Course dates
A 3-day intermediate training course featuring
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Modeling PFE with Collateral under ISDA CSA
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CVA/DVA with Collateral, Margin Lags, Legally Enforceable Netting Agreements
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Unilateral vs bilateral CVA
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Hedging counterparty Risk via CVa and Effective Maturity Hedges
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Economic Capital Allocation for Counterparty Risk
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Basel III considerations and CCFs for OTC derivatives (incl credit derivatives)
Who should attend
The course will be of value to professionals in the following areas:
Course Outline
This seminar is dedicated to examining the best practices involved in counterparty risk quantification, mitigation and capital allocation after the financial crisis of 2008. The course draws on case studies derived from counterparty risk installations in large international banks. Special attention is dedicated to the practices of measuring unilateral and bilateral CVA (credit valuation adjustments) allowing for legally enforceable netting agreements, margining provisions and collateral congruent with ISDA CSA provisions.
Centrally located hotel in Paris, Paris, France
This programme takes place on a non-residential basis at a hotel in central Paris. Non-residential course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.
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Andre Horovitz
In over 20 years of financial services experience, Andre Horovitz has gained insights into industry best practices of some of the leading financial institutions in the world.
Andre started his banking career at Lehman Brothers as an Investment Banking Associate in 1988. He was responsible for pricing, developing hedging strategies and marketing exotic interest rate derivatives.
He has subsequently held senior executive positions at Oliver, Wyman & Co., Commerzbank, HVB Group (currently part of Unicredit), Erste Bank, Credit Suisse and Nagler & Company.
At Erste Bank and Credit Suisse, Andre held the positions of Chief Risk Officer and was a member of the top management committees of the respective institutions.
He is a frequent speaker at various risk management conferences and a contributor to various industry journals. He has held teaching assignments in financial risk management at the Technical Universities of Munich and Vienna.
Andre has been training banking executives for over 8 years via engagements with prestigious organisations and has lectured on a variety of risk management related topics at all levels (introductory to advanced). His areas of expertise cover all classes of financial risk management, including the important link to overall institutional strategy.
As an instructor, he is known for combining the theoretical underpinnings of financial risk management methods with real life practical case studies drawn from his working experience as a risk management executive. He likes to motivate course attendees to develop practical and implementable solutions to problems via practical case studies.
Andre holds a Diploma in Hydraulics Engineering from the Technical University of Bucharest and an MBA in Finance from New York University´s Stern School of Business. He is a Licensed Professional Engineer in New Jersey and Michigan, a Registered Securities Representative in New York and a GARP (“Global Association of Risk Professional”) certified Financial Risk Manager (“FRM®”).
Courses run by this instructor
Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.
4-7 Jun 2012 (Paris, France)
19-22 Nov 2012 (Paris, France)
A 4-day expert emerging market risk analysis training course designed to equip delegates with the skills to analyse and mitigate country risk. Including techniques for the analysis of financial institutions in emerging markets.
2-6 Jul 2012 (Geneva, Switzerland)
As a result of the recent banking crisis in the West, the Accord has evolved into what was called Basel II.5 and is now called Basel III. This intensive, 5-day course will discuss, in detail, the significant changes to the Accord, and how they will impact on the business model of your bank.
20-22 Mar 2012 (Amsterdam, Netherlands)
18-20 Sep 2012 (Amsterdam, Netherlands)
A 3-day intensive training course featuring the uses, benefits, and advantages of credit and political risk insurance. The course places great reliance on practical work including case studies, which will point out the importance of detail in the whole area of credit experience.
10-13 Jul 2012 (Paris, France)
11-14 Dec 2012 (Paris, France)
A unique, 4-day training workshop addressing the fundamental causes of risk and providing delegate with a simple, systematic control and management programme to achieve control.
24-27 Apr 2012 (Frankfurt, Germany)
19-22 Nov 2012 (Frankfurt, Germany)
This 4-day course reviews credit models as implemented in major financial institutions while pointing to significant improvements made in light of the financial crisis.
10-12 Dec 2012 (Paris, France)
Value-at-Risk is the accepted methodology for assessing risk worldwide. This course will give you a thorough understanding of VaR, and how it fits it with other popular methodologies for market, liquidity, credit and operational risk. Dr. Flavell will show you how to use VaR for reporting purposes and for the setting of risk appetite.
Other topics of discussion include VaR-related lessons from the economic crisis and VaR stress testing (recently introduced by the Basel Accord).
2-4 Jul 2012 (Paris, France)
5-7 Nov 2012 (Paris, France)
The primary purpose of this intensive 3-day course is to provide an introduction to how sovereign risk can be assessed, predicted and sometimes mitigated. The programme uses a wide range of case studies of sovereign crises, from the 1990s (Asia, Argentina, Russia etc), through to the more recent crises (in parts of Western, Central and Eastern Europe, Dubai etc) to illustrate how key macro-economic, indebtedness and other indicators can be used to assess and predict
changes in sovereign credit profiles.
20-23 Feb 2012 (Paris, France)
This interactive four day training course will help delegates to find the most efficient ways to control credit losses and to identify opportunities to generate new business.
24-27 Sep 2012 (Prague, Czech Republic)
This interactive 4-day training course will help delegates to find the most efficient ways to control credit losses and to identify opportunities to generate new business.
5-8 Mar 2012 (Istanbul, Turkey)
This intensive, 4-day course gives delegates a high-level overview of modern risk management, including a breakdown of the new Accord and a comparison with the old one.
15-18 Oct 2012 (Paris, France)
This 4-day program will explore ERM frameworks, identifying the weaknesses in risk management programs and focusing on strenghts. Basel II and Basel III will be presented, along with the framework they provide.
23-26 Apr 2012 (Istanbul, Turkey)
Course dates