Advancing the Field of Quantitative Finance
formerly the IAFE

Events

Event: IAFE Members Only Event: Counterparty Credit Risk Workshop
Date: January 25, 2011
Time: 4:00pm-7:30pm
Location:
pwc
300 Madison Avenue
New York

The International Association of Financial Engineers presents

COUNTERPARTY CREDIT RISK
MODELING WORKSHOP

An intensive three hour workshop. Only 30 spots will be open for this classroom style event.

January 25, 2011
3:45pm Registration
4:00pm-7:30pm

pwc
300 Madison Avenue
New York

Workshop Leaders

Eduardo Canabarro
Morgan Stanley

Michael Pykhtin
The Federal Reserve Board

Dan Rosen
R2 Financial Technologies

 

The recent financial crisis has highlighted the need for the industry to understand the complexity and interconnectedness of the over-the-counter derivatives markets, and to develop better approaches for accurately measuring, managing and mitigating Counterparty Credit Risk (CCR). In particular, the Basel Committee identified several areas where capital for CCR proved to be inadequate, and has revamped its treatment in Basel III. For instance, wrong-way risk was evident through the crisis and was not adequately incorporated into the framework. Second, mark-to-market losses due to credit valuation adjustments (CVA) were not directly capitalised, with roughly two-thirds of CCR losses due to CVA. Also, large financial institutions were more interconnected than previously modelled. Finally, Central Counterparties were not widely used to clear trades.

This workshop discusses the evolution of CCR measurement, the latest techniques available to practitioners, as well as some of the key issue and challenges to implement an effective CCR program in the aftermath of the crisis and in the context of new Basel III regulation.

Agenda

  1. Introduction
  2. Modeling Counterparty Credit Exposures
  3. Pricing and Hedging CCR
  4. Calculating Economic and Regulatory Capital For CCR
  5. Concluding remarks

 

Presentations from this event are available in the Members Area