Marc Henrard will present a seminar at
which will take place from Monday 2 November to Friday 6 November 2020. The agenda of the conference can be found on the organizer web site:
Marc's talk will take place on Wednesday 4 November at 9h00 am and will be titled CCP Discounting Big-Bang: The irony in the derivatives forwarding.
- Collateral and discounting big-bang process
- Valuation impacts: theoretical clean process
- Valuation impacts: practical dirty process
- Convexity adjustments: forwarding big bang
The proprietary research underlying the presentation is detailed in a paper that has been published in Risk.Net: CCP discounting big bang: convexity adjustment.