Credit Conversion Factor (CCF) workshop
This workshop has already taken place.
Some pictures of the event can be found here.

Date: 11 June 2009
Location: Restaurant Arenberg  
Rotspoelstraat 5
3001 Heverlee
Map

Registration fee:
Including diner and VAT
450 Euro for early registration (before June 1st)
550 Euro for late registration
200 Euro reduction fee (for full-time students, academics and supervisors)
Register here
Transfer of registration fee to a colleague is always possible.
Full reimbursement of registration fee until June 1st.
Program

13.30

Registration

14.00 EAD modeling for revolving credit and credit lines
dr. ir. David Martens
Lecturer and Risk Management Consultant
MarFintel, Hogeschool Gent, K.U.Leuven

  • Defining CCF
  • Cohort/fixed time horizon/variable time horizon/momentum approaches
  • Predictive modeling approaches
  • Performance measurement
14.30 Calculating exposures for counterparty credit risk within the Basel II framework
Xavier Christiaens
Business Area Manager
Finalyse

  • Advanded measurement of counterparty credit risk within the Basel II framework
  • Distinction between measurement of credit risk for managing the credit limits and for capital requirement purposes
  • Identifying the specific features of counterparty credit risk compared to traditional credit risk
  • New methods for calculating EAD for transactions involving counterparty credit exposure
  • In detail assessment of the Internal Model Method and concepts like EPE and Effective EPE
15.30

Coffee/Tea break

16.00 Credit Exposure, Wrong Way Risk and Credit Charging
Dan Travers
Manager
Sungard

  • Using simulation methodologies to calculate potential future credit exposure
  • Incorporating Wrong-Way risk in Exposure, Capital and Credit Charges
17.00 A Practical Approach to EAD Modeling
Tim van Hest
Rabobank
18.00 Discussion and Conclusions
18.30 Reception, networking and diner