Thursday 17 October 2019, 18:00-19:00.
The seminar will be followed by a reception.
Abstract
We explore how to quantify the loss that a financial institution can expect due to central counterparty (CCP) membership. Losses are primarily due to mutualisation via the default fund and do not require the default of the CCP itself. This is different in principle to a bilateral exposure and it is difficult to calculate as it depends on non-public details of all CCP member portfolios. Nevertheless, we show how a simple expression for CCP CVA can be derived based on publicly available information. The results are applied to the calculation of losses in stress scenarios as specified e.g. by the Comprehensive Capital Assessment and Review (CCAR).
Speaker
Matthias Arnsdorf is Global Head of Counterparty Credit Risk Quantitative Research at JP Morgan. His main responsibilities include the development & support of J.P. Morgan’s suite of credit exposure models for valuation and risk management as well as credit capital. Prior to his work in credit risk, Matthias headed the market risk capital modelling effort in EMEA for two years. Matthias started his career in finance in 2002 as a credit derivatives quantitative researcher at UBS and J.P.Morgan. Matthias holds a PhD in Theoretical physics from Imperial College London and has spent two years as a post-doctoral researcher at the Niels Bohr Institute in Copenhagen prior to his move to quantitative finance.
Venue
Citi Stirling Square
5-7 Carlton Gardens
London SW1Y 5AD
Registration is closed