Workshop on the Counterparty Risk Management and Application of CVA

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

• Summary Record of Roundtable Discussion [PDF 87KB]
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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