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QuantMinds International

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7 - 10 November, 2022
W Barcelona

Advanced Topics in Counterparty Credit Risk Modelling Workshop

Monday 7 November

Led by Dr. Fabrizio Anfuso Senior Technical Specialist, PRA, Bank of England 

YOUR WORKSHOP LEADER

Dr. Fabrizio Anfuso Senior Technical Specialist, PRA, Bank of England.

Fabrizio is a leading expert in developing complex risk analytics, quantitative modelling and financial regulations. His main areas of expertise are Counterparty credit risk, Monte Carlo simulations, Internal Models for the trading book (IMM and IMA), derivatives pricing, CCPs & collateral modelling, Initial Margin methodologies and regulatory capital. 

WORKSHOP OVERVIEW

New for 2022!

This workshop presents the topic of counterparty credit risk (CCR) through a practitioner’s lens, encompassing both the quantitative modelling, as well as the practical application. 

You will be introduced to different aspects of CCR modelling including:

  • The stochastic dynamics of the risk factors
  • Fair-value pricing of trades
  • Collateral and the quantification of tail risks.

What's on

The course will take place over a day and will be split in three modules:  

  1. Introduction to CCR (definitions, business processes, contractual arrangements)
  2. Modelling the stochastic dynamics of market risk factors
  3. Modelling CCR exposure for collateralised counterparties.