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Banks are competing more fiercely than ever for derivatives business but now face a litany of other costs associated with the derivative. This session explored emerging decision support tools that can help a bank executives and traders 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.
This presentation from GARP Annual Risk Management Convention 2013 addresses:
- Current Counterparty Credit Risk Measures
- Emerging Counterparty Credit Risk Measures
- Front and Middle Office Concerns
- Optimization of Derivatives Operations
- Challenges and Opportunities
- Recommendations
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Presenter Bio :
Denny Yu, Vice President of Client Solutions Group and Product Manager, RiskMr. 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.
Presented at GARP Annual Risk Management Convention | March 2013
Derivative Trading Profitability
and Risk Measures:
Front Office and Middle Office Integration of
Pricing and Risk Management
Pricing and Risk Management
