L’ESILV accueillait Antoine Savine, expert en Mathématiques appliquées à la Finance, ex Global Head of Quantitative Research à la BNP-Paribas, pour une conférence sur le thème « A brief history of discounting » le 26 septembre 2014, de 17h à 20h, en Amphi C, sur le campus du Pôle universitaire Léonard de Vinci.
Abstract de la conférence
We review the best practices for discounting cash flows and constructing term structures of interest rates in investment banks. We show how the 1998 Asian crisis turned what used to be a simple bootstrap exercise into a heavier machinery involving multiple curves to account for material and fast moving basis swaps and cross currency swaps. Then the Global Financial Crisis of 2008 forced another reboot of discounting methodologies, where collateralized transactions are discounted with reference to collateral, while uncollateralized ones are subject to credit and funding value adjustments (CVA and FVA). While focusing on the recent history of discounting practices, we also comment on the evolution of the quant metier in investment banks.
