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All delegates will receive a complimentary copy of the Wiley 2009 publication: Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory.
Complimentary Publication: | Day 1: Counterparty Credit Risk: The New Challenge for Global Financial Markets | Day 2: Counterparty Credit Risk: The New Challenge for Global Financial Markets | Details: | download pdf
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Day 1: Counterparty Credit Risk: The New Challenge for Global Financial Markets | |
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Presenter:
Jon Gregory: Independant Consultant
Day 1
I. Introducing Counterparty Risk
- A history of counterparty risk
- The development of the OTC derivatives market
- Risk mitigation methods
- The credit derivatives market
- Wrong-way risk
- Lessons from the crisis
II. Mitigating Counterparty Risk
- Default remote entities
- Close-out
- Netting
- Collateral
- Additional termination events
III. Quantifying Credit Exposure
- Defining credit exposure
- Expected exposure (EE), potential future exposure (PFE) and expected positive exposure (EPE)
- Exposure simulation methodologies
- Accounting for netting
- Accounting for collateral
IV. Pricing Counterparty Risk - Credit Value Adjustment (CVA)
- Default probability and recovery rate
- Defining CVA
- Computing CVA
- Bilateral CVA
- Netting – incremental and marginal CVA
- CVA and collateral
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Complimentary Publication: | Day 1: Counterparty Credit Risk: The New Challenge for Global Financial Markets | Day 2: Counterparty Credit Risk: The New Challenge for Global Financial Markets | Details: | download pdf
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Day 2: Counterparty Credit Risk: The New Challenge for Global Financial Markets | |
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Day 2
I. Hedging Counterparty Risk
- Static hedging
- Contingent credit default swaps (CCDS)
- Hedging exposure components
- Hedging credit components
- Gamma and cross gamma
- Hedging and bilateral CVA
- Hedging collateralised positions
II. Portfolio Level Counterparty Risk
- Double default and CCDS
- Random exposures in a portfolio context
- Computation of unexpected losses due to counterparty risk
- Introducing the alpha factor
- Basel II
III. Wrong-way Risks, Central Counterparties
- Wrong-way risk in interest rate, FX and commodity products
- Modelling approaches for wrong-way risk
- Credit default swaps (CDS)
- Credit derivatives portfolio products
- Monoline insurers
- Central counterparties (CCPs)
- The validity of central clearing
IV. Managing Counterparty Risk in a Financial Institution
- Results from survey of 20 banks on CVA practices
- Organisational aspects
- Mechanics of pricing
- Technology aspects
- CVA desk – insurance company or trading desk?
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Complimentary Publication: | Day 1: Counterparty Credit Risk: The New Challenge for Global Financial Markets | Day 2: Counterparty Credit Risk: The New Challenge for Global Financial Markets | Details: | download pdf
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Details: | |
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Location:
The Marylebone Hotel
47 Welbeck Street
London W1G 8DN
Hotel Website
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.
Complimentary inbound transfer service:
WBS Training now extend our premium service to all our clients. This includes a complimentary inbound transfer from London airports to central London hotels for all workshops. If you require this service simply inform us up to 2 working days prior to your arrival (flight number, arrival time, airport and hotel destination) and we will arrange a complimentary pick up. You will be given a phone number to call on arrival and will be greeted at the airport by our partner taxi company.
Sponsorship:
World Business strategies Ltd, offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 674400
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.
Complimentary Publication: | Day 1: Counterparty Credit Risk: The New Challenge for Global Financial Markets | Day 2: Counterparty Credit Risk: The New Challenge for Global Financial Markets | Details: | download pdf