Webinar : Advanced OIS Curve Building: Best Practices, Date: Wednesday, November 5, 2014 Time: 11:00 am ET

Advanced OIS Curve Building: Best Practices

Date: Wednesday, November 5, 2014
Time: 11:00 am (EDT)8:00 am (PDT)4:00 pm (GMT)12:00 am (HKT)

Register Now

Please join the upcoming webinar on Advanced OIS Curve Building: Best Practices, hosted by Senior Derivatives Analyst, James Gavin.

Without accurate OIS curve construction, valuation, pricing, and risk output is compromised.

Because OIS is the standard funding rate in CSA agreements widely adopted in both OTC and centrally cleared markets, implications of not adopting best practices are significant.

During the webinar, James will discuss best practices for building robust OIS curves including:

  • Handling nuances of the short and long ends of the OIS curve
  • Dual-curve stripping and advanced smoothing techniques
  • Dual-curve calibration and hedging long dated OIS-Libor basis risk
  • Incorporating single currency CSAs into a multi-currency environment using USDAUD

Following the presentation, there will be an interactive question and answer period.

James Gavin, Senior Derivatives Analyst

Andy Condurache, Director of Exams & Publications, PRMIA

Please Join Us

Moody’s Teleconference : Behind Indiabulls’ First-Time (P)B1 Ratings, 3 Nov 2014, 11:30am IST

Moody’s Teleconference  : Behind Indiabulls’ First-Time (P)B1 Ratings, Monday, 3 November 2014, 11:30 IST
Discussion Items

  • Corporate structure and project portfolio
  • Key rating drivers – supports and constraints
  • Subordination risks and mitigating factors


Philipp Lotter, Managing Director, Corporate Finance Group

Vikas Halan, Vice-President – Senior Credit Officer

Vincent Tordo, Associate Analyst

The entire session — with prepared remarks and the Q&A — will last about one hour.

If you wish to participate, please RSVP early. Dial-in numbers will be provided.


 Registration Is Required

Replay information will be provided after the teleconference.

Submit Questions in Advance

Participants are encouraged to submit questions in advance of the teleconference by
clicking here.

Related Research and Methodologies       

A complete list of Moody’s methodologies may be found here.

Why Operating Cash Flow is more important than Net Profit but is still ignored

Let’s first define Net Profit and Cash Flows before we proceed further to explore the importance of each of terminologies.


Net Profit (NP) comes from Profit and Loss (P&L) statement while OCF comes from Cash Flow statement.

Net Profit: Net of revenue or sales after removing all operating expenses, depreciation, interest and taxes and including any other income, and taking into account exceptional items.

Operating Cash Flows (OCF): The net cash generated from operations.

Investing Cash Flows (CFI): The net result of capital expenditures, investments, acquisitions, etc.

Financing Cash Flows (CFF): The net result of raising cash to fund the other flows or repaying debt.

Why OCF and not NI:

The OCF is a better metric of a company’s financial health for two main reasons. First, cash flow is harder to manipulate than net income. Second, “cash is king” and a company that does not generate cash over the long term is heading to get wiped out. The OCF gives you the picture about the cash received in the organization. Without cash, the company may not be able to fulfill its promise to make payments to suppliers, employees and financial institutions on a sustainable basis.

Read more 

Of Course Argentina Defaulted, And you would have done the same thing too, if you had been in their shoes.

on July 30, Argentina defaulted on its outstanding debt. The technical default ends a long saga. It began in 2001 when the country failed to continue payments on nearly $100 billion worth of obligations, continued through its 2005 and 2010 restructurings of over 90 percent of these bonds, bled into ongoing lawsuits with “holdout creditors” including Elliott Management and Aurelius Capital Management, and culminated in the June 16 decision by the U.S. Supreme Court to not hear Argentina’s appeal of a 2012 ruling by New York Judge Thomas P. Griesa. This left in place a decision that not only bolstered the holdouts’ rights to repayment, but also blocked Argentina and its U.S.-based banks from disbursing the next $539 million round of interest due on the restructured debt. Negotiations over the last month ended fruitlessly, leading to Wednesday’s selective default, as defined by Standard & Poor’s.

