Advancing the Field of Quantitative Finance
formerly the IAFE


Event: Basel II- Credit Risk: OTC Derivatives Counterparty
Date: March 27
Time: 5:30 pm
57th Street at Madison Avenue

Description: Speaker: Eduardo Canabarro, Head of Credit Quantitative Risk Modeling at Goldman Sachs.

The discussion will include:
Recent developments within the ISDA Counterparty Risk Working Group for OTC derivatives counterparty exposures, including

  • measurement and management
  • pricing and hedging
  • implications for economic capital calculation
  • implications for regulatory capital calculation

Eduardo is responsible for the quantitative methods and models used for measuring, pricing and managing the counterparty credit risk of various Goldman Sachs´ businesses, in particular, over-the-counter derivatives. Eduardo holds Ph.D. (1993) and MS (1990) degrees in Business Administration (Finance) from University of California, Berkeley, USA, as well as MBA (1988) and Electrical Engineering (1980) degrees from UFRGS, Brazil.