New York Quantifi Seminar: Counterparty Risk and CVA, What's New? 

Co-hosted by: Quantifi & PRMIA

The OTC markets are going through significant changes due to new national regulations on derivatives and the impending Basel III capital accord. Many of these changes are being driven by counterparty risk concerns, either mandating or creating incentives for central clearing and imposing significantly higher capital charges for bilateral trading. In this new environment, banks are transitioning their business models, generally moving away from capital intensive businesses and shifting decision making authority from the trading desks to central risk management groups, including CVA desks. With so many moving parts and the inherent complexity, best practices for counterparty risk management are still evolving. Should counterparty risk be managed at the desk level or by a central CVA desk? Should banks attempt to hedge CVA or rely on economic capital reserves? What is the best systems infrastructure?

Join Quantifi & PRMIA for an interactive seminar on Counterparty Risk & CVA and hear from experienced practitioners.

February 15, 2012

Harmonie Club, 4 East 60th St, New York, NY 10022
 

MODERATOR:

• Dmitry Pugachevsky, Director of Research - Quantifi

PANELISTS and PRESENTERS:

• David Lynch, Manager, Quantitative Risk Management and Financial Analysis, Federal Reserve Board
• Fabio Mercurio, Head of Quant Business Managers, Bloomberg LP
• Doug Warren, Independent CVA consultant, formerly of Barclays Capital

TOPIC FOCUS:

• Current trends in setting up CVA processes
• Marginal CVA pricing practices
• How are banks hedging CVA now and in the future?
• -Regulatory priorities

AGENDA:

REGISTER: Click here