Thalesians Seminar (Canary Wharf) — Justin Chan — Forward Simulating Initial Margin with AAD
Channel: Thalesians
Date: 2018-07-23

FULL TITLE

Forward Simulating Initial Margin with AAD: Funding, Liquidity, and Capital

DATE AND TIME

Wednesday 27th June 2017 (Lecture: 7:30 p.m.)

VENUE

Marriot Hotel, Canary Wharf London, UK.

ABSTRACT

As bilateral initial margin is phasing into the market over the next few years, and it is estimated to exceed $300B globally, effective management and simulation of initial margin will be key in many aspects of managing funding, liquidity, and capital. We will explore where some of the quantitative challenges are, and how techniques such as adjoint algorithmic differentiation (AAD) can help:

• The key role of initial margin in funding, liquidity, and capital management

• Employing algorithmic differentiation to calculate forward portfolio sensitivities

• Simulating initial margins with AAD – bilateral and CCP initial margins

• Other related novel uses of algorithmic differentiation

SPEAKER

Justin Chan has over 8 years of experience in financial risk management and capital markets. Mr. Chan has a deep focus on quantitative modelling and financial engineering, and provides his quantitative expertise to FIS’s clients, as well as strategic steering to software development. Prior to FIS, Mr. Chan worked at Manulife Financial as a manager in corporate risk management.

Mr. Chan studied engineering science (BASc), and theoretical physics (MSc) at University of Toronto, where he also holds a Master of Mathematical Finance (MMF) degree.