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Credit risk, XVAs and pricing

Your credit risk, XVAs and pricing highlights on the RiskMinds International 2018 agenda

Credit risk, XVAs and pricing agenda

  • The turning of the credit cycle: potential timings and downturn
  • SA-CCR calibration challenges
  • CVA standardized approach implementation
  • Modelling future IM requirements for CVA, MVA and Basel IMM
  • Risk managing an XVA desk
  • MVA and IM: how are they reflected on the risk side?
  • KVA optimisation

Why Not Also Attend:

Practical Implementation of FRTB Workshop

Workshop leader: Rita Gnutti, Head of Internal Model Market and Counterparty Risk, Intesa Sanpaolo.

This workshop covers the capital requirement framework for market risk in the trading book in light of the new timeline announced by BCBS in Dec 2017 about implementation and reporting date for FRTB.

Starting from the features of the current regulatory framework, it provides an overview of the most relevant methodological, organizational and implementation challenges from a practitioner point of view, taking into account recent regulatory evolutions.

Machine Learning in Finance Workshop

Workshop leader: John Hull, Maple Financial Professor of Derivatives & Risk Management at Joseph L. Rotman School of Management, University of Toronto   

This workshop is designed for participants who are new to machine learning and want to acquire skills in this area.  In order to succeed in finance, individuals need to understand enough about machine learning to use it as a tool. This means that they must (a) understand in a general way how the algorithms work, (b) know how to interpret machine leaning output and be able to make decisions on next steps in an analysis, and (c) communicate effectively with data-science professionals. The workshop will focus on developing these skills.

The Global Risk Regulation Summit

International supervisors join together with heads of regulation from global banks to review the latest regulatory horizon. Themes include rethinking financial stability, the final Basel rules, ECB's priorities, BOE's transition to risk free rates, resolution in Europe, ring fencing banking, EBA's stress testing lessons, adoption of FRTB, regulating innovation, the GDPR journey and dealing with disruption and diversification.