Event Details

Event Details
Event:

Risk Australia

Date:

August 31, 2010

Location:

Sydney, Australia

Details:

Risk Australia 2010 will offer innovative strategies for portfolio construction and asset allocation for 2010 and beyond, while showcasing constructive and reliable techniques to better manage your risk.  Stop by the Numerix booth to hear about our latest offerings

Featured Numerix Presentation:

Stream 1

15:00

Credit Value Adjustment (CVA) – what is the true cost of counterparty credit?

  • Assessing CVA methodology and evaluating the causes of wide price divergence
  • Portfolio implications of CVA
  • Relationship between CVA and cross-asset correlation
  • Credit vs. profit?
  • Bilateral vs. unilateral CVA – factoring in default risk
  • The role of Early Termination Options (ETOs)

Serguei Issakov, Senior Vice President, Quantitative Research and Development

For More Information:

 

 

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