Applications of Computing in Industry : Lecture

The presentation will address the challenges financial institutions face post the dislocation in managing the counterparty credit risk inherent in the complex derivatives products they trade.

The CVA risk measure is becoming the accepted norm for managing this risk, but it is poses many quantitative and technology challenges:

• Large computational demand (especially from Monte-Carlo methodologies)
• Consistency of calculation across asset classes
• Managing large data sets required by the processing

The presentation will introduce the business concepts behind CVA and counterparty credit risk, real world approaches to building solutions, and the wider context in which banks are now managing risk.

Andrew is the head of UBS's CVA and Funding IT group, and an Executive Director in UBS Group Technology. The team is responsible for building the strategic counterparty credit risk and pricing engine that supports trading and risk control, including interfaces into regulatory and capital reporting.

Andrew graduated with a BSc in Software Engineering from University of Westminster in 1995. He interned at Merrill Lynch, and joined UBS as an analyst/developer in 1996. He has held a number of roles in the UK and US spanning support, development, programme management and architecture, specialising in derivatives.

UBS has a long standing relationship with Imperial, and Andrew has worked closely with many interns, industrial placements and graduates at the firm.

Simran Cashyap did a 4 year Masters in Computing at Imperial College, including a challenging 6 month placement at UBS. He graduated in 2009 and started work at UBS in the CVA IT team, developing the interactive pricing engines and desktop applications.