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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.

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, 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

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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