Quantech Conference | Apr 21-22, 2016 | London, UK

[Principe]

Quantech Conference | Apr 21-22, 2016 | London, UK


Event Website: http://quantechconference.com/

Join the growing number of financial institutions at QuanTech 2016: ABN AMRO, Aon Securities, Barclays, Bank for International Settlements, d-fine, Belfius Bank, Bloomberg, Brave New Coin, Citi Group, Clearmatics, CompatibL, Credit Suisse, European Bank for Reconstruction and Development, Fintech Circle, Global Valuation Ltd, Gruppo Intesa Sanpaolo, HSBC Bank, IBM, ING Bank, International Business Times, KBC Bank, London Stock Exchange, Markit, Maxeler Technologies, MoCaX Intelligence, NAG, Numerix, R3 CEV, Santander, Societe Generale, TriOptima, UBS, UniCredit, University College London, Wiley, Xcelerit... et al

In September-October 2015, almost 30 banks joined together in a project that seeks to upgrade the entire post-trade topic using the technology underlying "crypto currencies". This will allow for almost instantaneous payments and settlement and replace the complicated processes of existing payment and securities settlement with instantly distributed ledger technology which updates in real-time.

The growing interest in distributed ledgers should be of considerable interest to traders, quants and structurers, as it has the potential to change the trajectory of the post-crisis response to the derivatives market. Today, quants are busy incorporating into prices more and more XVA adjustments to take into account credit, funding and capital costs. As distributed ledgers allow real-time margin calls for collateralised deals and near-instant settlement, the margin period of risk is removed and the collateral account always matches the mark-to-market, effectively removing the need for credit XVA adjustments.

While this benefits trades in the dealer community (inter-bank, CCPs), corporates may have no CSA in place or cannot post collateral in real-time with zero thresholds. Further, capital and funding XVA adjustments is not mitigated by the blockchain technology. XVA adjustments are therefore still required, including sensitivities, with the vast computational resources needed for calculating them. In addition, the valuation of deals using distributed ledgers needs to be performed frequently in near real-time, requiring further compute resources.

There are two complementing ways to deal with this massive computational challenge: algorithmic optimization techniques to reduce mathematical complexity and employing big data and high performance computing (HPC) technology to further accelerate the computation.