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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.

General Monte Carlo Greeks in Practice: Wilmott Magazine Article
Qimou Su and Curt Randall 1141 Views

This article suggests three Monte Carlo algorithms for the computation of derivative price sensitivities (the "Greeks"). The first algorithm is a finite difference implementation of the likelihood ratio method introduced by Broadie and Glasserman (1996). Two additional schemes further improve the performance and applicability. All implementations are fully numerical and avoid complicated theoretical derivation.

RISK DATA AGGREGATION & REPORTING - 24 - 25 September 2014, London - 10% Discount
24 - 25 September 2014, London

Achieving Compliance and Implementing Solutions for the New BCBS 239, DGI, LEIs and FDSF Risk Data Regulatory Requirements

10% Discount Available Courtesy of Wilmott

Join the FSB, European Regulators and Heads of Risk, Data and Architecture at European Banks to discuss the latest regulatory developments and industry practices within Risk Data.

Focusing on the BCBS 239 Risk Data Aggregation and Reporting principles, the Summit will bring together leading European regulators and banks to discuss evaluating the principles and steps to enhancing risk data governance, tools and processes in practice. With regulators and Heads of Risk, Data and Architecture sharing best practice in managing risk data, the Summit will prove valuable for all those involved in managing risk data, architecture and infrastructure within the bank.

Key highlights of what you can expect at Infoline's Risk Data Aggregation and Reporting Summit:

Regulatory insights and clarity on risk data regulation:
? Financial Stability Board: Data Gaps framework
? PRA Framework for risk data compliance
? Integrating work for BCBS 239, LEIs and the FDSF
? Regulatory roundtable: National interpretation of the Risk Data Aggregation and Reporting principles

Enhance aggregation and reporting capabilities within the bank:
? Achieving data aggregation across the group
? Practical steps to accuracy and integrity for data
? Reconciliation and control systems for data
? Developing an information delivery process 

Build appropriate data governance frameworks:
? Educating the Board on current risk data practices
? Effective governance structures for risk data
? Reassuring the regulator over governance
? Delivering lean reporting for risk data

Overcome architectural challenges to leverage risk data for the business:
? Ensuring data lineage processes
? Investing in operating models for data
? Leveraging risk data within the bank
? Overcoming legacy architecture

10% Discount Available Courtesy of Wilmott

To register: Visit the website
Call: +44 (0)20 7017 7702
Remember to quote your VIP Code FKM62862WMTL
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