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Day 1: Basel III & Capital Requirements: CVA, Counterparty Credit Risk, VaR & Central Counterparty Risk |  |
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09.00 - 10.30: A Critical Analysis of Counterparty Credit Risk and CVA in a Basel III World
Jon Gregory: Partner, Solum Financial Partners
- Background of counterparty risk regulation
- Regulatory changes since the the global financial crisis
- Changes to the Basel II regime
- The "mark-to-market" of CVA
- CVA VAR
- Central counterparties
Break: 10.30 - 10.45
10.45 - 11.45: Optimising Capital Charges and the Effects of Hedging Under Basel III
Dmitry Pugachevsky, Director of Research, Quantifi
- Basel III capital charges
- The effect of hedging under Standardised and IMM approaches
- Optimising Basel III capital charges
11.45 - 12.45: Addressing the Quantitative Liquidity Modelling Challenges under Basel III
Sanja Hukovic: Head of Quantitative Risk Standards, Executive Director, UBS
- The current position
- Key quantitative modelling issues
- Addressing the challenges
Lunch: 12.45 - 13.45
13.45 - 15.30: Basel III Pricing: Uncollateralized Trades
Chris Kenyon: Director, Quantitative Research, CVA, Lloyds Banking Group
- Loss of simplicity for discounting
- Exposure profile sources and backtesting
- CCDS cost versus CVA VaR Capital cost
- Analytic approaches
Break 15.30 - 15.45
15.45 - 16.30: Basel III & Capital Requirements Panel Discussion:
Panelists:
Jon Gregory: Partner, Solum Financial Partners
Dmitry Pugachevsky: Director of Research, Quantifi
Chris Kenyon: Director, Quantitative Research, CVA, Lloyds Banking Group
Topics:
- CVA risks such as closeout, first to default and interaction with Funding ignored by Basel?
- Should we really take out DVA as Basel (but not FASB) recommends?
- Is simplistic regulation (past bond equivalent formulas etc) diminishing risk or creating more?
- The computational challenge to properly compute simplified CVA VaR or even Expected Shortfall
- Data issues: joint historical/cross sectional calibration and data scarcity.
- Should we rather look at the whole CVA future Loss distribution rather than a percentile?
- Can we integrate funding risk properly?
16.30 - 17.30: Pricing and Trading CVA in the Basel 3 World
Jonathan Salt: CVA Trading, Global Finance and FX, Deutsche Bank
- The rise to prominence of CVA trading
- What affects CVA charge
- Basel II & III highlights and pricing impact
- CVA and CVA VaR Optimization
Day 1: Basel III & Capital Requirements: CVA, Counterparty Credit Risk, VaR & Central Counterparty Risk | Day 2: Basel III & Capital Requirements: CVA, Counterparty Credit Risk, VaR & Central Counterparty Risk | Details | Booking | download pdf
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Day 2: Basel III & Capital Requirements: CVA, Counterparty Credit Risk, VaR & Central Counterparty Risk | |
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09.00 - 11.00: Counterparty Credit Risk Management and Regulatory Challenges Post Basel 3
Andrea Buzzigoli: Senior Quantitative Finance Analyst - Counterparty Credit Risk Analytics, Bank of America - Merrill Lynch (Formerly, Principal Risk Specialist Counterparty Risk Team, FSA)
- Regulation of Internal Model Method (IMM) for CCR
- Key regulatory changes in Basel 3 / CRD4 for CCR (key discussion points will be implementation of EEPE, Stressed EEPE, Backtesting and Wrong Way Risk)
- CVA VaR charge (focus on stress CVA calculation, eligible hedges and proxies)
- CCP capital charge
- Putting everything together: counterparty credit risk management in the new regulatory environment
Break: 11.00 - 11.15
11.15 - 12.00: Central Counterparty Risk
Matthias Arnsdorf, Executive Director, JPMorgan
- Central Counterparty Risk
- Capital structure of a Central Counterparty
- What risks do clearing members face
- How can we model counterparty risk to central clearing houses
- What is the typical cost of the central counterparty risk
- Implications for Central Counterparty Capital
12.00 - 13.00: Bilateral First-to-Default Counterparty Credit Risk
Frank Oertel: Senior Lecturer in Financial Mathematics, University of Southampton - Formerly Senior Expert, German Federal Financial Supervisory Authority (BAFIN)
- Introduction to bilateral counterparty credit risk (BCCR)
- Alice and Bob: who will default first?
