14
June
10:30 — 15:15
DAC
Gl. Dok, Strandgade 27B

Christianshavn ,
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Risk Conference

A pragmatic and unified approach for calculating CVA, PFE and VaR
This presentation will look at an approach for calculating CVA, PFE and Historical Simulation VaR using a consolidated toolbox in terms of risk factor drivers, positions, and underlying statistical assumptions. Implications of using real-world statistics compared to risk-neutral statistics in risk modelling will be touched upon. A brief overview of system design implications when dealing with an exploding number of revaluations will be given.
Robert Thorén, Partner, Head of Risk Solutions, Algorithmica Research.
Mr. Thorén oversees risk solutions including pricing, value-at-risk, stress-testing and counterparty credit risk modelling. Robert has been involved in numerous development and deployment projects for both sell-side and buy-side institutions as well as in the energy trading business. Prior to working at Algorithmica Research, he founded the consultancy Fat Tails Financial Analysis, and the software start-up Moneybell. He started his career at SEB as business developer, mainly involved in counterparty risk management.

The Challenge of Unknown Unknowns in Risk Modeling
”There are known knowns; there are things we know we know. We also know there are known unknowns; that is to say we know there are some things we do not know. But there are also unknown unknowns – the ones we don’t know we don’t know.”
Jens Adler Nielsen, Managing Validation of Operational Risk, Economic Capital, and Financial Crime Risk models for HSBC globally

15.15 End of conference, break before network event

15.30 NETWORK EVENT and dinner

Prices

Risk network members: Free of charge
Premium members: 1250 DKK
Basis members: 1500 DKK
Non-members: 2350 DKK

CFA CE credit hours

CFA Society Denmark has determined that this program qualifies for ​2.0 CE credit hours. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE tracking tool.

CFA Institute Passport Program
To register for an event, please contact mail@finansforeningen.dk

Details

Date:
14. June 2017
Time:
10:30 - 15:15
Event Categories:
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