 |
09.00 - 10:30: Vladimir Chorniy, Head of Market and Counterparty Risk Analytics, Group Risk Management / Risk Capital Markets, BNP Paribas & Andrei Greenberg: Quantitative Analyst |  |
|
 |
 |
Comprehensive Risk Measure for Correlation Trading Books: Modelling and Challenges
- Overview of new capital charges on trading books
- IRC vs CRM: major limitations
- Capturing dependence of risk factors for correlation products
- Parametric vs statistical approach to modelling risk factors
- Combining marginal extreme events using EVT and copula functions
- Joint tail realisations and extreme P&L
- CRM and advanced risk management
Break: 10:30 - 11:00
|
11:00 - 12:30: Jon Gregory: Independent Credit Consultant | |
|
|
|
Gaining from your own default – the strange case of DVA
- Background, accounting rules and examples
- CVA and DVA
- DVA with correlation and systemic risk
- How to realise DVA
- DVA and funding
Lunch: 12:30 - 13:30
|
13:30 - 15:00: David Shelton: Director, Co-Head Of Credit Derivatives Research, Bank of America Merrill Lynch |
|
|
|
|
Recent Developments in Correlation Modelling
- Impact of Revisions to Basel II on Correlation Books
- Modelling the Dynamics of the Correlation Skew
- Stochastic Recovery Modelling and the Empirical Recovery Distribution
- Counterparty Risk: CVA amd DVA for Correlation Products
Break: 15:00 - 15:15
|
15:15 - 16:30: Andrea Pallavicini, Head of Financial Engineering, Banca Leonardo | |
|
|
|
Modelling Wrong-Way Risk for Interest-Rate Products
- Risk-neutral evaluation of counterparty risk
- Credit spread dynamics, wrong-way risk and bilateral CVA
- Collateralized contracts
- Modelling risk factors and correlations
- Pricing examples for interest-rate derivatives