Capital Management under Basel III and CRDIV

Mar 20, 2014 to Mar 21, 2014

Location Bloomsbury Way
London WC1A 2SD, UK
Cost £2299
Details This course will cover topics in counterparty risk including Basel III / CRDIV Capital Requirements, the Internal Model Method (IMM), Collateralised Monte Carlo, Central Clearing.

In this new regulatory environment, successful firms willing to achieve a competitive profit-to-capital ratio will re-shape their OTC derivatives portfolios significantly. This will involve migrating trades to clearing platforms, increasing collateralised transactions and overcoming the funding challenge of a steadily growing demand for high quality collateral. In addition to the actual capital management framework, firms will also need to ensure their risk infrastructures are up to the task.

With these regulatory changes in mind, Risk is delighted to provide a two day training course delivered by experts from Credit Suisse and UBS.

The course will specifically cover topics in counterparty risk including Basel III/CRDIV Capital Requirements, the Internal Model Method (IMM), Collateralised Monte Carlo, Central Clearing and Capital Management in the new regulatory landscape.

Learning Outcomes:
> Understanding the capital requirements under BIII / CRD4 for cleared and non-cleared OTC transactions
> Quantify the capital benefit of an IMM framework vs. the infrastructure costs
> Learn how to make your IMM framework function in the most complex cases (collareralized MC, extended MPR, full simulation of initial margin)
> Understand the business impact of new regulation (e.g. the BIS proposal for a unified Non-IMM and the BCBS-IOSCO initiative for IM for uncleared OTC's
> Improve your capital management under central clearing
> Discover which trades can and should be cleared

Website http://atnd.it/5249-1

Price:
Early Booking Rate 1: £1999 + VAT (Before 31 January)
Standard Rate: £2299 + VAT (After 31 January)

Speakers: Dr Fabrizio Anfuso, Dr Dimitris Karyampas.
Venue The Kingsley Hotel
RSVP http://atnd.it/5249-0

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