Discounting & Funding: Interest Rates, CVA & Counterparty Risk
|
|
|
- Kelly Russell
- 7 years ago
- Views:
Transcription
1 Discounting & Funding: Interest Rates, CVA & Counterparty Risk London: 23rd 25th November 2011 This workshop provides THREE booking options Register to ANY ONE day TWO days or all THREE days of the workshop Register to ANY TWO days of the workshop and receive 200 discount Register to ALL THREE workshop days and receive 300 discount
2 Topics: Day 1: Discounting, Funding & Collateralization Discounting, Funding, Collateralization: From Solid Foundation and Intuition to Calibration of Models From Solid Foundations and Intuitions to Models Discounting Revisited: Mark-to-Market versus Replication of Cash Flows Collateralization and Funding: Modelling: Relation to DVA, CVA and the FVA: Valuation versus Valuation Adjustments Valuation of Unilateral Collateralized Products (Plain Vanillas become Complex) Sensitivities and Hedging in a Partially Collateralized Portfolio Funding, Collateral and Interest Rate Curves Collateralised Funding Under Symmetric Terms Uncollateralised Funding Beyond Curves Multi-Curve World Practical considerations in dealing with large curve system Presenters: Christian Fries: Head of Model Development, Group Risk Control, DZ Bank Igor Smirnov: Global Head of Flow Research Group, BNP Paribas Day 2: Discounting, Funding & Collateralization Funded Replication (revisited) Building Forward and Discounting Curves, Calibration of Models Calibration of Models Discount Curves, Forward Curves and Convexity Valuation and Sensitivities OIS Discounting & Collateralized Debt A Practical View on Trading CSAs How to handle different CSAs in a trading book Credit risk mitigation through CSAs Outlook: New ISDA and impact of regulatory change The Impact of CSA in Pricing Counterparty Credit Risk Trading under the ISDA Master Agreement Risk-Neutral Pricing of Counterparty Credit Risk Numerical Examples: interest-rate swap portfolios, credit-default swap, cross-currency swap Presenters: Christian Fries: Head of Model Development, Group Risk Control, DZ Bank Andrea Pallavicini: Head of Equity, FX and Commodity Models, Banca IMI - Intesa SanPaolo Group Hans-Peter Schöch: Structured Rates Trading, Nomura International Faisal Yousaf: Global Head of Quantitative Risk & Valuation Group, HSBC Investment Bank
3 Day 3: CVA & Counterparty Risk Funding Bilateral Counterparty Risk, Funding Charges and Balance Sheet Impacts of Derivatives A unified modelling framework for combining bilateral counterparty risk and funding costs How to organize derivatives desks interface with credit-counterparty and funding desks Completing CVA: Firm-Level Analysis DVA for Balance Sheet line items Funding: Cash as the new Commodity Engineering a CVA & Unsecured Funding Cost Solution Unified approaches to CVA & Funding costs Dealing with boundary CVA & Funding cases Second Generation CVA: Impact of closeout, collateral, re-hypotecantion and first to default risk Risk free vs replacement closeout Consistent inclusion of Cost of Funding Presenters: Damiano Brigo: Gilbart Professor of Mathematical Finance, King s College London Christoph Burgard: Global Head of Equity, EM & Credit-Counterparty Derivatives Modelling, Barclays Capital Andrew Green: Head of Quantitative Credit Developments, Lloyds Banking Group Chris Kenyon: Vice-President, Credit Suisse
4 Day 1: Discounting, Funding & Collateralization 09:00 12:30 / Discounting, Funding, Collateralization: From Solid / Foundation and Intuition to Calibration of Models / Christian Fries, DZ Bank Part 1: From Solid Foundations and Intuitions to Models Discounting Revisited: Mark-to-Market versus Replication of Cash Flows Resolving the Own-Credit Paradox (making P&L when own credit rating worsens) Assumptions: Being a net funder and the P&L take out Collateralization and Funding: Cash Flows Valuation with Stochastic Funding (Funded Replication) Collateralization and Funding: Modelling The Cross Currency Analogy The Risky Payoff (Default) Analogy Cross Currency and Defaultable LIBOR Market Model The LIBOR Market Model with Stochastic Funding Relation to DVA, CVA and the FVA: Valuation versus Valuation Adjustments Valuation of Unilateral Collateralized Products (Plain Vanillas become Complex) Sensitivities and Hedging in a