Time: 9.00am - 4:00pm
Venue: R405, 4th floor Lionel Robbins Building, LSE campus. Click here for a map.
Tutors: Priyanka Malhotra (Bank of England) and Pedro Gurrola (Bank of England).
Registration is now closed.
This masterclass will provide an overview of the current risk management issues in central counterparty clearing. The course will start with an introduction to the clearing process and central counterparties (CCPs) and then delve into the finer points and challenges encountered both conceptually and in practise. The course will cover the following topics: solvency and liquidity requirements, stress testing, margining methodologies, intra-day margin erosion, concentration risk, collateral management, defaulter pays versus mutualised models and recovery plans. The course will seek to engage participants in also providing their perspective and views on how to address potential risk management challenges that exist in the central clearing process today.
Priyanka Malhotra has worked at the FSA since 2009 and transferred to the Bank of England in April 2013. Since April 2014, she is responsible for supervising HSBC’s capital and liquidity adequacy. Prior to that and until February 2012, she was responsible for the supervision of all CCPs operating in the UK. Priyanka has also worked on capital and liquidity for UK banks and the Euro-zone crisis management for UK banks. Before she joined the FSA, Priyanka worked as a European credit strategist at JP Morgan from 2006-2009 and the IMF from 2003-2005. She has a Bachelor’s in Economics from Harvard University and a Masters in Economics from the London School of Economics.
Pedro Gurrola worked as a technical specialist in the CCP supervision team at the FSA before moving to the Bank of England, where he currently works as a risk specialist in the Markets Infrastructure Division. Pedro holds a PhD in Mathematics from the University of Montpellier (France) and a Master in Financial Mathematics from the Universidad Autonoma de Barcelona (Spain). He has extensive academic experience, including positions as Senior Lecturer in Financial Mathematics at the European Business School (London) and as a Finance Professor at ITAM (Mexico City). His research interests include financial modelling, risk measures and interest rate derivatives. He has published in various academic journals, including the Journal of Futures Markets, International Finance and the Journal of Risk. In 2007 he obtained the National Derivatives Research prize, awarded by the Mexican Derivatives Exchange.
The SRC Masterclass Series is taught at a level appropriate to postgraduate research students.For any enquiries please email src@lse.ac.uk
The support of the Economic and Social Research Council (ESRC) is gratefully received [grant number ES/K002309/1].
