EMPOWER YOUR visiOn COUNTERPARTY CREDIT RISK: THEORY, IMPLEMENTATION AND PRACTICE 4 - 6 February 2015 Milano, Italy www.sdabocconi.it/ccr Empower your vision means to broaden your personal and managerial horizons to develop a 360-degree corporate vision. Empower your vision is our exhortation, but also our commitment. Bruno Busacca Dean, SDA Bocconi School of Management PRMIA endeavours to nurture the best breed of risk managers (at a global level). Our partnership with SDA Bocconi on this constantly evolving topic that sits at the heart of financial markets is an illustration of our efforts. Alexandru Voicu The Director of Education, PRMIA COUNTERPARTY CREDIT RISK: THEORY, IMPLEMENTATION AND PRACTICE Counterparty credit risk and CVA have become key concepts since the onset of the global financial crisis. Additionally the importance of funding issues and FVA have become parallel problems. Regulatory rules impact OTC derivatives markets dramatically with large capital charges for bilateral trades and requirements over mandatory central clearing and initial margins. This course aims to explain the key aspects in this important area and look at their impact in the future. During the program, participants will get a solid theoretical background on counterparty risk and CVA, will attend an Excel Laboratory demonstrating several practical examples and their full implementation and discuss the application of CCR in modern financial markets with leading practitioners. Jon Gregory and Alonso Peña Program Directors 24 Teaching hours to learn the key aspects of Counterparty Credit Risk. +8 International Professors and leading Practitioners. á Participants n n n n n n n Regulators Risk managers Credit and counterparty risk managers CVA desk analysts Controllers and audit experts Quantitative risk analysts Derivative and finance professionals. Y Learning model n n n Solid theoretical lessons Detailed implementation workshops Practitioner-lead case studies A basic understanding of derivative product structures is required, as well as working-knowledge of Excel. Learn about the latest developments in theory and market practice in the area of counterparty risk and the related topics of collateral, funding and regulatory requirements. Jon Gregory Program Co-Director, PRMIA o Program contents Day 1: Theory n Background n Default probability and exposure n Collateral n Credit value adjustment n Regulatory requirements n DVA and FVA Day 2: Implementation n Counterparty Lab in Excel (basic) n Credit Risk (Intensity Models) n Credit Default Swaps n Bootstrapping CDS Spreads n Interest Rate Swaps n Monte Carlo Simulation of IRS Day 3: Practice n Basel 2 and Basel 3 counterparty rules n Capital Requirements n EU Regulation n BIS Working Papers n Experiences in banking groups n Large-scale implementation of CVA Ü Faculty Jon Gregory Dr. Jon Gregory is a partner at Solum Financial and specializes in counterparty risk and CVA related consulting, and also advisory projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is the author of the book “Counterparty Credit Risk and credit valuation adjustment : A Continuing Challenge for Global Financial Markets”. Jon holds a PhD from Cambridge University. Selected publications: Counterparty Credit Risk and credit valuation adjustment : A Continuing Challenge for Global Financial Markets, Wiley; 2 edition, 2012 n Alonso Peña Professor of Banking and Insurance at the SDA Bocconi School of Management. He has worked as a quantitative analyst for Thomson Reuters Risk and for Unicredit Group in London and Milan. He holds a PhD from the University of Cambridge in finite element analysis and a Certificate in Quantitative Finance (CQF) from 7city Fitch Learning UK. His area of expertise is the pricing of financial derivatives, in particular credit derivatives. Alonso has publications in the fields of quantitative finance, applied mathematics, neuroscience, and the history of science. Selected publications: “Advanced Quantitative Finance with C++”, Packt Book Publishing UK, ISBN 1782167226, May 2014. n “On the role of behavioral finance in the pricing of financial derivatives: the case of the S&P 500 index” (with Barbara Alemanni, Giovanna Zanotti). CAREFIN Bocconi, Working Paper Series, 2009. n Pena A, Option Pricing with Radial Basis Functions: A Tutorial, Wilmott Magazine, September 2005. n Giampaolo Gabbi Full Professor of Financial Investments and Risk Management, University of Siena. Director of Banking and Insurance Department at SDA Bocconi. SDA Professor of Banking and Insurance. Visiting Professor of “Financial Regulation” at City University London. Selected publications: Financial regulations and bank credit to the real economy, with G. Iori, J. Porter, S. Jafarey, Journal of Economic Dynamics and Control, 2014, forthcoming n Reduction of systemic risk by means of Pigouvian taxation, with V. Zlatic, H. Abraham, PlosOne, 2014, forthcoming n Evolution of Controllability in Interbank Networks (with D. Delpini, S. Battiston, M. Riccaboni, F. Pammolli, G. Caldarelli), Nature Scientific Reports 2013, Volume: 3, April. n Giacomo De Laurentis Full Professor of Banking and Finance, Bocconi University. Director of Executive Education Custom Programs - Banks, Insurance Companies and Financial Institutions Division, SDA Bocconi School of Management. Selected publications: "The model risk in credit risk management processes" with G. Gabbi, in Gregoriu G.N. Hoppe C. Wehn C.S. (a cura di), Model