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Event Date Mon Jan 25 CST - Tue Jan 26 CST (9 months ago)
In your timezone (EDT): Mon Jan 25 9:00am - Tue Jan 26 6:00pm
Location Virtual
Region Americas

Integrate regulatory requirements as well as market changes and disruptions such as LIBOR, CCP risk and the COVID-19 into your counterparty credit risk models  

Why You Should Attend?
This GFMI conference will bring together industry leaders from the Counterparty Credit Risk (CCR) space to benchmark the latest innovations and developments. Speakers will address COVID-19 impacts on current and future CCR modeling and management. Delegates will learn the best approaches to forecast their banks’ exposure to Central Clearing Parties (CCPs), manage risk concentration in counterparty credit risk portfolios, and calculate initial margin (IM) requirements. Attendees will also review new methods to tackle the lack of high quality data when assessing counterparty credit risk exposures. SA-CCR, SCCL and FRTB regulatory expectations will be examined and how to align these with CCR requirements. Industry participants will also discuss how automation and machine learning technologies can improve operational efficiency in counterparty credit risk.

Key Topics
• Gain clarity from the regulators on SA-CCR, SCCL, FRTB and IM
• Benchmark the best approaches to forecast the bank’s exposure to CCPs
• Optimize CCR modeling for evolving and unexpected risks like COVID-19
• Evaluate new methods to capture market behaviour in counterparty credit risk modeling
• Enhance SIMM calculations in counterparty credit risk


2021 Speakers

Joseph Hwang
Managing Director, Regulatory Policy, Goldman Sachs

Emre Balta
Senior Vice President, Financial and Compliance Risk, Model Validation, US Bank

Gonzalo Garcia Kenny
Managing Director, Head of Counterparty Optimization and CVA desk, Citi

Troy Ovitsky
Managing Director, Head CVA Risk and Contingent Credit Trading Risk, Wells Fargo

Ilana Ash
Managing Director, Counterparty Risk, Credit Suisse

Michael Leibrock
Managing Director, Credit and Systemic Risk, DTCC

Gavin Xu
Global Head of Credit and Balance Sheet Management Models, HSBC