farnham

        Chief Executive Officer LME Clear

        Mr Farnham joined Turquoise Global Holdings Ltd (LESG) in 2007 as chief operating officer and became chief executive officer in 2010. He was instrumental in the market launch of Turquoise, working with Cinnober Technology on the initial implementation of the platform. In 2011 he led the platform expansion into derivatives. Prior to Turquoise, Mr Farnham worked as an executive director of operations at Morgan Stanley for 13 years. In 2013 he was appointed as the Chief Operating Officer of LME Clear, overseeing the building and eventually the day to day running of LME Clear. 

        In January 2016 he was appointed as LME Clear’s Chief Executive.

  • Innovation & Risk. CCPs & Derivatives


    • 11:00 - 11:45

      Taking money off the table: suboptimal early exercises, risky arbitrage, and American put returns

      Authors: Kevin Aretz (Manchester Business School), Ian Garrett (Manchester Business School), Adnan Gazi (University of Liverpool)

      Many studies report that American option investors often exercise their positions suboptimally late. Yet, when that can happen in case of puts, there is an arbitrage opportunity in perfect markets, exploitable by longing the asset-and-riskfree-asset portfolio replicating the put and shorting the put. Using early exercise data, the paper analizes such  arbitrage strategies.


      Presenter
      • Adnan
        Adnan Gazi Assistant Professor of Finance University of Liverpool Management School
      • Adnan Gazi

        Assistant Professor of Finance University of Liverpool Management School

        Dr. Adnan Gazi is an Assistant Professor of Finance at the University of Liverpool Management School. His research interests broadly lie in the area of theoretical and empirical asset pricing, with a specific focus on financial derivatives, market mispricing, return predictability and investments.

      Discussant
      • Jon V.
        Jon V. Cherry President & Global Head of Options Northern Trust Securities, Inc.
      • Jon V. Cherry

        President & Global Head of Options Northern Trust Securities, Inc.

        Jon currently serves as President and Global Head of Options of Northern Trust Securities, Inc. Jon is responsible for sales, business development, trading, and leadership of Northern Trust’s Institutional Brokerage business.

        The Global Options business is an institutional brokerage service under Northern Trust Capital Markets and is a market leading provider of high touch trading and related services to institutional clients including Investment Managers, Family Offices, Hedge Funds, Foundations & Endowments, & Public Funds. 

        An industry veteran, Jon brings over 20 years' experience in the options market managing extremely large and complex client relationships, most often providing tailored advice and strategy. 

        Jon joined Northern Trust in November, 2015. Prior to joining Northern Trust, Jon ran his own trading group in Chicago, developing option strategies and trading for Banks, Hedge Funds, and Asset managers.


    • 11:45 - 12:45

      Innovation in CCP risk models

      During the first half of 2020, we saw risk factors move in unprecedented ways.  Oil prices turned negative, traditional correlations in Treasuries broke down, and  commodity spreads spiked. These events remind us of the importance of continuous innovation in risk modelling, including in model design and in model validation techniques.  What are the modelling  challenges arising from the extraordinary risk factor movements seen in 2020? What is the right balance between modelling these as part of the initial margin or as part of the default fund? Should  non-market risks be modelled as an intrinsic part of the IM model? How do  they fit in the context of the default waterfall? What new techniques are available for model validation?


      Chair
      • Pedro
        Pedro Gurrola-Perez Head of Research The World Federation of Exchanges
      • Pedro Gurrola-Perez

        Head of Research The World Federation of Exchanges

        Pedro joined the World Federation of Exchanges in October 2019 from the Bank of England, where he led the Financial Market Infrastructures Directorate’s Research Team. He had joined the Bank of England in 2013, after two years at the UK Financial Services Authority. Previously, Pedro spent more than 15 years lecturing and doing research at a range of well-regarded academic institutions, including the University of Barcelona and the Instituto Tecnológico Autónomo de México (ITAM).

