Banks have always faced challenges in how to effectively manage their credit risk. However when considering the credit impact from a derivative portfolio this becomes even more challenging as it gives rise to counterparty credit risk. Counterparty credit is significantly different in nature to regular credit risk as it intrudes a bi-lateral credit exposure. The management of this type of credit risk gives rise to the credit valuation adjustment (CVA).
This workshop examines the different credit exposure measures and looks at the different ways to calculate the probability of default. From this the participant will have the tools to be able to price CVA and DVA. The impact of collateralisation will also be considered, along with advanced topics such as wrong-way risk.
Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such as OIS discounting, FVA, CVA/DVA and quantitative impacts of regulation.
Ben came to the Maroon business with 22+ years working for Investment Banks as a Quantitative Analyst. Up to 2012 he was the APAC regional head of the Quant function for RBS and before that the local head of Quant at ABN AMRO Australia. He has a long track record of building real time pricing and risk management systems for traders and risk management teams. In 2012 he managed the successful OIS migration of a large derivatives trading book for a global bank.
This workshop will be very useful for anyone who is interested in how counterparty credit is priced and the risk is managed.
Upon completing this workshop you will be able to:
The presenter is very knowledgeable in the area
Very informative, Ben is very helpful and knowledgeable
This was a good knowledge building opportunity