risk evaluation handbook, McGraw Hill, 2010 n "Lessors’ Recovery Risk Management Capability, Managerial Finance" with J. Mattei, Vol. 35 No. 10, 2009, pp. 860-873, Emerald Group Publishing Limited n “Estimating LGD in the Leasing Industry: Empirical Evidence from a Multivariate Model” with M Riani, Altman, Resti, Sironi (editors), Recovery Risk, Risk Books, 2005 n Guest speakers Andrea Fabbri Co-head Institutional Clients Group - Italy. BNP Paribas Gianluca De Marchi Head of Financial and Credit Risk Unipol Understanding the key aspects of counterparty credit risk and how to manage it. Maurizio Busetti NumeriX Alonso Peña Program Co-Director Matteo Tesser Fairmat iINFORMATION Location SDA Bocconi School of Management Via Bocconi 8, 20136 Milano - Italy Timetable Morning: 9.00 - 13.00 Afternoon: 14.00 - 17.30 Participants will have the chance to attend a social event organized after one afternoon session. Dates 3 days 4 - 6 February 2015 Program Directors Jon Gregory Alonso Peña Inquires For further information about the program, please contact the program consultant: Ingrid Battistini, tel. +39 02 5836.6849 [email protected] Program Fee € 2.500 plus VAT (if required). The program fee covers tuition, case materials, meals and one social event. Special Payment Terms A 10% reduction on the program fee is offered to applications sent in by 24 December 2014. A 15% reduction on the program fee is offered to PRMIA members. These offers are not cumulative. For information about all special payment terms: www.sdabocconi.it/spt Enrollment Procedure The final deadline for enrollment is 15 January 2015. Enrollment requests received after the final deadline may be accepted, for information on this option please contact Micaela Valli ([email protected]). To aid the learning process, a limited number of participants can enroll in the program. Priority will be given on the basis of the arrival date of the enrollment request form, which must be filled in, signed and sent to: SDA Bocconi School of Management Executive Education Open Programs Division Via Bocconi, 8 - 20136 Milano fax +39 02 5836.6833 [email protected] SDA Bocconi will send written confirmation of acceptance by email. For further information, please contact: Micaela Valli: tel. +39 02 5836.6802 Methods of payment The fee must be paid upon enrollment in one of the ways explained in the enrollment request form: cashier’s cheque or banker's draft, money transfer, credit card. Hotel Accommodation The external agency Seneca offers a free hotel booking service and special conditions to our clients. Accommodation is guaranteed if you book at least 15 days before the course starts. If you book less than 15 days before, the agency will do its best to find a suitable and convenient solution. To book call +39 0871 803810-803614 SDA Bocconi School of Management The leading School of Management in Italy and the only Italian School present in all of the most important International rankings (Financial Times, Bloomberg Businessweek, The Economist, Forbes), SDA Bocconi has established itself as a European leader in higher education. SDA Bocconi School of Management is part of Università Bocconi, the first Italian University to grant a degree in economics. For over a century, Bocconi has played a leading role in Italy’s social and economic modernization. SDA Bocconi has been engaged in the promotion and organization of executive education since 1971, with an International approach. The School’s vision of empowering life through knowledge and imagination lies behind its program offerings: Executive Education Open and Custom Programs, MBA and Master Programs, for the development of individuals, companies, institutions and economic systems. Choosing SDA Bocconi and coming to Milano means choosing a vibrant environment, the entrepreneurial, financial and industrialized center of Italy, a doorway to Europe. In short, a wealth of international contacts and opportunities. And Milano, of course, is culture, fashion, design, food and the art of living. PRMIA PRMIA 400 Washington Street, Northfield, MN 55057 USA | www.prmia.org SDA Bocconi School of Management via Bocconi 8, 20136 Milano, Italy | tel +39 02 5836 6605-6606 | [email protected] | sdabocconi.it Follow SDA Bocconi on: © SDA Bocconi School of Management. All rights reserved. The Professional Risk Managers' International Association (PRMIA) is a non-profit professional association, governed by a Board of Directors directly elected by its global membership, of nearly 90,000 members worldwide. PRMIA is represented globally by over 65 chapters in major cities around the world, led by Regional Directors appointed by PRMIA's Board. Established in 2002 by a volunteer group of risk industry professionals, PRMIA's mission is to provide a free and open forum for the promotion of sound risk management standards and practices globally. To accomplish this mission, PRMIA's objectives are: n To be a leader of industry opinion and a proponent for the risk management profession n Drive the integration of practice and theory and certify the credentials of professional risk managers n Connect practitioners, researchers, students and others interested in the field of risk management n Be global in focus, promoting cross-cultural ethical standards, serving emerging as well as more developed markets n Work with other professional associations in furtherance of PRMIA's mission
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