======================================================================== Scientific talks: ------------------------------------------------------------------------ Mo., 3.3.2014, 17:00-18:00, Skylounge WU Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor Viktor Todorov (Northwestern University) http://www.kellogg.northwestern.edu/faculty/todorov/htm/ "Inference Theory for Volatility Functional Dependencies" (ISOR Colloquium) For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ Th., 6.3.2014, 16:30, seminar room 101C, TU, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Peter Markowich (University of Cambridge) http://www.peter-markowich.net/ "Price Formation Modeling with PDE: From Boltzmann to Free Boundaries" (Arbeitsgemeinschaft Finanzmathematik) For further details (including abstracts) see http://www.fam.tuwien.ac.at/agfm/ ======================================================================== Teaching @ TU Wien: ------------------------------------------------------------------------ Courses of the research unit FAM @ TU Wien: http://www.fam.tuwien.ac.at/lehre/lva/ Continuing Professional Development (CPD) for actuaries: http://www.fam.tuwien.ac.at/cpd/ ------------------------------------------------------------------------ New lecture (with including exercises) in english language: ------------------------------------------------------------------------ Applied Counterparty Credit Risk Management ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ Lecturer: Mario Schlener, MBA M.A., KBS Capital Partners AG, Baar, CH Aim/subject of course: - Students shall understand and be able to apply the learned tools in real life examples from the financial industry and capital markets - Students will learn a hands on understanding of real world examples of how counterparty credit risk is managed and measured - After this course students will have discussed the following main points: - How to calculate counterparty exposure for derivative portfolio - How to calculate Credit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA) - What is Funding Value Adjustment (FVA) - How the Financial Industry manages and hedges counterparty credit risk (i.e. difference between a Risk Management- and Trading- Approach) - How to define a hedging strategy for a sample portfolio to reduce risk for a sample bank - How to apply a multi-curve discounting approach compared to a single curve discounting approach - What is a CSA and ISDA contract and how are these contracts negotiated and applied in a financial transaction - What is a close out valuation - How can a portfolio be hedged applying a standardized risk-off/VaR analysis - How does the regulation of a Central Counterparty change the financial markets and the day-to-day business of trading activities of financial institutions In this course the students will learn how counterparty credit risk: 1. changed the financial markets 2. changed the way risk management departments of global financial institutions manage risk and 3. how financial institutions measure and hedge counterparty credit risk Course methods and organisation: Lectures will be organized around specific prepared presentation material and a given set of relevant papers and further book chapters. Students are not forced to read further papers or books to understand the topics discussed in class. There will be class assignments and a final exam for this course. Grading will be based on class participation, assignments and final exam. Date/time: Thursday, 13.03.2014 - 26.06.2014, 16:30 - 18:45 Location: lecture hall FH Hörsaal 2: "Freihaus" building, 2nd floor, yellow area, TU Wien, Wiedner Hauptstraße 8-10, 1040 Wien ------------------------------------------------------------------------