主 题: 英国威廉希尔公司数量经济与数理金融教育部重点实验室学术报告——Counterparty Model Risk and Potential Research Topics
报告人: Dr. Chuang Yi Managing Director, Head of Counterparty Model Risk (Bank of America Merrill Lynch)
时 间: 2017-12-14 10:00-11:00
地 点: Room 1493, Sciences Building No. 1
Abstract: We will start with an introduction on Counterparty Risk modeling, and Model Risk Management from an industry practice point of view. We will then introduce a few potential research topics including Wrong Way Risk modeling, Numerical Optimization, Application of American Monte-Carlo to Counterparty exposure calculation, Collateral modeling, Model Interconnectedness & Model Risk Rating, and other XVA metrics.
Bio: Dr. Chuang Yi is a Managing Director of Enterprise Model Risk Management (MRM) in Bank of America Merrill Lynch, leading the Counterparty MRM Group, a multi-national team based in three locations worldwide, covering all aspects of model validation and model risk of both front office XVA models and counterparty credit risk (CCR) models, including Basel II/III Internal Model Method (IMM) models, ISDA Standard Initial Margin Models (SIMM), CCAR models of Counterparty Workstream. He covers cross asset classes of OTC derivatives for XVA/CCR calculation, ranging from Interest Rates, FX, Commodity, Inflation, Equity, Credit to Collateral. He has several journal and conference publications in the area of quantitative finance. He has been invited as expert speaker at both industry and academic conferences, such as Global Derivatives USA, Bachelier Congress, How I became A Quant. Chuang holds a PhD in Financial Mathematics from McMaster University.
