Re-Thinking Valuations – CVA, Illiquid Markets, and Model Risk

presented by Dan Rosen, CEO R2 Financial Technologies

-  Model risk and the need for pricing and risk models

-  Model risk and CVA

-  CVA definition, models and computation

-  Illiquid spreads and model risk

-  The weird life of bilateral CVA

-  Multiple personalities of CVA: internal models and accounting, Basel III, and banking book view

-  Hedging CVA and model risk

-  Calculating CVA market risk

-  Wrong-way risk, model risk and stress testing

-  Concluding remarks

 

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