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There was very interesting and thought provoking content at this year’s conference, with many interesting sessions but too many to catch. Here are a few noticeable themes from the event as well as some interesting topic areas. The continual debate about FVA - It was quite interesting to hear John Hull lead a session following up his much talked about 2012 paper on funding value adjustments, titled

The word "model" is used a lot in quantitative finance. We routinely say "the Black-Scholes model" or "the SABR model" and so on. At thefreedictionary.com/model I see a list of 8 definitions of the word model, covering a variety of contexts from model railways to individuals on catwalks who could use a few square meals. The relevant entry for our purposes is: A schematic description of a system

Last week marked more bad news for the swaps market. The CFTC announced— to much objection from brokers, traders and clearing-houses alike—that Treasuries will no longer be considered feasible collateral for potential defaults, and instead they will need to be supported with additional credit lines. Swaps have already taken a beating against futures contracts which in definition appear nearly

European derivatives trading will soon have to cope with more stringent reporting requirements as a result of a decision that was recently made by the European Commission. The European Securities Markets Authority previously asked that the EC push back the adoption of new reporting requirements until 2015, according to Reuters. These rules would affect derivatives securities transacted through

Data released on the first week after the official launch of trading via Swap Execution Facilities (SEF) showed that trading was substantial at a volume of 6,500 swaps, which initially averaged 1200 trades daily. While market share leaders including Bloomberg (which led at 84% for FX derivatives), and ICAP (which led with 70% market share for interest rate swaps) enjoyed a profitable week, many