Read more

Webinar : Performance Measurement no Longer exists in Vaccum, Wednesday, 29 October, 2014 11:30 am IST


Wednesday, 29 October, 2014
11:00 am Singapore/Hong Kong time, 2:00 pm Melbourne/Sydney time

Register here 

The factors shaping performance and risk functions of the future
Investment Management is operating in a world of more – more regulation, more transparency, more meaningful investment information and more control.  This is directly impacting how investment data is managed, analysed and distributed.

The performance measurement function is evolving in parallel with the changing needs of investors, regulators and internal teams who are requiring a greater depth of analytics and more timely risk-adjusted return calculations.  Nearly all investment decisions require a combination of both risk and return information as investors and investment teams are keen to understand drivers of performance in the context of their risk profile and exposures.

This webinar will bring together performance and risk professionals to discuss how performance and risk teams can respond to the changing requirement of them to deliver value to investors and the front office including:

What information are investors, portfolio managers and senior management demanding and how does this differ from the past?
What are the implications of these changing demands for performance measurement and risk analysts?
What role can outsourcing play in a modern performance and/or risk function?
Is there a case for merging the performance measurement and risk function?
What are the implications on the technology to support the performance function of the future?

This webinar is recommended for forward-thinking performance measurement and risk professionals who are looking to shape the analytics teams of the future.

Performance measurement no longer exists in a vacuum
Wednesday, 29 October 2014
11:00 am Singapore / Hong Kong time (GMT+8)
2:00 pm Melbourne/Sydney time (GMT+11)
Katie Kiss, Global solutions manager of performance
DST Global Solutions
Andrew Kophamel, Head of performance, Asia Pacific
Aberdeen Asset Management Limited
Venkatesh Narasiah, COO, Asia Pacific
Deutsche Asset & Wealth Management

Register here

Joseph Marsh, Magazine editor, AsianInvestor



DST Global Solutions::
DST Global Solutions, a wholly-owned subsidiary of DST Systems, Inc., is a leading software and technology solutions provider to financial organisations across the globe. Serving more than 200 client companies from 12 offices internationally, DST Global Solutions helps power the data-driven investment industry with award-winning asset servicing and data management solutions like HiPortfolio® and Anova. For more information about DST Global Solutions, visit http://dstgs.com or http://twitter.com/dst_gs


Joseph Marsh
Magazine editor,
Katie Kiss
Global solution manager of performance,
DST Global Solutions

Andrew Kophamel
Head of performance, Asia Pacific,
Aberdeen Asset Management Limited

Venkatesh Narasiah
COO, Asia Pacific, Deutsche Asset & Wealth Management

Webinar : Measuring Market Risk in Fixed Income Portfolios, Oct 28, 2014, 830pm IST

Generating Historically-Based Stress Scenarios to Assess Market Risk

Date: Tuesday, October 28, 2014
Time: 11:00 am EDT | 4:00 pm BST | 11:00 pm HKT
Duration: 60 minutes

Register here

In this webcast, our experts will discuss how an accurate measure of market risk can help to inform institutions about the amount of capital needed to withstand a series of adverse market events, and improvements on assessing market risk for purposes of economic or regulatory risk based capital measurement. Their approach involves generating plausible historically‐based interest rate shocks, which can be applied to any market environment.

In the process of selecting a model, they examine variants of the Nelson‐Siegel approach to develop an improved yield curve approximation that overcomes the following challenges:

  1. Accurate description of observed patterns of yields
  2. Flexibility to handle intra-curve constraints
  3. Flexibility to handle inter-curve constraints
  4. Avoids negative forward rates

Based on these improvements, they adapt a 5‐factor parameterization developed by Bjork and Christensen (1999) and show it can accurately translate historical interest rate movements into plausible, current period shocks in any market environment. They also link the interest rate shocks to implied volatility using a novel parameterization of the swaption and cap volatility surfaces.

Together, the methodological changes discussed in this webcast should offer a more appealing alternative to industry stake holders while simultaneously promoting better risk management.