- Embedding of BCCR in the framework of a financial network
- Main building blocks of BCCR in an incomplete financial market and the role of information
- Vulnerable cash flows, ISDA’s close-out rules and DVA
- First-to-Default Bilateral Valuation Adjustment (FTDBVA) as market price of BCCR
- The FTDBVA Representation Theorem of Brigo and Capponi
- Unilateral CVA (UCVA) in Basel III as a special case of BVA - Part I
Please note: that possible topic might be adapted to the most recent developments in Basel III and IMM modeling, so that some of the subtitles might change accordingly.
Lunch: 13.00 - 14.00
14.00 - 15.00: First-to-Default Bilateral Valuation Adjustment - A Top-Down Approach
Frank Oertel: Senior Lecturer in Financial Mathematics, University of Southampton - Formerly Senior Expert, German Federal Financial Supervisory Authority (BAFIN)
- Valuation of defaultable claims including bilateral counterparty credit risk: an actuarial point of view
- General mechanics of market prices of BCCR, accounting standards and the DVA paradox
- Given ISDA’s close-out rules, what do we else require from a suitable market price of BCCR?
- The necessity of FTDBVA: Brigo-Capponi revisited
- Unilateral CVA in Basel III as a special case of BVA – Part II
- How does Basel III model UCVA: assumptions, generalisations and Wrong-Way Risk
- Can we embed systemic risk in BCCR and FTDBVA?
- The CVA capital charge of Basel III: IMM and ACVA
- A first approach towards a generalisation of ACVA in Basel III: multivariate dependence modelling, copula approaches and research problems
Please note: that possible topic might be adapted to the most recent developments in Basel III and IMM modeling, so that some of the subtitles might change accordingly.
15.00 - 15.45: Basel III & Capital Requirements Panel Discussion: Managing Risk
Panelists:
Niels Charpillon: Executive Director, CVA Quant team, UBS
Frank Oertel: Senior Lecturer in Financial Mathematics, University of Southampton
Dirk Stemmer: Director, Senior Manager, Leader CVA Market Initiative, Deloitte & Touche GmbH
Topics:
- Can CVA and funding capital requirements be optimized or restructured?
- CCDS as CVA hedging instruments. Will the regulators recognize their benefit?
- CCDS issues and the new ISDA standardized CCDS portfolios
- Past and current attempts at direct restructuring: Bistro, Score, and Credit Suisse Bonus Programme.
- Margin Lending: Should Counterparties borrow collateral from banks to avoid CVA charges?
- Would Margin Lending be recognized by regulators?
- Is collateral transformation and re-hypothecation recognized by regulation?
Break: 15.45 - 16.00
16.00 - 17.30: The Regulatory, Accounting and Business Drivers for CVA
Dirk Stemmer: Director, Senior Manager, Leader CVA Market Initiative, Deloitte & Touche GmbH
- The current status of CVA implementation
- CCR charge Implementation challenges
- Managing & Hedging CVA under regulatory and accounting constraints
- CVA pricing under consideration of regulatory capital costs
Day 1: Basel III & Capital Requirements: CVA, Counterparty Credit Risk, VaR & Central Counterparty Risk | Day 2: Basel III & Capital Requirements: CVA, Counterparty Credit Risk, VaR & Central Counterparty Risk | Details | Booking | download pdf
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Details | |
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Location:
The Bloomsbury Hotel
16-22 Great Russell Street
London
WC1B 3NN
Tel: +44 (0) 207 347 1000
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.
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World Business Strategies offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 201352
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World Business Strategies command the rights to cancel or alter any part of this programme.
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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.
Day 1: Basel III & Capital Requirements: CVA, Counterparty Credit Risk, VaR & Central Counterparty Risk | Day 2: Basel III & Capital Requirements: CVA, Counterparty Credit Risk, VaR & Central Counterparty Risk | Details | Booking | download pdf
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Day 1: Basel III & Capital Requirements: CVA, Counterparty Credit Risk, VaR & Central Counterparty Risk | Day 2: Basel III & Capital Requirements: CVA, Counterparty Credit Risk, VaR & Central Counterparty Risk | Details | Booking | download pdf