        Pedro holds two PhDs: one from the University of Barcelona, Spain, and one from the University of Montpellier, France, and has published across key academic journals, including the Journal of Financial Market Infrastructures, the Journal of Risk, International Finance and the Journal of Futures Markets. His recent work includes research on the economics of distributed ledger technologies (DLT) for securities settlement, on the network structure of settlement fails and on market liquidity risk in CCPs. He has also published research on payment systems, back-testing methodologies and on the structure of interest rate futures markets. In 2007 he received the National Award on Derivatives Research, awarded by the Mexican Derivatives Exchange (MexDer).


      Panellists
      • Fernando
        Fernando Cerezetti Director of Risk Oversight ICE Clear Europe, Intercontinental Exchange
      • Fernando Cerezetti

        Director of Risk Oversight ICE Clear Europe, Intercontinental Exchange

        Fernando Cerezetti is a Director of Risk Oversight at ICE Clear Europe, part of Intercontinental Exchange (ICE). He currently chairs the Risk Committee of the European Association of CCP Clearing Houses (EACH). He holds a PhD in Statistics from University of São Paulo, with focus on Bayesian Statistics. Prior to joining ICE in 2018, he worked as Risk Advisor for the Risk, Research and CCP Policy division of the Bank of England. His research interests include risk management, financial market infrastructures, financial stability, and statistical hypothesis testing.

      • Travis
        Travis Nesmith Assistant Director and Section Chief, Quantitative Risk Analysis Federal Reserve Board
      • Travis Nesmith

        Assistant Director and Section Chief, Quantitative Risk Analysis Federal Reserve Board

        Travis Nesmith leads the Federal Reserve Board’s analysis of quantitative risk management at systemically important CCPs, focusing on margin and guaranty fund models, as well as liquidity management, across a wide range of financial markets, both securities and derivatives. He serves as a committee member for the supervision of financial market utilities, quantitative surveillance and financial stability, and interconnectedness risks respectively. In over 20 years at the Board, he has worked on a number of interagency and international groups including currently the Joint Working Group on Margin. Following representing the Board on the margin and collateral groups of the Principles for Financial Market Infrastructures, his work on related groups included: the FSB’s Derivatives Assessment Team; the CPMI-IOSCO’s technical experts’ work group on supervisory stress testing for CCPs and the working groups on Resiliency and recovery of central counterparties and Public quantitative disclosure standards for central counterparties; and the FSOC’s CCP Risk Working Group.

        He holds a PhD in economics from Washington University in St. Louis. His more recent research appears in the J. of Risk & Financial Management, J. of Monetary Economics, and Studies in Nonlinear Dynamics and Econometrics. He also is an Associate Editor of Macroeconomic Dynamics and the J. of Financial Market Infrastructures.

      • Wael
        Wael AlHazzani Chief Executive Officer Securities Clearing Center (Muqassa)
      • Wael AlHazzani

        Chief Executive Officer Securities Clearing Center (Muqassa)

        Wael carries a wealth of knowledge in the capital markets, risk management, clearing and settlement. Wael has occupied many leading positions within the Saudi Stock Exchange Company (Tadawul) which include heading the clearing and settlement function along with the Post-Trade Transformation Program.

        In May 2018, Tadawul announced the establishment of the Securities Clearing Center Company (Muqassa), in addition to the appointment of Mr. Wael Al-Hazani as the Chief Executive Officer by Muqassa Board of Directors. Wael is also a member of the Board of Directors of the Security Depository Center Company (Edaa).

        Wael holds a Master of Business Administration (MBA) Minor in Finance and a bachelor’s degree in Computer Science from King Saud University, Saudi Arabia.

      • Nicholas
        Nicholas Lincoln Group Head of Market & Liquidity Risk at LCH London Stock Exchange Group
      • Nicholas Lincoln

        Group Head of Market & Liquidity Risk at LCH London Stock Exchange Group

        Nicholas Lincoln is the Group Head of Market & Liquidity Risk at LCH. Before joining LCH in 2011, he was the Chief Risk Officer for EMEA at Newedge Group, part of the Société Générale, for nine years.