Partially Collateralized Portfolio 10:30 10:45 Break 12:30 13:30 Lunch 13:30 17:00 / Funding, Collateral and Interest Rate Curves: / Igor Smirnov, BNP Paribas Collateralised funding under symmetric terms Margin interest as funding rate Relation to central clearers variation margin terms Switch options multiple currencies, asset classes Uncollateralised funding Institutional funding costs Reality of derivative position funding Do we need the Risk Free Rate? Beyond Curves Asymmetric CSA terms & valuation implications Custodians & Rehypothecation restrictions Substitution rights, optimisation approaches Multi-Curve World Practical considerations in dealing with large curve systems Alternate approaches with corresponding pricing / risk implications 15:00 15:15 Break
5 Day 2: Discounting, Funding & Collateralization 09:00 10:45 / Discounting, Funding, Collateralization: From Solid / Foundation and Intuition to Calibration of Models: / Christian Fries, DZ Bank Part 2: Building Forward and Discounting Curves, Calibration of Models Funded Replication (revisited) Calibration of Models Discount Curves, Forward Curves and Convexity Bootstrapping Curves OIS Discounting Funded Discounting Unilateral Collateralized Collateralization in Non-Trade Currency Funding in Non-Trade Currency Calibration to Volatilities Valuation and Sensitivities 10:45 11:00 Break 11:00 12:30 / Practical Insights into OIS Discounting, and the / impact of Collateral andfunding on Derivative / Pricing: / Faisal Yousaf, HSBC Investment Bank CSAs revisited and evolution to a standardised CSA; Modelling Collateral: CSA optionality, future funding costs, collateral optimisation; The role of central counterparties; OIS discounting: practicalities of implementation, methodology for cross-currency transactions. Links between OIS discounting and CVA. 12:30 13:30 Lunch 13:30 15:00 / A Practical View on Trading CSAs: / Hans-Peter Schöch, Nomura International How to handle different CSAs in a trading book Non-standard CSAs Current best market practice Credit risk mitigation through CSAs Outlook: New ISDA and impact of regulatory change 15:00 15:15 Break
6 15:15 17:00 / The Impact of CSA in Pricing Counterparty / Credit Risk: / Andrea Pallavicini, Banca IMI Trading under the ISDA Master Agreement: collateral margining under CSA, re-hypothecation liquidity risk, dispute resolution, close-out netting rules. Risk-Neutral Pricing of Counterparty Credit Risk: bilateral collateralized credit valuation adjustment, wrong-way risk, credit contagion, cost of funding. Numerical Examples: interest-rate swap portfolios, credit-default swap, cross-currency swap
7 Day 3: CVA & Counterparty Risk Funding 09:00 11:00 / Bilateral Counterparty Risk, Funding Charges and / Balance Sheet Impacts of Derivatives How to take / into account ones own risk of default: / Christoph Burgard, Barclays Capital A unified modelling framework for combining bilateral counterparty risk and funding costs Relationships between CVA, DVA and funding benefits/costs How to organize derivatives desks interface with credit-counterparty and funding desks Balance sheet impact of derivatives and funding How to minimize the balance sheet impact 11:00 11:15 Break 11:15 12:45 / Completing CVA: Firm-Level Analysis: / Chris Kenyon, Credit Suisse Completing CVA: Firm-Level Analysis DVA for Balance Sheet line items Case histories over the crisis Regulatory and Accounting perspectives Funding: Cash as the new Commodity Motivation 1: loans with early termination options Motivation 2: single currency tenor-basis Commodity solution to the spot-forward paradox: convenience yield Funding components: riskless rate + credit risk + convenience yield Three-factor pricing 12:45 13:45 Lunch
8 13:45 15:45 / Engineering a CVA & Unsecured Funding Cost / Solution: / Andrew Green, Lloyds Banking Group Unified approaches to CVA & Funding costs The DF Method versus the Asymmetric Funding model Implications of model choice for business organisation / management of CVA & Funding Close-out settlement assumptions Dealing with boundary CVA & Funding cases One-sided CSAs Downgrade triggers Non-zero thresholds Multiple eligible currencies, collateral instruments Engineering the solution & building a Monte Carlo engine Model choices, Vanilla & Exotics products Distribution & Workflow Implementation Challenges Basel III Implications 15:45 16:00 Break 16:00 17:30 / Second Generation CVA: Impact of Closeout, / Collateral, Re-Hypotecantion and First to Default / Risk: / Damiano Brigo, King s College London Risk free vs replacement closeout Default dependence and Contagion issues Can we ignore first to default risk? Netting Wrong way risk Examples from different asset classes Collateral: impact of margin frequency and re-hypotecation Consistent inclusion of Cost of Funding
