Advancing the Field of Quantitative Finance
formerly the IAFE

Event: The Economics of Estimated Future Receivables and Payables of OTC Derivatives

Date: March 24, 2009
Time: 5:30 Registration, 6:00 Program, 7:30 Reception
300 Madison Avenue (at 42nd Street)
New York

The Credit Risk Committee of the International Association of Financial Engineers presents


The Economics of Estimated Future Receivables and Payables of OTC Derivatives

Tuesday, March 24, 2009

Hosted By:

David Lamb, Morgan Stanley

Charles Monet, Citigroup

Evan Picoult, Citi and Columbia University


Event Description:

Derivative transactions create statistically predictable receivables and payables in future time periods.  These receivables and payables raise both credit issues and funding issues.  The credit dimension of receivables/payables is measured in a mark-to-market perspective by the CVA (Credit Valuation Adjustment).  The cost of term funding to support receivables (or the benefit of term funding supplied by payables) has not been widely discussed to date.

The outstanding notional amount of OTC derivatives continues to grow rapidly.  Credit spreads and funding costs have risen rapidly in the last year.  The result is increased earnings volatility as the CVA is marked to market.  Also, the impact of credit and funding costs has become much more important in the evaluation of derivative transactions.

The three speakers at this IAFE credit event will review the measurement of CVA, the methods and market for hedging CVA, and the impact of funding costs and credit risk in the economic analysis of OTC derivative transactions.

Registration for this event is closed.

Presentation slides are available for members by clicking here.