Counterparty Credit Risk Management

This two-day programme will provide participants with issues and challenges surrounding counterparty credit risk in derivatives.

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Counterparty Credit Risk Management

19-20 June 2019 | Hong Kong

 

CPD Eligible - Earn 16 CPD points

 

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This two-day programme will provide participants with issues and challenges surrounding counterparty credit risk in derivatives. Our expert speakers will highlight two important characteristics of CCR: the risk of counterparty default and a credit valuation adjustment (CVA); and the calculation of counterparty credit risk of a portfolio of transactions. 

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John Greene

Head of Derivative Counterparty Exposure Management

ABSA GROUP LIMITED

John is the Head of Derivative Counterparty Exposure Management focussing on all aspects of Counterparty Credit Risk at Absa Group, an international financial services group, within the Corporate and Investment Banking division. John has over 14 years of financial services experience in Ireland, the UK and Africa across multiple asset classes and with a proven track record of successfully formulating and executing innovative risk strategies enabling banks to operate effectively and efficiently.

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Denise Long

Director, Risk Advisory

DELOITTE

Denise is a Director within Deloitte Risk Advisory team, focusing on Governance, Risk and Regulatory Practice. She has extensive working experience in risk management and financial advisory. She specialises in risk management, strategy development, process change and product and marketing intelligence. She currently leads the Financial Risk Management area including credit risk, market risk, and liquidity risk management, covering model risk management (e.g. Basel, IFRS 9, Application and Behavioural scorecards), stress testing, risk data governance, risk reporting, credit approval and decision process, as well as monitoring, and control processes. She has also been involved in projects relating to IRRBB development and assessment, CCR, ICAAP review. She is fluent in English and Chinese (Cantonese and Mandarin), advanced in Japanese, and can speak intermediate-level Spanish.

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Osamu Tsuchiya

Principal

Simplex Inc.

Osamu Tsuchiya is a Quantitative Analyst at Simplex Inc. He has worked for Dresdner Kleinwort and Citigroup as a rates and hybrid derivatives quant analyst. He has also worked for XVA modeling.

Additionally, he has experience working as a  financial risk management consultant for Ernst and Young.

Before moving to finance, Osamu worked in the field of mathematical physics. He holds a PhD in Theoretical and Mathematical Physics from The University of Tokyo. His book "The Practical Approach to XVA: The Evolution of Derivatives Valuation After the Financial Crisis" will be published this year.

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Minjie Yu

Head of XVA Trading, Asia Pacific

HSBC

Minjie Yu is Head of XVA trading desk at HSBC Asia-Pacific, who is leading the team to manage XVA (CVA/FVA/MVA/etc) and Capital Optimization for derivative business in APAC.

Before this role, he worked in the exotic derivative trading desk and helped develop the risk management and pricing framework for structured rates products. Minjie holds a Ph.D degree in Financial Mathematics from City University of Hong Kong and a Master degree in Probability and Finance from Paris VI University.

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Gemini Yang

Director, Risk Consulting

KPMG China, Hong Kong

Gemini is a Director in Financial Risk Management team of KPMG Hong Kong. She has 13 years of experience at quantitative analysis and modelling development. She is specialized in financial risk management, focusing on the New Basel Accord implementation and compliance, such as Internal Capital Adequacy Assessment Process (ICAAP), Assets and Liability Management (ALM), G-SIFIs, Stress Testing, Risk Management and Measurement, Capital Management, etc. She possesses master skills of statistical and modelling software: SAS, Matlab, Mathematica, etc. and has profound knowledge of business and related IT systems in banking industry. Gemini holds a Bachelor degree of Mathematics and Applied Mathematics.

She has managed several engagements regarding Risk Management and Internal Capital Adequacy and Assessment Process (ICAAP, including Economic Capital model) for both large global banks (APAC regional team) and large HK local banks. Services provided include Risk Appetite, Risk Governance and Strategy, Risk Assessment, Stress Testing, Capital Planning, Capital Allocation, Internal Capital Target Setting, Assets and Liabilities Management, etc. Recently, Gemini has been assisting several Hong Kong banks on their HKMA SPM CR-G-13 compliance, covering both Gap Analysis and CCR Implementation.

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Training
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Networking
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Group Discussion
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Learning Outcomes:
  • Get an overview of all aspects of counterparty credit risk (CCR) in OTC derivatives
     
  • Understand the methodologies to mitigate CCR and how it can be mitigated through netting and collateralisation
     
  • Explore the concept of wrong way risk and its impact on exposure and CVA measurement
     
  • Key role of CVA in pricing derivatives
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Who Should Attend:

Relevant departments may include but are not limited to:

  • XVA Desk
  • Capital Risk
  • Capital Planning
  • Treasury
  • Quantitative Research
  • Market Risk Management
  • Counterparty Risk Management
  • Quantitative Modelling