9 Discounting & Funding: Interest Rates, CVA & Counterparty Risk London: 23rd 25th November 2011 Workshop Fee: c Any One Day: UK VAT c Any Two Days: UK VAT (Including 200 Discount) c All Three Days: UK VAT (Including 300 Discount) 70% Academic Discount (FULL-TIME students only) Delegate details: Company: Name: Position: Name: Position: Name: Position: Department: Address: To register please fax the completed booking form to: Fax: +44 (0) 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. Sponsorship: World Business Strategies Ltd, offer sponsorship opportunities for all events, headers and the web site. Contact Sponsorship: +44 (0) 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. Discount Structure: The discount is available on any day permutation, and can be combined across delegates within the same company (only at the time of booking and not retrospectively). Country: Phone: E mail: Date: Signature: Registration: Tel: +44 (0) Fax: +44 (0) Contact: sales@wbstraining.com
Advanced Equity Derivatives by Oliver Brockhaus
Advanced Equity Derivatives by Oliver Brockhaus London: 19th & 20th November 2012 This workshop provides TWO booking options Register to ANY ONE day of the workshop Register to BOTH days of the workshop
FX OPTION PERFORMANCE: LONG TERM ANOMALIES, OPPORTUNITIES AND HEDGING STRATEGIES BY JESSICA JAMES
CENTRAL LONDON & GLOBALLY ONLINE: 26TH & 27TH MAY 2015 FX OPTION PERFORMANCE: LONG TERM ANOMALIES, OPPORTUNITIES AND HEDGING STRATEGIES BY JESSICA JAMES Jessica James is Head of the FX Quantitative Solutions
New valuation and pricing approaches for derivatives in the wake of the financial crisis
FINANCIAL SERVICES New valuation and pricing approaches for derivatives in the wake of the financial crisis Moving towards a new market standard? October 2011 kpmg.com Contents 1. A new valuation and pricing
LIBOR vs. OIS: The Derivatives Discounting Dilemma
LIBOR vs. OIS: The Derivatives Discounting Dilemma John Hull PRMIA May 2012 1 Agenda OIS and LIBOR CVA and DVA The Main Result Potential Sources of Confusion FVA and DVA See John Hull and Alan White: LIBOR
DACT autumn diner workshop. Risk management, valuation and accounting
DACT autumn diner workshop Risk management, valuation and accounting Agenda 1. Risk management - mitigate risk Cost of hedging Risk mitigants Risk management policy 2. Valuation & accounting - mitigate
The xva Challenge. Counterparty Credit Risk, Funding, Collateral and Capital. Third Edition. Jon Gregory
The xva Challenge Counterparty Credit Risk, Funding, Collateral and Capital Third Edition Jon Gregory WILEY Contents List of Spreadsheets List of Appendices Acknowledgements About the Author xix xxi xxiii
Dataline A look at current financial reporting issues
Dataline A look at current financial reporting issues No. 2013-25 December 10, 2013 What s inside: Overview...1 Background... 2 OIS discounting an illustration... 3 Implications for market participants...
CVA in Derivatives Trading
CVA in Derivatives Trading Jakob Sidenius Model Development NORDEA Seminar at FRIC, CBS, 5 November 2013 1/33 Talk overview Counterparty risk and mitigation CVA and DVA: definition, meaning and computation
IFRS Practice Issues for Banks:
IFRS Practice Issues for Banks: Fair value measurement of derivatives the basics September 2012 kpmg.com/ifrs Contents Highlighting the path to fair value for derivatives 1 1. Introduction 2 2. How are
With the derivative markets having changed dramatically since the 2008 financial crisis,
Avoiding Collateral Surprises: Managing Multi-Currency CSAs Anna Barbashova, Numerix - 24 Jan 2013 This article explores multi-currency credit support annexes (CSAs) in the derivatives area and their potential
Active Risk Management in the Treasury Liquidity Management, Capital Management and Hedging. training.risk.net/treasury.
