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South Africa - Programme
Day one – Monday 22 June, 2009
08:30 Registration and coffee
09:00 Knowing your counterparty
• Operational due diligence
• Understanding your counterparties practices
• Understanding revenue generation
• Estimating default probability
• Using rating systems
• Rating in the current market
Mzimkulu Njamela
Deputy Head, SOUTH AFRICAN RESERVE BANK
10:30 Morning break
11:00 Pricing counterparty risk
• Credit Value Adjustment (CVA) and the price of counterparty risk
• Contract level vs. counterparty level
• CVA and risk neutral expected exposure
• Simulating risk neutral exposure
• Pricing new trades with a counterparty
James Taylor
Quantitative Analyst, STANDARD BANK
12:30 Lunch
13:30 Measuring counterparty risk through modelling credit exposure
• Uncertainty of future credit exposure
• Monte Carlo simulation of potential future exposure
• Accounting for netting agreements
• Accounting for margin agreements
• Accounting for early termination agreements
David Rowe
Executive VP, SUNGARD ADAPTIV
15:00 Afternoon break
15:30 Managing wrong way risk
• General and specific wrong way risk
• Wrong way exposure
• Modelling wrong way risk
• Effective measures to deal with wrong way risk
David Rowe
Executive VP, SUNGARD ADAPTIV
17:00 End of day one
Day two – Tuesday 23 June, 2009
08:30 Registration and breakfast
09:00 Calculating economic and regulatory capital
• General modelling of economic capital for credit risk
• Allocation of economic capital
• Economic capital with stochastic exposures
• Replacing stochastic exposures with loan equivalent exposures
• Regulatory capital for the trading book
Andre Blaauw
Group Chief Risk Officer, UNITED BANK OF AFRICA
10:30 Morning break
11:00 Collateral as a risk mitigation tool counterparty credit risk
• Collateral management
• Collateral posting
• Offsetting collateral
Jody Mitchelmore,
Head Risk Management, RAND MERCHANT BANK
12:30 Lunch
13:30 Using Credit Default Swaps (CDS) to hedge counterparty risk
• Hedging jump to default risk with CDS
• Hedging CVA against changes in the market factors
• Static hedging using contingent CDS
• Risk return under a hedge framework
Lawrence Madzwara
Head, Credit Derivatives, NEDBANK
15:00 Afternoon break
15:30 Development of central counterparties
• The role of central counterparties
• Dealing through an exchange
• Futures versus forwards
