Regulation, financial accounting standards, and market forces continue to pressure banks to accurately and quickly measure counterparty credit risk. Risk measures like Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA) are increasingly needed in real-time or near real-time in the front office, so traders can capitalize on fleeting trading opportunities while ensuring the trades are profitable to the bank and within risk limits. Meanwhile, middle office risk managers are tasked with calculating counterparty risk measures for huge portfolios of trades within increasingly tight time windows and with greater accuracy, to ensure regulatory capital charges are minimized and to facilitate intra-day views of desk and firm-level risk.
Given the complexity of the calculations and their potential impact on a bank’s profitability, front and middle offices should more closely align on counterparty credit risk calculations and practices – but many banks struggle to achieve this in practice.
Join Numerix on Thursday, March 14th at 8:00 am EST as Denny Yu, VP of Client Solutions and Risk Product Manager, explores emerging decision support tools that can help a bank make the decisions that best align the bank’s interests in credit risk, liquidity consumption and regulatory capital with a robust and profitable derivatives operation.
- Current Counterparty Credit Risk Measures
- Emerging Counterparty Credit Risk Measures
- Optimization of Derivatives Operations
- Challenges
- Recommendations
Attendance is complimentary, Registration is required.
Denny Yu, oversees risk analytics including stress testing, VaR, and counterparty credit risk management. Prior to Numerix, he held positions at RiskMetrics and Citigroup in the Credit Risk Modeling group.
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