Credit Value Adjustments (CVA) for Derivatives Products

Delegates attending are expected to have a good knowledge of Derivative Products and Credit. Laptop with Excel required. 

Learning Outcomes: 

  • Understand the need for the application of CVA/DVA/FVA (xVA) techniques and capital charges in a Bank Derivatives business 
  • Understand the role of the Credit Support Annex (CSA) 
  • Apply the concepts of Collateral Thresholds (TH), Minimum Transfer Amounts (MTA), Replacement Costs (RC) 
  • Analyse the funding issues associated with bilateral CSA mechanisms 
  • Analyse the mechanics for Single Name and Index Credit Default Swaps 
  • Understand the concepts of Premium, Recovery and Default Risk 
  • Analyse CDS Default Event Trigger Mechanisms 
  • Analyse pricing of Single Name Credit Default Swaps (Hazard Rate Model) 
  • Understand the differences between PFE, EE, EEPE 
  • Analyse and model the credit profiles associated with common derivatives products such as FX Forwards, Interest Rate and Cross Currency Swaps 
  • Analyse and model the credit profiles associated with common derivatives products such as FX Forwards, Interest Rate and Cross Currency Swaps 
  • Calculate the capital charges associated with Counterparty Credit Risk 

 

Who the course is for: 

  • Banks, end-users of derivatives, regulators, consultants, software providers and other third parties 
  • xVA desks 
  • Derivatives traders, structurers and salespeople 
  • Treasury and Finance departments 
  • Regulatory capital and reporting 
  • Risk managers (market and credit) 
  • IT, product control and legal 
  • Quantitative researchers 
  • Portfolio managers 
  • Operations / Collateral management 

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