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AM Seminar:  Quantitative Modeling in Counterparty Credit Risk Management

Speaker Name: 
Jingyang Guo
Speaker Title: 
Quantitative Finance Analyst
Speaker Organization: 
Bank of America
Start Time: 
Monday, November 30, 2020 - 4:00pm
End Time: 
Monday, November 30, 2020 - 5:00pm
Via Zoom Presentation
Assistant Professor Marcella Gomez


We will start with introducing different types of financial risks and then focus on quantitative modelling used in Counterparty Credit Risk management from both an academic and industry practice point of view. Major methods to control and quantify Counterparty Credit Risk including credit limits and Valuation Adjustments are discussed in detail.


Dr. Jingyang Guo is a Quantitative Finance Analyst in Bank of America. She joined the Counterparty MRM groups in 2017, which is a multinational team covering both front office XVA models and Counterparty Credit Risk (CCR) models. Before then she got a Ph.D. in Mathematics from University at Buffalo and her research focuses on high order numerical methods for nonlinear hyperbolic conservation laws.

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