Course highlights First day of training delivered by an expert in the field of ALM, FTP and Treasury Day two will see four experts cover derivatives, hedging and risk weighted assets Fundamental responsibilities
Application of Interest Rate Swaps in Indian Insurance Industry Amruth Krishnan Rohit Ajgaonkar Guide: G.LN.Sarma
Institute of Actuaries of India Application of Interest Rate Swaps in Indian Insurance Industry Amruth Krishnan Rohit Ajgaonkar Guide: G.LN.Sarma 21 st IFS Seminar Indian Actuarial Profession Serving the
Measuring and Mitigating Counterparty Risk Management
Measuring and Mitigating Counterparty Risk Management Sydney 1 st & 2 nd September 2010 Course highlights Risk appetite for counterparties Stress testing the central counterparty model: the Lehman default
A Practical Guide to Fair Value and Regulatory CVA. Alexander Sokol, Numerix/CompatibL PRMIA Global Risk Conference 2012, NYC
A Practical Guide to Fair Value and Regulatory CVA Alexander Sokol, Numerix/CompatibL PRMIA Global Risk Conference 2012, NYC Training Scope Introduction to CVA Rationale and challenges Fair value vs. regulatory
CVA, Hedging and Best Practices Denny Yu, CFA
CVA, Hedging and Best Practices Denny Yu, CFA February 28, 2012 Agenda CVA and the trading desk Hedging of CVA risk Best practices in CVA solutions CVA Impact on the Trading Desk Definitions Potential
Tools for Mitigating Credit Risk in Foreign Exchange Transactions 1
Tools for Mitigating Credit Risk in Foreign Exchange Transactions November 2010 Introduction In November 2009, the Foreign Exchange Committee (FXC) and its Buy-Side Subcommittee released a paper that reviewed
Whether you seek to BROADEN, DEEPEN, OR SIMPLY REFRESH YOUR SKILLS, Consider F nultima
Whether you seek to BROADEN, DEEPEN, OR SIMPLY REFRESH YOUR SKILLS, Consider F nultima F nultima Our trainers have successfully delivered training programmes for some of the top global organizations (
The new ACI Diploma. Unit 2 Fixed Income & Money Markets. Effective October 2014
The new ACI Diploma Unit 2 Fixed Income & Money Markets Effective October 2014 8 Rue du Mail, 75002 Paris - France T: +33 1 42975115 - F: +33 1 42975116 - www.aciforex.org The new ACI Diploma Objective
incisive-training.com/generationasset Generation Asset Analytics and Risk Management Course highlights
Course highlights Apply the latest approaches for modelling energy prices Practical lessons on calibrating models and implementing Monte-Carlo simulations Value generation assets Hedge portfolios of generation
OVERVIEW OF THE USE OF CROSS CURRENCY SWAPS
OVERVIEW OF THE USE OF CROSS CURRENCY SWAPS PRACTICAL CONSIDERATIONS IVAN LARIN CAPITAL MARKETS DEPARTMENT FABDM Webinar for Debt Managers Washington, D.C. 20 th January, 2016 AGENDA 1. BASICS 2. Pre-TRADE
Basel Committee on Banking Supervision. Basel III counterparty credit risk - Frequently asked questions
Basel Committee on Banking Supervision Basel III counterparty credit risk - Frequently asked questions November 2011 Copies of publications are available from: Bank for International Settlements Communications
Contents. Bibliografische Informationen http://d-nb.info/996662502. digitalisiert durch
Part I Methodology 1 Introduction 3 1.1 Basic Concepts. 3 1.2 Preliminary Examples 4 1.2.1 Vanilla Interest-Rate Swap 4 1.2.2 Cancellable Swap.. 5 1.2.3 Managing Credit Risk Collateral, Credit Default
WHITE PAPER CHALLENGES IN IMPLEMENTING A COUNTERPARTY RISK MANAGEMENT PROCESS. Key data and technology challenges Current trends and best practices
WHITE PAPER CHALLENGES IN IMPLEMENTING A COUNTERPARTY RISK MANAGEMENT PROCESS Authored by David Kelly (Quantifi) Key data and technology challenges Current trends and best practices www.quantifisolutions.com
The Professional Risk Managers Handbook A Comprehensive Guide to Current Theory and Best Practices
The Professional Risk Managers Handbook A Comprehensive Guide to Current Theory and Best Practices The Official Handbook for the PRM Designation 2015 Edition Table of Contents PRM Exam I FINANCE THEORY,
Introduction to Eris Exchange Interest Rate Swap Futures
Introduction to Eris Exchange Interest Rate Swap Futures Overview Eris Exchange interest rate swap futures ( Eris contracts ) have been designed to replicate the net cash flows associated with plain-vanilla,
Module I Financial derivatives an introduction Forward market and products
Module I 1. Financial derivatives an introduction 1.1 Derivative markets 1.1.1 Past and present 1.1.2 Difference between exchange traded and OTC derivatives 1.2 Derivative instruments 1.2.1 Concept and
Risk Management Consultants. Initial Margin: A commentary on issues for centrally cleared and non-cleared business. October 2013.
