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In this landmark episode of Ahead of the Curve, John Pucciarelli is joined by Stuart Smith, Co-Head of Business Development. This is Acadia’s first episode under the new LSEG Post Trade Solutions name and the podcast tackles key areas of the transition from ISDA SIMM 2.6 to 2.7, including notable changes, impacts and tips for firms making the giant leap. Amid the volatile global landscape, Stuart breaks down how the model and the reduction in SIMM across the industry raises both concerns and opportunities. Packed with a range of thought-provoking insights, this episode will be very useful for firms who will be adapting to the recalibrated model.
Listen time: 22 mins
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Join our host Scott Sobolewski as he interviews Roland Stamm, Partner within Acadia’s Quantitative Services division on the important topic of model validation both for ISDA SIMM and complex internal models. Roland stresses the importance of model governance and how it is crucial for firms to be able to prove to regulators that their model is fit for purpose. Packed with sound advice and insights, this podcast is a must for firms that are embarking on backtesting and benchmarking projects.
Listen time: <25 min -
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In this latest episode of Ahead of the Curve, our host Scott Sobolewski chats with James Mac Hale – Head of Acadia Market Data about the monumental task of creating a centralised market data library of over fifty thousand different types of daily curve inputs as part of the Acadia hosted service to support firms in their risk and pricing calculations. The podcast provides tips and advice for firms that are using or thinking of using the Open-Source Risk Engine (ORE) and highlights the importance of putting in the time and effort into planning the inputs into your risk engine to reap automation benefits down the line.
Listen time: 25 minutes -
Scott O’Malia, CEO at ISDA returns for a ‘threepeat’, his 3rd time on the podcast. He joins John Pucciarelli, Head of Industry Engagement at Acadia for a special 30th episode of Ahead of the Curve. Their discussion ranges from the benefits and adoption of the Common Domain Model (CDM) across the industry, reflections on the advocacy and impact of the latest capital reforms including Basel III end game. Scott and John also discuss the latest regions to adopt Uncleared Margin Rules in 2024, and the role that ISDA plays in ensuring industry standards are maintained globally. The interview ends with Scott’s views on geopolitical risk and its potential impacts on the OTC derivatives market– it is a podcast not to be missed!
Listen time: 30 minutes
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In this episode of Ahead of the Curve, John Pucciarelli – Head of Industry Engagement and Stuart Smith, Co-Head of Business Development discuss the paper issued by the Basel Committee on Banking Supervison (BCBS) on the Proposed Guidelines for Counterparty Credit Risk Management. They provide an insight into the guidelines and share their perspectives on the why the regulators felt more stringent controls are required in the wake of the Archegos default.
Listen time 25 mins
The paper referred to can be found here:
Guidelines for counterparty credit risk management (bis.org)
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Join our host Roland Stamm, Partner at Acadia’s Quantitative Services team alongside his colleague Joey O’Brien (Senior Consultant) as they explore the topic of Backtesting of Future Risk Factors. This discussion is inspired by a recent client engagement, focusing on the utilization of the Open-Source Risk Engine (ORE) library within a counterparty credit risk framework and the process of validating exposure simulation models. The whitepaper discussed can be found here (https://www.acadia.inc/insight/backtesting-of-future-risk-factors-march-2024-an-open-source-approach-to-validation-case-study) for more details.
The conversation shifts to the broader regulatory landscape, touching on recent developments from the Bank of England and the increased scrutiny following high-profile defaults like Credit Suisse in 2022 and Archegos. They discuss the implications of Basel III and FRTB on standardized model and how ORE is placed to aid in this challenge, alongside the cost benefits of using open-source software within the Internal Models Method (IMM).
Listen time: 20 mins -
Our host Devin Cook is joined by Alexis David, both Senior Consultants within Acadia’s Quantitative Services team. They discuss the merits of Open-Source Risk Engine (ORE) and explain the myriad of resources available to assist in implementing the software. They share nuggets of information which will be useful to anybody that wanting to use ORE for the first time, or looking to expand their knowledge to understand its latest capabilities.
Listen time: 21 mins -
Eric Ehlers, Principal Consultant at Acadia makes his debut hosting Ahead of the Curve podcast alongside his colleague Zeyu (Jerry) Shen.
They share their expertise in explaining how to speed up crucial processing time for running complex calculations in Open-Source Risk Engine (ORE) by utilizing GPGPU (General purpose computing on graphics processing units).
The tutorial mentioned in the podcast will soon be available on the official ORE repo:https://github.com/opensourcerisk/engine
In the meantime you can find the tutorial here:
https://github.com/eehlers/Engine/blob/tutorials/tutorials_index.md
Listen time: 11 mins -
Join our host Stuart Smith, Co-Head of Business Development and Scott Sobolewski, Co-Head of Quantitative Services as they discuss the merits of using open-source software.
Reviewing the incredible journey of Linux supported by Red Hat and comparing this to Open-Source Risk Engine (ORE), the Acadia-sponsored derivatives risk management and pricing software which is freely available and being utilized by over 150+ firms in the industry today.
