FSU Quant Symposium
Date: Friday, December 02, 2022
Place and Time: LOV 204B, 2:30-3:00 pm
Welcome, Announcements and Recognitions: Sam Huckaba, the Dean of the College of Arts and Sciences and Washington Mio, the Chair of the Department of Mathematics
Place and Time: LOV 101, 4:15-4:30 pm
Counterparty Credit Risk for Risk Participation Swaps, Zhiqiu Li, Quantitative Analyst at Wells Fargo, Charlotte
Place and Time: LOV 101, 4:30-5:15 pm
Abstract. A Risk Participation Swap (RPS) is an agreement by which a bank hedges/offsets a portion or all of the credit risk arising from an over-the-counter (OTC) derivatives transaction with one of its counterparties. These agreements allow banks to continue to trade with their counterparties by staying within approved exposure limits with these counterparties. In this talk, we will discuss how the counterparty credit risk for risk participation swaps is measured from a quantitative modeling perspective.
Place and Time:Chemistry Building Lobby, 5:30 pm
Date: Saturday, December 03, 2022
Place and Time: LOV 101, 9:00-9:30 am
Introduction to Market Risk, Zailei Cheng, Vice President at Citi, Tampa
Place and Time: LOV 101, 9:30-10:15 am
Abstract. Market risks are growing due to volatility, securitization and increased trading. In this talk we will introduce the concept of market risk, focusing on value at risk (VaR) measure. VaR is a statistical technique used to measure the amount of potential loss that could happen in an investment portfolio over a specified period of time. Approaches to calculate Value-at-Risk are discussed.
Libor Transition for Market Risk,
Yuan Cheng, SVP, Market Risk Analytics, Citigroup (Ex.)
Place and Time: LOV 101, 10:15-11 am
Abstract. The transition from LIBOR to new alternate risk-free rates will bring considerable challenges for financial institutions in many areas. One typical challenge is how to handle this transition properly in market risk. For example, how to appropriately capture the new ARRs and ARRs linked basis risk in VaR or SVaR calculation, whether any existing risk convention will be changed when Libor discontinues in market, etc. Therefore, how to address these challenges and prepare for this transition becomes one of the most interesting topics in financial institutions.
Place and Time: LOV 101, 11-11:15 am
Place and Time: LOV 101, 11:15-noon