PRE-CONFERENCE WORKSHOP 2: Central Clearing and Central Counterparties

Speaker: Marco Avellaneda, Professor Of Mathematics, Courant Institute, NEW YORK UNIVERSITY

8:30 Registration and breakfast

9:00 What is a CCP and what is it good for? Case studies:

  • OCC
  • CME
  • BM&F Bovespa
  • ICE

10:30 Morning coffee break

11:00 CCPs In the post-Lehman environment - Derivatives

  • Differences between listed and OTC Clearing & risk management
  • Credit Default Swaps
  • Interest rate swaps
  • The risk waterfall for CCP: Initial Margin and Guarantee Fund

12:30 Lunch

1:30 Transparency in OTC trading

  • Transparency in credit derivatives markets
  • Transparency in interest derivatives
  • Transparency in Equity derivatives

Can all derivatives be centrally cleared?

  • Generic, or standardized, versus customized
  • IR Swaptions as a case study.

3:00 Afternoon coffee break

3:30 IOSCO 2012/ EMIR and specific issues related to OTC clearing with focus on liquidity and default management

  • Overview of the IOSCO principles and how they are implemented
  • Sizing of Guarantee Fund and CCP House Fund
  • Open problems and issues

5:00 End of workshop

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