    • 12:45 - 13:15

      Break: Next session will resume at 13:15

    • 13:15 - 14:00

      Competition and manipulation in derivative contract markets

      Author: Anthony Lee Zhang, University of Chicago Booth School of Business

      This paper studies manipulation in cash-settled derivative contract markets. It defines two measures of manipulation-induced welfare losses, which can be estimated using commonly observed market data.


      Presenter
      • Anthony
        Anthony Lee Zhang Assistant Professor University of Chicago Booth School of Business
      • Anthony Lee Zhang

        Assistant Professor University of Chicago Booth School of Business

        Anthony Lee Zhang is an assistant professor of finance at the University Chicago Booth School of Business. His research covers topics such as financial derivatives, money markets, housing markets, bilateral bargaining, and the allocation of natural resource use rights.

      Discussant
      • Richard
        Richard Heckinger Contributing Editor, Central Banking Journal, Associate Editor, Journal of Financial Market Infrastructure and a Member, Editorial Advisory Board of the Global Commodities Applied Research Digest.
      • Richard Heckinger

        Contributing Editor, Central Banking Journal, Associate Editor, Journal of Financial Market Infrastructure and a Member, Editorial Advisory Board of the Global Commodities Applied Research Digest.

        Richard Heckinger retired in 2015 as Vice President and Senior Policy Advisor, Financial Markets Group, at the Federal Reserve Bank of Chicago, and served on the OTC Derivatives Regulators’ Forum, SWIFT, and the International Securities Services Association (ISSA). Presently, he is a Contributing Editor, Central Banking Journal, Associate Editor, Journal of Financial Market Infrastructure, and a Member, Editorial Advisory Board of the Global Commodities Applied Research Digest. He has a Master of Philosophy degree in Economics, London School of Economics, a B.A. degree in Mathematics from the Illinois State University, served in the U.S. Army (Infantry) and completed the Advanced Management Course at the University of Chicago.

    • 14:00 - 14:30

      Keynote speech: Still the World’s Safe Haven? Redesigning the U.S. Treasury Market After the COVID19 Crisis


      Speaker
      • Darrell
        Darrell Duffie Adams Distinguished Professor of Management and Professor of Finance Stanford University’s Graduate School of Business
      • Darrell Duffie

        Adams Distinguished Professor of Management and Professor of Finance Stanford University’s Graduate School of Business

        Darrell Duffie is the Adams Distinguished Professor of Management and Professor of Finance at Stanford University’s Graduate School of Business.  

        Duffie is a Fellow of the Econometric Society, a Research Fellow of the National Bureau of Economic Research, and a Fellow of the American Academy of Arts and Sciences. He was the 2009 president of the American Finance Association. From October 2008 to April 2018, Duffie was a member of the board of directors of Moody’s Corporation. He currently serves on the board of Dimensional Funds. From 2013-2017, Duffie chaired the Financial Stability Board’s Market Participants Group on Reference Rate Reform. 

        Duffie’s research focus is the design and regulation of financial markets. His recent books include How Big Banks Fail (Princeton University Press, 2010), Measuring Corporate Default Risk (Oxford University Press, 2011), Dark Markets (Princeton University Press, 2012), and Fragmenting Markets, Post-Crisis Bank Regulations and Financial Market Liquidity (de Gruyter, forthcoming).


    • 14:30 - 15:15

      Fireside chat


      Speakers
      • Sunil
        Sunil Cutinho President, Clearing & Post-Trade Services CME Group
      • Sunil Cutinho

        President, Clearing & Post-Trade Services CME Group

        Sunil Cutinho has served as President, Clearing & Post-Trade Services since 2014.

        Mr. Cutinho previously served as managing director, deputy head of Clearing and as managing director, Clearing Operations & Systems. In these roles, he was responsible for collaborating with the company’s clearing members and customers to develop clearing solutions for listed and OTC derivatives, including credit, interest rates and foreign exchange. Prior to joining CME Clearing, Mr. Cutinho served as a director of Enterprise Architecture in the Technology Division.

        Prior to joining the company in 2002, Mr. Cutinho gained more than 14 years of technology experience including various positions at CNA Insurance, Proxicom, VISA International and GDS.

