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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.

In for the Count, Part 1: Wilmott Magazine Article
Dan Tudball 4972 Views

Ed Thorp cracked blackjack, used the first wearable computer to beat roulette, started the world's first quantitative hedge fund, anticipated the Black-Scholes formulae by five years, and has maintained consistently excellent returns through nearly forty years in hedged portfolios and derivatives. Dan Tudball reviews the life of one of quantitative finance's great heroes, and speaks to the man himself.

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

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 Quote VIP code FKM62928WML to save 10% on your registration fee courtesy of Wilmott.
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