Many fixed income managers employ derivative overlay strategies to help them manage multiple risk factors affecting their portfolios. While these overlay strategies can be very effective in reducing exposure to an unwanted risk, or in gaining exposure to a desired risk, they introduce additional risks into the overall risk picture.

For example, with the recent US government shutdown and debt ceiling debate, the treasury market, and hence the collateral and repo markets, experienced significant turbulence. These events caused credit default swaps on US debt to widen while yields on T-bills, the most common asset class pledged as collateral in the OTC derivatives space, rose by 30bps and triggered margin calls as collateral values declined. These events highlight the need for proactive stress testing across all potential risk factors including risks which affect the collateral accounts of derivative portfolios.

On November 20th, 2013 featured speaker Dennis Sadak, Director of Product Management at Numerix, discussed recent market events and their impact on investment portfolios and supporting collateral. He advocated a holistic approach to managing fixed income market risk and discussed the advantages of conducting historical and scenario stress testing across investment, derivative and collateral portfolios.

Mr. Sadak covered:

• Lessons learned from past financial crises

• Recent market events impacting fixed income portfolios

• Fixed income portfolio stress testing best practices

• Additional risks from derivative overlay strategies

  • Basis risk and collateral risk

• Case studies

  • Analyzing interest rate, credit, and FX risks

Featured Speakers:
Dennis Sadak, CFA, Director of Product Management, Numerix
Mr. Sadak is Director of Product Management for Numerix, overseeing risk analytics including stress testing, VaR, and market risk. Prior to Numerix, he held several positions at MetLife, a global insurance company, including Portfolio Management and Derivatives Trading. At MetLife, he implemented numerous derivatives overlay strategies for their General Account portfolio and built out pricing and risk analytics for active derivatives hedging of their Variable Annuity program. Mr. Sadak earned a dual degree in Mathematics and Finance from Rutgers University and is a CFA charter holder.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.