        Mr. Cutinho holds a bachelor’s degree in electronics and telecommunication engineering from the University of Madras in Madras, India and an MBA from the University of Chicago Booth School of Business. He is a member of the distinguished Beta Gamma Sigma Honor Society.

      • Darrell
        Darrell Duffie Adams Distinguished Professor of Management and Professor of Finance Stanford University’s Graduate School of Business
      • Darrell Duffie

        Adams Distinguished Professor of Management and Professor of Finance Stanford University’s Graduate School of Business

        Darrell Duffie is the Adams Distinguished Professor of Management and Professor of Finance at Stanford University’s Graduate School of Business.  

        Duffie is a Fellow of the Econometric Society, a Research Fellow of the National Bureau of Economic Research, and a Fellow of the American Academy of Arts and Sciences. He was the 2009 president of the American Finance Association. From October 2008 to April 2018, Duffie was a member of the board of directors of Moody’s Corporation. He currently serves on the board of Dimensional Funds. From 2013-2017, Duffie chaired the Financial Stability Board’s Market Participants Group on Reference Rate Reform. 

        Duffie’s research focus is the design and regulation of financial markets. His recent books include How Big Banks Fail (Princeton University Press, 2010), Measuring Corporate Default Risk (Oxford University Press, 2011), Dark Markets (Princeton University Press, 2012), and Fragmenting Markets, Post-Crisis Bank Regulations and Financial Market Liquidity (de Gruyter, forthcoming).


    • 15:15 - 15:30

      Concluding Remarks and Announcing the Call for Papers WFE’s Clearing Conference 2022


      Speakers
      • Nandini
        Nandini Sukumar Chief Executive Officer The World Federation of Exchanges
      • Nandini Sukumar

        Chief Executive Officer The World Federation of Exchanges

        Nandini Sukumar is the Chief Executive Officer of the World Federation of Exchanges, the global association for exchanges and CCPs. The WFE represents more than 250 exchanges and clearing houses globally, educating stakeholders on the vital role played by market infrastructures in the real economy and as a standard setter, finding the consensus on issues among the global membership. WFE exchanges are home to nearly 45,000 listed companies, the market capitalization of these entities is over $82.5 trillion and around $81.8 trillion in trading annually passes through the infrastructures that the WFE members safeguard. Ms. Sukumar is Vice Chair of IOSCO’s Affiliate Members Consultative Committee and Chair of the AMCC’s DLT Workstream.

        Ms. Sukumar has been CEO of the WFE since March 2015. Prior to this, she served as Acting Chief Executive Officer from November 2014, having been recruited by the WFE Board as Chief Administrative Officer in May 2014 to run the Federation on a daily basis and work with its global network of members as a proponent of the benefits of fair, orderly, public markets. Ms. Sukumar came to the WFE after a 14-year career at Bloomberg where she created, grew and ran their coverage of market structure, exchanges and UK regulation.


      • Pedro
        Pedro Gurrola-Perez Head of Research The World Federation of Exchanges
      • Pedro Gurrola-Perez

        Head of Research The World Federation of Exchanges

        Pedro joined the World Federation of Exchanges in October 2019 from the Bank of England, where he led the Financial Market Infrastructures Directorate’s Research Team. He had joined the Bank of England in 2013, after two years at the UK Financial Services Authority. Previously, Pedro spent more than 15 years lecturing and doing research at a range of well-regarded academic institutions, including the University of Barcelona and the Instituto Tecnológico Autónomo de México (ITAM).

        Pedro holds two PhDs: one from the University of Barcelona, Spain, and one from the University of Montpellier, France, and has published across key academic journals, including the Journal of Financial Market Infrastructures, the Journal of Risk, International Finance and the Journal of Futures Markets. His recent work includes research on the economics of distributed ledger technologies (DLT) for securities settlement, on the network structure of settlement fails and on market liquidity risk in CCPs. He has also published research on payment systems, back-testing methodologies and on the structure of interest rate futures markets. In 2007 he received the National Award on Derivatives Research, awarded by the Mexican Derivatives Exchange (MexDer).