Filippo Macaluso
Head of Market Risk Model Validation, Standard Chartered Bank
Filippo Macaluso heads Market Risk Model Validation at Standard Chartered. Before he was at HSBC and State Street holding quantitative roles in model validation. Filippo is also a lecturer at University of Florence where he teaches an introductory Machine Learning class with applications to Finance. He holds a BSc in Economics from University of Pisa and a MSc in Statistics from University of Florence.
All Sessions by Filippo Macaluso
09:40 - 10:25
PANEL DISCUSSION: MARKET INSTABILITY – THE NEW NORMAL?
Managing pricing, funding and bond issuance in an era of persistent volatility
- Examining recent experiences with bond issuance and volatility across European markets, including regional impacts from geopolitical tensions
- Assessing the effects of tariffs and macroeconomic shifts on funding strategies and treasury operations
- Preparing balance sheets and liquidity positions to withstand market shocks and funding disruptions
- Pricing and modeling assets effectively – incorporating FTP and liquidity cost curve considerations
- Utilizing hedging strategies and structured products to manage interest rate risk, volatility, and funding costs
13:45 - 14:20
HEDGING STRATEGIES
Session: Developing hedging strategies to ensure continuous funding and mitigate interest and market risk
- Using effective hedging strategies to lock in margins during periods of enhanced interest rate risk
- Creating evolving hedging strategies that shift with the changing geopolitical environment and yield curve
- Comparing the pros and cons of using dynamic vs programmatic hedging strategies
- Implementing effecting governance and controls for improved hedging strategies