[FAM-news] reminder for upcoming seminars and talks / teaching in summer term 2014

Sandra Trenovatz sandra at fam.tuwien.ac.at
Sat Mar 1 01:39:58 CET 2014


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Scientific talks:
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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/

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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/

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Teaching @ TU Wien:
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    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/

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New lecture (with including exercises) in english language:
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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

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