Effectively managing counterparty risk

Thursday 29 October 2009

08:30 Registration

09:00 Kicking the tires on counter party exposure metrics--what can we learn from recent events?

- Approaches to calculating exposures
-The hidden models and assumptions in exposure calculations
-Reality vs model, case studies. Lehman, Enron, and other cases

Jonathan Harris, Vice President, Capital Markets Research, FANNIE MAE

10:30 Morning break

11:00 A new approach to modeling recovery rates

- Hybrid credit models for default and recovery rates
- Implied Recovery rates
- Determinants of recovery

Sanjiv Das, Professor of Finance, SANTA CLARA UNIVERSITY

12:30 Lunch

13:30 Modeling liquidity in equity, fixed-income and credit markets

- Run length as a metric for liquidity
- A new measure of bond market liquidity
- Connections between equity markets and credit market liquidity

Sanjiv Das, Professor of Finance, SANTA CLARA UNIVERSITY

15:00 Afternoon break

15:30 Credit Value Adjustment

- CVA on vanilla swaps. What to expect? Sensitivities? Can one make approximations?
- CVA on callable swaps? What changes vis-à-vis a normal swap ?
- CVA on IR and FX hybrids? How certain approximations can understate risk?
- CVA on callable IR and FX hybrids? Various sensitivities
- Wrong way risk in CVA

Guarav Sultania, Quant - Rates CVA desk, BANK OF AMERICA

17:00 End of seminar

About the course leaders:

Jonathan Harris, Vice President, Capital Markets Research, FANNIE MAE

Sanjiv Das, Professor of Finance, SANTA CLARA UNIVERSITY

Sanjiv Das is Professor of Finance at Santa Clara University's Leavey School of Business, and previously held faculty appointments at Harvard Business School and UC Berkeley. He holds post-graduate degrees in Finance (Ph.D. from New York University) and Computer Science (M.S. from UC Berkeley), did undergraduate work in Accounting and Economics, and is also a qualified Cost and Works Accountant. In addition, he worked as Vice President for Citibank Asia. He is a senior editor of The Journal of Investment Management and co-editor of The Journal of Derivatives.

Prior to being an academic, he worked in the derivatives business in the Asia-Pacific region. His current research interests include: the modeling of default risk, algorithms for harvesting financial information from the web, derivative pricing models, and portfolio theory. He has published more than 60 articles in academic journals.

Guarav Sultania, Quant - Rates CVA desk, BANK OF AMERICA

Guarav graduated from IIT Bombay in 2006 with BTech in Mechanical Engg and MTech in Thermal & Fluid Engg. Since them he has been working in Capital Markets at BoA in areas like CLO, TRS on Leveraged Loans, Property Derivatives, Counterparty Credit Risk and CVA. Currently he is a quant at the Rates CVA desk. Previously he was a VP with the Counterparty Credit Risk Analytics team.

While in IITB, he was a partner at a Financial Engineering start-up with a focus on developing pricing solutions for local banks. He also conducted 3-day training at the Standard Chartered Bank global training program at KL, Malaysia.