The 8th Fixed Income Conference – October 10-12, Vienna, Austria
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
For more information about the conference, or to register, please click here.
Click here to download the program.