Presenter: Antonio Castagna, Partner, IASON

Models for Market Risk Factors

• Stock Prices and FX Rates
• Interest Rate Models
• Default Probabilities and Credit Spreads
• Expected and Minimum Liquidity Generation Capacity of Available Bonds
• Fair Haircut for Repo Transactions and Collateralised Loans
• Adjustments to the Value of Illiquid Bonds

Behavioural Models

• Prepayment Modelling
• Sight Deposit and Non-Maturing Liability Modelling
• Credit Lines Modelling

The Links between Credit Risk and Funding Cost

• Cash-flows Fair Values and Discounting
• Critique of the Debit Value Adjustment
• The DVA for Derivative Contracts
• Dynamic Replication of the DVA
• Accounting Standard and DVA
• The Distinction between Price and Value

Cost of the Liquidity and Fund Transfer Pricing 535

• Principles of Transfer Pricing
• The Funding and the Banking Activity
• Building the Funding Curve
• Including the Funding Cost into the Loan Pricing
• Monitoring of the Funding Costs and Risk Control of the Refunding Risk
• Funding Costs and Asset/Liability Management
• Internal Fund Transfer Pricing System
• Best Practices and Regulation

Liquidity Risk and the Cost of Funding in Derivatives Contracts