Einladung zur Vortragsreihe aus Finanz- und Versicherungsmathematik

Dr. Giovanni Cesari

Director, UBS Investment Bank, Quantitative Risk Models and Statistics

Counterparty Credit Exposure for Exotic Derivatives

We consider how to monitor and manage the counterparty potential future exposure of exotic derivative products. We start by defining the concept of potential future exposure and show how it can be computed using Monte Carlo techniques. We also analyse how exposure can be mitigated using classical collateral agreements. In the second part of the talk we consider exotic trades which are already priced with Monte Carlo and which therefore require special techniques to compute exposure. We then show how counterparty exposure can be managed using credit derivatives.

Dr. Giovanni Cesari is a senior quantitative risk manager at UBS Investment Bank. He works in QRMS (Quantitative Risk Models and Statistics), a model validation group. He graduated from the University of Trieste and received his PhD from ETH in Zurich.

Direktor Helmut Holzer
Präsident der Aktuarvereinigung Österreichs
Präsident des Österreichischen Förderungsvereins der Versicherungsmathematik

Gen.-Dir. Dr. Siegfried Sellitsch
Präsident der Österr. Gesellschaft für Versicherungsfachwissen

o.Univ.-Prof. Dr. W. Schachermayer
Univ.-Prof. Dr. U. Schmock
Finanz- und Versicherungsmathematik, Technische Universität Wien