Initial Margin: A commentary on issues for centrally cleared and non-cleared business October 2013 Sponsored by: Table of Contents Introduction... 3 Background and regulatory drivers... 3 Calculation and
CVA & DVA. risk and return strategies. London 18 June 2012 New York 22 June 2012. Highlights
risk and return strategies Highlights Panel discusses the necessary stepping-stones for establishing a CVA business Seminar discussion on DVA and the effects on accounting and trading Heads of CVA Desks
FVA Putting Funding into the Equation
0 FVA PUTTING FUNDING INTO THE EQUATION FINANCIAL SERVICES FVA Putting Funding into the Equation Some practical implications of post crisis thinking on the place of funding costs in the management of a
Hong Kong Proposes Margin and Risk Mitigation Standards for Non-Centrally Cleared OTC Derivatives
30 December 2015 Hong Kong Proposes Margin and Risk Mitigation Standards for Non-Centrally Cleared OTC Derivatives Introduction On 3 December 2015, the Hong Kong Monetary Authority ( HKMA ) issued a consultation
Managing Counterparty Credit Risk through CVA. Karin Bergeron Director, CVA Trading
Managing Counterparty Credit Risk through CVA Karin Bergeron Director, CVA Trading Agenda 1. Background 2. Motivation for CVA desk 3. Organization/Mandate of CVA desk 4. Pre-trade/Deal-time pricing of
Certification Program on Corporate Treasury Management
Certification Program on Corporate Treasury Management Introduction to corporate treasury management Introduction to corporate treasury management: relevance, scope, approach and issues Understanding treasury
INTEREST RATE SWAPS September 1999
INTEREST RATE SWAPS September 1999 INTEREST RATE SWAPS Definition: Transfer of interest rate streams without transferring underlying debt. 2 FIXED FOR FLOATING SWAP Some Definitions Notational Principal:
Counterparty Risk and CVA Survey Current market practice around counterparty risk regulation, CVA management and funding
Counterparty Risk and CVA Survey Current market practice around counterparty risk regulation, CVA management and funding February 2013 Contents Preface 1 Executive summary 2 Glossary 4 Survey methodology
Swaps: complex structures
Swaps: complex structures Complex swap structures refer to non-standard swaps whose coupons, notional, accrual and calendar used for coupon determination and payments are tailored made to serve client
Final European Standards for Derivatives Collateralisation
Client Alert 17 March 2016 Final European Standards for Derivatives Collateralisation On 8 March 2016, the three European Supervisory Authorities (ESAs) 1 published their final draft regulatory technical
Investment Portfolio Management Techniques for Fixed Income, Equity and Alternative Investments
Investment Portfolio Management Techniques for Fixed Income, Equity and Alternative Investments www.mce-ama.com/2400 Senior Managers Days 4 www.mce-ama.com 1 WHY attend this programme? Managing an investment
January to December 2015 Face-to-face classroom courses in London for the A.C.I. exams:
A.C.I. EXAM COURSES January to December 2015 Face-to-face classroom courses in London for the A.C.I. exams: A.C.I. Diploma A.C.I. Dealing Certificate A.C.I. Operations Certificate (All courses are also
A Guide to Modelling Counterparty Credit Risk
A Guide to Modelling Counterparty Credit Risk What are the steps involved in calculating credit exposure? What are the differences between counterparty and contract-level exposure? How can margin agreements
EDF CEA Inria School Systemic Risk and Quantitative Risk Management
C2 RISK DIVISION EDF CEA Inria School Systemic Risk and Quantitative Risk Management EDF CEA INRIA School Systemic Risk and Quantitative Risk Management Regulatory rules evolutions and internal models
Best Practices for Credit Risk Management. Rules Notice Guidance Notice Dealer Member Rules
Rules Notice Guidance Notice Dealer Member Rules Please distribute internally to: Credit Institutional Internal Audit Legal and Compliance Operations Regulatory Accounting Retail Senior Management Trading
For the purposes of this Annex the following definitions shall apply:
XIV. COUNTERPARTY CREDIT RISK 1. Definitions ANNEX III: THE TREATMENT OF COUNTERPARTY CREDIT RISK OF DERIVATIVE INSTRUMENTS, REPURCHASE TRANSACTIONS, SECURITIES OR COMMODITIES LENDING OR BORROWING TRANSACTIONS,
W H I T E P A P E R : C O L L A T E R A L O P T I M I S A T I O N I N A C E N T R A L L Y C L E A R E D W O R L D
4 S I G H T F I N A N C I A L S O F T W A R E W H I T E P A P E R : C O L L A T E R A L O P T I M I S A T I O N I N A C E N T R A L L Y C L E A R E D W O R L D 1 Introduction Collateral management has
Financial Risk Management
176 Financial Risk Management For the year ended 31 December 2014 1. FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES s major financial instruments include cash and bank balances, time deposits, principal-protected
Derivatives, Measurement and Hedge Accounting
Derivatives, Measurement and Hedge Accounting IAS 39 11 June 2008 Contents Derivatives and embedded derivatives Definition Sample of products Accounting treatment Measurement Active market VS Inactive
