Modelling and managing counterparty risk seminar, 7th April, Brussels

PROGRAMME

Led by  Michael Pykhtin, Senior Economist, the Quantitative Risk Management Section, FEDERAL RESERVE BOARD and Jon Gregory, Counterparty Risk CONSULTANT

08:30 Registration and coffee

09:00 Counterparty risk components
- History of CVA
- Default probability and recovery
- Exposure
- Systems issues
- Central counterparties
- CVA basics

10:30 Morning break

11:00 Managing counterparty risk
- DVA
- Funding
- Wrong-way risk
- Hedging CVA
- The role of a CVA desk

12:30 Lunch   

13:30 Modelling counterparty credit exposure
- Stand-alone credit exposure of a derivative contract
- Scenario generation
- Contract valuation
- Counterparty-level exposure with and without netting
- Modelling exposure for collateralized netting sets
- Credit limits and exposure profiles
 
15:00 Afternoon break

15:30 Modelling portfolio credit loss   
- Portfolio vs. single obligor models
- Modelling defaults
- Modelling recoveries
- Joint simulation of exposure, defaults and recoveries
- Loan equivalent exposure and alpha
- Allocation of economic capital
- Regulatory capital

17:00 End of the seminar