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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 Recording With Elie Ayache, ITO33 - The Non-Greek Non-foundation of Derivative Pricing
Wilmott magazine, 7city and sponsored by d-fine, presented by Elie Ayache of ITO33 7633 Views

'Finance Focus' event organised by Wilmott magazine and 7city and sponsored by d-fine presented by Elie Ayache of ITO33:

How can derivative pricing be founded when the derivative pricing models all rely on a fixed collection of states of the world (e.g. values of the underlying, or other state variables) and the subsequent trading of those derivatives in fact never stops expanding the collection of states of the world? For instance, Black-Scholes assumes the underlying as sole state variable, yet trading options with Black-Scholes will almost certainly create new states of the world, i.e. stochastic implied volatility. Like all the sciences falling under the umbrella of the metaphysics of presence, option pricing theory cannot avoid this schema. There can be no foundation without presence. Yet the bigger picture of derivative pricing-AND-trading (in other words, the full story of calibration AND recalibration) is here to teach us that there is a non-foundation below the foundation, what we would call, following Derrida, the "non-Greek" non-foundation. Once we start looking at the derivatives from a non-foundational, i.e. deconstructed, point of view, it might appear to us that they are less derivative and more primordial to our overall understanding of the market than we think.

About Elie Ayache: Elie Ayache graduated from Ecole Polytechnique in 1987. He then held a position at Banque Indosuez in Paris as one among the first option traders on the floor of MATIF. In 1990, Elie, co-founded Transoptions Finance, a subsidiary of Credit Agricole, which specialised in option market making. He personally stood on the floor of LIFFE, in the Bund option pit, until 1995. From 1996 to 1998, Elie headed the R&D of Dexia Asset Management in Paris, where he developed derivatives pricing models. In 1998, Elie created ITO33, a software company specialising in mathematical models and numerical solutions for derivative instruments, particularly Convertible Bonds and volatility smiles.

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

8-12 December 2014

Okura Hotel, Amsterdam


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:


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.


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.


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.


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!


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.


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.


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:

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 or visit the website:
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