Event Details

Event:

RISK USA

Date:

November 1-4, 2010

Location:

New York, NY

Details:

Risk Magazine will be holding its 16th Annual Risk USA Conference – the USA’s premier risk management event for financial institutions.  Stop by the Numerix booth to hear about our latest offerings.

Featured Numerix Presentation:

Friday, November 3rd

12:00pm

“One-Step approach to computing Monte  Carlo Value-at-Risk and Counterparty Risk across all asset classes and instrument types”

  • Hybrid model framework for pricing cross-asset deals: joint calibration and accounting for correlations between asset classes
  • Two approaches to Monte Carlo Value-at-Risk – industry standard brute force approach for liquid instruments and one-step approach for structured products
  • Counterparty Credit Risk: Potential Future Exposures and Credit Valuation Adjustment
  • Regulatory capital consequences

Serguei Issakov, Senior Vice President of Quantitative Research and Development, Member of the Committee to Establish the National Institute of Finance

 

For more information

 

 

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