(Part.1) FOUNDATIONS OF RISK MANAGEMENT
(Part.1) FOUNDATIONS OF RISK MANAGEMENT 1 : Risk Taking: A Corporate Governance Perspective Delineating Efficient Portfolios 2: The Standard Capital Asset Pricing Model 1 : Risk : A Helicopter View 2:
Risk and Investment Conference 2013. Brighton, 17 19 June
Risk and Investment Conference 03 Brighton, 7 9 June 0 June 03 Acquiring fixed income assets on a forward basis Dick Rae, HSBC and Neil Snyman, Aviva Investors 8 June 0 Structure of Presentation Introduction
OTC Derivatives Clearing in Practice. Reto Ziltener, Head Sales Prime Services 23 rd September 2014
OTC Derivatives in Practice Reto Ziltener, Head Sales Prime Services 23 rd September 2014 Agenda Terms OTC Derivatives - Transformation of the OTC derivatives market Mandatory clearing and collateralisation
Funding Value Adjustment, a practitioner's view
Funding Value Adjustment, a practitioner's view Ignacio Ruiz Oxford University 4 March 2013 Copyright 2013 Ignacio Ruiz What we are going to cover Funding in the big picture The origin of the controversy
INTRODUCTION TO TRADING AND INVESTING IN FIXED INCOME SIMULATION TRAINING@THE DEALING ROOM
INTRODUCTION TO TRADING AND INVESTING IN FIXED INCOME SIMULATION TRAINING@THE DEALING ROOM Leading Excellence in Banking & Finance OUR PARTNERS CapitalWave provides truly dynamic educational simulation
Introducing the City. London, 30 November 1 December 2015. Demystifying today s financial markets
Introducing the City London, 30 November 1 December 2015 Demystifying today s financial markets Academy Who we are The educational model of the Academy is that of a "Corporate University" where the traditional
ALIGNE Credit Risk Management
ALIGNE Credit Risk Management ALIGNE CREDIT RISK EFFECTIVELY MANAGE CREDIT MONITORING, ANALYSIS AND REPORTING Counterparty credit worthiness, as well as internal credit monitoring, are becoming increasingly
Potential Future Exposure and Collateral Modelling of the Trading Book Using NVIDIA GPUs
Potential Future Exposure and Collateral Modelling of the Trading Book Using NVIDIA GPUs 19 March 2015 GPU Technology Conference 2015 Grigorios Papamanousakis Quantitative Strategist, Investment Solutions
Risk analysis with depth. Software, Services and. XVA Capital IM Limits Adjoint
Risk analysis with depth CompatibL Risk Software, Services and Consultancy XVA Capital IM Limits Adjoint The CompatibL development team has demonstrated extraordinary commitment, skill and flexibility,
A closer look Fair value measurement of financial instruments under IFRS 13
igaap: Beyond the detail A closer look Fair value measurement of financial instruments under IFRS 13 Introduction This publication considers both practical and technical aspects of applying IFRS 13 Fair
Modelling Corporate Bonds
Modelling Corporate Bonds Current Issues In Life Assurance London 28 April 2004 / Edinburgh 20 May 2004 Andrew Smith email AndrewDSmith8@deloitte.co.uk Presentation Outline Why model corporate bonds? Corporate
Fixed Income Portfolio Management. Interest rate sensitivity, duration, and convexity
Fixed Income ortfolio Management Interest rate sensitivity, duration, and convexity assive bond portfolio management Active bond portfolio management Interest rate swaps 1 Interest rate sensitivity, duration,
Financial Markets elearning learn inform inspire
Financial Markets elearning learn inform inspire Release 29: 2013 Financial Markets Courses Introduction to Financial Markets Financial Markets - An Introduction Money Markets - An Introduction Foreign
BASICS OF CREDIT VALUE ADJUSTMENTS AND IMPLICATIONS FOR THE ASSESSMENT OF HEDGE EFFECTIVENESS
BASICS OF CREDIT VALUE ADJUSTMENTS AND IMPLICATIONS FOR THE ASSESSMENT OF HEDGE EFFECTIVENESS This is the third paper in an ongoing series that outlines the principles of hedge accounting under current
Banking & Finance Amsterdam. Derivatives. Technical know how, solid pragmatism
Banking & Finance Amsterdam Derivatives Technical know how, solid pragmatism Corinne Schot is a highly regarded structured finance and derivatives expert. Legal 500, 2011 The firm provided solutions that
Introduction to Fixed Income (IFI) Course Syllabus
Introduction to Fixed Income (IFI) Course Syllabus 1. Fixed income markets 1.1 Understand the function of fixed income markets 1.2 Know the main fixed income market products: Loans Bonds Money market instruments
Replicating Life Insurance Liabilities
Replicating Life Insurance Liabilities O. Khomenko Jena, 23 March 2011 1 Solvency II New Regulation for Insurance Industry Solvency II is a new regulation for European insurance industry. It is expected
LIBOR vs. OIS: The Derivatives Discounting Dilemma *
Published in Journal Of Investment Management, Vol. 11, No.3, 14-27 LIBOR vs. OIS: he Derivatives Discounting Dilemma * John Hull and Alan White March 2012 his Version: April 2013 Keywords: LIBOR, OIS,
SYLLABUS CertICM. Edition 8
SYLLABUS CertICM Edition 8 OVERVIEW CertICM focuses exclusively on global cash management, allowing students to appreciate the importance of and techniques relevant to cash management for corporate treasury.
