Presentations from Conferences and Association Meetings

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

Quantifi & PRMIA teamed up to present an interactive seminar on Counterparty Risk & CVA where experienced practitioners offered their opinion on all matters related to this hot topic:

Areas Covered

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

Panelists

  • David Kelly, Director of Credit Products, Quantifi
  • Dr. Jon Gregory, Consultant, Solum Financial
  • Kai Pohl, Head CVA Trading, Societe Generale
  • Dr. Nathaniel Benjamin, Risk Specialists Division, FSA
 Click here to watch the video highlights

Quantifi Presentation - Basel III

Basel III and related impact

  • Why Basel III plugs gaps in Basel II
  • Procyclicality, Stressed VaR, ‘Wrong-way’, ‘Incremental’ and ‘Specific’ risks defined
  • Potential impact on banks and current plans
  • Meaning of Basel III for securitization market
  • Impact on the real economy
  • Basel vs. Government Regulators
  • Timeline
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CDOs and Structured Credit

101 & 102

An introduction to the pricing and intuition behind CDO and Structured Credit modeling.

  • Single name credit modeling review
  • A little review of statistics, probability, and risk neutral pricing
  • CDO Modeling
  • A discussion of correlation and the dynamics of CDO valuation
  • Copula modeling
  • Implied correlations
  • Market best-practice for pricing bespoke CDOs
  • Risk Management of CDOs
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CDO Modeling

Trends and Latest Developments

  • A (brief) history of CSO Modeling
  • The current market standard for pricing CSOs
  • Challenges with current modeling approaches
  • Alternate Modeling approaches
  • The Correlated Stochastic Recovery Model
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Credit Derivatives

An Overview

  • Credit Derivatives are financial contracts whose value is derived from an underlying credit risk.
  • OTC credit derivatives were introduced in NY in 1991 and started to take off around 1996.
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Oracle Capital

Awards

Whitepaper - The Evolution of Counterparty Credit Risk

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