Real-time Risk: How Practical Is It, and Is It Worth Striving For?
On-demand webinar with Risk.net
In the over-the-counter capital markets, Chief Risk Officers, traders and risk teams in the front and middle offices have the complex task of identifying, managing and reporting on risks across their firms amid fast-moving markets. In previous decades, they managed on overnight risk reports but, in today’s environment, it is imperative they act at the speed of markets and understand the true costs of trading.
Given the complexity of the calculations and the need for real-time decision-making for trading and hedging, how can practitioners obtain and utilize real-time risk insights? And how feasible is real-time risk management in practice?
A panel of experts discuss the ramifications of real-time risk metrics and real-time risk management:
- What exactly is real-time risk as it applies to risk metrics and risk mitigation practices?
- How the concept of real-time risk applies differently to market risk versus counterparty credit risk
- Which risk measures make sense to calculate in real-time, and which don’t? How can they be utilized in a practical way?
- Basel III endgame rules require calculating market risk and credit valuation adjustment (CVA) capital in the near future. The standardized approach to CVA (SA-CVA), in particular, is a challenging calculation to run – how important (and practical) is it to calculate and utilize SA-CVA in real time.
- To get faster calculations, approximations are sometimes necessary. When is this acceptable, and when is it not?
This webinar offers insights for leaders and practitioners in OTC trading, market risk, counterparty credit risk, XVA and regulatory capital roles who manage risk of various types in today’s complex and fast-moving OTC markets.
Featured Speakers
Mayank Nanda
Mayank is Global Head of Risk Analytics and Product Management at Numerix, where he leads the market risk and counterparty credit risk teams to deliver best-in-breed analytics for clients. In his previous roles at Numerix, he spearheaded the development of the firm's regulatory modules as a product manager, covering FRTB and SIMM, in addition to working in financial engineering and model validation roles.
Mayank holds a Master’s degree in Mathematical Finance from Rutgers University and a Bachelor’s degree in Computer Science from the University of Michigan. He also has a Financial Risk Manager (FRM) certification from the Global Association of Risk Professionals (GARP).
Abraham M. Izquierdo
Abraham’s educational background comprises the GARP Financial Risk Manager certification, the Moody’s Commercial Credit certificate, a PLD program from Harvard Business School, but also, an MSc in risk, MSc in finance, and the financial management MBA from one of the most prestigious universities in Mexico, better known as ITAM. He is also a Cornell Johnson School of Business and Queens Smith School of Business MBA.
Currently, Abraham is the head of financial risk management at Grupo Financiero Banorte, where he has under authority the balance sheet oversight and modelling, including hedging strategies, policy compliance and interest rate risk management. In a similar fashion, he is in charge of the liquidity risk framework and the proper implementation of the Basel III directive. Abraham M Izquierdo is also responsible for Grupo Financiero Banorte’s capital management, allocation, optimization and surveillance (including CET1, CAR, Stress Testing and ICAAP). In the trading book sideline, he is the head for market and counterparty risks, including the valuation and implementation of financial products and derivatives. He has also been in charge of the XVAs framework and Derivatives Committee introduction at Banorte.
As of now, two relevant initiatives he is leading at Grupo Financiero Banorte are: the Basel IV and LIBOR/TIIE transition implementation.
Abraham is an active member of Banorte’s risk committee, north region credit committee, and assets and liabilities committee. He is also the secretary of Banorte’s derivatives committee and president of Banorte’s investment services committee.
He has particular interest and expertise in the following topics: asset and liability management, corporate finance, M&A, financial products and markets, credit portfolios and markets, derivatives and investments, capital management, allocation and optimization, balance sheet modelling, oversight and hedging, liquidity management and transfer pricing practices, market and counterparty risks, including XVAs.
Connor Campbell-Coleman
Joining the industry in 2007 Connor has spent the bulk of his career on the receiving end of XVA as a structurer building derivative solutions for corporate and institutional clients.
After a brief time working to establish Lloyds Bank ring fenced trading capabilities he moved to Lloyds Treasury function to manage structural IR risks in 2019.
In early 2022 he took up his current role managing XVA and collateral across Lloyds Banking Group, arguably a poacher turned gamekeeper.
Victor Mofokeng
Victor is currently the Head of Structuring at RMB a division of First Rand Group. Victor spent first 8 years of his career in various quantitative analysis roles and in credit/market risks space. Since 2010 he has been involved in the build out of XVA desks in broader Africa, he has more recently has rolled out transformational XVA desks in 10 subsidiaries for a diversified African financial services group. Victor’s responsibilities include amongst other things the build of XVA technology stack and implementation of new VAs in Absa group.
Sakshi Sharma
Based in New York City, Sakshi Sharma has more than 12 years of multi-platform journalism experience as a financial news editor and reporter. She has worked at global news organisations in New York, London and Mumbai. Over the past 10 years, Sakshi has specialised in infrastructure and energy finance news across the Americas, with a deep understanding of financial markets, project finance, asset management, institutional investors, capital markets, and various debt and equity instruments. She has also reported on financial news and authored detailed features for global infrastructure and finance titles, in addition to serving as a consulting voice on content strategy, ideation and creation.
In her current role, Sakshi partners with leading financial and technology industry leaders to craft compelling thought-leadership content.
