 |
Day 1: Counterparty Risk & Credit Modelling |  |
|
 |
 |
Presenters: Damiano Brigo: Managing Director, FitchSolutions
Massimo Morini: Head of Credit Models, Banca IMI
Part I: Counterparty Risk
- Counterparty risk valuation in general
- Impact of dynamics, volatilities and correlation on the credit valuation adjustments (CVA)
- Three examples: Interest rates, Commodities and CDS
Part II: Credit Modeling Pre- and In-Crisis
- Studying default cases with Realistic Structural Models
- Application to multi name products and contagion
- The relation between equity and credit implied by realistic structural models
- Application to EDS and counterparty risk in equity
- Intensity modelling with credit spread volatility and jumps
- How sudden default will be?
- Gap risk in Credit linked Notes
- Default dependence modelling
- How the static Gaussian Copula model missed the risk of losses concentrated in time
- How flat correlation missed the link between skew and systemic risk
- How mapping missed the role of dispersion in skew dynamics
- Solutions in practice: making correlation a function of seniority and dispersion based mapping
- Probability of a financial armageddon implied in CDX and i-Traxx markets
- How it evolved in the crisis
- The implication on Credit Market Models and the pricing of index options
- Counterparty and liquidity risk in Libor during the credit crunch
- Credit convexity adjustments for new term structure relations
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Day 1: Counterparty Risk & Credit Modelling | Day 2: Credit Valuation Adjustment | Day 3: Stress Testing & Modelling | Details: | download pdf
|
Day 2: Credit Valuation Adjustment | |
|
|
|
09.00 – 10.30: Pricing and Hedging Counterparty Credit Risk
Presenter: Peter Whitehead, Head of Methodology and Models for Global Rates, Global Finance and Global FX, Deutsche Bank
- CVA as the price of counterparty credit risk
- Methodologies for calculating CVA
- CVA on IR and cross currency swaps
- Hedging CVA
- CVA management
- Regulatory expectations and accounting requirements
10.30 - 11.00 Break
11.00 - 12.30: Why Counterparty Risk Managers must talk to Market Risk Managers
Presenter: Jerome Brun: Head of Model Validation, Societe Generale
- Issuer risk vs. counterparty risk
- Mitigating counterparty risk: margin calls and clearing houses
- Traditional measures: Credit VaR and Expected Positive Exposure
- Wrong way risk and dynamic hedge : CVA is the answer
12.30 – 13.30 Lunch
13.30 – 17.00: Counterparty Credit Risk
Presenters: Joao Garcia: Head of the Credit Modelling Team, Treasury and Financial Markets, Dexia & Serge Goossens: Senior Quantitative Analyst, Treasury and Financial Markets, Dexia
- OTC derivatives and counterparty risk
- contract level vs. counterparty level and netting
- credit or market risk: actuarial or risk neutral exposure
- counterparty risk and the credit crunch
- Bilateral counterparty risk and liability CVA
- CVA on a credit default swap
- wrong way and correlation
- Monoliner failure
- Central clearing?
15.00 – 15.30 Break
Day 1: Counterparty Risk & Credit Modelling | Day 2: Credit Valuation Adjustment | Day 3: Stress Testing & Modelling | Details: | download pdf
|
Day 3: Stress Testing & Modelling | |
|
|
|
09.00 – 12.30: Stress Testing and Scenario Analysis for Credit Risk
Presenters: Christoph Konvicka: Head of Credit Analytics Group, Matthias Baron: Senior Quantitative Analyst & Wolfgang Putschoegl: Senior Quantitative Analyst, Unicredit Bank Austria
- Regulatory framework
- Stress testing methods
- Macroeconomic scenario generation for stress events
- Dependency model: Transformation of macro scenarios into P&L impact
- Integration of credit and market risk stress tests
- Case study
10.30 - 11.00 Break
12.30 - 13.30 Lunch
13.30 - 15.00: A Spot Stochastic Recovery Extension of the Gaussian Copula
Presenter: Norddine Bennani: Head of Credit Derivatives Quantitative Research, Barclays Capital
- Spot Stochastic Recovery Modelling
- Spot Recovery vs. Recovery-to-Maturity
- Time Consistency and Default Risk
- A Specific Form for the Spot Recovery
15.00 - 15.15 Break
15.15 - 16.45: Economic Capital for Counterparty Risk
Presenter: Colin Burke: Head of Group Wholesale Portfolio Management, Group Risk, Lloyds Banking Group
- What makes economic capital different for derivatives?
- Conventional approaches for calculating capital
- Exploring alternative correlation sources
- Alternative modelling approaches
Day 1: Counterparty Risk & Credit Modelling | Day 2: Credit Valuation Adjustment | Day 3: Stress Testing & Modelling | Details: | download pdf
|
Details: | |
|
|
|
Location:
The Marylebone Hotel
47 Welbeck Street
London W1G 8DN
Hotel Website
Flight details:
All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.
Complimentary inbound transfer service:
WBS Training now extend our premium service to all our clients. This includes a complimentary inbound transfer from London airports to central London hotels for all workshops. If you require this service simply inform us up to 2 working days prior to your arrival (flight number, arrival time, airport and hotel destination) and we will arrange a complimentary pick up. You will be given a phone number to call on arrival and will be greeted at the airport by our partner taxi company.
Sponsorship:
World Business strategies Ltd, offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 674400
Disclaimer:
World business strategies command the rights to cancel or alter any part of this programme.
Cancellation:
By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.
Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.
Day 1: Counterparty Risk & Credit Modelling | Day 2: Credit Valuation Adjustment | Day 3: Stress Testing & Modelling | Details: | download pdf