As market participants continue to evolve their trading and risk management practices, improving the ability to manage Credit Value Adjustment (CVA) is on the forefront for many institutions. To address these needs, Numerix hosted a webinar on May 15, 2012 in which Denny Yu presented the different quantitative techniques for CVA calculations across multi-asset class and exotic derivatives portfolios.
This hands-on educational CVA event provided a deeper understanding of:
- CVA Calculation Techniques for Complex Derivatives Portfolios
- Future exposure simulation for multi-asset class portfolios using Hybrid Models
- American Monte Carlo simulation techniques for CVA calculation of exotic instruments
To view the 60 minute webinar replay, just register on the right side of this page.
Featured Numerix Speakers:
Denny Yu, Product Manager, Numerix 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. Denny 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. He 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. Denny has a Masters in Business Administration in Finance from New York University and is a CFA Charterholder.
Moderator: Jim Jockle, Senior Vice President, Marketing
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.
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.
Numerix Webinar Replay
Quantitative Techniques for CVA Calculations Across
Multi-Asset Class and Exotic Derivatives Portfolios
Register for the webinar replay:
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