Day One, Wednesday 31 August

09.00 Coffee and registration

09.30 Regulatory overview: Implications for counterparty risk managers

• Understanding CVA and counterparty risk under Basel III and CRD IV 
• Basic definitions and CCR metrics
• Regulatory capital requirements for OTCs: Default and CVA charges
• Existing regulatory methods for default and CVA capital charges
• Impact of central clearing 
• Upcoming regulatory changes and their impact on practitioners 

Speaker: Steve Lindo, Adjunct Professor, Financial Risk Management, Columbia University School of Professional Studies

11.00 Coffee Break

11.30 Credit valuation adjustments

• Derivatives pricing in the new regulatory framework: What has changed? What does the future hold? 
• Modelling and quantifying CVA capital charge 
• CVA hedging strategies 
• Wrong-way risk and correlated counterparties
• Internal model vs. standardised approach 

Speaker: Harvey Stein, Head, Quantitative Risk Analytics, Bloomberg

13.00 Lunch

14.00 Calculating collateral for counterparty risk exposures

• Basel III compliant (full) collateral modelling and wrong way risk
• Specific wrong way risk - approaches for capturing  
• General wrong way risk - trade price 
• The latest in regulatory compliant initial margin and independent amount modelling 
• Collateral haircuts approach 

Speaker: Alexander Shklyarevsky, Director, Model Risk Management, Enterprise Risk Management, State Street

15.30 Coffee Break

16.00 Stress testing counterparty credit risk

• Relation between stress scenarios and statistical measures 
• Portfolio measures and coherent measures 
• Why stress test counterparty credit risk and how to identify key risk factors for counterparty credit risk stress testing 
• Stress testing (including CCR), scenario analysis, sensitivity analysis and their repercussions for counterparty credit risk 
• Limitations of using stress scenarios across portfolios and how to overcome while optimally managing business and staying regulatory compliant 

Speaker: Alexander Shklyarevsky, Director, Model Risk Management, Enterprise Risk Management, State Street

17.30 End of day one

Day Two, Thursday 1 September 

09.00 Coffee and registration

09.30 SA-CCR: Introduction to the new method

• Understanding the revisions to the CCR framework 
• Comparison between current exposure method and SA-CCR
• Addressing shortcomings of the standardised approach and incoming capital floors
• Introduction of capital floors: ballpark impact of SA-CCR vs IMM
• Overlap with FRTB framework and timelines 
• Interactions with other regulatory frameworks including BCBS-IOSCO

Speaker: William Segal, Director, Quantitative Analysis, Capital One

11.00 Coffee break

11.30 Central clearing and counterparty credit risk 

• The role's and challenges of CCP's: Overview and developments 
• Methods to assess probability of default 
• Regulatory requirements for cleared derivatives 
• Implications for market structure 

Speaker: Ronald Filler, Professor of Law and Director of the Centre on Financial Services Law, New York Law School

13.00 Lunch 

14.00 Measuring exposure to central counterparties 

• Introduction and key terminologies  
• Exposures to qualifying central counterparties  
• Exposures to non-qualifying central counterparties 
• Systemic risk implications of central counterparties 
• Liquidity impact and collateral management
• Central counterparty stress testing 

Speaker: Houben Huang, Senior Advisor, Deloitte

15.30 Coffee break 

16.00 Additional valuation adjustments 

• Background to FVA debate and practical solutions 
• Formulas and examples 
• Examining further valuation adjustments 
• A work in progress? Latest research and thinking on topic: How to calculate KVA and MVA 
• 'XVA' risk management and best practice

Speaker: Bernhard Hientzsch, Head of Model, Library, and Tool Development for Corporate Model Risk, Wells Fargo

17.30 End of course

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