Business and Industrial Statistics Section Workshop

Mathematical Models for Counterparty Credit Risk

David Saunders, University of Waterloo

May 26, 9:00 am to 4:00 pm

Co-sponsor: WatRISQ (http://www.watrisq.uwaterloo.ca/)

 

Abstract

The risk of a default or decline in the creditworthiness of a counterparty is one of the most serious threats facing financial institutions in modern markets. To maintain resilience and competitiveness, institutions must accurately assess and actively manage this risk. This course will provide an introduction to the mathematical and statistical methods involved in measuring and managing counterparty risk, including modelling counterparty exposures, assessing wrong-way risk driven by the dependence between exposures and defaults, estimating economic and regulatory capital for counterparty risk, and evaluating the market price of counterparty credit risk (the credit valuation adjustment).

 

Presenter

David Saunders is an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo. He is the author of many articles on the subjects of risk management, portfolio optimization and derivatives pricing, and regularly serves as a consultant for financial institutions and software companies.