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UnRisk: Exposure Skewness
Andreas Binder & Michael Aichinger

Swap 4175 between the City of Linz and BAWAG P.S.K. Is currently the subject of a trial at Vienna's commercial court. This article examines how a single instrument CVA calculation for Swap 4175 could be carried out. In such a CVA calculation, market risk and counterparty risk are coupled.

CQF Turns Eleven
Wilmott Magazine

As the Certificate in Quantitative Finance marks its 11th year we take a look at the history of a program that has built a reputation on delivering far beyond expectations.

'Finance Focus' event: The Risky Horror Show with Andreas Binder
Organised by Wilmott magazine, 7city & UnRisk 7927 Views

Computational Finance is, in our understanding, the art of modelling financial processes and then to somehow calculate fair values of financial instruments.

There are intrinsically several traps which one should avoid: Different models for the underlying lead to different prices of derivatives. When models get too complicated, there is the danger of spurious accuracy, which may lead to a loss of criticism. Numerical methods for the valuation have to be chosen in such a way that they can handle the problem under consideration reasonably fast, stable and robust, ideally also for the Greeks.

In the calibration of models, there is the danger of local minima or of instabilitites when many parameters have to be identified.

We will give examples of risky horrors during the presentation.

RiskMinds International 2014 - 8-12 December 2014 - Amsterdam - 10% Wilmott DISCOUNT
RiskMinds International 2014

8-12 December 2014

Okura Hotel, Amsterdam

http://www.riskmindsinternational.com/FKN2386WMW

10% DISCOUNT - VIP CODE: FKN2386WMW

Now in its 21st year, RiskMinds International is the world's largest risk management conference and is fully established as the most senior gathering of the global risk management community. 600+ CROs, global Supervisors, renowned Academics and expert industry Practitioners will gather together this December to discuss strategic risk management, capital allocation and practical risk modelling. Here's a peak at what's on the agenda this year:

DRIVERS OF REFORM

Jonathan Faull, Director General, Internal Markets & Services of THE EUROPEAN COMMISSION will be explain how The Commission is establishing a safe and growth enhancing financial Sector for Europe. He will be joined by Lord Adair Turner, Former Chairman of the FSA and Sir John Vickers, OXFORD UNIVERSITY & the author of the Vickers Report to determine the future for banking reform.


SENIOR CROs

Raj Singh, Group CRO, STANDARD LIFE will be strategizing with 25+ CROs from institutions including CITI, ING, SG, CIBC, ERSTE GROUP, NOMURA HOLDINGS & WELLS FARGO on the role of the board, emerging risks, global banking & risk culture.


GLOBAL SUPERVISORS

Andrew Gracie, Executive Director, Resolution, BANK OF ENGLAND, alongside Governor Liikanen of the BANK OF FINLAND, Thomas Hoenig of the FDIC & Neil Esho of THE BASEL COMMITTEE ON BANKING SUPERVISION will offer an outline for coming reform.


RESPECTED ECONOMISTS

Willem Buiter the Global Chief Economist at CITI will talk QE, Recovery, Inflation and Growth. Willem has been an advisor to GOLDMAN SACHS, the Chief Economist for the EBRD and an advisor to The IMF & The World Bank - we are in safe hands!


RENOWNED ACADEMICS

Didier Sornette, Professor, ETH ZURICH shares his latest research on economic & financial bubbles while Emanuel Derman of COLUMBIA UNIVERSITY and Jon Danielsson of LSE embark on discussions on systemic & model risk.


THE BOARD

Anthony Santomero, Board Member at CITIGROUP will be joining a CRO Discussion on Risk and The Board alongside CROs who sit on the board: Wilfred Nagel of ING & Andreas Gottschling of ERSTE GROUP.


PHILOSOPHERS OF FINANCE

Nassim Taleb, NYU will be hosting a special one day workshop on Risk Management In The Real World & Professors Stefan Thurner, MEDICAL UNIVERITY OF VIENNA & Luciano Petronero, UNIVERSITY OF ROME will present on Systemic Risk & Measuring Intangibles.

Visit the website for more information: http://www.riskmindsinternational.com/FKN2386WMW

Don't miss details of the Global Risk Regulation Summit on December 8th, and our Practical Risk Workshops on December 12th, covering Credit Risk, Risk-Adjusted Performance, Operational Risk and Risk Management In The Real World.

You can get a 10% discount with Wilmott - quote the VIP code FKN2386WMW to claim.

For more information or to register please contact the RiskMinds team on +44 (0) 20 7017 7200, email info@icbi.co.uk or visit the website: http://www.riskmindsinternational.com/FKN2386WMW
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