Pre-conference seminar 2: 29th February 2012

COUNTERPARTTY CREDIT RISK MANAGEMENT

08:00 Registration and coffee

09:00 Overview

• Differentiating counterparty credit risk from other forms of credit risk
• Embedded default protection options and accounting treatments
• Collateral policies
• Central Counterparty Clearing Houses (CCPs)

Claudio Albanese, Visiting Professor of Mathematical Finance, KING’S COLLEGE LONDON and Independent Consultant

09.45 Measures for Counterparty Credit Risk

• Linear metrics: Peak Exposure, Expected Exposure, and the Credit Valuation Adjustment (CVA)
• Metrics sensitive to correlations: Point in time and cumulative loss distributions.
• CVA volatility versus risk quantiles
• Margin Lending
• Securitization

Claudio Albanese, Visiting Professor of Mathematical Finance, KING’S COLLEGE LONDON and Independent Consultant

11:15 Coffee break

11:45 Modeling Strategies

• Consistent modeling of derivative portfolios
• Local valuation and desk models
• Global valuation and model libraries
• Global market simulations

Claudio Albanese, Visiting Professor of Mathematical Finance, KING’S COLLEGE LONDON and Independent Consultant

13:15 Lunch

14:15 Managing Counterparty Credit Risk (CCR) in South Africa

• Key documents: ISDA agreement ("ISDA") and credit support annex ("CSA")
• Key credit issues to be considered in negotiating an ISDA and a CSA
• Funding liquidity
• FX risk
• Basel III regulations concerning CVA related capital charges
• Collateral management
• Margin methodologies

Gareth Buchner, Head of Portfolio and Crossover Risk, RAND MERCHANT BANK

15:45 Afternoon break

16:15 Central Counterparty Clearing Houses (CCP) from a South African perspective

• Counterparty credit risk management from the CCP standpoint
• Capital for CCP exposures
• Market stability:  margin and default fund arrangements
• Macro-economic benefits of central clearing

Gareth Buchner, Head of Portfolio and Crossover Risk, RAND MERCHANT BANK

17.30 End of seminar