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09.00 - 10.30: Andrey Chirikhin: Managing Director, Head of CVA and CCR(IMM) Quantitative Analytics, RBS |  |
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Big Compute vs Big Data in Counterparty Risk Analysis
- Bullet points to follow soon
Break: 10.30 - 10.50
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10.50 - 11.40: Dmitry Pugachevsky: Director of Research, Quantifi | |
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Basel II and Basel III Counterparty Risk Capital Charges
- Basel II default capital charges
- Basel III CVA capital requirements
- Combined counterparty credit risk capital charges
- Portfolio strategies for managing capital requirements
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11.40 - 12.30 Hicham Lahlou: CEO & Co-Founder, Xcelerit | |
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Accelerating CCR Computations
- CCR algorithms, their structure, and implementation
- Impact of increased regulatory requirements on computational complexity
- How to easily achieve large performance gains
- Real-world case study from a tier-one investment bank
Lunch: 12.30 - 13.30
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13.30 - 15.00: Milena Imamovic-Tomasovic: Head of CVA, DVA and Funding Methodology, Deutsche Bank | |
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What is Next for CVA, DVA and FVA?
- Market evolution
- Resolved issues for CVA, DVA and FVA
- Open issues for CVA, DVA and FVA
- Accounting considerations
- Regulatory impact
- Future state?
Break: 15.00 - 15.15
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15.15 - 16.45: James McEwen: Executive Director, Fixed Income Quant Research, Nomura | |
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Basel 3 CVA VaR and CVA on illiquid credits using the Cross-Section Model for proxy CDS spreads
• The need for proxy CDS spreads
• Basel 3 CVA Volatility Charge
• Two models for proxy CDS spreads:
- The Intersection model
- The Cross-Section model
• Benefits of the Cross-Section model
- Practicality, Stability, Granularity, Monotonicity
• Calibration to market data
End of Conference