Key Learning Objectives:

  • Present a robust empirical method for generating interest rate shocks, which can be used by risk managers and practitioners to measure the market risk of financial institutions.
  • Show that current, commonly used industry practices for generating interest rate shocks using proportional or absolute changes have concerning limitations.
  • Offer a means to impose intra- and inter-yield curve constraints to ensure plausible Treasury, Agency, and Libor-Swap interest rate movements.
  • Provide a method to link realistic (historically-based, coherent, and internally consistent) interest rate changes to co-movements in other key market risk factors such as credit spreads or foreign exchange rates.

Jeffrey Kutler, Editor, Global Associaton of Risk Professionals (GARP)

Alexander Bogin Ph.D., Senior Economist, Federal Housing Finance Agency

William Doerner, Senior Economist, Federal Housing Finance Agency

Webinar : Resolving the Credit Risk Conundrum: Fundamental Analysis or Market Signals? Date: Tuesday, October 28, 2014 Time: 11:00 AM – 12:00 PM EST

Resolving the Credit Risk Conundrum: Fundamental Analysis or Market Signals?
 Register here
Join S&P Capital IQ and Boston University for a webinar where leading professionals will be discussing the following topics:

  • Current challenges in credit risk management and surveillance
  • Navigating the credit landscape via the Spectrum of Credit Measures
  • The case for utilizing both market signals and fundamental measures of credit risk
  • Case studies

We will also be taking questions during the webinar.

Complimentary Webinar
Tuesday, October 28, 2014
11:00 AM – 12:00 PM EST

Tuesday, October 28, 2014
11:00 AM – 12:00 PM EST
Marcel Heinrichs
Business Development Americas
S&P Credit Solutions
View Bio

Alma Chen
Associate Director
Analytics Development
S&P Capital IQ
View Bio
Mark Williams
Master Lecturer
Finance Department
Boston University School of Management
View Bio

Introducing a holistic approach to stress testing – Mckinsey

Introducing a holistic approach to stress testing

June 2014—This paper describes the seven steps that can help banks to develop better stress tests. The seven steps are: data preparation, strategic PMO, robust methodologies, superior portfolio analytics, persuasive communication, macro-scenarios and correlations, as well as the stress-testing model.

Rethinking bank risk in emerging markets

Macroeconomic developments, heightened regulation, and pressure on margins and profitability are moving risk management to the top of the agenda for CEOs and their boards.

The past decade saw an unprecedented rise in the fortunes of emerging-market banks. Less affected by the global financial crisis than their developed-world peers, their collective revenue surged to $1,400 trillion in 2012 from $268 trillion in 2002 (exhibit). The future, however, may be a different story. Historically strong capital and liquidity positions have eroded, and operating pressures are mounting from a combination of factors including tighter US monetary policy, stronger growth in developed markets, a changing regulatory landscape, and increasing competition. Read more

S&P : 2012 Annual Global Corporate Default Study And Rating Transitions

In 2011, Standard & Poor’s Ratings Services’ downgrade of the U.S. had spillover effects on corporate borrowers throughout the country. A year later, the same happened with Europe’s economic turmoil and sovereign debt crisis. Nevertheless, corporate borrowers showed some resilience during 2012. In the full year, 84 global corporate issuers defaulted, up from 53 in 2011 and nearly the same as the 2010 total of 83 (see table 1). These 84 defaulted issuers accounted for a total of $86.7 billion in debt, up from $84.3 billion in 2011. (Watch the related CreditMatters TV segment titled, “The Key Findings Behind Standard & Poor’s 2012 Global Corporate Default And Ratings Transition Study,” dated March 18, 2013.)

Read more at https://www.globalcreditportal.com/ratingsdirect/renderArticle.do?articleId=1113087&SctArtId=205025&from=CM&nsl_code=CMTSE&sp_mid=26453&sp_rid=22560

The dangers of ignoring unrealised income

In a speech delivered in Tokyo on 3 September, IASB Chairman Hans Hoogervorst discussed the IASB’s project to update itsConceptual Framework and the dangers of ignoring unrealised gains and losses. He argued that excluding all unrealised gains and losses from Profit or Loss would not result in a faithful representation of a company’s financial performance and would be detrimental from a stewardship perspective.