Scott shares some use cases of ORE and explains the power and extendibility of the software and how it is shaping the future of risk management.
Listen time: 17 mins -
John Pucciarelli, Head of Industry and Regulatory Strategy and Stuart Smith, Co-Head of Business Development at Acadia sit down to discuss the regulatory outlook for 2024. The pair dig into a 10 year look-back on SIMM and moving forward with the model, an update on Basel III Endgame and what the FINRA 4210 rule means for the US and wider market.
Listen now to understand the implications of the regulations and what needs to be done to get ready.
Listen time: 27 minutes -
John Pucciarelli, Head of Industry and Regulatory Strategy and Stuart Smith, Co-Head of Business Development at Acadia spend time in the studio discussing the potential impact of Basel III on banks and the broader macro economy. An honest, open discussion filled with clear examples provides an insight into the implications of the new Basel regulatory recommendations. A thoroughly informative and enjoyable listen.
Listen time: 26 mins
Produced and recorded at the Lansons studio. -
In Episode 20 of Ahead of the Curve, Will Thomey and Richard Barton from Acadia discuss the merits of improving efficiency and fully automating the settlement of collateral. The launch of Settlement Manager has spurred the ability for firms to access a unique, controlled, and robust settlement process that immediately settles collateral once a transfer has been agreed. Will and Richard also explore how the industry could pivot towards improved settlement netting and tokenization – further removing friction and cost.
Listen time: 16 mins
Produced and recorded at the Lansons studio. -
Join the Acadia team (John Pucciarelli - Head of Industry & Regulatory Strategy, Stuart Smith - Co-head of Business Development, Scott Sobolewski - Co-head of Quantitative Services and Jacob Ullman - Business Development) as they discuss the PRA review of ISDA SIMM™ and the subsequent changes that ISDA has recommended . The team shares an on the ground view of the use of SIMM and how the industry is dealing with the new recalibration cycles and asks if the industry was ready for this change.
Recorded and produced by Lansons at the Lansons studios. -
In this episode Scott Sobolewski, Partner - Quantitative Services, discusses the Open Source Risk Engine (ORE), a powerful and versatile tool for pricing and risk modeling of financial derivatives. ORE is available for free and is already being used by a number of financial institutions to support their risk management and regulatory compliance activities.
Listen now to discover the recently expanded functionality and how firms are extending the software for individual use cases.
Listen time:13 mins
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In Episode 19 of Ahead of the Curve, Will Thomey and Richard Barton from Acadia discuss the merits of improving efficiency and fully automating the settlement of collateral. The launch of Settlement Manager has spurred the ability for firms to access a unique, controlled, and robust settlement process that immediately settles collateral once a transfer has been agreed. Will and Richard also explore how the industry could pivot towards improved settlement netting and tokenization – further removing friction and cost.
Listen time: 16 mins
Recorded and produced by Lansons. -
In Episode 17 of Ahead of the Curve, Scott Sobolewski, Partner at Acadia’s Quantitative Expert Services team discusses why more and more crypto currency firms are looking to become regulated entities and the steps required to achieve this. A must listen for any Crypto firm that wants to carve out its niche in the market.
Listen time 12 mins -
Join Chris Walsh, CEO at Acadia as he discusses how the OTC Derivatives industry is mainstreaming UMR compliance and starting to move towards optimizing their performance. Chris shares his insights on how the industry is adapting to a more holistic approach to risk, margin and collateral -coining the phrase Optimal Margin Management.
Recorded and produced by Lansons
Listen time – 13 minutes
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In this episode we speak to Acadia’s Donal Gallagher Head of Quant Services, Stuart Smith, Co-head of Business Development for Risk & Data and Jake Ullman, Business Analyst as they discuss the reasons for the huge success of Acadia’s risk sensitivities service – IM Risk Generator. Impressively vast market data libraries, award winning technology and integration with firm’s margin systems has led to over half of all Phase 5 & 6 firms that are under Uncleared Margin Rules to utilize the service.
Listen time: 25 mins
Recorded and produced by Lansons. -
Episode 14 of Ahead of the Curve welcomes back Scott O’Malia, CEO of the International Swaps & Derivatives Association (ISDA). In a friendly, relaxed and truly enjoyable conversation with Acadia’s John Pucciarelli, Scott discusses some of the trending topics that emerged from ISDA’s AGM in May 2022 including Crypto and ESG, as well as providing insight into the final phase of Uncleared Margin Rules (UMR). Scott shares ISDA’s honest and open perspectives on the Bank of England’s PRA letter regarding the model governance of SIMM and some of the analysis undertaken.
Listen time: 34 mins
Recorded and produced by Lansons -
In this episode of Ahead of the Curve, Will Thomey, Co-head Business Development at Acadia together with Lis Hadingham, Business Development Director at Transcend discuss some of the challenges facing collateral receivers in light of regulations like Uncleared Margin Rules and more broadly the impact of the current macro-economic environment. They shed light on how firms are addressing the complexity of validating collateral posted on their behalf in custody accounts through better technology and smarter workflow.
Listen time 18 mins
Recorded and Produced by Lansons
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