Credit risk, XVAs and pricing agenda
We've got a whole stream of content on credit risk, XVAs and pricing on Thursday 6 December. Key topics under discussion include:
- 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
Hear from the leading experts in Credit Risk, XVAs and Pricing
Why Not Also Attend:
Capital Requirements from Basel 2.5 to FRTB Workshop
Workshop leader: Rita Gnutti, Head of Internal Model Market and Counterparty Risk, INTESA SANPAOLO
Covering the capital requirement framework for market risk in the trading book and the forthcoming regulatory evolution with FRTB.
Starting from the current framework to give an overview of its main features, the workshop provides an update on Targeted Review of Internal Models (TRIM) and covers main findings relating to FRTB from a practitioner perspective.
Measuring Market Risk Workshop
Workshop leader: John Hull, Maple Financial Professor Of Derivatives & Risk Management, UNIVERSITY OF TORONTO
Covering the quantification of market risk and regulatory developments.
The workshop will have four modules: risk measures, calculating value at risk and expected shortfall, regulation and delta hedging.
Recovery and Resolution Planning Workshop
Workshop leader: Monika Mars, Managing Director, MM RISK ADVISORY SERVICES
Providing an overview of current practices and challenges in recovery and resolution planning.
Gain an overview of regulatory developments at global and European level. And touch on national approaches to recovery and resolution planning - e.g. in the US, UK and Switzerland, before providing examples of recovery and resolution planning from a practitioners’ perspective.
The workshop will also include a specific session on TLAC, MREL and Bail-in.
Stress Testing: Theory and Practice Workshop
Workshop leader: Jo Paisley, Former PRA Director & Ex Global Head of Stress Testing, HSBC
A highly interactive workshop focusing on the theory and practice of enterprise wide stress testing for banks.
It explains the history and development of stress testing over recent years to become one of the key tools for regulators to assess the resilience of individual institutions and the financial system.
Compare the different approaches of regulators and provides practical guidance for those involved in implementing stress testing programmes within banks.