Regulation, financial accounting standards, and market forces continue to pressure banks to accurately and quickly measure counterparty credit risk. Risk measures like Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA) are increasingly needed in real-time or near real-time in the front office, so traders can capitalize on fleeting trading opportunities while ensuring the trades are profitable to the bank and within risk limits. Meanwhile, middle office risk managers are tasked with calculating counterparty risk measures for huge portfolios of trades within increasingly tight time windows and with greater accuracy, to ensure regulatory capital charges are minimized and to facilitate intra-day views of desk and firm-level risk.

Given the complexity of the calculations and their potential impact on a bank’s profitability, front and middle offices should more closely align on counterparty credit risk calculations and practices – but many banks struggle to achieve this in practice.

In this webinar, recorded on Thursday, March 14, 2013, Denny Yu, VP of Client Solutions and Risk Product Manager, explores emerging decision support tools that can help a bank make the decisions that best align the bank’s interests in credit risk, liquidity consumption and regulatory capital with a robust and profitable derivatives operation.

He addressed:

  • Current Counterparty Credit Risk Measures

  • Emerging Counterparty Credit Risk Measures

  • Optimization of Derivatives Operations

  • Challenges

  • Recommendations

To view the on-demand webinar, just register on the right side of this page.

Featured Numerix Speakers:

Denny Yu, Vice President of Client Solutions Group and Product Manager, Risk
Mr. Yu oversees risk analytics including stress testing, VaR, and counterparty credit risk management. Prior to Numerix, Denny held several positions at RiskMetrics, a global provider of risk technology, including Product Manager, Implementation consultant, and Risk Advisor. He also spent several years at Citigroup in the Credit Risk Modeling group working on the bank's firm-wide Credit Value-at-Risk methodology, default probability modeling and debt rating models.

Denny has been a guest lecturer at New York University for enterprise wide risk management and has been published in several industry journals including Quantitative Credit Analyst and Commercial Lending Review. He has a Masters in Business Administration in Finance from New York University and is a CFA Charterholder.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

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