June 25, 2010
(Revised August 27, 2010)
Bank of Japan
Center for Advanced Financial Technology
The Bank of Japan held a workshop on"Counterparty Risk Management and Application of CVA" on June 14, 2010. Presentations were given on the following topics.
Monday, 14 June
- Counterparty Risk Management and Application of CVA [PDF 141KB]
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Mr. Yoshihiko Uchida, Bank of Japan
- Implementation of CVA - Far-reaching Value [PDF 204KB]
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Ms. Kayoko Yamanishi, DBS Bank Ltd.
- Credit Value Adjustment Trends [PDF 1,647KB]
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Mr. Theodoros Stampoulis, Algorithmics
- Counterparty Risk Management - Current Practice and Challenges [PDF 515KB]
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Mr. Hiroki Tomiyasu, Morgan Stanley MUFG Securities, co., Ltd.
- Credit Valuation Adjustment (CVA) - Counterparty credit risk pricing, assessment, and dynamic hedging [PDF 190KB]
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Mr. James Lee, Citigroup Global Markets Japan Inc.
- The Basel Committee's December 2009 Proposals on Counterparty Risk [PDF 110KB]
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Mr. Nathanaël Benjamin, Federal Reserve Bank of New York
- Counterparty Credit Risk Management with ISDA Master Agreement and CSA [PDF 376KB]
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Ms. Tomoko Morita, ISDA
Roundtable Discussion
- Panelists:
- Ms. Kayoko Yamanishi, DBS Bank
Mr. Bart Piron, Algorithmics
Mr. Hiroki Tomiyasu, Morgan Stanley MUFG Securities
Mr. James Lee, Citigroup
Mr. Nathanaël Benjamin, FRB of New York
Ms. Tomoko Morita, ISDA
- Moderator:
- Mr. Hiroshi Ugai, Bank of Japan