This presentation took place at Quantifi's 4th Annual Risk conference in London. Mark Gheerbrant focussed on the implementation challenges in revised market and counterparty risk frameworks. This included implementation timelines for new legislation and an overview of FRTB, CVA and SA-CCR.
This presentation took place at Quantifi's 4th Annual Risk conference in London. Patrik Karlsson provided an overview of managing fund liquidity risk and leverage of risk in investment funds. This included existing regulations and market based tools available for liquidity risk management.
Presented by Marc Adler (Quantifi) and Cubillas Ding (Celent)
In these days of ever increasing regulation, weighing risk has never been more critical. Measuring and managing risk across multiple systems is complex and can be costly. Risk technology is undergoing its next wave of innovation with the new breed of a single integrated solution. Forward looking firms are realising that in the new world, the ability to achieve scale, reliability and flexibility will be a winning factor.
Presented by Lee McCormack, Executive Director, OTC Clearing, Nomura
This presentation by Lee McCormack, which took place at Quantifi's Annual Risk Conference, focuses on the timeline of central clearing for OTC derivatives across different regions, and the associated collateral, margin and capital requirements. He also emphasised how regulations are un-bundling traditional OTC derivatives markets and consequently creating threats and opportunities for different market participants.
Presented by Dmitry Pugachevsky, Quantifi
The global financial crisis brought counterparty credit risk and CVA very much into the spotlight. The Basel III proposals published December 2009 introduced changes to the Basel II rules and the need for a new capital charge 'CVA VaR' against the volatility of CVA. There are two ways for banks to compute CVA VaR, so-called standardised and advanced methods, which depend on their current regulatory approval with respect to other aspects. Furthermore, there is the potential to reduce the capital charges via eligible hedges. This presentation outlines explores the capital charges under the two regimes and the capital relief that can be achieved.
Presented by Dmitry Pugachevsky (Quantifi), Sebastian Schnitzler (d-fine) and Holger Plank (d-fine)
The recently published consultative document ‘Review of the Credit Valuation Adjustment (CVA) risk framework’ by the Basel lll Committee introduces new approaches for the calculation of regulatory capital. With focus on XVA stakeholders including desk traders, risk managers, finance and technology professionals, this webinar explores the new CVA risk framework based on FRTB and SA-CCR.
Presented by Dmitry Pugachevsky (Quantifi) & Aurélie Civilio (Risk Dynamics)
This webinar presentation analyses how capital requirements for counterparty credit risk management vary depending on an institution’s business model and also studies the conditions for effective management of counterparty credit risk. It covers a number of areas including comparing capital costs, identifying inconsistencies in prudential regulations and highlights the challenges financial institutions face in the implementation of Basel lll regulation.
Presented by George Handjinicolaou, Deputy CEO, ISDA
At Quantifi's Annual Risk Conference, George Handjinicolaou, provided an overview of the structural changes to the OTC markets in response to the G20 reforms, the global regulatory reform and the European regulatory reforms, all of which are designed to reduce system risk and increase transparency across global financial markets.
Presented by Quantifi
Whereas Basel III represents progress, there are several ongoing challenges. The first set of challenges has to do with the regulation itself. The timeline provides for a phased implementation period extending out to 2019. Another crisis could certainly occur within that time.
While quantitative studies have shown limited impact of the higher capital requirements on the real economy, banks may choose to curtail or exit certain lending businesses if the returns are too low. A consequence could be the expansion of the unregulated and relatively opaque sector of the shadow banking system to fill the credit gap.
Presented by Rohan Douglas, Quantifi
This presentation covers the latest trends and developments including a brief history of CSO modelling, pricing standards, challenges with current modelling approaches, alternate modelling approaches and also a review of the Correlated Stochastic Recovery model.
Presented by Rohan Douglas, Quantifi
An introduction to the Credit Derivatives Markets including history, structure and participants. The presentation also provides detail on pricing is as well as innovations and market directions.
This presentation includes an overview of the Credit Derivatives Market and the different products including Credit Default Swaps (CDS), Asset Backed Credit Default Swaps (ABCDS), Loan Credit Default Swaps (LCDS), Credit Indices (CDX, LCDX) and CDOs (Synthetic and cash). The presentation also explores market standards and key market factors for example market convergence, evolution of new products and challenge for pricing, risk management, technology and oversight infrastructure.
This presentation provides a review of single name credit modelling and market best-practice for pricign bespoke CDOs. It also explains correlation, demonstrating how spreads decrease as correlation increases, and also risk management of CDOs including the dynamics of CDO valuations in terms of recovery rates and spread moves.
An introduction and brief history of credit derivatives is provided in this presentation along with the basics of credit risk management including valuation, trading risk analysis and hedging, risk analysis in practice, portfolio risk analysis and current market challenges.
What is the OTC Derivatives Market, what are the main elements of the proposed OTC derivatives regulatory reform in the Europe and the US and what effect will the new regulations have on the market? All of these questions are answered in this presentation. It also provides market colour including market drivers i.e. central clearing and the introduction of standardised products, and also the growth of European asset managers and indicators that banks are starting to look forward.