Salamon, Gábor (Morgan Stanley)
What if they don't pay? -- Thoughts about Counterparty Risk
Financial institutions make deals which generate payment obligations years
or tens of years in the future. This means, the possibility of a
counterparty going to default during the term of a deal cannot be
ignored. In addition to the classic "default-free" valuation of
the deal, a prudent financial institution has to model counterparty defaults
and adjust deal valuation accordingly.
In this presentation, we will consider the main components, challenges, and
pitfalls of counterparty risk modeling. We will talk through: How to measure
exposure and counterparty default probability for many years in advance?
How to mitigate the counterparty risk and how to manage it within a large bank.
Date: Nov. 24, Tuesday 4:15pm
Place: BME, Building „Q”, Room QBF13