Subscribe to Wilmott
Follow us on Twitter
join wilmott
login
forums
blogs
wiki
articles
audio visual
file share
news
events
jobs board
search
magazine
cqf
about us
subscribe
home
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.

Iceberg Risk: An Adventure In Portfolio Theory: Sixth Instalment
Kent Osband 3065 Views

Here is the sixth instalment of a pre-publication review manuscript exclusively available to readers of Wilmott.com, due to be published by Texere in August 2002.

The 5th European Practitioners' Forum on: CRDIV Operating Models - 21-23 January 2015 - London - 10% Wilmott Discount
The 5th European Practitioners' Forum on:
CRDIV Operating Models


21-23 January 2015 - London

http://www.infoline.org.uk/FKM62928WML

This unique event is comprised of three separately bookable days, helping attendees integrate the Final Capital and Liquidity Guidance into Products, Models and the Business:

Conference 1:

CRDIV Capital

Building the CRDIV Capital Guidance into Business as Usual Processes and Assessing Business Profitability

21 Jan 2015 - London

Highlights including:
- PRA Priorities for the implementation of CRDIV
- Industry panel: Planning for the impacts of regulation, stress testing and fines on Capital

Bank led case studies including:
- Building CRDIV Capital into products and models
- Enhancing capital planning with econometrics
- Capital optimisation for a mid-tier Bank
- Capital allocation and transfer pricing within the business

--------------------
Conference 2:

CRDIV Liquidity

Building the Finalised Delegated Act for the LCR into Liquidity Planning and Management

22 Jan 2015 - London

Liquidity highlights including:
- Analysing the finalised Delegated Act for the LCR
- PRA Priorities for Liquidity Reporting
- The future of Liquidity Supervision under the ECB

Bank led case studies including:
- Utilising LCR dynamic forecasting in the business
- Integrating CRDIV liquidity with funding and FTP
- The implications of Sovereign Risk in the LCR
- Joint management of LCR and NSFR parameters
--------------------

Post-conference workshop:

Inter-dependencies between
Liquidity and Capital Ratios


23 Jan 2015 - London

Led by Christian Schmaltz, Assistant Professor for Banking at Aarhus University, benefits of attendance include:
- Understand the six Basel III ratios and their interdependencies
- Form practical strategies to enhance the joint management of the Basel III ratios within the business
- Optimise your ratio compliance program over a longer time horizon
- Be aware of the latest regulatory developments affecting the Basel Ratios

Learn more about all three days, download the agenda and register today at http://www.infoline.org.uk/FKM62928WML. Quote VIP code FKM62928WML to save 10% on your registration fee courtesy of Wilmott.
Oanda
Latest Tweets
New & Improved Wilmott Jobs Board
Now Playing
Finance Focus: Nick Higham
Latest Blogs
Paul
Now is the Perfect Time to Raise Interest Rates
13 01 15: 11:31 AM
NNT
Quiz 7 - The problem with "drift" (The 1st who gets it wins a copy of The Black Swan )
13 03 07:12:48 PM
Collector
Unified Book Launch Oslo
05 12 14:5:19 PM
Emanuel Derman
RSS Feed to Reuters Blog
01 07 11: 4:02 PM
Satyajit Das
The Truth of the Matter
04 11 13: 4:57 AM
DCFC
deMorgans Law
22 07 09: 3:04 PM
Pablo Triana
Models On Models
21 05 11: 4:49 PM
Jan Dash
New paper "Market Crises, Earthquakes, and the Reggeon Field Theory"
11 06 13: 2:36 AM
Dan Goldstein
Taxi Drivers Get Bigger Tips When Paid By Credit Card
10 03 10: 10:28 PM
Iris Mack
New Orleans Metro Area Under Tornado Watch & Warning
27 04 15: 5:14 PM
Cuchulainn
dd
27 04 15: 9:44 PM