• Mastering the interaction and adapting the architecture


“Economic theory tells us that market and credit risks are intrinsically related to each other and, more importantly, they are not separable.”

— Jarrow, Turnbull 2000

As the regulators put more pressure on banks to address this issue – a key factor of the global financial crash- they lead to optimising capital efficiency through quantitative integration of market and credit risks under various forms across the enterprise. This Webinar will explore the various methodologies to achieve this integration and key aspects of IT infrastructure to implement the changes.

Hosted by Calypso Technology and moderated by Asia Risk, a panel of industry experts will discuss strategies to reduce capital charges by leveraging Basel requirements through integration of credit and market risk.

Key discussion points will include:

  • Regulations driving integration of market risk and credit risk management: Basel III, fundamental review of the trading book
  • Understanding interactions between market risk and credit risk, liquidity and volatility
  • Trading and hedging integrated risks (XVA, CVA)
  • Implementing an enterprise-wide architecture to aggregate and integrate across all books
  • Working towards a new definition of Risk Adjusted Returns on Capital


  • Philippe Carrel, General Manager Asia Pacific, Calypso Technology
  • Vijay Aviur, Head of Risk Technology, ANZ
  • Dr. Frederick Shen, Senior Vice President – Head Global Treasury Business Management, OCBC Bank
  • Dr. Chak Wong, Managing Director – Head of Financial Institutions, Asia Pacific, SOCIÉTÉ GÉNÉRALE
  • Dr.Chern Lu, CRO, Ping An Pan Hai LLC
  • Moderator: Aaron Woolner, Editor, Asia Risk

Source: Asia Risk