Credit Value Adjustments (CVA) for Derivatives Products 02/10/21

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

Contact us

 

Date

Aug 02 2021
Expired!

Time

13:00 - 16:00

Location

Online

Organizer

ICAP Training Solutions (Pty) Ltd
Email
info@icapts.com
Website
https://www.icapts.co.za