State-of-the-art credit exposure simulation: new approaches to credit risk

Quaternion Risk Management (Quaternion), the Quant consultancy risk and pricing specialists, are delighted to present an afternoon workshop in Frankfurt on Tuesday 9th June 2015 at 16.00 at Grandhotel Hessischer Hof, Friedrich-Ebert-Anlage 40, 60325 Frankfurt am Main, followed by drinks.

The Irish Minister of State at the Department of Finance with special responsibility for international banking, Simon Harris TD, will be visiting Germany on a technology & innovation mission and will introduce this workshop, which is a precursor to an Enterprise Ireland financial technology event.

During this workshop, we present an overview of the challenges involved in performing the necessary analytics for state-of-the-art credit exposure simulation – and give insights into how the challenges can be met. The schedule is as follows:

  • 16.00 Registration
  • 16.20 Introduction from Minister Harris
  • 16.30 Roland Lichters, Partner, Quaternion:
    CSA Discounting, Value Adjustments for Credit Risk (CVA/DVA), Credit Risk Capital for Derivatives:
    Credit Exposure Simulation in risk-neutral and real-world measures, the new standard approach (SA-CCR)
  • 17.00 Roland Stamm, Partner, Quaternion:
    More sophisticated Value Adjustments for funding cost (FVA), Initial Margin (MVA) and capital cost (KVA)
    and Adjoint Algorithmic Differentiation
  • 17.30 Drinks

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    For any information regarding this event please contact:
    Heidy Könings
    Quaternion Risk Management
    +49 2151 9284 800