Read the full speech.

Webinar : Correlation Risk and Why it is Critical in Finance, Date: Tuesday, October 21, 2014 Time: 2:00 pm EDT

orrelation Risk and Why it is Critical in Finance

Date: Tuesday, October 21, 2014
Time: 8:00 am HST | 11:00 am PDT | 12:00 am MDT | 1:00 pm CDT | 2:00 pm EDT | 7:00 pm BST
Duration: 60 minutes

Register Now

In this exclusive webcast, our expert will define and explain the critical topic of Correlations in Finance. Viewed differently in different financial environments, participants will gain a thorough understanding of Financial Correlation Risk in the areas of Investing, Trading, Risk Management, Regulation and the 2007-2009 Global Financial Crisis. Produced in an interactive format, participants will also have the added benefit of two simulation models in Excel/VBA (one showing the Impact of Correlation on Value at Risk, and one on Dispersion Trading) that will be presented and distributed to all who attend.

Chris Donohue, Managing Director, Research and Educational Programs

Gunter Meissner, PhD, University of Hawaii and CEO, Cassandra Capital Management

96% of Respondents say they Will Invest in Bond Funds but Education is Key – Survey Results

Would you invest in bond funds for a period of 36 months to avail of capital gains tax benefits? This survey has given encouraging results with 96% of respondents  positive on bond funds for investing. However, education on bond funds will be key for investors. In one question on principal protection, 27% of respondents did not believe that bond funds would protect principal unless there is credit default in the fund. 55% of respondents did not get the fiscal deficit target right.


PWC : Growing NPAs in banks: Efficacy of credit rating agencies

Non-performing assets (NPAs) are a key concern for banks in India. While public-sector banks have outperformed private banks in financial operations, their NPAs have risen substantially, suggesting a high probability of credit defaults and impact on profits

Download the report here

Moody’s Analytics Webinar: Evolving Practices in Stress Testing Structured Finance Portfolios, Date: Thursday, October 16, 2014, 730pm IST

Webinar:  Evolving Practices in Stress Testing Structured Finance Portfolios

Date: Thursday, October 16, 2014
Time: 10:00 AM EST/730Pm IST

Register Now

Given the evolving regulatory environment, market participants are finding the need for greater transparency, consistency, and accuracy in reporting and analysis of their structured finance products. Join Moody’s Analytics and PRMIA for a complimentary webinar on Evolving Practices in Stress Testing Structured Finance Portfolio which focuses on:

  • Identifying the most challenging asset classes
  • Complexities in forecasting RWA
  • How to dynamically run macroeconomic scenarios

David Kurnov – Director, Structured Analytics and Valuation, Moody’s Analytics

Alexandru Voicu, Director of Education, PRMIA

This webinar is complimentary for all participants and is organized and presented by Moody’s Analytics. Thank you to Moody’s Analytics for making this webinar available to PRMIA members for their learning opportunity

Moody’s Teleconference : Global Automotive Industry Outlook 15 October 2014 130pm IST

Moody’s Teleconference  Global Automotive Industry Outlook

Wednesday, 15 October 2014,  09:00 London / 16:00 Hong Kong / 17:00 Tokyo

Discussion Items

  • Global Automotive Industry Outlook
  • Industry Conditions in China, Japan, Korea, US and Europe
  • Manufacturers’ Profit Drivers
  • Rising Risks in Emerging Markets
  • Rating Implications for Global Manufacturers


Gary Lau, Managing Director, Corporate Finance Group

Bruce Clark, Senior Vice President

Chris Park, Senior Vice President

Peggy Furusaka, Vice President – Senior Credit Officer

Yasmina Serghini-Douvin, Vice President – Senior Credit Officer

Gerwin Ho, Vice President – Senior Analyst

The entire session — with prepared remarks and the Q&A — will last about one hour.

If you wish to participate, please RSVP early. Dial-in numbers will be provided.


Registration is required.

Replay information will be provided after the teleconference.

Submit Questions in Advance

Participants are encouraged to submit questions in advance of the teleconference by
clicking here.

Related Research and Methodologies

A complete list of Moody’s methodologies may be found here.