INTEREST RATES AND FX MODELS
INTEREST RATES AND FX MODELS 4. Convexity and CMS Andrew Lesniewski Courant Institute of Mathematical Sciences New York University New York February 20, 2013 2 Interest Rates & FX Models Contents 1 Introduction
Raising Finance in the Bond Market
Raising Finance in the Bond Market 18 19 September 2014, London A debt primary markets workshop Academy Who we are The educational model of the Academy is that of a "Corporate University" where the traditional
SWAPS AND DERIVATIVES
PRACTICE NOTE ON SWAPS AND DERIVATIVES PN/01J2014 (Issued under section 7(1) of the Financial Services Act 2007) Issued on 01 October 2014 CONTENTS Introduction... 2 PART I: Explanatory Notes: Swaps and
List of Submissions to IASB Draft Standard General Hedge Accounting. 2 Visual Risk 3 Finance and Treasury Association
List of Submissions to IASB Draft Standard General Hedge Accounting 2 Visual Risk 3 Finance and Treasury Association IASB DS GHA sub 2 Visual Risk Pty Ltd Level 5, 66 King St Sydney NSW 2000 Australia
Basel Committee on Banking Supervision. Consultative Document. Application of own credit risk adjustments to derivatives
Basel Committee on Banking Supervision Consultative Document Application of own credit risk adjustments to derivatives Issued for comment by 17 February 2012 December 2011 This publication is available
Learn. Commodity Options Trading & Risk Management ORM2. Commodity Derivatives Strategy
Learn Commodity Options Trading & Risk Management ORM2 2 days of intensive and comprehensive options/risk management training with practical analysis of option trading strategies and risk management with
The LIAJ s Comments on. Second Consultative Document. Margin requirements for. non-centrally cleared derivatives
The LIAJ s Comments on Second Consultative Document Margin requirements for non-centrally cleared derivatives 15 March 2013 The Life Insurance Association of Japan (LIAJ) The Life Insurance Association
Contents. List of Figures. List of Tables. Acknowledgments PART I INTRODUCTION 1
List of Figures List of Tables Acknowledgments Preface xv xix xxi xxiii PART I INTRODUCTION 1 1 The Evolution of Financial Analysis 3 1.1 Bookkeeping 3 1.2 Modern finance 8 1.3 Departments, silos and analysis
October 2014. Guide to the Financial Market Infrastructure Act
October 2014 Guide to the Financial Market Infrastructure Act 1. Executive Summary The Financial Market Infrastructure Act (FMIA) (Bundesgesetz über die Finanzmarktinfrastrukturen und das Marktverhalten
Q: HOW FAR DOES AN INSTITUTION NEED TO GO IN TERMS OF IMPLEMENTING A CVA SOLUTION? A: TRAVERS:
Taking a view The evolution of CVA discussed Representatives from SunGard and Navigant Capital Advisors recently came together to discuss current themes related to CVA and counterparty risk in a live webinar,
THE FVA-DVA PUZZLE: RISK MANAGEMENT AND COLLATERAL TRADING STRATEGIES
THE FVA-DVA PUZZLE: RISK MANAGEMENT AND COLLATERAL TRADING STRATEGIES CLAUDIO ALBANESE AND STEFANO IABICHINO Abstract. In the aftermath of the crisis, valuations of fixed income derivatives have significantly
Bank Capital Adequacy under Basel III
Bank Capital Adequacy under Basel III Objectives The overall goal of this two-day workshop is to provide participants with an understanding of how capital is regulated under Basel II and III and appreciate
CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013
CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013 DATED AS OF MAY 15, 2013 Table of Contents Qualitative Disclosures Basis of Preparation and Review... 3 Risk
RISK MANAGEMENT PRACTICES RISK FRAMEWORKS MARKET RISK OPERATIONAL RISK CREDIT RISK LIQUIDITY RISK, ALM & FTP
T H E P RO F E SS I O N A L R I S K M A N AG E R ( P R M ) D E S I G N AT I O N P RO G R A M PRM TM SELF STUDY GUIDE EXAM III RISK MANAGEMENT PRACTICES RISK FRAMEWORKS MARKET RISK OPERATIONAL RISK CREDIT
In depth A look at current financial reporting issues
In depth A look at current financial reporting issues inform.pwc.com July 2014 No. INT2014-03 What s inside: Background 1 Summary of questions 2 Detailed questions 3 Offsetting financial instruments for
Strategic Bank Management and ALM Development for Finance Professionals
Strategic Bank Management and ALM Development for Finance Professionals A Blended-Learning Program from ACF Consultants ACF Consultants have a solid reputation for delivering innovative, top-quality training
Equity forward contract
Equity forward contract INRODUCION An equity forward contract is an agreement between two counterparties to buy a specific number of an agreed equity stock, stock index or basket at a given price (called
