May 2 - 30, 2017    New York NY , USA
In this course, we discuss a number of risk and profitability management problems which require explicit assumptions about the behavior of NMDs: Interest Rate Risk, Liquidity Risk and Funds Transfer Pricing (FTP). We propose a modeling framework which includes a well-constructed FTP process for ensuring that that measures of value are consistent with the perceived duration and liquidity value used in IRR and LR management exercises. Integral to this framework is a rigorous governance process which ensures that changes in behavior are quickly recognized; behaviors are either modified or risk and profitability measures are recalibrated.

Venue

Location: Downtown Conference Center
Future Events
Fundamental Review of the Trading Book September 27 - 28, 2017
Contact 157 William Street NY 10038 New York , USA
1-212-618-6990

Organizer

Incisive Media Investments Limited
Haymarket House 28-29 Haymarket London SW1Y 4RX United Kingdom
+44(0) 207 316 9000