PRODUCT HIGHLIGHTS SHEET
This Product Highlights Sheet is an important document. Prepared on: 18 March 2016 It highlights the key terms and risks of this investment product and complements the Prospectus 1. It is important to
20/03/2014. New UK GAAP Accounting for financial instruments 20 March 2014 Download the slides to accompany the webinar icaew.com/frfwebinarresources
New UK GAAP Accounting for financial instruments 20 March 2014 Download the slides to accompany the webinar /FRFwebinarresources Introduction Sarah Porthouse Technical Manager, Financial Reporting Faculty
Enterprise wide Risk Management for the Energy Industry
Course highlights: Creating and implementing an ERM structure Identifying, sourcing and measurement of risk Embedding ERM into the culture of the organisation Advanced practice of ERM The regulatory case
ASSET LIABILITY MANAGEMENT Significance and Basic Methods. Dr Philip Symes. Philip Symes, 2006
1 ASSET LIABILITY MANAGEMENT Significance and Basic Methods Dr Philip Symes Introduction 2 Asset liability management (ALM) is the management of financial assets by a company to make returns. ALM is necessary
SYLLABUS The ACI Dealing Certificate (Prometric Code: 3I0-008)
SYLLABUS The ACI Dealing Certificate (Prometric Code: 3I0-008) Examination delivered in ENGLISH and GERMAN The ACI Dealing Certificate is a foundation programme that allows candidates to acquire a working
American Monte Carlo for Bermudan CVA. Roland Lichters
American Monte Carlo for Bermudan CVA Roland Lichters IKB QuantLib Workshop, 4 December 2014 Outline Background Problem Way Out Example and Results Appendix 2014 Quaternion Risk Management Ltd. 2 Outline
Trends, Risks and Opportunities in Collateral Management
Trends, Risks and Opportunities in Collateral Management A Collateral Management White Paper January 2014 Introduction Collateral is viewed as both a solution to and a trigger of massive financial losses
Workshop Agenda Certified Commodities Analyst OBJECTIVE KEY AREAS FOCUS WHO SHOULD ATTEND. About your trainer UNIQUE MARKETS SPOT COMPLEX
markets are one of the more diverse markets in the capital markets arena and feature in investment portfolios in an increasing manner although traditionally they are traded in physicals taking in the whole
Fast Monte Carlo CVA using Exposure Sampling Method
Fast Monte Carlo CVA using Exposure Sampling Method Alexander Sokol Numerix RiskMinds Conference 2010 (Geneva) Definitions Potential Future Exposure (PFE) PFE(T) is maximum loss due to counterparty default
Basel Committee on Banking Supervision. Frequently Asked Questions on Basel III s January 2013 Liquidity Coverage Ratio framework
Basel Committee on Banking Supervision Frequently Asked Questions on Basel III s January 2013 Liquidity Coverage Ratio framework April 2014 This publication is available on the BIS website (www.bis.org).
Introduction to swaps
Introduction to swaps Steven C. Mann M.J. Neeley School of Business Texas Christian University incorporating ideas from Teaching interest rate and currency swaps" by Keith C. Brown (Texas-Austin) and Donald
Interest rate risk and how to manage it. University of Economics, 16/10/2014 Vladimir Sosovicka
Interest rate risk and how to manage it University of Economics, 16/10/2014 Vladimir Sosovicka 2 Content 1. Interest rate risk what is it? 2. Management of interest rate risk: Basic tools (bonds, BPV,
Fixed-Income Securities. Assignment
FIN 472 Professor Robert B.H. Hauswald Fixed-Income Securities Kogod School of Business, AU Assignment Please be reminded that you are expected to use contemporary computer software to solve the following
Interest Rate Risk Management for the Banking Book: Macro Hedging
Interest Rate Risk Management for the Banking Book: Macro Hedging Giuseppe Loforese Head of ALM - Intesa Sanpaolo Chair of ALM Hedge Accounting WG EBF Co-Chairman IRRBB WG - EBF AGENDA IRRBB: Macro Hedging
How To Understand Credit Default Swaps
The CDS market: A primer Including computational remarks on Default Probabilities online Roland Beck, Risk Analysis Group Folie 2 The CDS market: A primer Credit Default Swaps Short Introduction CDS are
Interest Rate Swaps Compression: A Progress Report
Interest Rate Swaps Compression: A Progress Report ISDA Study, February 2012 Summary This paper describes a risk reduction practice, portfolio compression (compression), which is conducted in the interest
School Of Finance - A Review
DESCRIPTION FOR MASTER OF FINANCE COURSES OFFERED BY SCHOOL OF ECONOMICS AND FINANCE Advanced Corporate Finance* This course is aimed to give students a solid understanding of theoretical and empirical